重新檢視股利初次發放，及再度發放的長期股價表現

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姓名

劉卉萱(Hui-Hsuan Liu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

重新檢視股利初次發放，及再度發放的長期股價表現
(Revisit the Long-term Performance after Dividend Initiations and Resumptions)

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摘要(中)

此篇論文重新檢視股利初次發放，及再度發放之後的長期股價表現。我們使用從1927年至1998年之間的月資料，且發覺在扣除掉IPO企業與受特殊管制企業的影響後，股利事件後的正異常報酬具有統計上的顯著性，不論是用平均加權或是市值加權的方法。同時，我們也發現，事件前與事件後，企業的市場風險並沒有顯著的變動。因此，我們的結論是，股利事件後的正異常報酬的確存在，且並不是由風險因素所造成。

摘要(英)

This article exams the long-term performance following dividend initiations and resumptions. We use data from 1927 to 1998, and show that post-announcement abnormal returns are positively significant in both equally weighted and value weighted methods if we subtract firms with IPO events and the special regulation firms from sample. Moreover, we also show that firms do not face significant risk changes after dividend initiations and resumptions, meaning that such abnormal returns are not caused by risk changes. Therefore, we made a conclusion that the long-term over performance really exists, and doesn’t result from risk changes.

關鍵字(中)

★ 股利再度發放
★ 股利初次發放
★ 長期股價表現

關鍵字(英)

★ dividend initiations
★ long-term performance
★ dividend resumptions

論文目次

Content
I. Introduction ………………………………………………………………………1
II. Data and Sample Selection………………………………………………………2
III. Post-announcement Abnormal Returns -- Research Methodologies and Results………………………………………………………………………………..2
A. Fama and French Three Factor Regression……………………………….3
A.1. Traditional Fama-French Model
A.2. Adjusted Fama-French Model
B. Monthly Calendar Time Abnormal Returns………………………………9
C. Long-term BHARs and CARs……………………………………………..11
D. Duration of Long-term Abnormal Return………………………………..14
E. Analysis by Market Capitalization Size Deciles………………………….19
F. Out-of-sample Extensions of Michaely et al. (1995) Study……….……...22
IV. Post-announcement changes in Risk Factor Loadings -- Aggregate Changes in the Cost of Equity………………………………………………………………...26
V. Post-announcement Abnormal Returns after Dividend Initiations and Resumptions using data excluding Regulation Firms…………………………….33
VI. Summary and Conclusion……………………………………………………...38
References…………………………………………………………………………...39

參考文獻

References
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Boehme, Rodney and Sorin Sorescu, 2002, The long-run performance following dividend initiations and resumptions: Underreaction or product of chance? Journal of Finance, April 2002, 871-900.
Brave, Alon, Christopher Geczy, and Paul Gompers, 2000, Is the abnormal return following equity issuances anomalous? Journal of Financial Economics 56, 209-249.
Dharan, Bala and David Ikenberry, 1995, The long-run negative drift of post-listing stock returns, Journal of Finance 50, 1547-1574.
Eckbo, Espen and Oyvind Norli, 2000, Leverage, liquidity and long-run IPO returns, Unpublished working paper, Dartmouth College and University of Toronto.
Eckbo, Espen, Ronald Masulis, and Oyvind Norli, 2000, Seasoned public offerings: Resolutions of the “new issues puzzle,” Journal of Financial Economics 56,251-291.
Fama, Eugene and Kenneth French, 1992, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Grullon, Gustavo, Roni Michaely, and Bhaskaran Swaminathan, 2002, Are dividend changes a sign of firm maturity? Journal of Business 75, 387-424.
Hadlock, Charles, Michael Ryngaert, and Shawn Thomas, 2001, Corporate structure and equity offerings: Are there benefits to diversification? Journal of Business 74, 613-635.
Jin, Zhenhu, 2000, On the differential market reaction to dividend initiations, The Quarterly Review of Economics and Finance 40, 263-277.
Kaestner, Robert, 1998, New evidence on the onformation content of dividend announcement, The Quarterly Review of Economics and Finance 38, 251-274.
Kosedag, Arman and David Michayluk, 2000, Dividend initiations in reverse-LBO firms, Review of Financial Economics 9, 55-63.
Loughran, Tim and Jay Ritter, 1995, The new issues puzzle, Journal of Finance 50, 23-51.
Lyon, John, Brad Barber, and Chih-ling Tsai, 1999, Improved methods for tests of long-run abnormal stock returns, Journal of Finance 54, 165-201.
Michaely, Roni, Richard Thaler, and Kent Womack, 1995, Price reactions to dividend initiations and omissions: Overreaction or drift? Journal of Finance 50, 573-608.
Ritter, Jay, 1991, The long-run performance of initial public offerings, Journal of Finance 46, 3-27.
White, Halbert, 1980, A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48, 817-838.

指導教授

周冠男(Robin Chou)

審核日期

2003-7-15

推文