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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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    stockholders’ returns: An empirical analysis. Journal of Finance, 35:1–12.

    Baker, M. and Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of
    Financial Markets, 7(3):271–299.

    Bhattacharya, S. (1979). Imperfect information, dividend policy, and ’the bird in the hand’
    fallacy. The Bell Journal of Economics, 10:259–270.

    Chen, H.-L., C. E. H. and Shiu, C.-Y. (2013). Ex-dividend prices and investor trades:
    Evidence from taiwan. Pacific-Basin Finance Journal, 24:39–65.

    Chen, N.-F., Roll, R., and Ross, S. A. (1986). Economic forces and the stock market.
    Journal of Business, 59(3):383–403.

    Chordia, T., R. R. and Subrahmanyam, A. (2001). Market liquidity and trading activity.
    The Journal of Finance, 56(2):501–530.

    Eades, K. M., Hess, P. J., and Kim, E. H. (1984). On interpreting security returns during
    the ex-dividend period. Journal of Financial Economics, 13(1):3–34.

    Fama, E. F. (2001). Disappearing dividends: Changing firm characteristics or lower
    propensity to pay? Journal of Financial Economics, 60:3–43.

    Feldstein, M. (1980). Inflation, tax rules, and the stock market. Journal of Monetary
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    issues. Journal of Finance, 39:393–420.

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    market. Taiwan Economic Review, 48:75–102.

    Hung, M.-F. (2011). Dividend policy and investor behavior in taiwan: An empirical anal-
    ysis. Asia-Pacific Financial Markets, 18:123–147.

    Kothari, S. P. and Warner, J. B. (2004). The econometrics of event studies. Journal of
    Financial Economics, 72:3–40.

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    national Journal of Economics and Finance, 2:57–64.

    Lakonishok, J. and Vermaelen, T. (1983). Tax reform and ex-dividend day behavior. Jour-
    nal of Finance, 38:1157–1179.

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    Journal of Financial Studies, 15:89–110.

    Lintner, J. (1956). Distribution of incomes of corporations among dividends, retained
    earnings, and taxes. American Economic Review, 46:97–113.

    Miller, M. H. and Modigliani, F. (1961). Dividend policy, growth, and the valuation of
    shares. Journal of Business, 34:411–433.

    Rozeff, M. S. (1982). Growth, beta and agency costs as determinants of dividend payout
    ratios. Journal of Financial Research, 5:249–259.

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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:[Department of Money and Banking] Theses

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