國立屏東大學學報:管理類  2021/12
第四期 (Vol.4)    
 
台灣高股息ETF投資績效與追蹤能力之探討  
Investment Performance and Tracking Ability of Taiwan High Dividend ETFs
何怡滿
Emily Ho
曹美蘭
Meilan Tsao
許慧光
Hui-Kuang Hsu
【中文摘要】
近年來，台灣的交易所買賣基金(ETF)成長迅速，特別是高股息ETF深受投資者青睞。本研究以三檔在台灣上市的國內成分證券高股息ETF為研究對象，探討他們的投資績效與追踪能力。研究結果發現，元大高股息ETF (Yuanta 0056)的平均報酬率和風險調整後的績效表現為最佳。此外，我們的迴歸結果顯示，高股息ETF不會產生顯著的超額報酬。高股息ETF的每單位淨值報酬(NAVPS return)可由各自的標的指數報酬來解釋；然而其市價報酬不僅受到標的指數報酬的影響，還受到加權指數報酬的影響。
本文發現三檔高股息ETF之追踪誤差皆顯著異於零，而採用最適化追蹤方式的元大台灣高息低波ETF (Yuanta 00713)的追踪誤差並非最高。此外，追踪指數有標榜低波動率的兩檔高股息ETF，其報酬波動非為最低。本文的研究結果有助於學術研究者、投資者以及ETF發行人更加瞭解高股息ETF的投資績效與追踪能力。
【中文關鍵字】 高股息ETF;投資績效;追縱能力

【英文摘要】
Exchange-traded funds (ETFs) have grown rapidly in Taiwan in recent years, specifically, high dividend ETFs have become an increasingly popular choice for investors. This study aims to examine the investment performance and tracking ability of domestic high dividend ETFs listed on Taiwan Stock Exchange. In our sample, Yuanta/P-shares Taiwan Dividend Plus ETF (Yuanta 0056) gets the best average return and risk-adjusted performance. Furthermore, our regression results show that high dividend ETFs do not produce any significant excess return (positive or negative). The NAVPS (net asset value per shares) returns of the high dividend ETFs can be explained by the returns of their respective underlying indices. Whereas, the trading price returns are affected not entirely by the returns of underlying indices but also by the returns of the market. Daily tracking errors are significantly different from zero for all high dividend ETFs, and the Yuanta Taiwan High Dividend Low Volatility ETF (Yuanta 0056) that adopts the optimization method does not necessarily have high tracking error. We also find that two high dividend ETFs that track low volatility indices do not inherently have low volatilities. Our findings contribute to a better understanding of the investment performance and tracking ability of high dividend ETFs and are of great relevance to academics, investors as well as the ETF providers.
【英文關鍵字】High Dividend ETF;Investment Performance;Tracking Ability