摘要
中文摘要 在總體經濟與金融體系環境急遽的變動下，促使消費金融與個人理財的盛行，使各投資人在選取投資工具及資金運用呈現多樣化，其中股市的投資與操作最為投資人所熟係，因此本研究以民國91年台灣上市公司在股東會宣告股利發放之100家公司為研究對象，以異常報酬率方法研究投資人能否在考量參與除息(權)獲利之因素以增加其財富效果。本研究之實證結果發現： 一、停券起日及停券回補日期間：停止信用交易對股價之影響就平均而言多不顯著僅限於短期，並不增加交易不便的成本。 二、除權日期間：除權日前有棄權賣壓現象，而近除權日前及除權當日則有「除權行情」，而在除權日之後則有填權現象。 三、除息日期間：除息日前有棄息賣壓的現象，但在除息前一日及除息當日有除息行情，而在其後投資人因公司除息而出現公司價值調整賣壓現象。 四、宣告日(含)後半年長期持有報酬率分析結果，所觀察樣本公司長期的異常報酬情況，有非常顯著性的異常報酬顯示獲利性高。另依配股率之大小分析在現金股利的部分不論股息的大小參與除息將有異常報酬，而在股票股利的部分則只有權值較小者有顯著性異常報酬；而權值越大異常報酬越低，此亦驗證權值小的個股較易填權。 投資人在不同期間可考慮其異常報酬的差異審慎選擇投資進出的時點以獲得較高的投資報酬使其財富有增加效果。 關鍵字： 除權 宣告日 異常報酬
並列摘要
Abstract In an era during which financial systems evolve at a rapid pace, personal finance instruments emerge in response to lucrative demands. However, stocks remain as the most common instrument for investment. This thesis examines randomly selected 100 stocks listed in Taiwan Stock Exchange in 2002 and studies the effect of participating in stock or cash dividend distributions on shareholders’ wealth. The results are as follows: (1) Certain trading restrictions did not negatively reduce stock returns, indicating that the liquidity problem is not significant. (2) There is a negative effect on stock returns from selling pressure before ex-dividend date, however, the price recovers one day before and the day of the ex-dividend date. (3) Based on the abnormal returns over the period of 125 trading days after the date of declaration, smaller stock dividend and below medium cash dividend firms have significant positive abnormal returns, indicating that price can recover more easily for smaller stock or cash dividends. These results can assist investors in deciding whether to participate in the dividend distribution in order to maximize their wealth. Keywords: Ex-dividend Declaration Abnormal Returns