除息日與發放日之週日期分佈研究：美國市場與台灣市場

本研究分析台灣2002至2013年之現金股利發放資料，再輔以美國市場2005年之發放資料，歸納以下結論：一、美國發放公司之除息日至發放日間隔週期分佈在2至105日，眾數16日，中位數18日，平均18.89日。美國企業傾向於選擇星期三除息，在星期五發放。二、台灣之間隔週期分佈6日至582日，眾數28日，中位數是29日，平均是31.22日。台灣企業傾向於選擇星期四除息，在星期五發放。三、相對於美國公司間隔週期較趨近於常態分佈，台灣公司之間隔週期分佈形成三峰分佈狀態，即22、28與36日是三個群聚點。四、本研究提出偶數效應、週循環效應與月循環效應，以解釋上述台灣市場特性，再論證除息日與發放日之行為面決策因素，大於新古典經濟學之理性決策與極大化原則。

關鍵字

股利政策；發放日；偶數效應；週循環效應；月循環效應

並列摘要

This study examines the ex-dividend date and the payment date determined by Taiwanese corporations from 2002 to 2013, coupled with investigating a U.S. sample taken from 2005. We show that according to the U.S. sample the duration ranged from 2 to 105 days, with a mode of 16 days, a median of 18 days, and a mean of 18.89 days. They tend to go ex-dividend on Wednesdays and pay cash on Fridays. The periods for Taiwanese companies ranged from 6 to 582 days, with a mode of 28, a median of 29, and a mean of 32.22 days. Taiwanese firms tend to go ex-dividend on Thursdays and pay cash on Fridays. The distribution of U.S. durations tends to be normally distributed, while those in Taiwan reveal three concentrated points: around 22, 28, and 36 days. Using behavioral economics (including the notion of fairness, reference points, and status quo bias), we explain these anomalies. We propose an even-number effect, a weekly cycle effect, and a monthly cycle effect, based on the notion of behavioral economics instead of neoclassical economics, which employs principles of full rationality and maximization.