臺灣博碩士論文加值系統

此篇論文主要是要利用Ham et al.(2020)所提供的事件區間法來檢驗在台灣股利改變是否能夠傳遞公司未來盈餘的訊息。在這篇研究當中我考慮了現金股利以及股票股利，我發現股利變化可以預測公司未來盈餘變化，並且可以預測至股利變化後第二年，我將公司分成只發放現金股利的公司，以及同時發放股票股利以及現金股利的公司，我發現同時發放現金股利以及股票股利的公司的股利變化無法傳遞公司未來盈餘的相關消息，但只配發現金股利的公司的股利變化則可以傳遞公司未來盈餘的相關消息。整體來說，使用事件區間法，此結果支持在台灣股票的訊號假說亦成立。

I want to investigate whether dividends changes convey information about future earnings in Taiwan by using the event window approach suggested by Ham et al. (2020). In this study, I consider both cash dividends and stock dividends. My finding is that changes in dividends can predict earnings changes, and especially, until the second year. I separate the firms into those only paying cash dividends, and those paying both cash dividends and stock dividends. I find that changes in dual dividends cannot convey information about future earnings, while changes in only cash dividends can convey information. Overall, these results support the signal hypothesis in Taiwan through the event window approach.

口試委員會審定書 i
摘要 ii
Abstract iii
1. Introduction 1
2. Literature Review 5
3. Event Window Approach vs. Fiscal Year Approach 9
4. Data and Empirical Specification 11
5. Summary Statistics 11
6. Empirical Result 12
7. Conclusion 16
Reference 18
8. Tables 20
Table 1. Dividend and Dividend Types Including Cash Dividends and Stock Dividends
20
Table 2. Summary Statistics 21
Table 3. Dividends Changes and Earnings Change 22
Table 4. Event Window Approach and Fiscal Year Approach 24
Table 5. Event Window Approach: Types of Dividends Only Cash Dividends Observation and Only Dual Dividends Observation 26
Table 6. Event Window Approach : Positive and Negative Change in Dividends
28
Table 7. The Effect of Cash and Stock Dividends on Earnings Changes with Delta Q1 to Q3 31
Appendix A. Variable Definition 32

English literature
1. Charles G. Ham, Zachary R. Kaplan, Mark T. Leary, 2020, Do dividends convey information about future earnings?, Journal of Financial Economics, 136
2. Watts R., 1973, The information content of dividends., Journal of Business, 46.
3. Benartzi S., Michaely R., Thaler R., 1997, Do changes in dividends signal the future or the past?, Journal of Finance, 52.
4. Grullon G., Michaely R., Benartzi S., Thaler R., 2005, Dividend changes do not signal changes in future profitability., Journal of Business, 78.
5. Fama E.F., French K.R., 1998, Taxes, financing decision, and firm value., Journal of Finance, 53.
6. Skinner D.J., Soltes E., 2011, What do dividends tell us about earnings quality?, Review of Accounting Studies, 16.
7. Nissim and Ziv, 2001, Dividend Changes and Future Profitability, Journal of Finance, 61
8. Chin-Sheng Huang, Chun-Fan You, Szu-Hsien Lin, 2009, Cash dividends stock dividends and subsequent earnings growth, Pacific-Basin Finance Journal, 17.
9. Chin-Sheng Huang, Chun-Fan You, Hsiao-Fen Hsiao, 2017, Dividends and Subsequent Profitability: An Examination of a Dual Dividend Stock Market, Review of Pacific Basin Financial Markets and Policies, 20
10. Zhou and Ruland, 2006, Dividend Payout and Future Earnings Growth, Financial Analysts Journal, 62
11. Grinstein and Michaely, 2005, Institutional Holdings and Payout Policy, Journal of finance, 60


Chinese literature
1. 林俊憲, 2020, 現金股利支付率與未來盈餘成長率之關係: 以台灣上市公司為例
2. 張惟荏, 2017, 股利支付率與未來盈餘成長關係之研究
3. 陳振福, 2009, 股利政策與股權結構、公司治理、未來盈餘關聯性之研究
4. 林宜勉, 游淑禎, 2003, The Relationship between Dividend Signal and Future Earnings, 台灣管理學刊, 3卷2期
5. 吳文琦, 1997, 現金股利宣告資訊效果----訊號假說、過度投資假說、顧客效果假說三者互動模式之研究