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題名：台灣股市除權期間投資人的下單行為與股價行為
作者：曾雲蘭 引用關係
作者(外文)：Yun-Lan Tseng
校院名稱：國立臺灣大學
系所名稱：財務金融學研究所
指導教授：胡星陽
學位類別：博士
出版日期：2006
主題關鍵詞：除權日；股票股利；稅；買超；股價；ex-date；stock dividend；tax；order imbalance；stock price
原始連結：連回原系統網址new window
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本論文的研究目的在探討公司發放不課稅與課稅的股票股利時，投資人在除權期間的下單行為與除權日產生異常報酬率的主要因素。第一篇文章旨在分析投資人在除權期間是否會呈現異常的下單行為與不同類型的投資人在除權期間的下單行為是否存在異質性。以1999年純粹除權的事件為樣本，分析全體投資人對台灣證券交易所下單的委託檔。實證發現，小額自然人在除權期間的行為與股價下跌假說吻合。外資與大額自然人傾向於棄權，但證據稍嫌薄弱。國內機構投資人在除權期間扮演短期套利者的角色。另外，從明顯的套利活動分析中，我們發現每一類投資人都在從事先買後賣的套利活動。所以，各類投資人在除權期間呈現異質的下單行為；同時，同一類投資人的下單行為也存在異質性。
第二篇文章旨在探討除權日產生異常報酬率的原因。以台灣經濟新報資料庫中，1971年至2003年純粹除權的事件為樣本。研究發現，稅負效果無法解釋除權日的異常報酬現象。不課稅的資本公積樣本在除權日的異常報酬率可以股利分配率解釋之。稅負效果、股價下跌效果與升降單位效果皆無法說明課稅的保留盈餘樣本為何在除權日有正的異常報酬率存在。另外，估計期有進行融資交易的公司在-3日呈現顯著為負的異常報酬率，此乃因為-3日開始實施停止融資的信用限制所造成。
This dissertation contains two essays on the ex-date anomaly issue. The first essay examines various types of investors’ order behavior around ex-dividend dates on the Taiwan Stock Exchange. We find that, different types of investors show entirely different patterns of order flows. For both taxable and non-taxable samples, small investors’ order behavior around ex-dividend days is consistent with the price drop hypothesis, which suggests that small investors prefer low-priced stocks. We find weaker evidence consistent with the tax hypothesis: foreigners and large domestic investors who are tax-disadvantaged avoid participating in taxable dividends. We also find strong evidence that tax-neutral institutions play the role of short-term arbitrageurs around ex-dividend dates.
The second essay explores stock price behavior around ex-dividend days and the reasons why we observe the abnormal returns on the ex-date. The empirical results reveal that reasons except tax result in the abnormal returns on the ex-date in the both taxable and non-taxable samples. The distribution rate of stock dividends can explain the anomaly on the ex-date in the non-taxable sample. The tax effect hypothesis、price drop hypothesis and tick size hypothesis give no explanations for the anomalous stock prices on the ex-date. We also find that, the significant negative abnormal returns in day -3 in the margin trading sample is due to a forbidden margin purchase starting from day -3.
（一）中文部分

王儷容，2001，我國證券市場信用交易制度之檢討，中華經濟研究院接受台灣證券交易所委託計畫。
李存修，1994，股票股利除權交易日之稅後超額報酬與比價心裡假說之實證，台大管理論叢，5(1)：頁41-60。new window
李存修，1991，股票股利及現金增資之除權行為：理論與實證，台大管理論叢，2(1)：頁1-40。new window
林世銘、陳明進與李存修，2001，兩稅合一前後上市公司除權及除息日股票行為之探討，管理學報，18(3)：頁477-501。new window
林炯堯與陳怡文，1990，台灣地區上市股票填息現象之研究-租稅效應與顧客效應之實證，管理學報，7(1)：頁49-68。
林德威，2000，兩稅合一制對台灣上市(櫃)股票除權除息行為影響之實證研究，國立台灣大學財務金融研究所未出版碩士論文。
周賢榮與王鴻鈞，1990，台灣股票市場的顧客效果，證券市場發展季刊，8：頁71-82。
黃士青，1997，除息日與除權日之股價行為與套利研究，國立台灣大學會計學研究所未出版碩士論文。
蕭慧玲，1990，台灣股票市場除權行情之研究，台灣大學商學研究所未出版碩士論文。

（二）英文部分
Athanassakos, George, and Brain F. Smith, 1996, Odd-lot costs, taxes and the ex-date price effects of stock dividends: Evidence from the Toronto Stock Exchange, Journal of Business Finance and Accounting 23, 989-1003.
Bali, R. and G. L. Hite, 1998, Ex-dividend day stock price behavior: discreteness or tax-induced clienteles?, Journal of Financial Economics, 47, 127-159.
Barclay, Michael J., 1987, Dividends, taxes, and common stocks prices: The ex-dividend day behavior of common stock prices before the income tax, Journal of Financial Economics 19, 31-44.
Barker, C. Austin, 1956, Effective stock dividends, Harvard Business Review January/February, 101-106.
Barker, C. Austin, 1958, Evaluation of stock dividends, Harvard Business Review July/August, 99-114.
Barker, C. Austin, 1959, Price change of stock-dividend shares at ex-dividend dates, The Journal of Finance 14, 373-378.
Belsley, D.A., E. Kuh, and R.E. Welsch, 1980, Regression Diagnostics, New York: John Wiley & Sons, Inc.
Black, Fisher, 1986, Noise, The Journal of Finance 41, 529-543.
Boyd, John H., and Ravi Jagannathan, 1994, Ex-dividend price behavior of common stocks, Review of Financial Studies 7, 711-741.
Campbell, James A., and William Beranek, 1955, Stock price behavior on ex-dividend dates, The Journal of Finance 10, 425-429.
Dubofsky, David A., 1992, A market microstructure explanation of ex-day abnormal returns, Financial Management 21, 32-43.
Eades, Kenneth M., Hess, Patrick J., and Kim, E. Han, 1984, On interpreting security returns during the ex-dividend period, Journal of Financial Economics 13, 3-35.
Elton, Edwin J., and Martin J. Gruber, 1970, Marginal stockholder tax rates and the clientele effect, Review of Economics and Statistics 52, 68-74.
Elton, Edwin J., and Martin J. Gruber, and Christopher R. Blake, 2002, Marginal stockholder tax effects and ex-dividend day behavior - thirty-two years later, working paper.
Frank, Murray, and Ravi Jagannathan, 1998, Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes, Journal of Financial Economics 47, 161-188.
Grinblatt, M., R. Masulis, and S. Titman, 1984, The valuation effects of stock splits and stock dividends, Journal of Financial Economics 13, 461-490.
Harris, Lawerence, 1998, Optimal Dynamic Order Submission Strategies in Some Stylized Tarding Problems, Financial Markets, Institutions & Instruments 7, 1-75.
Huang, Roger D. and Hans R. Stoll, 1996, Dealers versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE, Journal of Financial Economics 41, 313-357.
Johnson, Norman J., 1978, Modified t tests and confidence intervals for asymmetrical populations, Journal of the American Statistical Association 73, 536-544.
Kato, Kiyoshi, and Uri Loewenstein, 1995, The ex-dividend-day behavior of stock prices: the case of Japan, The Review of Financial Studies 8, 817-847.
Koski, Jennifer Lynch, and John T, Scruggs, 1998, Who trades around the ex-dividend day? Evidence from NYSE audit file data, Financial Management 27, 58-72.
Lakonishok, Josef, and Baruch Lev, 1987, Stock splits and stock dividends: why, who, and when, The Journal of Finance 42, 913-932.
Lakonishok, Josef, and Theo Vermaelen, 1986, Tax-induced trading around ex-dividend days, Journal of Financial Economics 16, 287-319.
Lamoureux, Christopher, and Poon Percy, 1987, The market reaction to stock splits, The Journal of Finance 42, 1347-1370.
Lasfer, M. Ameziane, 1995, Ex-day behavior: Tax or short-term trading effects, The Journal of Finance 50, 875-897.
McDonald, Robert L., 2001, Cross-border investing with tax arbitrage: The case of German dividend tax credits, Review of Financial Studies 14, 617-657.
Poterba, and Summers, 1984, New evidence that taxes affect the valuation of dividends, The Journal of Finance 39, 1397-1415.
Woolridge, J., 1983, Ex-date stock price adjustment to stock dividends: a note, The Journal of Finance 38, 247-255.
 
 
 
 
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