本研究旨在探討公司股利政策對於存在於台灣股票市場中之動能策略之影響。所使用之觀察樣本總區間從2007年至2016年，共觀察1548家除金融業外在台灣股票市場上市上櫃興櫃之公司。實證結果顯示在發放股利之動能策略投資組合，其報酬高於未發放之動能策略投資組合。另外，傾向維持股利發放之動能策略中贏家(winner)股票具有較輸家(loser)高的報酬，相反地，未維持股利發放之動能策略中輸家股票具有較贏家高的報酬。最後，購買增加股利之贏家並出售減少股利之贏家具有超額(異常)報酬。實證中也發現若將動能策略再細分為發放股利與未發放股利兩類投資組合，購買發放股利之動能策略投資組合並出售未發放股利之動能策略投資組合具有顯著的超額(異常)報酬。此實證結果來自於投資人對於未發放股利之贏家以及發放股利之輸家股票反應不足，符合動能策略之行為模型理論，認為動能策略之報酬來增強為來自投資人對於公司發布之產生心理偏誤所致。

This paper empirically investigates the relationship between dividend payout and momentum strategy. A sample of 1548 non-financial firms' stocks that listed on TWSE and Taiwan OTC market from 2007 to 2016 was utilized. The empirical results show that payer momentum portfolio outperforms non-payer momentum portfolio. Additionally, dividend maintaining winners show higher return than dividends maintaining losers. By contrast, non-payer losers outperform non-payer winners. Finally, buying winners that increased their dividends and selling winners that decreased their dividends reports statistically positively significant abnormal return. The results also show that buying payer momentum portfolio and selling non-payer portfolio generates statistically positively significant abnormal return. This result is based on investors' underreaction to winners-non-payers and losers-payers, which is consistent with the behavioral models' prediction, suggesting that the momentum profit is enhanced by investors' psychological biases to new information.

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