§ Browsing ETD Metadata
  
System No. U0002-1806202116035400
Title (in Chinese) 台灣股利資訊內涵與公司收益之關係探討
Title (in English) Discussion for the Relationship Between Dividend Information Contains and Profit on Taiwan Stock Markets
Other Title
Institution 淡江大學
Department (in Chinese) 財務金融學系碩士班
Department (in English) Department of Banking and Finance
Other Division
Other Division Name
Other Department/Institution
Academic Year 109
Semester 2
PublicationYear 110
Author's name (in Chinese) 陳竑儒
Author's name(in English) Hong-Ru Chen
Student ID 608530324
Degree 碩士
Language Traditional Chinese
Other Language
Date of Oral Defense 2021-06-05
Pagination 60page
Committee Member advisor - Chang-Wen Duan
co-chair - Tzong-Ru Tsai
co-chair - Yueh-Neng Lin
co-chair - Chang-Wen Duan
Keyword (inChinese) 現金股利宣告
事件研究法
半強式效率市場假說
Keyword (in English) cash dividends declared
event study
semi-strong efficiency market
Other Keywords
Subject
Abstract (in Chinese)
本文依據 Charles, Zachary and Mark (2020) 對於現金股利宣告變化是否傳遞公司未來三年收益的資訊內涵,認為現金股利並非只是傳遞公司未來的盈餘水準,也能夠傳遞毛利、來自營運之現金流量、營業費用、研發費用這些收益相關變數在未來持續獲利的一個訊號。
本研究期間為 2013 年至 2017 年共五年的資料。實證結果發現,台灣上市(櫃)公司之平均累積異常報酬在事件日當天開始持續為正的顯著,即現金股利宣告可以在短期內獲取超額報酬,表示台灣股票市場不符合半強式效率市場。假說與模型中迴歸分析的結果發現,現金股利宣告的增減具有傳達公司未來三年收益好壞的資訊內涵,以及對市場短期的反應存在顯著關係;且市場的反應也對未來三年的稅後淨利也呈現正的顯著關係。
因此,迴歸分析皆拒絕虛無假設可以證實股利訊號假說的存在,表示現
金股利宣告可供投資人做出適合自己的投資決策與方向。
Abstract (in English)
Based on Charles, Zachary and Mark (2020) on whether changes in cash dividend declarations will convey the information connotation of the company’s earnings in the 
next three years, this article believes that cash dividends are not only conveying the company’s future earnings levels, but can also convey the gross profit, cash flow from operations, operating expenses, research and development expenses, these income related variables are a signal of continued profitability in the future.
The research period covers a total of five years from 2013 to 2017. The empirical results found that the average cumulative abnormal return on the Taiwan stock market 
continued to be positive on the day of the event.That is, the cash dividend declaration can obtain excess returns in a short period of time, indicating that the Taiwan stock 
market does not meet the semi-strong efficiency market. The results of the regression analysis in the hypothesis and the model found that the increase or decrease of the cash dividend declaration has the information connotation of conveying the company’s earnings in the next three years, and the short-term response to the market has a 
significant relationship, the market response also has a positive and significant relationship with the net profit after tax in the next three years.
Therefore, the regression analysis rejects the null hypothesis to confirm the existence of the dividend signal hypothesis, indicating that the declaration of cash 
dividends allows investors to make investment decisions and directions that suit them.
Other Abstract
Table of Content (with Page Number)
目 錄 ...................................................IV
圖 目 錄 .................................................V
表 目 錄 ............................................... VI
第一章 緒論.............................................. 1
第一節 研究背景與動機......................................1
第二節 研究目的...........................................2
第三節 研究流程...........................................4
第二章 文獻探討.......................................... 5
第一節 效率市場假說.......................................5
第二節 股利理論與文獻.....................................7
第三章 研究方法..........................................22
第一節 研究樣本與資料來源.................................22
第二節 模型變數..........................................23
第三節 研究假說與實證模型.................................30
第四節 異常報酬模型......................................35
第四章 實證結果與分析....................................41
第一節 基本統計量........................................41
第二節 半強式效率市場實證結果.............................43
第三節 股利資訊內涵實證結果...............................47
第五章 結論與建議 .......................................54
第一節 結論..............................................54
第二節 建議.............................................55
參考文獻................................................57
圖 目 錄
圖 1-3-1、研究流程圖......................................4
圖 3-2-1、時間軸.........................................29
圖 4-1-3、現金股利變化分布圖..............................43
圖 4-2-1、上市(櫃)平均累積異常報酬圖 ......................47
表 目 錄
表 4-1-1、2013 年至 2017 年台灣上市(櫃)研究樣本數情形.......41
表 4-1-2、樣本敘述統計量表................................42
表 4-2-1、上市現金股利異常報酬之檢定結果....................45
表 4-2-2、上櫃現金股利異常報酬之檢定結果....................46
表 4-3-1、模型一之實證結果................................48
表 4-3-2、模型二之實證結果................................50
表 4-3-3、模型三之實證結果................................52
表 4-3-4、模型四之實證結果................................53
References
1. Aharony, J., A, Dotan, 1994, “Regular dividend announcements and future unexpected earnings: An empirical analysis.” Financial Review 29, 125-151.
2. Aharony, J., I. Swary, 1980, “Quarterly dividend and earnings announcements and stockholders returns: An empirical analysis.” Journal of Finance 35, 1-12.
3. Akhigbe, A., J. Madura, 1996, “Dividend Policy and Corporate Performance.” Journal of Business Finance and Accounting 23, 1267-1287.
4. Ball, R., P. Brown, 1968, “An empirical evaluation of accounting income numbers.” Journal of Accounting Research 6, 159-178.
5. Benartzi, S., R. Michaely, and R. Thaler, 1997, “Do changes in dividends signal then future or the past?” Journal of Finance 52, 1007–1034.
6. Bhattacharya, S., 1979, “Imperfect information,dividend policy, and the bird-in the hand fallacy.” Bell Journal of Economics 10, 259-270.
7. Brav, A., J.R. Graham, C.R. Harvey, and C.R. Michaely, 2005, “Payout policy in the 21st century,” Journal of Financial Economics 77, 483-527.
8. Brennan, M. J., 1970, “Taxes market valuation, and corporate financial policy.” National Tax Journal 23, 417-427.
9. Brickley, J. A., 1983, “Shareholder wealth, information signaling and the specially designated dividend: An empirical study.” Journal of Financial Economics 12, 187-209. 
10. Brown, S. J., J.B. Warner, 1980, “Measuring security price performance.” Journal of Financial Economics 8, 205-258.
11. Carroll, T. J., 1995, “The information content of quarterly dividend changes.” Journal of Accounting, Auditing & Finance 10, 293-317.
12. Charles, G. H., R.K Zachary, and T.L. Mark, 2020, “Do dividends convey information about future earnings?” Journal of Financial Economics 136, 547–570. 
13. Crutchley, C. E., R.S. Hansen, 1989, “A test of the agency theory of managerial ownership, corporate leverage, and corporate dividends.” Financial Management, 
36-46.
14. DeAngelo, H., L. DeAngelo, and D. J. Skinner, 1996, “Reversal of fortune Dividend signaling and the disappearance of sustained earnings growth.” Journal 
of Financial Economics 40, 341-371.
15. DeAngelo, H., L. DeAngelo, and D.J. Skinner, 1992, “Dividends and losses.” Journal of Finance 47, 1837-1863.
16. Elfakhani, S., 1995, “An empirical examination of the information content of balance sheet and dividend announcements: A signaling approach.” Journal of Financial and Strategic Decisions 8, 65-76.
17. Enache, L., A. Srivastava, 2018, “Should intangible investments be reported separately or commingled with operating expenses? New evidence.” Management Science 64, 3446-3468.
18. Fama, E. F., 1970, “Efficient capital markets: A review of theory and empirical work.” Journal of Finance 25, 383-417.
19. Fama, E. F., 1991, “Efficient capital market II.” Journal of Finance 46, 1575-1617.
20. Fama, E. F., K.R. French, 1998, “Taxes, financing decisions, and firm value.” 
Journal of Finance 53, 819-843.
21. Gonedes, N.J., 1978, “Corporate signaling, external accounting, and capital market equilibrium: Evidence on dividends, income, and extraordinary items.” Journal 
of Accounting Research 16, 26-79.
22. Gordon, M. J., 1963, “Optimal investment and financing policy.” Journal of Finance 264-272.
23. Grullon, G., R. Michaely, and B. Swaminathan, 2002, “Are dividend changes a sign of firm maturity?” Journal of business 75, 387-424.
24. Grullon, G., R. Michaely, S. Benartzi, and R.H. Thaler, 2005, “Dividend changes do not signal changes in future profitability.” Journal of Business 78, 1659-1682.
25. Guay, W., J. Harford, 2000, “The cash-flow permanence and information content of dividend increases versus repurchases.” Journal of Financial Economics 57,385-415.
26. Jensen, M. C., W.H. Meckling, 1976, “Theory of the firm: Managerial behavior, agency costs and ownership structure.” Journal of Financial Economics 3, 305-360.
27. Kane, A., L., Young Ki, and M. Alan, 1984, “Earnings and dividend announcements: Is there a corroboration effect?” Journal of Finance 39, 1091-1099.
28. Koch, A. S., and A.X Sun, 2004, “Dividend changes and the persistence of past earnings changes.” Journal of Finance 59, 2093-2116.
29. Lakonishok, J., B. Lev, 1987, “Stock splits and stock dividend: Why, who and when.” Journal of Finance 42, 913-932.
30. Lang, L. H. P., L. Robert H, 1989, “Dividend announcements: Cash flow signalling vs, free cash flow hypothesis.” Journal of Financial Economics 24, 181-192.
31. Mcnichols, M., A. Dravid, 1990, “Stock dividends, stock splits, and signaling.” Journal of Finance 45, 857-879.
32. Miller, H. M., K. Rock, 1985, “Dividend policy under asymmetric information.” Journal of Finance 40, 1031-1051.
33. Miller, M. H., F. Modigliani, 1961, “Dividend policy, growth, and the valuation of shares.” Journal of Business 34, 411-433.
34. Nissim, D., A. Ziv, 2001, “Dividend changes and future profitability.” Journal of Finance 56, 2111-2133.
35. Novy-Marx, R., 2013, “The other side of value: The gross profitability premium.”Journal of Financial Economics 108, 1-28.
36. Penman, S. H., 1983, “The predictive content of earnings forecasts and dividends.” Journal of Finance 38, 1181-1199.
37. Peters, R., L.A. Taylor, 2017, “Intangible capital and the investment-q relation.” Journal of Financial Economics 123, 251-272.
38. Pettit, R. R., 1972, “Dividend announcements, security performance, and capital market efficiency.” Journal of Finance 27,993-1007.
39. Ross, S. A., 1977, “The determination of financial structure: The incentive signaling approach.” Bell Journal of Economics 8, 23-40.
40. Roy, A., 2015, “Dividend policy, ownership structure and corporate governance: An empirical analysis of Indian firms.” Indian Journal of Corporate Governance 8, 1-33.
41. Rozeff, M. S., 1982, “Growth, beta and agency costs as determinants of dividend payout ratios,” Journal of Financial Research 5, 249-259.
42. Skinner, D. J., E. Soltes, 2011, “What do dividends tell us about earnings quality?” Review of Accounting Studies 16, 1-28.
43. Watts, R., 1973, “The information content of dividends.” Journal of Business 46, 191-211.
44. Yoon, P. S., L.T. Starks, 1995, “Signaling, investment opportunities, and dividend announcements.” Review of Financial Studies 8, 995-1018.
45. Zhou, P., W. Ruland, 2006, “Dividend payout and future earnings growth.” Financial Analysts Journal 62, 58-69.
Terms of Use
Within Campus
On-campus access to my hard copy thesis/dissertation is open immediately
Agree to authorize disclosure on campus
Release immediately
Outside the Campus
I grant the authorization for the public to view/print my electronic full text with royalty fee and I donate the fee to my school library as a development fund.
Release immediately
 Top

If you have any questions, please contact us!

Library: please call (02)2621-5656 ext. 2487 or email