本研究探討高殖利率股票之報酬率趨勢，資料來源為台灣經濟新報資料庫（TEJ），研究期間為1991年至2011年間，國內上市、櫃非電子類之公司，共計898檔股票資料。以除權息當日為基準，實際計算公司殖利率並由大到小進行排序，加入市值進行篩選，權重分別以均權及市值加權方法建立投資組合探討其報酬績效。 本研究重要發現如下：一、以殖利率排序作為選股策略所建立投資組合，發現投資時間為短期一年時績效表現優於中期五年及長期十年。二、以殖利率排序作為選股策略所建立投資組合，由圖4-1-20，圖4-1-21呈現投資組合數為20家時，以市值加權方式所形成之投資組合波動度較平緩能有效降低投資風險。三、最後本研究加入公司規模市值進行篩選前50％公司，研究期間2001~2010年，以殖利率大小前10名建立投資組合並以複利方式進行短期每一年持續不斷投資。由2001年累積到2008年時，由表4-2呈現均權複利效果153.36％，加權複利效果134.14％。並以夏普指數檢驗所得之數據為0.4268，遠優於大盤0.1098之表現。 The purpose of this research is to investigate and analize the return rate of high yield stocks based on the 898 over the counter and listed companies data resources from TEJ database during 1911 to 2011.In order to create investment portfolio and find out the return rate,we computed stock yield rate and rank stocks through market value according to stock price on the ex-dividend days.The weighting of investment portfolio can be used by equal way and weighted way.The main contributions of this research would be described as follows:1.The shortterm investment portfolio return rates in one year are better than five or ten years.2. According to high yield stocks picking tactics, we draw figure 4-1-20 and figure 4-1-21 ,finding the weighted investment portfolio curves can be effectively reduce the investment risks when the number of companies reaches 20 .3. Finally, we select the top 50% companies by market value during 2001~2010. Creating investment portfolio by the top 10 high yield rate companies and invest them through compounding way every year continuously. In table 4-2, it shows return rate up to 153.36% by equal way,and 134.14% by weighted way. The Sharpe ratio also indicate the high yield stocks is 0.4268, which is better than the market return rate 0.1098.
