高股息ETF對公司決策與市場表現之影響：以臺灣市場為例

Abstract

近年來，臺灣高股息 ETF 快速成長，成為股票型 ETF 市場中具代表性的產品類型。本文以臺灣上市櫃公司為研究對象，蒐集 2014 年至 2024 年高股息 ETF 成分股、公司財務、股利與股票市場資料，採用傾向分數配對法與固定效果模型，檢驗公司被納入高股息 ETF 後，其股利政策、資金配置與市場表現是否產生變化。 實證結果顯示，公司被納入高股息 ETF 後，並未顯著提高股利發放率，且股利成長率與增加股利之可能性反而下降；在股利來源方面，亦未顯著提高以資本公積配息之可能性。投資活動方面，資本支出與研發投入並未下降，表示公司未因納入高股息 ETF 而壓縮長期投資。市場表現方面，公司被納入後未來一年原始報酬與特徵配對超額報酬皆顯著下降，而 Amihud 不流動性指標下降，顯示價格衝擊降低。 整體而言，高股息 ETF 納入並未支持公司會為迎合高股息投資人偏好而提高配息或壓縮長期投資之假說；其影響主要反映於股票報酬與部分流動性變化，而非公司實質財務決策之立即調整。

This study examines whether high-dividend ETF inclusion affects corporate decisions and market performance in Taiwan. Using Taiwan listed and over-the-counter firms from 2014 to 2024, this study combines high-dividend ETF constituent data with firm financial, dividend, and stock market data. Propensity score matching and fixed effects models are used to examine changes in dividend policy, capital allocation, stock returns, and liquidity after ETF inclusion. The results show that firms do not significantly increase dividend payout ratios after being included in high-dividend ETFs. Dividend growth and the likelihood of increasing dividends decline, and there is no significant increase in dividends distributed from capital surplus. Capital expenditures and R&D expenditures do not decrease, suggesting that firms do not reduce long-term investment to maintain dividends. In contrast, one-year raw returns and characteristic-matched abnormal returns decline significantly after inclusion, while the Amihud illiquidity measure decreases. Overall, high-dividend ETF inclusion does not appear to induce firms to increase dividends or reduce long-term investment. Its effects are more evident in stock returns and certain liquidity measures, suggesting that the impact of inclusion is mainly reflected in stock market performance rather than immediate changes in firms’ financial decisions.