政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/88271

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/88271

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题名:	除息（權）日前後股票市場之交易行為 Trading Behavior Around Ex-dividend Day
作者:	陳昭銘 Chen, Chao Ming
贡献者:	林基煌 Ling ,Jia Huang 陳昭銘 Chen, Chao Ming
关键词:	除息短線交易稅率顧客效果 Ex-dividend Short-term Trading
日期:	1994 1993
上传时间:	2016-04-29 15:15:19 (UTC+8)
摘要:	在過去的理論中，自從Campbell與Beranek 在1955年之研究發現除息之行
參考文獻:	林清山，多變量分析統計法；　台北：東華書局，民國72年8月三版。林煜宗，現代投資學－制度、理論與實證、修訂四版，台北，自印，民國77年1月。陳隆麒，現代財務管理－理論與應用，初版，台北，華泰書局，民國81年2月。李存修，股票除權前後價格行為之探討，證券管理，民國79年10月，頁13-22。李存修，股票股利及現金增資之除權與股價行為：理論與實證，臺大管理論叢，民國80年5月，頁1-40。李存修，現金增資除權交易日之稀釋補償與比價心理假說之實證，證券市場發展季刊，民國80年10月，頁53-63。張龍憲，政策下的「變色龍」終究定色—停徵證所稅下的節稅策略，會計研究月刊，53期，頁57-63。吳惠娟，現金增資對股票價格的影響，臺灣股票市場實證研究，國立成功大學工業管理研究所未出版碩士論文，民國77年6月。陳建樺，除息（權）日及其前後股價、股量、股值行為之研究，工業技術學院工程技術研究所未出版碩士論文，民國78年6月。楊世芳，除息（權）日股價行為—臺灣股票市場之實證研究，工業技術學院工程技術研究所未出版碩士論文，民國77年6月。 Barclay, M. J.,” Dividends, Taxes, and Common Stock Prices: The Ex-Dividend Day Behavior of Common Stock Prices Before the Income Tax”, Journal of Financial Economics , Sep 1987 pp: 31-44. Baker, H. K.; Farrelly, G. E.& Edelman, R. B.” A Survey of management Views on dividend Policy “,Financial Management ,Aut 1985 pp: 78-84. Beaver,W.P.Kettler,and Schole,M.”The Association Between Market Determined and Accounting Determined Risks Measure” Accounting Review,Oct 1970 pp:654-682. Black, F. and M. Scholes ,”The effects of dividend yield and dividend policy on common stock prices and returns”,Journal of Financial Economics 1,1974 pp:1-22. Booth, L.D. & Johnston , D. J.,” The Ex—Dividend Day Behavior of Canadian Stock Prices:Tax Changes and Clietele Effects”, Journal of Finance, Jun 1984 pp: 457-476. Campbell, J. and Beranek, W, “Stock price Behavior on ex-dividend dates”, Journal of Finance,Dec 1955.pp:452-429. Crossland, M.; Dempsey, M.; and Moizer, P.”The Effect of Cum- to Ex-Dividend Changes on UK Share Prices”Accounting & Business Research, Winter 1991 pp: 47-50. Davidson, I.R.; Mallin, C.A., “Ex-Effects: An Empirical Reassessment of the Clientele Effect Using UK Data”, Accounting& Business Research, Summer 1989 pp: 227-236. Dermody, J. C.& Prisman, E. Z.,”Term Stucture Multiplicity and Clientele in Markets with Transactions Costs and Taxes”, Journal of Finance, Sep 1988 pp: 893-911. Dybvig, P.H., Ross, S.A.& Williams, J.,” Tax Clienteles and Asset Pricing/Comment”, Journal of Finance, Jul 1986 pp:751-763. Eades, K.,P.Hess and h.Kim,On interpreting security returns during the Ex-dividend period, Journal of Financial Economics, March 1984,pp:3-35. Elton,e.,M.Gruber,” Marginal stockholder tax rates and the Clientele effect, Review of Economics and Statistics,Feb 1970 pp:69-74. Elton,e.,M.Gruber and .Rentzler,” The ex-dividend day behavior of stock prices;a reexamination of the clientele effect: A Command”,Journal of Finance,Jun 1980 pp:51-556. Gagnon, J.& Suret, J.,”Ex-Dividend Day Price Changes and Implied Tax Rates: An Evaluation”, Journal of Financial Research, Fall 1991, pp: 255-262. Gay, G.D.& Kim,S.,”The Coupon-Induced Tax Clientele Effect in Bond Prices”,Managerial & Decision economics, Oct 1991, pp: 367-376. Gordon,R.H. and Bradford,D.F. “Taxation and Stock Market Valuation of Capital Gains and Dividends: Theory and Empirical Results,”Journal of Public Economics 14,1980, pp:109-136. Grammatikos,T.” Dividend Stripping,Risk Exposure and the Effect of the 1984 Tax Reform Act on the Ex-dividend Day Behavior “Journal of business,Apr 1989,pp:157-173. Grinblatt,M.S, Masulis,R.W. and Timan, S “The Valuation Effect of Stock Splits and Stock Dividends “Journal of Financial economics,Dec 1984,pp:461-490. Fung, W. K. H.,” Taxes, Clientele Effect of Dividend and Risk, return Linearity”, Journal of Banking & Finance, Sep 1981 pp: 405-424. Heath, D.C. and Jarrow, R.A.” Ex-Dividend Stock Price Behavior and Arbitrage Opportunity,” Journal of Business 61,1988 ,pp:95-108. Hess, P.J.& Gibbons, M.R.,” The Ex-Dividend Day Behavior of Stock Returns: Further Evidence on Tax Effects/Discussion “Journal of Finance,May 1982 pp: 445-456,474-476. Hess, P. ,”The ex-dividend day behavior of stock returns :Further evidence on tax effects”, Journal of Finance 37,1982 pp:445-456. Kalay, A. , “The Ex-Dividend Day Behavior of Stock Pries: A Re-Examination of the Clientele Effect”, Journal of Finance, Sep 1982 pp:1059-1070. Kalay, A. ,”The ex-dividend day behavior of stock prices : A reexamination of the clientele effect ; Reply”, Journal of Finance,June 1984,pp:557-563. Katz, E. & Prisman, E. Z. ,“Arbitrage, Clientele Effects, and the Term Stucture of Interest Rates”, Journal of Financial & Quantitative Analysis, Dec 1991,pp: 435-443. Kaproff, J.M. and R.A. Walking, ”Short-Term Trading Around Ex-Dividend Days”, Journal of Finance economics, Sep 1988, pp:291-298. Lakonishok, J. and T. Vermalelen, “Tax reform and Ex-Dividend Day behavior,” Journal of Finance, Sep 1983, pp: 1157-1179. Lakonishok, J. and Vermalelen T. , “Tax-induced Trading Around Ex-Dividend Day,” Journal of Financial Economics, July 1986, pp: 287-319. Lewellen, W. G ., Stanley, K. L ., Lease, R.C. and Schlarbau G.G. “Some Direct Evidence on the Dividend Clientele Phenomenon,”, Journal of Finance, 33,1978, pp: 1385-1399. Loeb, T., “Trading cost: The critical link between invest information and results”, Financial Analyst Journal , May-June, 1983, pp:39-44. Miller, M. and Modogliani, F. “Dividend Policy, Growth and Valuation of Shares, “Journal of Business, 34, 1961, pp: 44-443. Miller, M. and Scholes, M. ”Dividend and Taxes,” Journal of Financial Economics 6, 1978, pp: 333-364. Miller, M. and Sholes, M. “Dividend and Taxes: Some Empirical Evidence, ”Journal of Political Economy, March-April 1982, pp:1118-1141. Michaely. R. “Ex-Dividend Day Stock price Behavior: The case of the 1986 Tax Reform Act”, Journal of Finance, July 1991, pp: 845-860. Skinner, D.L.& Gilster, J.E., “Dividend Clienteles, the Tax-Clientele Hypothesis, and Utilities”, Financial Review, May 1990, pp: 287-296. Schaefer, S.M., “Tax-Induced Clientele Effects in the market for British Government Securities: Placing Bournds on Security Values in an Incomplete Market”, Journal of Financial Economics, Jul 1982 pp: 121-159. Stickel, S. “The Ex-Dividend Behavior of nonconvertible Prefered Stock Returns and Trading Volume”, Journal of Financial and Quantitative Analysis, Mar 1991 pp:45-62. Venkatesh, P.C. “Trading Costs and Ex-day Behavior: An Examination of Primes and Scores”, Financial Management, Aut 1991 pp:84-95.
描述:	碩士國立政治大學企業管理學系 81355032
資料來源:	http://thesis.lib.nccu.edu.tw/record/#B2002003653
数据类型:	thesis
显示于类别:	[企業管理學系] 學位論文

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