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題 名 | 股票股利及現金增資之除權與股價行為:理論與實證=Stock Dividends, Equity Right Issues and the Stock Price Behavior around the Ex-Right Date: Theory and Evidence |
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作 者 | 李存修; 李存修; | 書刊名 | 臺大管理論叢 |
卷 期 | 2:1 1991.05[民80.05] |
頁 次 | 頁1-40 |
分類號 | 563.53 |
關鍵詞 | 填權預期假說; 比價心理假說; 稅負效果假說; 稀釋效果假說; 棄權假說; Right-value recovery expectation; Bargain hunting; Tax effect; Dilution effect; Forfeiting hypothesis; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究對股票股利及現金增資之除權交易日前後的股價行為,提出一些與投資人之行為與心理有關的假說,並加以驗證,其中「填權預期假說」與「比價心理假說」較能獲得實證資料的支持,「稅負效果假說」,「稀釋效果假說」。及「棄權或賣股籌款假說」則未獲支持。另外,本文有兩項較重要的發現:(1)兩種事件在除權交易日之前均有一段四、五天的棄權日,此為現有文獻中所未曾發現的。(2)股票股利除權前15天至除權後30天之間的異常報酬率,與配股率呈三階段的線性關係 ( piecewise linear relationship ) ,兩個轉折點分別在配股率為28%與84%之處,對公司的股票股利之發放政策應有所啟示。 |
英文摘要 | Stock price behavior around the ex-right dates of stock dividendes and eq-uity right issues has been regarded as an anomaly [Grinblatt, Masulis and Titman ( 1984 ), for example]. This paper propses a few investor behavior oriented hypotheses to explain this seemingly anomalous stock price behavior followed by some empirical investigations. The evidence supports the hypothesis of right-value recovery expectation and the hypothesis of bargain hunting, but fails to support the more traditional tax effect and dilution effect. Two additional major findings are also documented: (1) There seems to be a four to five-day forfeiting period just prior to the ex-right date of both types of events, which has not been documented in the literature. Interestingly, this forfeiting phenomenon is not related to tax avoidance, dilution effect or fund raising pressure due to new stock subscription. (2) The abnormal returen between 15 trading days prior to and 30 trading days after the ex-right date of stock divi-dend is found to be related to the stock dividend rate in a piecewise linear fashion, with two turning points occurring at the stock dividend rates of 28% and 84%, respectively. Some implications to the corporate policies of stock divi-dends and equity right issues are drawn from these findings. |
本系統中英文摘要資訊取自各篇刊載內容。