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https://irlib.pccu.edu.tw/handle/987654321/40477
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| 題名: | 上市金融業與電子業股利政策對股價影響之探討
The study of the Dividend Policy to Stock Price in financial industry and electronics industry |
| 作者: | 謝方寧 |
| 貢獻者: | 國際企業管理學系 |
| 關鍵詞: | 股利政策
事件研究法
虛擬變數
dividend policy
event study
dummy variable |
| 日期: | 2018 |
| 上傳時間: | 2018-08-07 13:16:29 (UTC+8) |
| 摘要: | 股票市場關係著國家經濟未來的發展，隨著金融市場自由化發展的趨勢，全球金融市場彼此間互動愈頻繁。在多變的全球金融市場下，投資者如何透過股利政策來了解股票市場異常報酬。真實社會中，投資者的行為卻並非完全是理性的，在股票市場中的確存在雜訊交易，而投資者是否會因為股利政策，進而影響股票產生異常報酬，是本研究欲探討的議題，故進行相關實證研究供投資人參考。
本研究以台灣上市金融業與電子業為研究對象，研究期間為2010年至2017年，由「台灣證券交易所」公開發行上市的普通股股票為樣本，納入過去學者對股利政策相關研究之定義與文獻，運用事件研究法對於股利發放宣告日是否產生異常報酬，並利用虛擬變數進行迴歸分析，以現金股利與股票股利發放與否進一步探討是否存在異常報酬。
因此，我們建立了二個假說模型，來驗證影響金融業與電子業股價的關鍵因素。假說一、股東會宣告日股利發放之行為，會對公司股價具有異常報酬；假說二、公司股價之累計異常報酬，會因公司所採行股利政策之不同而有所差異。本研究得到的實證結果如下：
ㄧ、事件研究法的實證結果：
金融業股利發放宣告日產生異常報酬，雖然於金融業是特許行業、受主管機關高度監理，即使當金融業獲利成長開出紅盤，也無法反映在股價上，但投資人對於股利發放宣告日後，還是呈現顯著影響。
電子業股利發放宣告日產生異常報酬，證實投資者對於電子業股利的發放，將能增強投資人對公司的信，並有助於股價的維持。
二、虛擬變數分析的實證結果：
金融業及電子業，探討股利政策發放方式是否對股價有所影響，實證結果發現金融業是否發放現金股利會影響股價的異常報酬，而金融業是否發放股票股利並不會影響股價的異常報酬，電子業的股利政策發放方式則皆不會影響股價的異常報酬。
The stock market is closely related to the future development of the national economy. With the trend of financial market liberalization, the global financial markets interact with each other more frequently. Under the changeable global financial market, how can investors understand the abnormal return of stock market through dividend policy? In the real society, the behavior of investors is not completely rational, and there indeed exist noise deals in the stock market. Whether investors will be affected by dividend policy, causing stocks to generate abnormal returns, is the topic of this study. Therefore, the relevant empirical research is carried out as the reference for investors.
Focusing on the companies in the financial and electronic industries listed in Taiwan Stock Exchange, this study takes samples of common stocks listed in Taiwan Stock Exchange during the period from 2010 to 2017, takes into account the definition and literature of dividend policy made by scholars in the past, uses the event study method to analyze whether abnormal returns occur at the date when the issuance of dividend is announced, and adopts dummy variables to make regression analysis. What’s more, further analysis is made to discuss whether or not the issuance of cash dividend and stock dividend could result in abnormal returns.
Therefore, we set up two hypothetical models to verify the key factors affecting the stock prices of listed companies in financial and electronic industries. Hypothesis No.1: the issuance of dividend announced by board of shareholders will result in the abnormal return of the stock price of company. Hypothesis No.2: the cumulative abnormal return of the stock price of company will vary from company to company due to the disparate dividend policies implemented by companies. The empirical results of this study are shown as below:
(I) Empirical results of the event study method:
Will the issuance of dividend lead to abnormal returns of listed companies in the financial industry? Although the financial industry is a chartered industry and is highly supervised by the competent authority, even if the financial industry earns profits and indicates positive performance of stock price, such the profits or performance fail to be reflected in the stock price. But the study shows investors are still significantly affected after the date when the issuance of dividend is announced.
Will the announcement of issuance of dividend cause abnormal returns of listed companies in the electronic industry? The study demonstrates the issuance of dividend in the electronic industry can strengthen investors’ confidence on the listed companies and help maintain the stock price.
(II) Empirical result of regression analysis of dummy variables:
Regarding the discussion about whether or not the policy of issuance of dividend could impact the stock price of listed companies in the financial and electronic industries, the empirical result reveals whether or not a listed company in the financial industry issues the cash dividend will affect the abnormal return of stock price, but whether or not the stock dividend is issued has no impact over the abnormal return of stock price. And there is no evidence showing the policy of issuance of dividend would affect the abnormal return of stock price in the electronic industry. |
| 顯示於類別: | [企業管理學系暨國際企業管理研究所] 博碩士論文
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