盈餘和現金股利對累積異常報酬率的確證效應及其解釋

根據眾多學術研究的結論，現金股利變化會導致同向的異常報酬率，關於該現象的起因學界至今爭論不止。本文通過選取臺灣上市公司2000年至2012年的資料對盈餘、現金股利和累計異常報酬率之間的關係進行研究。實證結果顯示現金股利的變化確實會導致累積異常報酬率的同向變化。此外，本文實證結果顯示不同情況現金股利和累積異常報酬率之間的關係存在顯著差異。具體而言，負的預期外盈餘下每股現金股利下降1%所帶來的累積異常報酬率，其絕對值大於其他情況下現金股利下降（上升）1%所帶來的累積異常報酬率絕對值，由此可以認為確證效應(Corroboration Effect)在一定條件下存在。在實證結果支持確證效應的基礎上，本文採用Koch and Sun (2004)中的觀點對確證效應的原因進行解釋。該觀點認為，預期外盈餘的持續性影響投資者對股票的估值，而現金股利會促使投資者修正對盈餘持續性的概率估計，從而影響股票價值，導致異常報酬率的產生。本文借鑒該觀點，認為確證效應的存在是因為不同情況下的概率修正存在差異，導致現金股利和累積異常報酬率之間的關係存在差異。通過統計分析，本文發現不同情況下投資者對盈餘持續性的概率估計和修正幅度確實存在顯著差異，且該差異和迴歸結果所顯示的確證效應相一致。因此本文認為投資者對盈餘持續性的概率修正可能是導致確證效應的原因。

關鍵字

現金股利；異常報酬率；確證效應；盈餘持續性；概率修正

並列摘要

According to many researches, change in cash dividend will result in abnormal return in the same direction and the causality is still controversial. This study conducts a research on the relationship between earnings, cash dividend and cumulative abnormal returns by gathering financial information of Taiwan’s listed companies from 2000 to 2012. The empirical results indicate that the change of cash dividend do lead to abnormal returns in the same direction. Besides, it is found that the relationship varies under different circumstances. To be more specific, it means that one percent decline in cash dividend will lead to more cumulative abnormal returns under a negative earning surprise than other circumstances, which means that the corroboration effect exists. This study adopts the theory from Koch and Sun (2004) and uses it to explain the cause of the corroboration effect. This theory illuminates that the persistence of past earnings affects investors’ valuation of the company’s stock. Cash dividend will rectify investors’ probability estimates of the persistence of the stocks and thus change the valuation, resulting in the abnormal return. This study holds the opinion that the difference in the magnitude of the probability rectification is the cause of the different relationships between cash dividend and cumulative abnormal return under different circumstances. In the end, statistic results find that the magnitudes of probability rectification are significantly different and are compatible with the empirical results from the regression model, so it is acceptable to say that the difference in probability rectification may be the cause of the corroboration effect.

並列關鍵字

Cash dividend ； Abnormal return ； Corroboration effect ； Earning persistence ； Probability rectification

參考文獻

菅瑞昌與闕河士，2011，資訊不對稱如何影響股利政策？信號發射或融資順位，亞太經濟管理評論，第15卷，第1期：83-110。

薛敏正與林嬋娟，2003，自由現金流量與盈餘管理關聯性之研究，台灣管理學刊，第3卷，第1期：151-168。

吳文琦，1997，現金股利宣告資訊效果：訊號假說、過度投資假說、顧客效果假說三者互動模式之研究，元智大學管理研究所碩士論文。

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盈餘和現金股利對累積異常報酬率的確證效應及其解釋

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