政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152468

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152468

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请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/152468

题名:	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
作者:	蔡孟廷 Tsai, Meng-Ting
贡献者:	羅秉政 Kendro Vincent 蔡孟廷 Tsai, Meng-Ting
关键词:	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
日期:	2024
上传时间:	2024-08-05 12:18:10 (UTC+8)
摘要:	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.
參考文獻:	Aharony, J. and Swary, I. (1980). Quarterly dividend and earnings announcements and 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 Economics, 6:309–331. Grinblatt, M. and Titman, S. (1984). Signalling and the valuation of unseasoned new issues. Journal of Finance, 39:393–420. Hsieh, M.-C. (2020). The impact of ex-dividend day on stock prices in the taiwan stock 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. Lai, H.-F. (2010). Dividend policy and firm performance: Evidence from taiwan. Inter- 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. Lin, W.-H. (2007). The effect of stock dividends on stock prices in the taiwan market. 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. Wang, M.-C. (2012). Stock dividends and market reactions: Evidence from taiwan. Jour- nal of Financial Research, 35:215–232.
描述:	碩士國立政治大學金融學系 111352018
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0111352018
数据类型:	thesis
显示于类别:	[金融學系] 學位論文

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