PRICE AND VOLUME REACTIONS TO CASH DIVIDENDANNOUNCEMENTS: EVIDENCE FROM TAIWAN

Jack J.W. Yang, National Yunlin University of Science and Technology, Taiwan Tsung-Hsin Wu, National Yunlin University of Science and Technology, Taiwan

ABSTRACT Are stock market investors concerned with obtaining abnormal returns by acquiring certain information? This paper studied the effect of ex-dividend date for cash-dividend policy. We try to demonstrate the existence of abnormal returns by examining stock trading situations before and after the ex-dividend date. We find that abnormal returns exist for listed Taiwan firms before and after the ex-dividend date. If an investor buys the stock of a firm who adopts a cash-dividend payout at the closing price 11 days before the ex-dividend date, and sells them at the closing price 10 days after the ex-dividend date, the investor will obtain an average 2.13% abnormal return, regardless of the transaction cost. This paper further analyzes whether firms adopting cash-dividend payouts have different abnormal returns on stock price performance depending on different variables. Yilmaz and Gulayrsquo;s (2006) method of analyzing abnormal returns of stock prices was adopted. Further studies were undertaken of the three dimensions of cash-dividend payout ratio, stock trading turnover rate, and the firm size.

JEL：G12, G14

KEYWORDS：Cash Dividend, Abnormal Returns, Event Study

INTRODUCTION

The Taiwan stock market is one of the most important capital markets in Asia. The Taiwan Stock Exchange was founded in 1962. It has a history of about 50 years, and has developed from manual settlement to fully computerized operations today. The Taiwan stock market not only activates capital movements but also enables firms in Taiwan to acquire funds needed for expansion. The complete stock market was a key factor leading to the economic expansion of Taiwan in the 1960s.

This paper studies the effect of ex-dividend date for cash-dividend policy. We try to prove the existence of abnormal returns by examining stock trading situations before and after the ex-dividend date. If an investor buys the stock of a firm who adopts a cash-dividend payout at the closing price 11 days before the exdividend date, and sells them at the closing price 10 days after the ex-dividend date, the investor will obtain an average of about 2.13% abnormal returns, regardless of the transaction cost. Yilmaz and Gulay (2006) used data from the Istanbul Stock Exchange (ISE) from 1995 to 2003. They discovered that, due to the payout of cash dividends, stock prices before and after ex-dividend dates showed an increasing tendency. The decreasing range of the stock price was smaller than the amount of the dividends paid out, resulting in significant abnormal returns. They find a significant increase in volume before the ex-dividend date, but it tended to maintain stability after the ex-dividend date. We also investigate any difference in the investment behavior of investors with respect to the dividend payout ratio, stock trading turnover rates and firms size in the Taiwan Stock Exchange (TWSE) from 2001 to 2011.

The 11 year period, during which the market size expanded from 531 listed firms, with total market value of NTD (New Taiwan Dollar) 8.19 trillion in 2000, to 811 firms with total market value of NTD 22 trillion by July 2013. The number of listed firms increased by 52.73%, and total market value increased by 168.62%.Listed stock trading in Taiwan was conducted following the provision of Article 150 of Taiwan Stock Exchange Act. The trading of listed negotiable securities is conducted in a centralized security exchange market launched by a stock exchange corporation. The detailed content includes 1.) The opening and the closing of the market: unless otherwise specified. The transaction period of the centralized security exchange market is from 9 a.m. to 1:30 p.m. every Monday to Friday. 2.) Trading types can be classified into three types (a) settlement trading on a regular date; (b) settlement trading on a closing date; and (c) settlement trading on an appointed date. Settlement trading on a regular date should be completed at the second closing date after the deal is agreed. Settlement trading agreed at a closing date should be completed on the same day with the written consent from both trading parties. The trading method for settlement trading on an appointed date should be generated by the Taiwan Stock Exchange Corporation, and put into practice after obtaining approval from the competent administrative authority. 3.) The trade matching method follows the principles of price priority and time priority. Information on volume and price, the amount of completed trades and five uncompleted best trades after matching should be revealed. The sequence of trading orders are decided by the following principles: (a) the principle of price priority where buying orders with higher prices come before those with lower prices, and selling orders with lower prices come before those with higher prices. (b.) Orders with the same price follow time priority; (b) under the principle of time priority orders entered before the market opens follow a random arrangement by computer. Orders entered after the market opens follow the time priority. 4.) Trading and fluctuation units should be one trading unit or its integral multiple. The value of each share is NTD 10, and 1,000 shares equal one trading unit. The trading price is subject to the price of one share. 5.) Daily fluctuation range implies an increasing or decreasing limit equal to 7% of the opening price.

In the past, the majority of listed firms and investors in Taiwan valued stock dividends. However, stock dividends lead to equity inflation, and dilute the earnings. Moreover, a preference for cash dividends exists in the current market. Since 2000, the percentage of listed firms adoptin

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现金股利分红的价格与数量反应——基于台湾的数据

杨振伟，国立云林科技大学，吴宗新，国立云林科技大学，台湾

摘要：股票市场投资者是否关心通过获取某些信息获得异常收益？本文研究了除息日对现金股利政策的影响。我们试图通过考察除息日前后的股票交易情况来证明异常收益的存在。我们发现台湾上市公司在除息日前后存在异常回报。如果投资者在除息日之前11天以收盘价购买采用现金股利支付方式的公司股票，并在除息日之后10天以收盘价出售，则投资者将获得平均2.13 %的异常回报，而不考虑交易成本。本文进一步分析了采用现金股利支付方式的公司是否因变量不同而存在不同的股价表现异常收益。采用yilmaz和Gulay ( 2006 )的股票价格异常收益分析方法。进一步研究了现金股利支付率、股票交易周转率和公司规模三个维度。

关键词:现金股利，异常收益，事件研究

介绍

台湾股票市场是亚洲最重要的资本市场之一。台湾证券交易所成立于1962年。它已有大约50年的历史，并已从手工结算发展到今天的完全计算机化的业务。台湾股市不仅活跃了资本流动，而且使台湾的企业能够获得扩张所需的资金。20世纪60年代，完整的股票市场是导致台湾经济扩张的关键因素。

本文研究了除息日对现金股利政策的影响。我们试图通过考察除息日前后的股票交易情况来证明异常收益的存在。如果投资者在除息日之前11天以收盘价购买采用现金股利支付方式的公司股票，并在除息日之后10天以收盘价出售，则无论交易成本如何，投资者将获得平均约2.13 %的异常回报。yilmaz和Gulay ( 2006年)使用了伊斯坦布尔证券交易所1995年至2003年的数据。他们发现，由于支付现金股利，股票价格在除息日前后呈现上升趋势。股价下跌幅度小于已派发股息的数额，导致重大异常收益。他们发现，在除息日之前，数量显著增加，但在除息日之后，数量趋于保持稳定。本文还考察了2001 - 2011年台湾证券交易所( TWSE )投资者在股利支付率、股票交易周转率和公司规模等方面的投资行为差异。

11年期间，市场规模从2000年的531家上市公司(新台币)总市值8.19万亿元扩大到2013年7月的811家公司(新台币总市值22万亿元)。上市公司数量增长52.73 %，市场总价值增长168.62 %。台湾上市股票交易依照《台湾证券交易法》第150条的规定进行。上市有价证券的交易在证券交易所公司发起的集中证券交易市场进行。具体内容包括

1.)市场的开放和关闭:除非另有规定。集中证券交易市场交易时段为每周一至周五上午9时至下午1时30分。

2.)交易类型可分为三类: ( a )定期结算交易；( b )结算日的结算交易；( c )在指定日期进行结算交易。定期结算交易应在交易达成后的第二个结算日完成。结算日约定的结算交易，经交易双方书面同意，应于当日完成。约定日期结算交易的交易方式，由台湾证券交易所公司制定，经行政主管部门批准后实施。

3.）贸易匹配方法遵循价格优先和时间优先的原则。应披露数量和价格、完成交易的数量和匹配后五个未完成的最佳交易的信息。交易订单的顺序由以下原则决定: ( a )价格优先原则，即价格较高的订单先于价格较低的订单，价格较低的订单先于价格较高的订单。( b )具有相同价格的订单遵循时间优先级；( b )根据时间优先次序的原则，在市场开放前输入的命令，是以电脑随机安排的。市场开放后输入的订单遵循时间优先级。

4.)交易和波动单位应为一个交易单位或其整数倍。每股价值为NTD 10，1000股等于一个交易单位。交易价格以一股价格为准。5 .)日波动幅度意味着等于开盘价7 %的涨跌幅限制。

过去，台湾大多数上市公司和投资者都重视股票股利。然而，股票股利会导致股票价格上涨，并稀释收益。此外，当前市场存在现金股利的偏好。自2000年以来，采用现金股利支付方式的上市公司比例在所有上市公司中均有显著增加。2001年首次超过10 %，达到14.73 %。从那时起，这一比例逐年上升，2011年超过50 %。也就是说，现在每两个公司中就有一个采用现金支付的股利政策。本文的其余部分如下。下一节对本研究的主题进行了文献综述。接下来，我们描述数据和方法。实证结果将在下一节中介绍。最后一节提供了结论和一些结束语。

文献评论
公司股利政策的决定取决于公司的盈利能力、成长性、现金流量比率和财务结构等因素。ofer和Siegel ( 1987 )认为股息的变化反映了盈利变化的预测。DeAngelo ( 1992 )指出，当一家公司预期未来会有稳定的现金流时，它往往会支付现金股利。

一般来说，与小型企业相比，大型企业具有外部融资成本低的优势。他们更容易获得资金。因此，大型企业的现金股利支付率高于小型企业。Fama和French ( 2001年)的研究也支持支付现金股利的公司规模大的观点。此外，Brav、Graham、Harvey和Michaely ( 2005年)对管理人员进行了问卷调查。管理人员指出，稳定的现金股利政策是主要目标。然而，除非他们能够确认未来稳定的现金流，否则他们宁愿用股票回购代替现金股利。

很多文献都指出，股利政策伴随着正的异常收益。例如Miller和Rock ( 1985年)以及Allen等人。( 2000年)两人都认为股息的支付是积极的信息，而Guay和Harford ( 2000年)证明股票价格对宣布现金股息有积极的反应。

Elton和Gruber ( 1970年)发现，股票价格在除息日的下跌幅度小于已支付的股票股利总额。这一发现导致大量文献研究股票价格在除息日的变化。他们认为出现这种现象是因为资本利得税高于股息税。然而，Frank和Jagannathan ( 1998 )对香港股市的研究得出了不同的结论。香港的股息和资本收益都是免税的。在这种情况下，根据税负效用理论，股利分配日不应出现异常收益。然而，经验证据显示，除股息之外的日期有正的异常回报，这几乎与股票股息的数额无关。此外，巴厘和海特( 1998年)研究了纽约证券交易所和美国证券交易所。他们还发现，在除息日，股票价格的下跌与支付的股息不相等。

Denis和Osoboy ( 2008 )研究了美国、加拿大、英国、德国、法国和日本等发达国家的数据，研究了这些国家上市公司的股利政策。他们发现了类似的时间趋势。研究指出，1988～2001年间，上市公司分红比例呈下降趋势。那些规模较大、利润较高的公司宁愿支付股息。

此外，在支付股息的公司中，资本和股息的数额高度集中在一些大公司。费赫等人。( 1988 )发现在申报日，收益与股息的增加(减少)之间存在显著的正(负)关系。股票价格反应与股息收入的增加直接相关。麦克利等人。( 1995年)利用纽约证券交易所和证券交易所的材料，研究市场对开始支付股息的公司和停止支付股息的公司的反应。他们发现，停止现金股利的公司的短期股价反应强于开始支付现金股利的公司。yilmaz和Gulay ( 2006年)从1995年至2003年使用了伊斯坦布尔证券交易所的材料。他们发现，由于支付现金股利，股票价格在除息日前后呈上升趋势。股价下跌幅度小于分红金额，存在显著的异常收益。他们发现在除息日之前数量显著增加，但在除息日之后趋于保持稳定

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