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| Title: | 台灣股票市場除權效應之實證研究
The Empirical Result on Dividend Effect of Taiwan Stock Market |
| Authors: | 盧偉文 |
| Contributors: | 陳松男
盧偉文 |
| Keywords: | 除權效應
event-study methodology
SAR (standardized average residual)
AR (average residual)
CAR (cumulative average residual) |
| Date: | 2005 |
| Issue Date: | 2009-09-14 09:45:52 (UTC+8) |
| Abstract: | 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。
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.
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 |
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| Description: | 碩士
國立政治大學
國際經營管理碩士班(IMBA)
91933015
94 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0091933015 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營管理英語碩士學程IMBA] 學位論文
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