股利宣告對股東財富影響－事件研究法

Stockholder Wealth Effect on Annual Dividend Announcement - Event Research Method

楊麗玲(Li-Ling Yang)

《中華技術學院學報》 28期 (2003/10) Pp. 47-62

https://doi.org/10.7095/JCIT.200310.0047

摘要

本研究欲衡量股利宣告資訊與股價變動的關聯性，年度盈餘資訊宣告前後所引起股價的變動是立即反應完畢，還是提前或延後反應進一步測知盈餘資訊之效率性，本研究蒐集自1998年至2002年塑化與紡織共62家樣本公司以瞭解年度盈餘宣告對股價影響的程度及速度。結果發現：
一、增利公司的會計盈餘資訊反應證券市場是具有效率性，證券投資人無法藉由內線消息獲得超額報酬。減利公司的會計盈餘資訊反應證券市場是不具效率性，證券投資人可藉由內線消息獲得超額報酬。
二、增利公司股價對盈餘反應不受盈餘宣告期間影響。減利公司股價對盈餘反應受盈餘宣告期間影響，尤其於盈餘宣告日後股價的反與剌度相當快速。

關鍵字

盈餘宣告 ； 效率市場 ； 事件研究法

並列摘要

This study focuses on the relationship between annual dividend announcement and stock prices. In order to get a thorough understanding of the influential degree and speed on stock prices from the annual dividend announcement, we selected a sample of 62 firms of the plastic & textile industry from 1998 to 2002. The results showed as follows:
1. As the security investors can not obtain the extra information through internal transaction, the annual dividend announcements from dividend-increased companies prove the security market is efficient. On the contrary, the annual dividend announcements from those dividend-decreased companies prove the security market isn't efficient.
2. The reaction on stock prices from the dividend-increased companies is not affected by the announcement period. However, it is affected by the announcement period for the dividend-decreased companies. Especially after the annual dividend announcement, the speed of stock prices reaction is considerably fast.

並列關鍵字

annual dividend announcement ； efficient market ； event research