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。

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.

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

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