現金流量訊號假說主張股利變動提供當期或未來現金流量的管理者資訊，自由現 金流量假說則認為股利變動提供有關管理者誤用現金流量的資訊，因而本文試圖分析股利變 動宣告之財富效果與現金流量訊號或自由現金流量假說的關連性。本研究的主要目的可歸納 為四點：（1）分析高、低Q公司間之股利變動宣告特徵差異。（2）瞭解股利宣告對股價及 交易量的影響，應以何種假說來說明為佳。（3）探討股利變動與現金流量預期變動間的關 連程度。（4）探討股利變動宣告是否引起投資者對短期盈餘預測的修正。 由實證結果獲知：（1）不論股利增加或減少，股利變動、殖利率與公司規模，在高Q公司與 低Q公司間的確存在顯著差異。（2）現金股利增加宣告期內有正的累積異常報酬率，股利減 少則有負的累積異常報酬率，亦即累積異常報酬率與現金股利變動呈正相關，此與現金流量 訊號假說一致。（3）累積異常交易量與現金股利變動呈正相關，此與現金流量訊號假說一 致。（4）股利減少對股價的衝擊大於股利增加，此與現金流量訊號假說一致。另外，股利 宣告期內低Q公司之累積異常報酬率並非顯著大於高Q公司，此與自由現金流量假說不符，（ 5）低Q公司傾向於較小規模與較大股利變動，基於小公司與大股利變動有較大的資訊不對稱 ，故低Q 公司比高Q公司有較大的短期盈餘預測修正。

　　　　　Under the cash flow signalling hypothesis, the dividend change provides information about current and/or future cash flows, while under the free cash flow hypothesis, the dividend change provides information about changes in the managers' misuse of cash flows. Based on the theoretical dispute, this research analyzes the potential explanations for wealth effects surrounding dividend change announcements. The objects of this research are:(1) To analyze the differences in firm characteristics between high-Q and low-Q firms. (2) To investigate the extent to which dividend changes are associated with both cumulative abnormal returns and cumulative trading volumes. (3) To understand the stock price and volume reactions to dividend change announcements. (4) To examine whether dividend change announcements are associated with revisions in analysts' current earnings forecasts or not. The results of the empirical analysis are: (1) For both dividend increase and decreases, the differences in dividend change, firm size, and yield between high-Q and low-Q firms are significant. (2) Dividend increase announcements have positive impact on stock prices, and dividend decrease announcements have negative impact on stock prices. Cumulative abnormal returns are positively related to dividend changes. These results are consistent with the cash flow signalling hypothesis. (3) Cumulative abnormal trading volumes are positively related to dividend changes. It is consistent with the cash flow signalling hypothesis. (4) The result of larger share price reaction for dividend decreases than for increases is consistent with the cash flow signalling hypothesis. The cumulative average abnormal return for high-Q firms is not significantly different from that for low-Q firms, which does not conform to the free cash flow hypothesis. (5) Low-Q firms tend to be smaller in size. Since asymmetry in information is greater for smaller firms, the magnitude of current earnings forecast revisions is greater for low-Q than high-Q firms.