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| Title: | 除權息投資人情緒與股票股利之關聯性研究 ─ 以台灣市場為例
A Study on the Relationship between Ex-Dividend Investor Sentiment and Stock Dividends: Evidence from the Taiwan Market |
| Authors: | 蔡孟廷
Tsai, Meng-Ting |
| Contributors: | 羅秉政
Kendro Vincent
蔡孟廷
Tsai, Meng-Ting |
| Keywords: | 股票股利
除權息
異常報酬
多因子分析
台灣股市
Stock Dividends
Ex-Dividend
Abnormal Returns
Multi-factor Analysis
Taiwanese Stock Market |
| Date: | 2024 |
| Issue Date: | 2024-08-05 12:18:10 (UTC+8) |
| Abstract: | 在當代股票市場中，公司通常以股利形式分配部分盈利給股東，以
展示公司財務穩健性和盈利能力。台灣股市的「除權息」現象突顯了
股票股利的影響力。本研究分析了 2009 年至 2023 年間台灣上市公司
在除權息期間的股價行為及異常報酬。我們計算了公告除權息日隔天
至除權息前一天、除權息前三天至除權息前一天、除權息當天開盤至
收盤、除權息後 20 天至 60 天及除權息後 60 天至 180 天等五個時段的
平均報酬率、勝率、扣除大盤報酬後的平均報酬率及標準差。
結果顯示，股票股利在勝率、報酬率及累積異常報酬（CAR）方面
表現最佳，報酬率顯著高於全樣本、現金股利及不同殖利率範疇。此
外，跳空價差和稅後 ROE 顯著提高了報酬率，而大戶持股率也對報酬
變化有顯著影響。
本研究結果為投資者和研究者提供了重要參考，揭示了股利政策中
特別是股票股利對股價行為及異常報酬的影響。未來研究可進一步探
討不同市場環境下這些因子的長期影響，以提供更全面的見解。
In stock markets, companies distribute dividends to demonstrate financial
stability and profitability. The ”ex-dividend” phenomenon in Taiwan high-
lights stock dividends’ impact. This study analyzes stock price behavior and
abnormal returns of Taiwanese listed companies from 2009 to 2023, calculat-
ing average return rates, winning percentages, and abnormal returns (CAR)
over periods around the ex-dividend date.
Results show that stock dividends outperform in winning percentages, re-
turn rates, and CAR, significantly exceeding the full sample, cash dividends,
and various yield categories. Additionally, price gap and post-tax ROE sig-
nificantly improve returns, while large investor ratio also impacts return vari-
ations.
These findings provide insights for investors and researchers, revealing
the influence of dividend policies, especially stock dividends, on stock price
behavior and abnormal returns. |
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| Description: | 碩士
國立政治大學
金融學系
111352018 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111352018 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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