台灣指數股票型基金除息日的價量行為

多年來，許多國家的證券市場都發現股票價格在除息日的下降幅度小於現金股利發放金額。針對這個市場異常現象，學術文獻上主要有短期交易假說與稅負效果假說提出解釋。學者Ruan and Ma(2012)探討美國「指數股票型證券投資信託基金」（Exchange-traded funds, ETFs）的除息績效，實證結果發現ETFs的價格下跌幅度平均而言約等於股利發放額度，且有超額交易量產生，他們認為這是因為ETFs具有低交易成本與風險的特性所致。ETFs從問世迄今，巴菲特曾公開8次推薦ETFs做為投資標的，可以看出它的重要性。本研究以台灣證券交易所公告的國內ETFs除息事件為主要研究樣本，探討ETFs在除息日是否具有超額報酬？是否吸引了短線交易者進行套利而不再呈現異常報酬現象？最後驗證資本利得扣除交易成本後是否有獲利的產生？研究期間為2003年至2013年。初步實證結果顯示除息日有負的超額報酬。進一步以迴歸進行分析發現未經調整的ETFs的價格下跌幅度平均而言約等於股利發放額度，但經調整報酬率的價格下跌幅度則大於股利發放額度，實證結果並未完全支持短線交易假說。

關鍵字

指數型股票基金；除息日；短線交易

並列摘要

Previous literature provides the evidence that the stock price falls on average by less than the dividend amount on the ex-dividend day. There are two major hypotheses on how to interpret this anomaly: “the tax effect hypothesis” and “the short-term trading hypothesis”. Except for examining common stocks, Ruan and Ma (2012) show that for exchange-traded funds (ETFs), the price falls on average by the dividend amount on the ex-dividend day, and there are significantly positive abnormal volumes. The authors propose that is because ETFs have two distinct features: lower transaction costs and lower risks which will appeal short-term traders to arbitrage. Since ETFs came out, they have been introduced by Warren Buffett eight times publicly as an investment instrument, demonstrating its importance. Taiwan ETFs’ trading activities are not as active as those in the United States. Does the market exhibit the same price volume behaviors on ex-dividend day of ETFs? That inspires our motivation. This study aims to examine price volume behaviors on ex-dividend day of ETFs on the Taiwan Stock Exchange. The research period was from the year 2003 to 2013. Our preliminary empirical results provide that there are negative excess returns existed on the ex-dividend date. However, the evidence of regression analysis showed that changes of unadjusted ETF prices were on average equal to the dividend amounts, while decreases in return-adjusted prices were greater than the dividend amounts. The study also finds that investors did not earn excess returns by executing short-term trading around ex-dates of ETFs. The empirical results do not totally support the short term trading hypothesis. Keywords: Exchange-traded funds, Ex-dividend date, Short-term trading.