ABSTRACT
Due to the information asymmetry in Taiwan’s stock market, this study investigates the variation of stock return and risk with ex-right and ex-dividend date factors. By sampling on the companies listed in Taiwan that grant dividends every year between 2005 and 2014, Event Study methodology is conducted to explore on how ex-right and ex-dividend dates correlate to abnormal stock return and risk. Abnormal stock return with ex-right and ex-dividend date factors is not significant in 10 years sampling period, however, there are six (6) years of annual returns with significantly positive abnormal returns. Abnormal risk is not significantly correlated to ex-right and ex-dividend date factors, however, most of the results shows negative correlation, which indicates that ex-dividend and ex-right stocks has less risk than stock market index. Abnormal return is significantly negative correlated to abnormal risk during ex-right and ex-dividend period. The average cumulative abnormal return of high dividend stocks is higher than low dividend stocks during ex-right and ex-dividend periods.
