台灣之股票股利、訊號假說與股票報酬之研究

RESEARCH ON THE RELATION AMONG STOCK DIVIDEND, SIGNALING HYPOTHESIS AND STOCK RETURN IN TAIWAN

呂嘉珮(Chia-Pei Lu)

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

由於投資人對公司經營績效了解有限必須仰賴相關資訊作投資的判斷，而公司的股利政策可能隱含了公司經營狀況的訊息。股利政策可能隱含的資訊內涵，我們稱之為訊號發射假說。本研究以上市(櫃)電子業為主要研究對象，全部產業為輔，探討其股票股利變動是否具有資訊內涵，並以事件研究法進行實證分析。
實證結果如下：一、發放股票股利之宣告使部分時期股票具有累積異常報酬。二、控制現金股利的變動量後，發放股票股利之宣告使部分時期股票具有累積異常報酬。三、控制現金股利的變動量及本益比大小後，今年發放股票股利之累積異常報酬與本益比並無一定關係。四、控制現金股利的變動量及去年稅後盈餘長率後，發放股票股利具有累積異常報酬。五、控制現金股利的變動量及去年稅後盈餘長率後，發放股票股利後之盈餘成長率不一定會有較好的表現。

關鍵字

股票股利 ； 訊號假說

並列摘要

Since investors’ understandings of firms’ operations are limited, they have to rely on related information to judge their investments. The possible implicit information contents in the dividend policy are called Signaling Hypotheses. This study is based on the Signaling Hypothesis to explore whether stock dividend changes have information contents, firstly on electronic industrial listed firms and secondly on all other industries and conduct an empirical research by event study method.
The empirical results are summarized as follows:1. The announcements of stock dividends trigger cumulative abnormal returns at certain times.2.After controlling over changes of cash dividends, the announcements of stock dividends spark cumulative abnormal returns at certain periods.3.After controlling over changes of cash dividends and P/E ratio, the cumulative abnormal returns of stock dividends payments this year have no relations to P/E ratio.4.After controling over changes of cash dividends and earning growth rate after tax last year, stock dividend payments have cumulative abnormal returns.5.After controlling over changes of cash dividends and earning growth rate after tax last year, earning growth rate after stock dividend payments does not necessarily have better performance.

並列關鍵字

Signaling Hypothesis ； Stock Dividend

參考文獻

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