| dc.description.abstract | 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. | en_US |