本研究探討高額現金股利宣告對股價之影響，研究標的為富時公司所編製的高股息、台灣50及中型100成分股，這些成分股具有流動性高與透明度佳等優點，藉由本實證研究有以下重要發現：其一、2007年宣告現金股利，若同時為台灣50與高股息成分股，則股價激勵相當顯著；但2008年則異於2007年，此乃因金融海嘯，對經濟前景有疑慮，較無激勵效果。其二、2007年宣告股利後之異常報酬與週轉率呈負向關係，表示股價表現優異者，股東傾向長期持有。其三、2007年高股息成分股之資訊外溢相當顯著，亦為有先行被佈局之虞；然而2008年宣告前則反呈負向異常報酬，此表示似已嗅出景氣轉變，故宣告前賣出持股。是以雖這二年股利宣告效果有異，但資訊外溢卻不因金融海嘯而有所差異。

This study is to investigate the effect of the announcements of high cash dividends to constituent stocks of Taiwan 50, Mid-Cap 100 and high cash dividend stock index compiled by FTSE Index Corporation. These underlying stocks have the advantages of liquidity, and transparency. According to this empirical study, there are several findings as shown as follows: First of all, the share prices are encouraged more significantly for the constituents of both Taiwan 50 and high cash dividend Index. However, share prices haven't been encouraged after the announcement of cash dividend for the data of year 2008, since investors tended to be more conservative due to the subprime mortgage crisis. Secondly, it shows there is negative relationship between turnover ratio and abnormal returns of announcing cash dividend in the year of 2007. Actually, the shareholders might intend to use buy-and-hold strategy for a long time for these underlying stocks. Thirdly, it show spillover effects significantly for high yield stocks in 2007, and it means that insiders might buy these constitute stocks in advance. However, the abnormal returns are negatively before announcing cash dividends in 2008, which is different form 2007. It seems that some insiders might feel upcoming recession then sell shares in advance. Thus, the spillover effects before announcing cash dividends are existed even though during the period of banking crisis.