現金股利對股價預期報酬率之影響

Abstract

本研究主旨在探討以連續發放現金股利的股票投資組合與股價預期報酬率之相關性。本研究期間以2003年到2012年為樣本，以Fama與French之三因子模型以及Carhart之四因子模型為基礎，加入現金股利因子形成五因子模型。本研究結果顯示市場因子、規模因子與股價預期報酬間有顯著的相關性，而淨值市價比因子、動能因子與現金股利因子對股價預期報酬則無相關性。

This study investigates the correlation between the cash-dividend-paying stocks and their expected returns. We expand the three-factor model of Fama and French and the four-factor model of Carhart by including the cash-dividend factor to form the five-factor model. Our sample period is from the 2003 to 2012. The study found the market factor and size factor are significantly related to the expected stock returns, while the book-to-market factor, momentum factor and cash-dividend factor are not correlated with expected stock returns.