本文旨在以台灣股票上市櫃股票為研究樣本，並以2010年7月至2018年12月為樣本期間，探討高現金股利殖利率投資策略是否具有投資效益。在實證上，本文要求現金股利殖利率至少達5%，並設立自由現金流量殖利率、合併營收成長性、現金股利連續性以及交易流動性等安全邊際，進行選股並形成投資組合。 實證結果顯示，無論係以買進持有年報酬率分析，或是以Fama-French-Carhart之四因子模型分析，每月利用上述高現金股利殖利率選股基準形成投資組合，且投資組合內每一成分股皆投資相同金額之投資策略享有顯著正向異常報酬。 Using listed and delisted companies in the Taiwan stock market during the period of July 2010 to December 2018 as a sample, this study proposes a dividend yield trading strategy, which requires dividend yields of 5% or higher and considers free cash flow yields, consolidated earnings growths, consistent dividend payouts, and trading liquidities as safety margins. Under the analyses of buy-and-hold annualized returns and Fama-French-Carhart four-factor model, the empirical results show that a portfolio, selected by applying the above dividend yield trading strategy, investing equal dollar values on each stock in the portfolio, and rebalancing monthly, can earned abnormal positive returns.
