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題名 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
貢獻者 林基煌
Ling ,Jia Huang
陳昭銘
Chen, Chao Ming
關鍵詞 除息
短線交易
稅率顧客效果
Ex-dividend
Short-term Trading
日期 1994
1993
上傳時間 29-Apr-2016 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
資料類型 thesis
dc.contributor.advisor 林基煌zh_TW
dc.contributor.advisor Ling ,Jia Huangen_US
dc.contributor.author (Authors) 陳昭銘zh_TW
dc.contributor.author (Authors) Chen, Chao Mingen_US
dc.creator (作者) 陳昭銘zh_TW
dc.creator (作者) Chen, Chao Mingen_US
dc.date (日期) 1994en_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 15:15:19 (UTC+8)-
dc.date.available 29-Apr-2016 15:15:19 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 15:15:19 (UTC+8)-
dc.identifier (Other Identifiers) B2002003653en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88271-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description (描述) 81355032zh_TW
dc.description.abstract (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zh_TW
dc.description.tableofcontents 第壹章 　緒論
一、 研究動機﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒１
二、 研究目的﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒２
三、 研究範圍與限制﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒３
四、 研究架構﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒４

第貳章 　理論回顧與文獻探討﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒７
　
第一節 有關顧客效果的理論﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒７
第二節 有關短線交易假說的驗證﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒１４
第三節 國內相關文獻回顧﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒２６

第參章 　研究設計

第一節 研究假說與資料蒐集﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒３０
第二節 名詞操作性定義﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒３４
第三節 研究方法﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒３７

第肆章 　實證結果分析
　
第一節 除息日前後的異常交易行為﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒４１
第二節 除息日前後的報酬率﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒５３
第三節 除息日前後的異常交易行﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒５９

第伍章　結論與建議

第一節 結論﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒６６
第二節 建議﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒７８

參考文獻

　中文部分﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒７０
　英文部分﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒７２		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002003653en_US
dc.subject (關鍵詞) 除息zh_TW
dc.subject (關鍵詞) 短線交易zh_TW
dc.subject (關鍵詞) 稅率顧客效果zh_TW
dc.subject (關鍵詞) Ex-dividenden_US
dc.subject (關鍵詞) Short-term Tradingen_US
dc.title (題名) 除息（權）日前後股票市場之交易行為zh_TW
dc.title (題名) Trading Behavior Around Ex-dividend Dayen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (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.		zh_TW