台灣高額現金股利宣告效果之實證研究 -以編制富時指數所採用之台灣成分股為例

An Empirical Study of Cash Dividend and Abnormal Returns for Constituents of TSEC Taiwan Index Series

古曜嘉(Yao-Chia Ku)

指導教授 ： 倪衍森

共同指導教授 ： 吳曼華(Man-Hwa Wu)

淡江大學/管理學院/管理科學研究所企業經營碩士在職專班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.00969

摘要

本研究主要以台灣50及中型100指數成分股為研究對象，探討發放現金股利之宣告對公司股價之影響，並利用迴歸分析找出可能的影響因素。實證結果歸納為下列幾點：
一、2007年股東會宣告現金股利事件日後，有激勵股價的效果，其中以台灣50指數成分股較為顯著，而且若是同時為台灣50及台灣高股息指數之成分股，激勵股價效果最顯著，然而台灣高股息指數成分股則激勵極其有限；但就2008年宣告現金股利之事件後，股價的反應則異於2007年，成因乃是2008年次貸風暴的橫掃，投資人對未來預期並不樂觀，是以現金股利不易有激勵股價的表現。
二、然而不論2007或2008年在宣告前皆有顯著之資訊外漏現象，且皆與台灣高股息指數成分股有較顯著之關係，其中2007年以台灣高股息指數成分股之資訊外漏最為顯著，其成因乃是台灣高股息指數成分股，某些內部人士可能以先行反應利多，在宣告事件日前買進佈局多單，故於事件日前有正向累積異常報酬；相反地，可能受全球金融海嘯影響，2008年之資訊外漏現象為負向，並以同時為台灣高股息及中型100指數之成分股資訊外漏現象最顯著，亦為某些人士可能先行嗅到未來景氣轉變，是以先行反應未來可能之負面訊息，而致使事件日之前有顯著之負向異常報酬。
三、2007年於現金股利宣告事件日次日之異常報酬，與當年度週轉率及前一年台灣高股息指數成分股呈負向關係。即當年度股東傾向長期持有，籌碼安定週轉率偏低之公司。此外由於市場似有預期心理，非市場原預期高現金股利的公司(非台灣高股息指數成分股)，反而因為驚豔而會引發正的異常報酬現象的產生。

關鍵字

現金股利

並列摘要

This study is to investigate whether the events of the announcements of cash dividends influence constituents’ prices of TSEC Taiwan 50 and Mid-Cap 100 Index. According to my empirical analysis, there are three major findings as follows:
1. In 2007, The stock’s price has been encouraged after the events of the announcements of cash dividends, especially for the constituents of Taiwan 50 Index, and the prices was significantly encouraged for the constituents of both Taiwan 50 and Dividend+ Index. Nevertheless, the prices didn’t be encouraged for the constituents of Taiwan Dividend+ Index. On the contrary of year 2007, due to the subprime mortgage crisis, investors tended to be more conservative, and the stock price didn’t be encouraged after the events announced in year 2008.
2. No matter year 2007 or 2008, there are the spillover effect before the events of the announcements of cash dividends which is significantly related to the constituents of Taiwan Dividend+ Index, especially for the constituents of Taiwan Dividend+ Index in year 2007. It might because some insiders would arrange transactions before the events announced so that the accumulative average abnormal returns was significantly positive; on the other hand, the spillover effect led to a significantly negative accumulative average abnormal returns before the events announced in year 2008, especially for the constituents of both Taiwan Dividend+ and Mid-Cap 100 Index. Some insiders might consider of the upcoming recession, and arranged transactions in advance.
3. In year 2007, the significantly average abnormal returns at the day after the events announced had a negative relationship with the stocks turnover rate of the same year and the constituents of Taiwan Dividend+ Index in the prior year. It means the stocks which prices were encouraged with lower turnover rate of the same year, the shareholders might intend to use buy-and-hold strategy for a long time. Besides, the unexpected stocks, not the constituents of Taiwan Dividend+ Index in the prior year, with high cash dividends would have positive average abnormal returns after the events announced.

並列關鍵字

cash dividend

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