公司特徵對高股息股票風險報酬之影響──以臺灣股票市場為例

Abstract

近年來，長期利率下滑，壓縮投資者銀行定存收入，觀察美國與我國利率環境，由於長期公債殖利率多年呈現下滑趨勢，長期利率仍處於低檔，雖然近期在通膨的壓力下，美國及台灣利率面臨上升循環啟動，然而一般投資者仍無法從定期存款獲得較佳的利息收入，因此投資報酬較高的股票市場便成為投資者感興趣的地方，由於股市投資存在風險，為追求相對穩定收益，投資人喜好風險較低的高股息股票投資，高股息投資形成風潮，期望能從證券市場獲取穩定的股息收益。然而高股息股票投資是否真能達到穩定的預期報酬，除了高股息個股特點外，能否搭配其他公司特徵，以達到較佳的穩健投資報酬，是本文研究重心之所在。本文以高股息的投資股票搭配公司特徵為研究出發點，並採用Sortino指標，研究這些投資標的每單位風險所能夠獲得的預期報酬。此外，本研究採用2010年至2020年共計16,397筆樣本資料，實證結果在台灣股票市場的經驗，單純高股息投資未必能達到良好的風險投資股票報酬，然而搭配三項公司特徵，透過不同特徵互補或強化，反而可以作為選擇股票投資價值的依據，三項公司特徵包括（一）高股息個股的投資標的搭配價值型股票（高淨值比公司）能夠具有較高的Sortino指標的正向影響；再者（二），具有低波動的高股息股票能夠平穩面對風險波動，獲得較優異的Sortino指標正向影響；（三）最後也極為特別的是，高股息股票的企業中特徵屬於小規模市值者，因為具有較佳的投資報酬，實證經驗上，小規模公司靈活與高成長特質，具有較佳的Sortino指標的正向影響。In recent years, long-term interest rates have been declining, compressing investors' income from time deposits. Looking at the interest rate environment in the U.S. and Taiwan, long-term interest rates are still at a low level as long-term bond yields have been on a downward trend for many years. Although interest rates in the U.S. and Taiwan are facing an upward cycle under the pressure of inflation recently, general investors are still unable to earn better interest income from time deposits, so the stock market, which offers higher returns on investment, has become a placeof interest for investors. Due to the risks associated with stock market investments, investors prefer to invest in higher dividend stocks with lower risks in order to pursue relatively stable returns. However, whether high-dividend stock investments can really achieve stable expected returns, and whether they can be combined with other company characteristics in addition to the characteristics of high-dividend stocks to achieve better and stable investment returns, shall be the focus of this paper.In this paper, we use high-dividend stocks with company characteristics as the starting point and adopt the Sortino Ratio to study the expected return per unit of risk of these investment targets. In addition, this study uses a total of 16,397 sample data from 2010 to 2020, and the empirical results show that, in the Taiwan stock market experience, high dividend investment alone may not achieve good return on risky investment stocks, but with the three company characteristics, through the different characteristics complement or strengthen each other, it can be used as a basis for selecting the value of stock investment. The three company characteristics include (1) high-dividend stocks with value stocks (high net worth ratio companies) can have a higher positive impact on the Sortino Ratio; (2) high-dividend stocks with low volatility can smoothly face risk fluctuations and obtain a better positive impact on the Sortino Ratio; (3) last but not least, high-dividend stocks characterized by small capitalization companies, which have better investment returns, are flexible and have high growth characteristics, which have better positive effects on the Sortino Ratio empirically.