本文的主要目的是對台灣證券交易所(TWSE)上市公司的股利宣告反應進行實證研究，透過事件研究法來透析2010年到2015年市場上例行性的股利宣告是否會引起股價的異常報酬(Abnormal Returns)，探討異常交易量(AV)、委託單不平衡(OIB)與其他變數對異常報酬的影響關係。本研究參考Chen, Huang, Wang & Wu (2014) 以事件宣告日為事件期的概念來做研究，若事件宣告日當天之個股收盤價以漲跌停坐收，則改以打開該漲跌停之該段期間為事件期。研究股利宣告對大中小型股的異常報酬影響，再把投資人細分三大類，分別為外資、散戶、本地法人，端看宣告事件下，不同投資人的反應差異。
從實證結果發現台灣小型股對股利宣告的異常報酬最為顯著，影響股價高於中大型股，符合訊號理論。在異常交易量部分，細分投資人別後發現散戶在股利宣告下，在異常交易量與異常報酬有顯著正相關，尤其在大型股特別顯著。另外本地法人在中型股部分也呈現出顯著的正相關。在委託單不平衡這部分，外資和本地法人呈現正值，因此在股利宣告下，外資和本地法人看法較一致，屬於買方較積極的反應，而散戶則呈現賣方較積極的反應，但再細分投資人別迴歸研究後發現，本地法人呈現高度負相關顯著，其判定原因在於本地法人中的自營商或新金部門因本身發行大量衍生性商品如權證，當股利宣告時，對於反向避險的需求敏感度及下單的積極性所導致。

The main purpose of this article is to conduct an empirical study on the stock returns of companies listed on the Taiwan Stock Exchange (TWSE) due to dividend announcement, using the event study method to analyze whether the dividend announcement in the market from 2010 to 2015 will cause abnormal share price returns (Abnormal Returns), and to explore the relationship between abnormal transaction volume (AV), order imbalance (OIB) and other variables on abnormal returns. This research refers to Chen, Huang, Wang & Wu (2014) for the concept of the event announcement date as the event period. Should the price hit limit up/down on announcement date, the event period would be extended to the date when the limit is lifted. The impact of dividend announcements on the abnormal returns of large, medium and small stocks were studied, and investors were divided into three categories for further analysis, namely foreign investors, retail investors and local institutions, for their different trading reactions.
From the empirical results, the abnormal returns of small-cap stocks from dividend announcements in Taiwan was the most significant, affecting the share price higher than the large and medium-sized stocks, which was in line with the signaling theory. In the abnormal transaction volume part, further analysis on the types of investors revealed that retail investors, due to dividend announcement, had significant positive correlation in the abnormal volume and abnormal returns, especially in large stocks are particularly significant. In addition, local institutions in the medium-sized shares also showed significant positive correlation. For the part concerning order imbalance, foreign investors and local institutions both showed positive value, so, under the dividend announcement, their views are more consistent and in buyer's more positive response. Whereas, retail investors showed a more positive response from the selling side. After further regression study, it was noted that local institutions present a highly negative correlation significantly, the reason was that the local institutions were mostly proprietary trading firms or new financial product department of brokers which issued a large number of derivative products such as warrants and, when dividend was announced, they were keen to hedge due to risk-averse sensitivity of the products.

目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 6
第四節 研究流程 7
第二章 文獻探討 8
第一節 相關理論基礎 8
第二節 流動性變數的溢酬 14
第三章 研究方法 17
第一節 研究資料與樣本篩選 17
第二節 事件研究法 20
第三節 模型設定 21
第四節 變數說明 27
第四章 實證結果與分析 35
第一節 敍述統計分析 35
第二節 HAUSMAN TEST檢定結果 41
第三節 迴歸分析 42
第五章 結論 50
參考文獻 52

表目錄
【表 1-1】亞洲與美國市場股息殖利率 3
【表 1-2】集中市場交易金額投資人類別比例表 3
【表 1-3】集中市場外資持有股票占總市值表 3
【表 3-1】集中市場股票交易概況表 19
【表 4-1】全市場及大中小型股的累積異常報酬敘述統計表 36
【表 4-2】樣本敘述統計表_全市場 37
【表 4-3】樣本敘述統計表_大型股 37
【表 4-4】樣本敘述統計表_中型股 38
【表 4-5】 樣本敘述統計表_小型股 38
【表 4-6】不同投資人之流動性變數敘述統計表_全市場 39
【表 4-7】不同投資人之流動性變數敘述統計表_大型股 39
【表 4-8】不同投資人之流動性變數敘述統計表_中型股 40
【表 4-9】不同投資人之流動性變數敘述統計表_小型股 40
【表 4-10】 Hausman Test 檢定 41
【表 4-11】股利宣告下_全樣本全市場及其分類投資人之迴歸分析表 43
【表 4-12】股利宣告下_大型股全市場及其分類投資人之迴歸分析表 44
【表 4-13】股利宣告下_中型股全市場及其分類投資人之迴歸分析表 45
【表 4-14】股利宣告下_小型股全市場及其分類投資人之迴歸分析表 46
【表 4-15】全市場下_不同投資人之自變數與異常報酬之迴歸分析 49

圖目錄
【圖 1-1】研究流程 7
【圖 3-1】事件研究法說明用圖 27
【圖 3-2】本研究事件研究法示意圖 28
【圖 4-1】大中小型股的異常報酬時間序列 36

國內文獻
1. 闕河士，「股票股利信號放射模式與宣告效果之研究」，國立政治大學企業
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刊，民國八十六年，第九卷第二期，第 1-27 頁。
3. 黃婉娟，｢現金股利變動宣告和股價關聯性之研究｣，中央大學企業管理研究
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4. 郭麗雲，｢股利政策和股利顧客效果之理論與實務分析｣，東海大學企業管理
研究所碩士論文，民國七十五年。
5. 葉文郁，｢上市公司股利發放模式及現金股利顧客效果之研究｣，政治大學企
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