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題名 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
貢獻者 羅秉政
Kendro Vincent
蔡孟廷
Tsai, Meng-Ting
關鍵詞 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
上傳時間 5-Aug-2024 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
資料類型 thesis
dc.contributor.advisor 羅秉政zh_TW
dc.contributor.advisor Kendro Vincenten_US
dc.contributor.author (Authors) 蔡孟廷zh_TW
dc.contributor.author (Authors) Tsai, Meng-Tingen_US
dc.creator (作者) 蔡孟廷zh_TW
dc.creator (作者) Tsai, Meng-Tingen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 12:18:10 (UTC+8)-
dc.date.available 5-Aug-2024 12:18:10 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 12:18:10 (UTC+8)-
dc.identifier (Other Identifiers) G0111352018en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=171986-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 111352018zh_TW
dc.description.abstract (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。zh_TW
dc.description.abstract (摘要) 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.en_US
dc.description.tableofcontents 摘要 i Abstract ii Contents iii List of Figures v List of Tables vi 1 研究動機及背景 1 1.1 研究背景 1 2 文獻回顧 4 2.1 股利政策對股價的影響 4 2.2 股票股利與異常報酬 4 2.3 集保股權分散與股價影響 5 2.4 外資與法人持股的影響 5 2.5 財務指標與股價影響 6 2.6 投資者情緒指標：換手率 6 3 研究設計 7 3.1 研究目的 7 3.2 研究方法 9 3.2.1 資料蒐集與整理 9 3.2.2 報酬率計算 12 3.2.3 統計分析 13 3.2.4 多因子分析 16 4 實證結果 26 4.1 敘述統計 26 4.2 兩種樣本的 t 檢定分析 30 5 結論 43 References 46zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111352018en_US
dc.subject (關鍵詞) 股票股利zh_TW
dc.subject (關鍵詞) 除權息zh_TW
dc.subject (關鍵詞) 異常報酬zh_TW
dc.subject (關鍵詞) 多因子分析zh_TW
dc.subject (關鍵詞) 台灣股市zh_TW
dc.subject (關鍵詞) Stock Dividendsen_US
dc.subject (關鍵詞) Ex-Dividenden_US
dc.subject (關鍵詞) Abnormal Returnsen_US
dc.subject (關鍵詞) Multi-factor Analysisen_US
dc.subject (關鍵詞) Taiwanese Stock Marketen_US
dc.title (題名) 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zh_TW
dc.title (題名) A Study on the Relationship between Ex-Dividend Investor Sentiment and Stock Dividends: Evidence from the Taiwan Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (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.zh_TW