臺灣股市填權息效果之影響因素

為了幫助投資者選擇合適的股票以獲得更佳的股利報酬，本研究以2016年1月1日至2016年12月31日間完成除權息的台灣上市櫃公司作為研究樣本，探討影響上市櫃公司完成填權息的因素以及影響填權息速度的因素，並將研究變數設為權（息）值、獲利能力（稅後凈利率）、公司規模（資本額）、營收成長率、法人持股比率、周轉率。本研究主要運用羅吉斯迴歸（Logistic Regression）探討影響上市櫃公司完成填權息的因素，研究結論為影響上市除息公司填息的因素不顯著；上市除權公司發放股票股利越低以及周轉率越高，填權的機率越高；上櫃除息公司營收成長率越高，填息的機率越高；上櫃除權公司發放股票股利越低，填權的機率越高。另外本研究運用分量迴歸探討影響上市櫃公司填權息速度的因素，結論發現完成除息的上市公司實收資本額和息值對填息速度有顯著的正向影響。完成除權的上市公司的實收資本額以及法人持股比率對填權速度分別有較顯著的反向影響和顯著的正向影響。完成除息的上櫃公司息值和營收成長率分別對填息速度有較顯著和非常顯著的正向影響。完成除權的上櫃公司的稅後淨利率及周轉率分別對填權速度有顯著的反向影響和顯著的正向影響。投資人在以獲得股利報酬為目的投資股票時，可以根據上述研究結果，參考相對應的財務資料，選擇填權息機率大以及填權息速度快的股票進行投資。

關鍵字

除權息；填權息；羅吉斯迴歸；分量迴歸

並列摘要

In order to help investors to select the appropriate stock for better dividend rewards, this study takes the listed and the OTC Taiwan companies which finished the ex-right and ex-dividend from January 1, 2016 to December 31, 2016 as the research sample. The goal is to discuss factors influencing the completion of price-recovery after ex-right /dividend of the listed and OTC companies and factors affecting the speed of price-recovery after ex-right /dividend of the listed and OTC companies. This paper sets the study variable as the value of stock (cash) dividend, profitability (after - tax net profit ratio), scale of the company (capital amount), revenue growth rate, ratio of stock holding of the legal person and turnover rate. This study applies the Logistic Regression to discuss factors that affect the completion of price-recovery after ex-right /dividend of the listed and OTC companies. The conclusion is that the factors influencing the price - recovery of the listed ex-dividend firms have not yet been found. The lower stock dividend the listed ex - right firms issue and the higher the turnover rate is, the higher the odds of price-recovery after ex-right will be. The higher the revenue growth rate of the OTC price-recovery after ex-dividend company is, the higher the odds of price-recovery after ex-dividend will be. The lower stock dividend the OTC ex - right company issue, the higher the odds of price-recovery after ex-right will be. The study utilizes the quantile regression to explore the factors that affect the speed of right and dividend of listed and OTC companies. The conclusion is that the amount of paid in capital and dividends of the listed firms which have finished the ex – dividend have remarkable positive impact on the speed of price-recovery after ex-dividend. The amount of paid - up capital and ratio of stock holding of the legal person of the listed companies which have completed the ex-right have relatively prominent reverse impact and prominent positive impact on the speed of price-recovery after ex-right respectively. The amount of dividend and revenue growth rate of the OTC firms which have finished ex-dividend have the relatively prominent and very prominent positive impacts on the speed of price-recovery after ex-right respectively. The after - tax net profit ratio and turnover rate of the OTC companies which have completed the ex-right have prominent reverse impact and prominent positive impact on the speed of price-recovery ex-right respectively. When an investor invests in a stock dividend for obtaining dividends, he can refer to the corresponding financial information based on the above research results, and select stocks that have high possibility of price-recovery after ex-right /dividend and high speed of price-recovery after ex-right /dividend to invest.