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博碩士論文 etd-0419119-185540 詳細資訊
Title page for etd-0419119-185540
論文名稱
Title
高現金殖利率股票投資策略分析
Analysis of Investment Strategies for High-Cash-Dividend-Yield Stocks
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
49
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2019-06-18
繳交日期
Date of Submission
2019-05-19
關鍵字
Keywords
台灣股票市場、移動平均線、技術分析、現金股利、殖利率
Taiwan Stock Market, Moving Average, High Yield Rate, Cash Dividend, Technical Analysis
統計
Statistics
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中文摘要
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%。
Abstract
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%.
目次 Table of Contents
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
參考文獻 References
一、 中文文獻
1. 賴景昌(2004)。總體經濟學(二版)。台北:雙葉書廊。頁123-128
2. 王彥均(2013),投資除權息後股票之報酬研究-以台灣市場為例,國立成功大學經營管理碩士學位學程碩士論文
3. 江佳蓉(2018),股利發放對公司價值的影響,淡江大學管理科學學系企業經營碩士在職專班碩士論文
4. 鄭雍璋(2018),股利殖利率投資策略,淡江大學財務金融學系碩士班碩士論文
5. 高嘉邦(2018),金融控股公司存股之策略研究,國立成功大學EMBA碩士論文
6. 樓禎祺與何培基(2013),移動平均線之理論與實證-以台灣股市模擬投資操作為例,育達研究叢刊,第五、六期合刊,頁27-49
7. 鄭宜典(2007),基本分析與技術分析之投資績效比較,國立中興大學會計學研究所碩士學位論文
8. 柯冠成、蘇湘茹、林信助與朱香蕙(2016),技術分析對台灣波動度及規模效果之影響,管理學報,33 卷,2 期,頁281-309

二、 英文文獻
1. Litzenberger, R., and K. Ramaswamy(1980),“Dividends, short selling restrictions, tax-induced investor clienteles and market equilibrium.”Journal of Finance 35 (May): pages 469-482
2. John J. Murphy, Technical Analysis of the Financial Markets (New York Institute of Finance, 1999), pages 1-5, 24-31
3. Miller, M. H. and F. Modigliani(1961), “Dividend Policy, Growth and the Valuation of Shares,”The Journal of Business, Vol.34(4), pages 411-433.
4. Myron Gordon and John Lintner(1959), “Dividends, Earnings, and Stock Prices,” The Review of Economics and Statistics, Vol. 41, No. 2, Part 1 (May, 1959), pages 99-105
5. Donald Farrar and Lee Selwyn(1967),”Taxes, Corporate Policy, and Return to Investors,”National Tax Journal, Vol.20, pages 444-454
6. Brock、Lakonishok & LeBaron(1992),”Simple Technical Trading Rules and the Stochastic Properties of Stock Returns,” The Journal of Finance, Vol. 47, No. 5, pages 1731-1764
7. Eugene F. Fama(1965),“TheBehaviourofStockMarketPrices”, Journal of Business, Vol. 38, pages 34-105
8. Eugene F. Fama(1970),“Efficient Capital Markets: a Review of Theory and Empirical Work”, Journal of Finance, Vol. 25, pages 383-417
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