台灣上市公司股利政策與經濟景氣循環之關係

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题名:	台灣上市公司股利政策與經濟景氣循環之關係
作者:	黃威凱;Huang, Wei-Kai
贡献者:	財務金融學系
关键词:	現金股利;景氣循環;Cash dividend;Business Cycle
日期:	2019-07-23
上传时间:	2019-09-03 15:07:42 (UTC+8)
出版者:	國立中央大學
摘要:	本研究探討1996年至2016年台灣上市公司發行現金股利對股價之影響，以及該影響與經濟景氣循環之關聯。本研究的實證步驟如下：首先，利用台灣經濟新報(TEJ)資料庫篩選出共10241間財務資料完整的公司，並採用台灣國家發展委員會發佈之台灣景氣循環峰谷認定，區分景氣的擴張期與緊縮期，據以比較兩個時期的企業發放股利策略之影響。其次，以調整後的月收盤價估算股票的月報酬，檢驗現金股利宣告後對公司股價報酬有無長期影響，並比較不同景氣時期的差異。最後，利用事件分析法檢驗現金股利宣告後股票報酬的短期變化，並對比不同景氣循環時之異同。本研究的主要實證結果為：第一，無論經濟景氣狀況為何，發放現金股利均對公司之股價有正面影響，亦即支持股利訊號理論；相較於景氣擴張期，企業在景氣緊縮時期宣告現金股利，其股價累積異常報酬更為顯著；不過前述累積異常報酬均會隨著時間流逝而降低。第二，一個月內的短期事件分析顯示，若企業發放高於均值的股利對其股價有正向影響，且此影響於景氣衰退期較擴張期為大；相對地，公司規模與現金股利宣告後的異常報酬無顯著相關，此與多數既有文獻的實證結果不同。;This paper mainly chose the firms listing in TSEC market during 1996-2016 to examine the relationship among stock price, cash dividend announcement, and the business cycle. The empirical steps of this study are as follows: First, to compare the stock price changing attributed to the cash dividend announcement, I selected 10241 samples from the Taiwan Economic Journal database and divided the business cycle into expansion and contraction base on the Reference date of Taiwan business cycles revealed in the National Development Council. Second, I calculated the monthly return to examine whether the cash dividend announcement has a long-term impact on the stock price and differentiated the results when considering economic stages. Finally, I used the Event Study to examine the short-term changing of stock return which is caused by cash dividend announcement and compared the differences in economic stages. The main empirical results of this study are as follows: First, no matter during what economic stage, cash dividend distribution affected stock price positively. This result supports the Dividend Signaling Theory. Besides, comparing to expansions, cumulative abnormal returns generated from cash dividend announcements superior in contractions. This finding suggests that the signaling effect of the announcement is stronger in recessions. However, no matter during what economic stage, this kind of cumulative abnormal returns decrease over time. Second, the result of the Event Study shows that if the distributed cash dividend higher than average, there is a positive impact on the stock price. Besides, this effect still superior in contractions. Relatively, there is no significant correlation between size and the abnormal return attributed to the cash dividend announcement. This finding is different from the empirical results from prior literature.
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