公司治理與財務指標對除息股價之研究

An Impact of Corporate Governance and Financial Indicators on Ex-dividend

李佩真(Pei-Chen Li)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2012年)

https://doi.org/10.6840/cycu201200450

摘要

當公司有充份營運資金後，通常會藉由配發現金及股票股利方式將營運成果分享給股東。台灣證券市場一直存在除權息行情之現象，實質上參與除權息並不會增加股東財富，但是投資人將股利發放視為公司所釋放對未來營運預期的訊號。因此，股利的發放仍為台灣投資人矚目的焦點。
本研究收集2002-2011年共10年之台灣50成分股與中型100成份股為樣本，共計640筆樣本，先觀察平均異常報酬率(SAR)及平均累積異常報酬率(SCAR)之變化，了解是否有除息行情產生，以事件研究法估計樣本之異常報酬率。實證結果顯示台灣50成份股與中型100成份股確實有除息行情，進一步加入公司治理及財務指標之變數，並採用Panel Data之二向固定和隨機效果進行分析。分析會對除息行情造成影響之變數，做為投資人及後續研究者之參考指標。其結果歸納如下:
一、台灣證券市場確實存在除息行情，且於在16天前除息行情開始發酵。
二、除息前3日容易出現較大的棄息賣壓。
三、除息前2日至除息後3日(t=-2~3)皆有顯著的正異常報酬。
四、造成除息事件之棄息賣壓之可能因素為股權集中度、內部人設質比例、現
金股利殖利率，對於除息行情具有顯著為負向的表現。
五、造成較大之正異常報酬之可能因素為董監持股比例、董監設質比例、營業
利益率、稅後純益率、存貨週轉率、總資產週轉率，對於除息行情具有顯著及正向的表現。

關鍵字

異常報酬 ； 縱橫資料 ； 除息 ； 事件研究法

並列摘要

When a company has sufficient funds for working capital, they usually share to shareholders by paying cash and stock dividends. In the essence, to participate in ex-dividend and ex-right will not increase wealth, but investors are usually regarded as dividends paid by companies signaling expected operation in the future. Taiwan's stock markets have been attentively focused on ex-dividend. This paper collects 640 samples from 2002 to 2011 totaling ten-year period for analyzing in Taiwan 50 and Mid-Cap 100 stock indexes. The results showed that Taiwan 50 and Mid-Cap 100 have the quotation of ex-dividend. We used a market model of event study for examing standardized abnormal returns (SAR) and standardized cumulative abnormal returns (SCAR) to analyze abnormal returns at ex-dividend quotation. Furthermore, by using the variables of Corporate Governance and Financial Indicators, this paper used the Panel Data of fixed and random effects models to examine an impact of factors that may influence abnormal return. The empirical results are as follows:
1. Taiwan's stock markets usually have ex-dividend quotation. There are significant cumulative abnormal returns prior to 16 days.
2. There were happened a big selling for neglecting cash dividend prior to 3 days.
3. It is estimated that the positive abnormal return happened prior to 2 days or after 3 days.
4. There were negatively significant in the three factors due to neglecting cash dividend for selling stock. Including Ownership Concentration, Insiderset Pledge Ratio, and Cash Dividend Yield.
5. The six factors (such as The Board of Director and Supervisor Ownership, Board Members Plodge Ratio, Operating Profit Margin, Net Profit Margin, Inventory Turnover Ratio, and Total Asset Turnover Ratio) have the significant and positive relationship for abnormal return.

並列關鍵字

Panel data ； Abnormal return ； Event Study ； Ex-dividend

參考文獻

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