以台灣市場為研究對象，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 Return)。探討異常交易量(Abnormal Volume)、公司市值(Market Cap)、週轉率(Turnover)對異常報酬間的影響關係。
本研究參考 Chen et al. (2014)以事件宣告日為事件期的概念來做研究，但若事件宣告日當天之個股收盤價以漲跌停作收，則改以打開漲跌停之該段期間為事件期。並將股權結構細分成董監事持股、公司及其他機構法人持股、外資法人持股，端看股利宣告事件下股權結構的不同反應。
研究顯示在不考慮股權結構下，異常交易量與累積異常報酬呈現相當顯著，在特定事件時，一般投資人對於股利宣告產生較大興趣，可以在較短的期間獲取異常報酬，相較於股權結構之外資法人而言則否，因外資比較偏向是長期關注該公司的未來發展性與營運狀況並不會因為短期獲利而產生異常交易量。

This study uses the Taiwan market as the research object, and uses the event research method to analyze whether the routine dividend announcements in the market from 2010 to 2015 will cause abnormal returns in stock prices. Explore the relationship between abnormal transaction volume (AV),company market capitalization (Market Cap) and turnover rate(turnover) on abnormal returns.
This research refers to Chen et al. (2014) to do research on the concept of the event declaration date as the event period, but if the closing price of individual stocks on the day of the event declaration is closed at the price limit, it should be changed to hit the increase. The period during which the limit falls is the event period, then ownership structure will be into director, companies and other legal persons and foreign. Depending on the different reactions of investors under the dividend announcement event.
The study shows that without considering the ownership structure, the abnormal volume and the accumulated abnormal compensation are quite significant. Generally, companies and other legal persons are more interested in the dividend declaration when the event is announced and get the compensation in the short term. Foreign investors are more inclined to pay attention to the development of the company in the long term and will not generate abnormal trading volume due to short term profits.

第一章	緒論	1
第一節	研究背景與動機	1
第二節	研究目的	3
第三節	研究架構	5
第四節	研究流程	6
第二章	文獻探討	7
第一節	相關理論基礎	7
第二節	股利宣告之溢酬	10
第三節	股利宣告之股權結構	12
第三章	研究方法	15
第一節	研究資料與樣本篩選	15
第二節	變數說明	17
第三節	模型設定	24
第四章	實證結果與分析	30
第一節	敘述統計分析	30
第二節	Hausman Test 檢定結果	32
第三節	事件期迴歸分析	33
第五章	結論	38
參考文獻	40

表目錄
【表4-1】股權結構之流動性變數敘述統計表	31
【表4-2】Hausman Test 檢定	32
【表4-3】股權結構之交易量迴歸分析表	35
【表4-4】股權結構之交乘項迴歸分析表	37

圖目錄
【圖1-1】研究流程圖	6
【圖3-1】事件研究法說明用圖	18
【圖3-2】本研究事件研究法示意圖	19

國內文獻
1.	黃琬娟，「現金股利變動宣告和股價關聯性之研究」，國立中央大學企業管理所碩士論文，民國八十五年六月。
2.	關河士，「股票股利信號放射模式與宣告效果之研究」，國立政治大學企業管理研究所博士論文，民國八十五年七月。
3.	楊穆郁，「除權息股票期貨交易量之影響」，私立淡江大學財務金融學系碩士論文，民國一0二年。

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