現金股利、盈餘持續性與股票報酬相關性之實證研究

AN EMPIRICAL RESEARCH ON THE RELATIONSHIPS AMONG CASH DIVIDEND, EARNINGS PERSISTENCY AND STOCK RETURN

黃淑芳(Shu-Fang Huang)

指導教授 ： 陳瑞璽

大同大學/經營設計學院/事業經營學系所/碩士(2007年)

摘要

因國外文獻研究，Asquith and Mullins (1983)、Healy and Palepu (1988) 證實股利的股利變動具有資訊內涵。但 Benartzi, Michaely, and Thaler (1997) 的實證結果，卻有不同的看法，顯示當期股利變動的宣告對當期的盈餘變動呈現顯著的正相關，但對未來幾年的盈餘變動則無相關，即股利變動不具有資訊內涵。故股利變動是否具有資訊內涵產生不同的論點。因而本研究探討台灣股市之投資人是否認為現金股利具有資訊內涵，即訊號假說是否成立。本研究以電子產業為主要研究樣本，全部產業為輔，資料期間自1991年至2006年，共16年，採用事件研究法進行實證研究。實證結果如下：(1)公司發放現金股利的累積異常報酬並不一定比未發放現金股利的累積異常報酬較顯著。(2)在控制股票股利變動量後，公司發放現金股利之宣告，其股票具有累積異常報酬。(3)在控制股票股利變動量後，公司發放現金股利之宣告，本益比低的公司其累積異常報酬比本益比高的公司較顯著。(4)在控制股票股利變動量且前期稅後盈餘成長為正，公司發放現金股利之宣告，其累積異常報酬較顯著。(5)公司傳遞的好消息愈多，未來盈餘成長並不一定表現愈好。

關鍵字

訊號假說 ； 事件研究法 ； 現金股利

並列摘要

The empirical literature in abroad, Asquith and Mullins (1983), Healy and Palepu (1988) found change of dividends contains information contents. However, Benartzi, Michaely, and Thaler (1997) had different perspectives. The empirical results showed when the announcements of current dividend changes had positive relations to current earning changes but had no relations to earning changes in the following years, dividend changes did not contain information contents. To conclude, the reason why I am interested in exploring whether investors on stock markets in Taiwan think that cash dividends contain information contents is due to the different points of view on whether changes of dividends have information contents, i.e. whether the signaling hypothesis is formulated. This study is carried out mainly on the electronic industries and secondly on all industry. This study covers the period from 1991 to 2006, and all of these years are 16 years. We use event study analysis. The empirical results in this study are summarized as follows: (1) Firms pay the cumulative abnormal returns of cash stocks might not more significant than the firms no pay. (2) Stocks of firms’ announcements of cash dividends have cumulative abnormal returns after control over changes of stock dividends. (3) The cumulative abnormal returns in firms with low P/E ratio and with announcements of cash dividends are more significant after control over changes of stock dividends. (4) The cumulative abnormal returns of firms’ announcements of cash dividends are more significant after control over changes of stock dividends and positive earning growth after tax in the previous phase. (5) The firms convey more good news that it not means the firm’s future earnings will perform well.

並列關鍵字

event study ； signaling hypothesis ； cash dividend

參考文獻

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