| dc.contributor.advisor | 陳松男 | zh_TW |
| dc.contributor.author (Authors) | 盧偉文 | zh_TW |
| dc.creator (作者) | 盧偉文 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:45:52 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:45:52 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:45:52 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0091933015 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31303 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營管理碩士班(IMBA) | zh_TW |
| dc.description (描述) | 91933015 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 參考從2001到2005在台灣股市的股息對股票的影響的研究，在根據event-study and SAR method這兩種方式之實證研究可以得到本次的台灣股市裡面除權的效應。 | zh_TW |
| dc.description.abstract (摘要) | Referring to our research into the ex-dividend effects on stocks traded on TSE from 2001 to 2005, we come to the following conclusions under the event-study and SAR method. There should be negative ARs on the three days prior to the ex-date and a positive AR on the ex-dividend day, no matter in a bear or bull market. Stocks with cash-only dividends present lower ARs on the three days prior to the ex-date and the ex-dividend day while stock-only dividend ones suffer from higher ARs. The performances of stocks with balanced dividends are just in-between. The most significant ex-dividend effects turn up when it comes to stocks which go ex-dividend in season, with a positive CAR to the seventh day after the ex-date. On the other hand, the effects on the early-ex-dividend stocks exhibit insignificance generally. Later-ex-dividend stocks demonstrate the lowest fluctuation of ARs. However, the simultaneous decline of the index in the ex-dividend season is likely to result in higher-significant ARs. In terms of industry, the ex-dividend effects on electronic companies are more significant than on non-electronic companies. Given a bear market, there used to be negative CARs on electronic companies after shareholders’ meeting; on the contrary, in a bull market, there were positive CARs. | en_US |
| dc.description.abstract (摘要) | Contents 2 List of Figures 2 List of Tables 2 1. Introduction 2 2. Literature Review 2 2.1 Theories on Dividend Policy 2 2.1.1 Information Content Hypothesis 2 2.1.2 Scale Effect Hypothesis 2 2.1.3 Wealth Illusion Effect Hypothesis 2 2.1.4 Dividend Irrelevance Theory 2 2.1.5 Bird-in-hand Theory 2 2.1.6 Dividend Clientele Effect 2 2.2 Foreign Empirical Researches 2 2.3 Domestic Empirical Researches 2 3. Event-Study Methodology 2 3.1 Introduction of Event-Study Methodology 2 3.2 Steps of event-study methodology 2 3.3 Model of Expected and Abnormal Returns 2 3.3.1 Expected Return Model 2 3.3.2 Models for Estimating Abnormal Return 2 3.4 The Statistical Test of Event-Study 2 3.4.1 Test of Average Abnormal Return 2 3.4.2 Test of Cumulative Abnormal Return 2 3.4.3 Sign Test 2 4. Empirical Results 2 4.1 Separated by Market Trend 2 4.1.1 Bear Market 2 4.1.2 Bull Market 2 4.2 Separated by Type of dividend 2 4.2.1 Cash Only 2 4.2.2 Stock Only 2 4.2.3 Balanced Dividends 2 4.3 Separated by Time 2 4.3.1 Earlier 2 4.3.2 In Season 2 4.3.3 Later 2 4.4 Separated by Industry 2 4.4.1 Electronic 2 4.4.2 Non-electronic 2 4.5 Separated by Price 2 4.5.1 High Price 2 4.5.2 Low Price 2 4.6 Shareholder Meeting Date as the Event 2 5. Conclusions and Suggestions 2 5.1 Conclusions 2 5.1.1 Market Trend 2 5.1.2 Type of Dividend 2 5.1.3 Timing 2 5.1.4 Industry 2 5.1.5 Price Level 2 5.2 Suggestions 2 Appendix: All Tables 2 References 2 | - |
| dc.description.tableofcontents | Contents 2 List of Figures 2 List of Tables 2 1. Introduction 2 2. Literature Review 2 2.1 Theories on Dividend Policy 2 2.1.1 Information Content Hypothesis 2 2.1.2 Scale Effect Hypothesis 2 2.1.3 Wealth Illusion Effect Hypothesis 2 2.1.4 Dividend Irrelevance Theory 2 2.1.5 Bird-in-hand Theory 2 2.1.6 Dividend Clientele Effect 2 2.2 Foreign Empirical Researches 2 2.3 Domestic Empirical Researches 2 3. Event-Study Methodology 2 3.1 Introduction of Event-Study Methodology 2 3.2 Steps of event-study methodology 2 3.3 Model of Expected and Abnormal Returns 2 3.3.1 Expected Return Model 2 3.3.2 Models for Estimating Abnormal Return 2 3.4 The Statistical Test of Event-Study 2 3.4.1 Test of Average Abnormal Return 2 3.4.2 Test of Cumulative Abnormal Return 2 3.4.3 Sign Test 2 4. Empirical Results 2 4.1 Separated by Market Trend 2 4.1.1 Bear Market 2 4.1.2 Bull Market 2 4.2 Separated by Type of dividend 2 4.2.1 Cash Only 2 4.2.2 Stock Only 2 4.2.3 Balanced Dividends 2 4.3 Separated by Time 2 4.3.1 Earlier 2 4.3.2 In Season 2 4.3.3 Later 2 4.4 Separated by Industry 2 4.4.1 Electronic 2 4.4.2 Non-electronic 2 4.5 Separated by Price 2 4.5.1 High Price 2 4.5.2 Low Price 2 4.6 Shareholder Meeting Date as the Event 2 5. Conclusions and Suggestions 2 5.1 Conclusions 2 5.1.1 Market Trend 2 5.1.2 Type of Dividend 2 5.1.3 Timing 2 5.1.4 Industry 2 5.1.5 Price Level 2 5.2 Suggestions 2 Appendix: All Tables 2 References 2 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0091933015 | en_US |
| dc.subject (關鍵詞) | 除權效應 | zh_TW |
| dc.subject (關鍵詞) | event-study methodology | en_US |
| dc.subject (關鍵詞) | SAR (standardized average residual) | en_US |
| dc.subject (關鍵詞) | AR (average residual) | en_US |
| dc.subject (關鍵詞) | CAR (cumulative average residual) | en_US |
| dc.title (題名) | 台灣股票市場除權效應之實證研究 | zh_TW |
| dc.title (題名) | The Empirical Result on Dividend Effect of Taiwan Stock Market | en_US |
| dc.type (資料類型) | thesis | en |
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