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研究生:蔡丞揚
研究生(外文):Chen-Yang Tsai
論文名稱:公司治理與現金股利宣告效果之資訊內涵
論文名稱(外文):Corporate Governance and the Information Content of Cash Dividend Announcements
指導教授:翁培師翁培師引用關係
指導教授(外文):Pei-Shih Weng
學位類別:碩士
校院名稱:國立中山大學
系所名稱:金融創新產業碩士專班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2023
畢業學年度:111
語文別:中文
論文頁數:119
中文關鍵詞:公司治理現金股利股利宣告效果事件研究法多元迴歸模型
外文關鍵詞:corporate governancecash dividendannouncement effect of dividendevent studymultiple regression model
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本研究旨在探討台灣上市上櫃公司宣告發放現金股利是否會對市場產生正異常報酬,並且進一步透過公司治理分析股利宣告效果的資訊內涵。首先,本研究發現台灣上市上櫃公司於現金股利宣告後會對股價產生顯著之正異常報酬,且於事發當日至事發後一天特別明顯。進一步透過單變量分析和Panel Data之多元迴歸模型
,本文發現企業之公司治理效能和現金股利宣告效果(即累積異常報酬)具顯著正相關,支持股利信號假說且於市場模型及市場指數調整模型皆證實此結果,隱含投資人會參考公司治理來判定公司現金股利發放之蘊含意義,以評估公司的長期發展前景和經營風險。透過延伸分析,本文亦發現不同樣本下,公司治理對現金股利宣告效果之影響程度也會不同。實證結果發現,上櫃公司高於上市公司、非電子業公司高於電子業公司、資訊透明度高之公司大於資訊透明度低之公司、券商追蹤分歧度高之公司大於券商追蹤分歧度低之公司、股票週轉率高之公司大於股票週轉率低之公司、景氣好之時期高於景氣壞之時期。綜合上述發現可知資訊透明度與雜訊程度
、交易流動性、總體經濟環境、產業和上市上櫃情況皆和公司治理與現金股利宣告效果之影響有關。
The purpose of this study is to investigate whether the announcement of cash dividends by companies listed on the Taiwan Stock Exchange (TSE) and over-the-counter (OTC) companies in Taiwan leads to positive abnormal returns in the market. Additionally, the study aims to analyze the informational content of dividend announcements in relation to corporate governance. Initially, the study discovered that Taiwan TSE and OTC companies experience significantly positive abnormal returns on stock prices following the announcement of cash dividends, particularly on the day of the announcement and the subsequent day. Further analysis utilizing univariate analysis and panel data multiple regression models revealed a significant positive relationship between the effectiveness of corporate governance and the effects of cash dividend announcements, as indicated by cumulative abnormal returns. This finding supports the dividend signaling hypothesis. Both market models and market index adjustment models corroborated these results, suggesting that investors take corporate governance into consideration when assessing the implied implications of a company''s cash dividend distribution in terms of long-term growth prospects and business risks. Through extended analysis, the study also observed that the impact of corporate governance on the effects of cash dividend announcements varies across different samples. Empirical evidence demonstrated that this impact was more pronounced for OTC companies than for TSE companies, non-electronic industry companies compared to electronic industry companies, companies with high information transparency relative to those with low information transparency, companies with high analyst tracking disagreement compared to those with low analyst tracking disagreement, companies with high stock turnover relative to those with low stock turnover, and during favorable economic periods as opposed to unfavorable economic periods. In summary, the findings suggest that the influence of corporate governance on the effects of cash dividend announcements is influenced by factors such as information transparency, noise level, trading liquidity, macroeconomic environment, industry, and listing status.
論文審定書………………………………………………………………………………………… i
中文摘要………………………………………………………………………………………… ii
英文摘要…………………………………………………………………………………………iii
第 一 章 緒論……………………………………………………………………………………1
第一節 研究背景與動機……………………………………………………………………1
第二節 研究目的……………………………………………………………………………2
第 二 章 文獻探討與假說建立………………………………………………………………3
第一節 現金股利、代理問題和股利宣告效果…………………………………………4
第二節 公司治理和股利政策……………………………………………………………5
第三節 公司治理相關文獻…………………………………………………………………6
第四節 公司治理與資訊透明度…………………………………………………………9
第 三 章 研究方法 ……………………………………………………………………………13
第一節 研究期間、樣本選取及資料來源……………………………………………13
第二節 現金股利宣告效果………………………………………………………………13
第三節 公司治理和全面性公司治理分數計算………………………………………18
第四節 公司治理分數與現金股利宣告效果單變量分析……………………………27
第五節 實證迴歸模型……………………………………………………………………28
第六節 不同情境分析……………………………………………………………………34
第 四 章 實證結果與分析 ……………………………………………………………………38
第一節 敘述性統計…………………………………………………………………………40
第二節 相關係數矩陣……………………………………………………………………… 40
第三節 股利宣告效果 …………………………………………………………………… 43
第四節 公司治理分數和累積異常報酬單變量分析…………………………………… 45
第五節 迴歸結果…………………………………………………………………………… 56
第 五 章 結論與建議 …………………………………………………………………………56
第一節 研究發現……………………………………………………………………………56
第二節 總結………………………………………………………………………………59
參考文獻………………………………………………………………………………………60
表次……………………………………………………………………………………………65
附錄……………………………………………………………………………………………110
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