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題名 | 股利情報內容暨股利宣告對股價影響之實證研究= |
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作者 | 蔡鴻坤; 張保隆; |
期刊 | 交大管理學報 |
出版日期 | 19851200 |
卷期 | 5:1 1985.12[民74.12] |
頁次 | 頁1-18 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 內容; 股利; 股利宣告; 股價; 情報; |
中文摘要 | 本文利用近年的資料,將上市公司分成非預期股利增加25%以上、非預期股利減少25%以上、停發股利、續發股利及首次發放股利等五個樣本群,然後建立一個包括28個係數的迴歸模式,以隨機係數迴歸統計方法加權,估計每一群樣本公司的平均異常報酬,以代替傳統的殘差分析。結果發現,從系統風險與平均異常報酬在宣告日前後的變化情形來看,股利的確帶有情報內容。至於市場效率的問題,由於各群樣本間的市場反應狀況有所差別,很難獲得一致的結論。 |
英文摘要 | This paper uses the latest data to divide the firms into five groups, namely, the group with at least 25% increase on unexpected dividend, the group with at least 25% decrease on unexpected dividend, the group with omission on payment, the group with resumption on payment and the group with initial payment. We formulate a regression model with 28 coefficients and then utilze the Random Coefficient Regression (RCR) statistical method instead of the traditional residual analysis to obtain weights for estimating the mean abnormal return of each group. By observing the change of systematic risk and the mean abnormal return before and after the announcements the results show that dividend does convey information to investors. As for the market efficiency, the market reaction of each group behaves differently, and hence no conclusion can be obtained. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。