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題名：股利情報內容暨股利宣告對股價影響之實證研究
書刊名：交大管理學報
作者：蔡鴻坤／張保隆
出版日期：1985
卷期：5:1
頁次：頁1-18
主題關鍵詞：內容；股利；股利宣告；股價；情報
原始連結：連回原系統網址new window
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本文利用近年的資料，將上市公司分成非預期股利增加25%以上、非預期股利減少25%以上、停發股利、續發股利及首次發放股利等五個樣本群，然後建立一個包括28個係數的迴歸模式，以隨機係數迴歸統計方法加權，估計每一群樣本公司的平均異常報酬，以代替傳統的殘差分析。結果發現，從系統風險與平均異常報酬在宣告日前後的變化情形來看，股利的確帶有情報內容。至於市場效率的問題，由於各群樣本間的市場反應狀況有所差別，很難獲得一致的結論。
This paper uses the latest data to divide the firms into five groups, namely, the group with at least 25% increase on unexpected dividend, the group with at least 25% decrease on unexpected dividend, the group with omission on payment, the group with resumption on payment and the group with initial payment. We formulate a regression model with 28 coefficients and then utilze the Random Coefficient Regression (RCR) statistical method instead of the traditional residual analysis to obtain weights for estimating the mean abnormal return of each group. By observing the change of systematic risk and the mean abnormal return before and after the announcements the results show that dividend does convey information to investors. As for the market efficiency, the market reaction of each group behaves differently, and hence no conclusion can be obtained.
期刊論文
1.Lintner, J.(1956)。Distribution of Income of Corporation among Dividends, Retained Earnings, and Taxes。American Economic Review，46(2)，97-113。  new window
2.Dielman, T. E.、Oppenheimer, H. R.(1984)。An Examination of Investor Behavior During Periods of Large Dividend Changes。Journal of Financial and Quantitative Analysis，19，197-216。  new window
3.Watts, R.(1976)。Comments on 'The Impact of Dividend and Earnings Announcements: A Reconciliation'。The Journal of Business，49(1)，97-106。  new window
4.Beaver, W. H.(1968)。The information content of annual earnings announcements。Journal of Accounting Research，6(Suppl.)，67-92。  new window
5.Kwan, C.(1981)。Efficient Market Tests of the Informational Content of Dividend Announcements: Critique and Extension。Journal of Financial and Quantitative Analysis，16(2)，193-206。  new window
6.Aharony, J.、Swary, I.(1980)。Quarterly Dividend and Earnings Announcement and stockholder's Returns: An Empirical Analysis。Journal of Finance，35，1-12。  new window
7.Boness, J.、Frankfurter, G. M.(1977)。Evidence of Non-Homogeneity of capital costs within Risk class。Journal of Finance，32，775-787。  new window
8.Boot, J.、Frankfurter, G. M.(1972)。The Dynamics of Corporate Debt Management: Decision Rule and Empirical Evidence。Journal of Financial and Quantitative Analysis，7，1957-1965。  new window
9.Dielman, T. E.、Nantell, T.、Wright, R.(1980)。Price Effects of Stock Repurchasing: A RCR Approach。Journal of Financial and Quantitative Analysis，15，175-190。  new window
10.Durand, David(1959)。The Cost of Capital, Corporation Finance, and the Theory of Investment: Comment。American Economic Review，49(4)，638-655。  new window
11.Fama, E. F.(1974)。The Empirical Relationship Between the Dividend and Investment Decision of Firms。American Economic Review，64(3)，304-318。  new window
12.Fama, E. F.、Babiak, H.(1968)。Dividend Policy and Empirical Analysis。Journal of American Statistician Association，63，1132-1161。  new window
13.Feige, E.、Swamy, P. A. V. B.(1974)。An RCR Model of Demand of Liquid Assets。Journal of Money, Credit and Banking，6，241-252。  new window
14.Gordon, M. J.(1959)。Dividend, Earning and Stock Prices。Review of Economics and Statistics，41(2)，95-105。  new window
15.Higgins, Robert C.(1972)。Dividend Policy and Increasing Discount Rates: A Clarification。Journal of Financial and Quantitative Analysis，7(3)，1757-1762。  new window
16.Friend, I.、Puckett, M.(1964)。Dividend and Stock Prices。American Economic Review，44，656-682。  new window
17.Laub, M.(1976)。On the Information Content of Dividends。Journal of Business，49，73-80。  new window
18.Miller, M. H.、Modigliani, M.(1959)。A Reply。American Economic Review，49，655-669。  new window
19.Miller, M. H.、Modigliani, M.(1966)。Some Estimates of the Cost of Capital of the Electricity Industry。American Economic Review，56，331-391。  new window
20.Pettit, R.(1976)。The Impact of Dividend and Earning Announcement: A Reconciliation。Journal of Business，49，89-96。  new window
21.Swamy, P. A. V. B.(1970)。Efficiency Inference in a Random Coefficient Regression Model。Econometrica，38(2)，311-323。  new window
22.Walter, J. E.(1956)。Dividend Policies and Common Stock Prices。Journal of Finance，6，29-41。  new window
23.Waiter, J. E.(1963)。Dividend Policy: Its Influence on the Value of the Enterprise。Journal of Finance，18(2)，280-291。  new window
24.Watts, R.(1973)。The Information Content of Dividend。Journal of Business，46，191-211。  new window
25.Black, F.(1976)。The Dividend Puzzle。Journal of Portfolio Management，2(2)，5-8。  new window
26.Black, Fischer、Scholes, Myron(1974)。The effects of dividend yield and dividend policy on common stock prices and returns。Journal of Financial Economics，1(1)，1-22。  new window
27.Charest, G.(1978)。Dividend Information, Stock Returns and Market Efficiency-II。Journal of Financial Economics，6(2/3)，297-330。  new window
28.Gordon, Myron J.(1963)。Optimal investment and financing policy。The Journal of Finance，18(2)，264-272。  new window
29.Pettit, Richardson R.(1972)。Dividend announcements, security performance, and capital market efficiency。Journal of Finance，27(5)，993-1007。  new window
30.Watts, Ross(1976)。Comments on "On the Informational Content of Dividends"。The Journal of Business，49(1)，81-85。  new window
31.Miller, Merton H.、Modigliani, Franco(1961)。Dividend Policy, Growth, and the Valuation of Shares。The Journal of Business，34(4)，411-433。  new window
32.Fama, Eugene F.、Fisher, Lawrence、Jensen, Michael C.、Roll, Richard J.(1969)。The adjustment of stock prices to new information。International Economic Review，10(1)，1-21。  new window
學位論文
1.林鎮邦(1979)。臺灣地區股票上市公司公佈之財務報表所含情報量之研究(碩士論文)。台灣大學。  延伸查詢new window
2.張正志(1973)。公司股利政策之研究(碩士論文)。國立政治大學。  延伸查詢new window
3.廖季方(1979)。臺灣股票上市公司股利情報內容之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.林煜宗(1982)。現代投資學--制度、理論與實證。臺北：林煜宗。  延伸查詢new window
2.黃柱權(1969)。公司理財。三民書局。  延伸查詢new window
3.張自強(1984)。股份有限公司股利分派之研究。文笙書局。  延伸查詢new window
4.Fama, E. F.。Foundation of Finance。華泰書局。  延伸查詢new window
5.Gordon, M. J.(1962)。Investment Financing and Valuation of Corporation。Homewood：Richard Irwin Inc.。  new window
6.Swamy, P. A. V. B.(1971)。Statistical Inference in Random Coefficient Regression Models。Springer-Verlag。  new window
 
 
 
 
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