Institutional Trading and Stock Returns around Dividend Announcements: Evidence from Taiwan

股利宣告期間機構法人交易行為與股票報酬之研究：以臺灣股市為例

尤靜華(Ching-Hua Yu) ； 陳泰源(Tai-Yuan Chen)

《財務金融學刊》 25卷4期 (2017/12) Pp. 125-149

https://doi.org/10.6545/JFS.2017.25(4).4

摘要

This research examines whether or not institutional investors possess superior information and earn positive abnormal returns after dividend announcements. Our evidence suggests that institutional investors do not possess superior information around dividend increase announcements. Trading by domestic institutions induces temporary price impact but subsequently results in return reversals in longer holding periods. Mutual funds are the institutions which induce the largest price impact after the announcements. In addition, foreign institutions earn higher returns than domestic institutions do after dividend decrease announcements. Trading by domestic institutions is a reverse indicator for future stock prices.

關鍵字

Institutional investors ； price impact ； superior information ； dividend ； abnormal returns

並列摘要

本研究分析股利宣告期間法人交易行為及機構法人是否具有資訊優勢。研究發現，法人於股利宣告增加時，並無資訊優勢；國內法人交易後會產生短暫價格衝擊，隨後股價將反轉。此外，在股利宣告減少後，外資具有資訊優勢且可獲得較高之異常報酬。本研究也發現國內法人之交易行為可用以做為未來股價之反向指標。

並列關鍵字

機構法人 ； 價格衝擊 ； 資訊優勢 ； 股利 ； 異常報酬

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