| dc.contributor.advisor | 周冠男 | zh_TW |
| dc.contributor.advisor | Chou, Robin K. | en_US |
| dc.contributor.author (Authors) | 謝晴雯 | zh_TW |
| dc.contributor.author (Authors) | Hsieh, Ching-Wen | en_US |
| dc.creator (作者) | 謝晴雯 | zh_TW |
| dc.creator (作者) | Hsieh, Ching-Wen | en_US |
| dc.date (日期) | 2025 | en_US |
| dc.date.accessioned | 1-Jul-2025 14:49:21 (UTC+8) | - |
| dc.date.available | 1-Jul-2025 14:49:21 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-Jul-2025 14:49:21 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0112357003 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/157769 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理學系 | zh_TW |
| dc.description (描述) | 112357003 | zh_TW |
| dc.description.abstract (摘要) | 本研究針對台灣市場中，高股息 ETF 與市值型 ETF 於 2020 至 2024 年間的績效表現進行比較分析。研究樣本包含 17 檔高股息 ETF 與 6 檔市值型 ETF，皆為台灣證券交易所上市之國內股票型 ETF。透過獨立樣本 t 檢定，本研究針對總報酬（含息報酬）、報酬波動度、系統性風險與風險調整後報酬等面向探討兩類型 ETF 間之差異。結果顯示，市值型 ETF 在特定年度（如 2020 年與 2024 年）的累積與平均報酬明顯優於高股息 ETF；然而，高股息 ETF 在標準差與 Beta 方面皆低於市值型 ETF，與過往對高股息策略風險較高的假設相異。就風險調整後報酬而言，兩類 ETF 在整體研究期間並無顯著差異，僅在個別年度中，市值型 ETF 表現出較高的 Sharpe Ratio、Treynor Ratio 與 Jensen’s Alpha。綜合而言，ETF 投資策略應視市場環境動態調整，而非依賴單一類型商品。此研究結果有助於台灣投資人進行 ETF 策略選擇與資產配置時之決策參考。 | zh_TW |
| dc.description.abstract (摘要) | This study investigates the performance differences between high dividend ETFs and broad market index ETFs in Taiwan from 2020 to 2024. Using a sample of 17 high dividend ETFs and 6 broad market index ETFs listed on the Taiwan Stock Exchange and consist of domestic stocks, the analysis evaluates total return, volatility, beta, and risk-adjusted performance through independent sample t-tests. The results indicate that broad market index ETFs outperformed high dividend ETFs in terms of cumulative and average returns during specific years, such as 2020 and 2024. Contrary to conventional assumptions, high dividend ETFs exhibited lower volatility and beta, suggesting less exposure to total and systematic risk. However, no consistent advantage was found in risk-adjusted returns across the full sample period. While broad market index ETFs demonstrated superior Sharpe ratios, Treynor ratios, and Jensen’s alphas in certain years, these differences were not consistent. The findings suggest that investors may benefit from adopting flexible allocation strategies tailored to market conditions, rather than adhering rigidly to a single type of ETF. This study contributes to a deeper understanding of ETF strategy selection and portfolio optimization within Taiwan's domestic equity market. | en_US |
| dc.description.tableofcontents | 1. Introduction 1
2. Literature Review 4
2.1 Performance of High Dividend ETFs 4
2.2 Investor Behavior and Dividend Preferences 5
2.3 ETF Strategies and Structural Design 6
2.4 Research Hypotheses 6
3. Data Collection & Methodology 8
3.1 Data 8
3.2 Performance Metric 10
3.3 Performance Metric Formulas 11
3.3.1 Cumulative Return 11
3.3.2 Average Return 11
3.3.3 Standard Deviation 11
3.3.4 Beta 11
3.3.5 Sharpe Ratio 12
3.3.6 Treynor Ratio 12
3.3.7 Jensen’s Alpha 12
4. Empirical Results 13
4.1 Return Performance 13
4.2 Risk Performance 15
4.3 Risk-Adjusted Performance 17
5. Conclusion 20
5.1 Main Findings 20
5.2 Research Limitations 20
5.3 Practical Implications 21
6. References 22 | zh_TW |
| dc.format.extent | 1217402 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0112357003 | en_US |
| dc.subject (關鍵詞) | 指數股票型基金 | zh_TW |
| dc.subject (關鍵詞) | 高股息 ETF | zh_TW |
| dc.subject (關鍵詞) | 市值型 ETF | zh_TW |
| dc.subject (關鍵詞) | 績效比較 | zh_TW |
| dc.subject (關鍵詞) | Exchange-traded funds | en_US |
| dc.subject (關鍵詞) | High dividend ETFs | en_US |
| dc.subject (關鍵詞) | Broad market index ETFs | en_US |
| dc.subject (關鍵詞) | Performance comparison | en_US |
| dc.title (題名) | 台灣高股息 ETF 與市值型 ETF 之績效分析 | zh_TW |
| dc.title (題名) | Performance comparison of high dividend ETFs and broad market index ETFs in Taiwan | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | Blitz, D., & Vidojevic, M. (2019). The performance of exchange-traded funds. Available at SSRN 3458275.
Chen, M. H., & Lin, T. Y. (2024). Dividend sentiment and corporate dividend policy. Commerce & Management Quarterly, 25(4), 395–414.
Hartzmark, S. M., & Solomon, D. H. (2019). The dividend disconnect. The Journal of Finance, 74(5), 2153–2199. https://doi.org/10.1111/jofi.12785
Ho, E., Tsao, M., & Hsu, H. K. (2021). Investment performance and tracking ability of Taiwan high dividend ETFs. 國立屏東大學學報：管理類 [NPTU Management Review], (4), 51–76.
Hougan, M. (2015). How to evaluate dividend ETFs. Journal of Financial Planning, 28(8), 30. https://www.financialplanningassociation.org/article/journal/AUG15-how-evaluate-dividend-etfs
Lashgari, M. (2022). Dividends, return and consumption. Journal of Applied Business and Economics, 24(1), 69–76. https://doi.org/10.33423/jabe.v24i1.4949
Lydon, T. (2014). Generating income with dividend ETFs. Journal of Financial Planning, 27(7), 30. https://www.financialplanningassociation.org/article/journal/JUL14-generating-income-dividend-etfs
Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The Journal of Business (Chicago, Ill.), 34(4), 411–433. https://doi.org/10.1086/294442
Thaler, R. (1985). Mental accounting and consumer choice. Marketing Science (Providence, R.I.), 4(3), 199–214. https://doi.org/10.1287/mksc.4.3.199 | zh_TW |
