股利率交易策略於中國市場之研究 The practice of dividend-yield strategies in China

[[abstract]]幾十年來， 許多歐美文獻證實高股利率等於高報酬率。本文以2005-2011 的 滬深市場，探討此現象是否適用於一個偏好股票股利的環境。在風險調整下實證 結果未支持現金股利率，然而卻發現雙元股利率即使在3 因子模型也出現一個異 常報酬。不過， 該異常報酬的來源， 既不是SMB 也不是HML 因子。使用Quantile 迴歸，結果指出股利率無關於未來報酬率。進一步分析， 在高股利支付率的樣本， 發現來自資本公積的股票股利雖然與未來盈餘成長呈現正相關，但同樣無關於未 來報酬率。最後，將股價動能加入於3 因子模型後，發現該異常報酬終於消失於無形。 關鍵詞：股利率、交易策略、3 因子模型、4 因子模型。 For decades, many literatures among European and American markets confirmed that high-dividend yields equates to high returns. Utilizing the data of Shanghai and Shenzhen markets with the period of 2005 to 2011, we explore whether trading strategies based on dividend-yield are still effective in stock-dividend-pursuing markets. Under risk-adjusted model, we do not find any evidence associating with the abnormal returns of cash dividend-yield portfolios. However, dual dividend-yield samples significantly display abnormal returns in the three factors model. Moreover, neither SMB nor HML factor can account for the dividend-yield risk-premium anomaly. Quantile regression analysis also indicates that dividend-yield variables display no significant impacts on firm’s future returns. Further examination points out that, among the sample of high payout ratios, only those firms distributing additional paid-in capital into stock dividends can generate a weakly positive association between stock-dividends and future earnings. Meanwhile, such stock dividends also show no influence on the associated future returns. Finally, incorporating the momentum into the three factor model eventually makes the abnormal returns disappeared in the dual-dividend-yield samples. Keywords: Dividend yield; Trading strategies; Three-factor model; Four-factor model