本研究探討高現金殖利率股票的報酬率趨勢，資料來源為台灣經濟新報（TEJ），研究期間為2008年1月1日至2017年12月31日，共計十年。所選擇資料為每支個股每日的開盤價、最高價、最低價、收盤價、成交量、市值、每年發放的現金股利與發放股利之日期。用以計算2008年至2017年十年間，每一年度發放現金股利並且現金股利殖利率大於5%的股票。並且搭配5日、20日、60日移動平均線績效測試，將實證結果搭配技術分析整理後呈現。
實證結果如下：
一、 若單以現金股利作為選股方法，會發現現金殖利率高的股票，不代表未來前景一定看好或是隔年一定會有較高的獲利，不一定能成為選股的標準。
二、 短期移動平均線（5MA）和中期移動平均線（20MA），股價幾乎都低於5MA與20MA，代表股價短期及中期上揚力道較弱，不適合進場投資。若以長期移動平均線（60MA）作為指標，平均報酬率比5MA及20MA篩選績效要更好。顯示投資人想要長期持有股票來取得較高的配息，搭配60MA作為投資策略是較佳的選擇。
在現金殖利率高於5%的股票中，以電信業績效最好，持有一年的報酬率接近10%。

The purpose of this research is to investigate and to analize the return rate of high cash dividend yield stocks based on Taiwan stock market and listed companies data resources from TEJ database during 2008 to 2017. The selected information is the daily opening price, the highest price, the lowest price, the closing price, the trading volume, the market value, the annual cash dividends and the date of dividends issued for each stock. Using this data, we calculate stocks with cash dividends and cash dividend yields which has to greater than 5% per year between 2008 and 2017. Matcing with the 5-day moving average, 20-day moving average and 60-day moving average performance test, the empirical results are presented with technical analysis. The main contributions of this research are described as follows:
1. If we only used cash dividend yield as a stock picking strategy, these stocks which picked with high cash yields don’t guarantee that the future prospects could be optimistic or could get higher profits in the next year.
2. If the stock price is lower than 5MA or 20MA, representing that the stock price is weak in the short-term or medium-term, it should not buy the stock. Taking the long-term moving average (60MA) as an indicator, the average rate of return is better than that of 5MA and 20MA. It shows investors if we want to hold stocks for a long term to obtain higher interest rates, it’s better to use 60MA as an investment strategy.
3. The best performance in the stocks which cash dividend yield is above 5% is the telecommunications industry. The one-year return rate is close to 10%.

致 謝..............................................................................................................................................i
摘 要.............................................................................................................................................ii
Abstract............................................................................................................................................iii
目 錄............................................................................................................................................iv
圖 次.............................................................................................................................................v
表 次............................................................................................................................................vi
第一章 緒論.....................................................................................................................................1
第一節 研究動機與目的..................................................................................................................1
第二節 研究架構.............................................................................................................................4
第二章 相關理論與文獻探討..........................................................................................................6
第一節 股票殖利率.........................................................................................................................6
第二節 技術分析.............................................................................................................................7
第三節 效率市場假說...................................................................................................................12
第四節 相關文獻探討...................................................................................................................14
第五節 本章小結...........................................................................................................................18
第三章 研究方法與實證設計........................................................................................................19
第一節 研究樣本、期間與資料來源............................................................................................19
第二節 研究方法..........................................................................................................................20
第四章 實證結果與分析...............................................................................................................22
第一節 高殖利率公司資料分析...................................................................................................22
第二節 移動平均線績效測試.......................................................................................................28
第三節 2008~2017年間有5年現金殖利率大於5%的股票.........................................................32
第四節 本章小結..........................................................................................................................33
第五章 結論與建議......................................................................................................................34
第一節 結論.................................................................................................................................34
第二節 研究限制.........................................................................................................................35
第三節 後續研究建議.................................................................................................................35
參考文獻........................................................................................................................................37
附錄...............................................................................................................................................39

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