填權息效果與股價動能之關係

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Title:	填權息效果與股價動能之關係
Other Titles:	The Relationship between the Effect of Price Recovery after Ex-right and Ex-dividend and Stock Price Momentum
Authors:	何杰霖 HO, CHIEN-LIN
Contributors:	劉永欽 Liu, Yong-Chin 財務金融學系
Keywords:	股價動能;除權與除息;填權息報酬;填權息天數;異常報酬 stock price momentum;ex-right and ex-dividend;the returns of price recovery;the days of price recovery;abnormal return
Date:	2023
Issue Date:	2023-11-22 01:14:27 (UTC+0)
Abstract:	本研究探討股票除權息前價格動能對填權息效果的影響，以台灣上市櫃公司 (不含金融股) 為樣本，股價動能包含1、2、3、6及12個月的期間報酬，填權息效果包括首次及完全填權息的異常報酬與原始報酬，以及所需天數，使用迴歸分析，控制其他影響填權息效果的因素，結果發現：除權息前越近期的動能越強，則首次填權息的異常報酬越大、填權息天數越少，而原始報酬也越大，但原始報酬衡量的填權息天數卻越多，與理論的看法相反，基於考量市場多空狀況的影響較具一般性與周延性，故本研究認為實證結果應是考慮異常報酬下的天數較合理，即除權息前越近期的動能越強，則首次填權息所需天數越少。完全填權息的部分，結果也顯示近期動能對填權息的原始報酬正向影響較大，而所需天數則只受到一個月動能的正向影響，故確應考慮市場多空的影響。以上結果也指出首次填權息和完全填權息的報酬和天數受到先前動能的影響也有不同。本研究實證結果可提供想利用除權息事件賺取超額報酬的投資人參考，建議投資人必須同時考量整體股市的情況，才能利用除權息前的動能表現及其期間長短來擬定投資策略。 This study explores the impact of stock price momentum before ex-right and ex-dividend on the effects of price recovery after ex-right and ex-dividend. Taking Taiwanese listed companies (excluding financial stocks) as samples, stock price momentum includes 1, 2, 3, 6 and 12-month period returns. The first and complete price recovery effects include the abnormal returns and original returns as well as the number of days required after ex-right and ex-dividend. Using regression analyses and control other factors that affect the effects of price recovery, this study finds that the more recent and the stronger the price momentum before the ex-right and ex-dividend, the larger the effects of the first price recovery, including the greater abnormal returns and their fewer days, and the greater original returns, but the more days as measured by the original returns. Contrary to theoretical views, the results based on the consideration of long-short stock market conditions is more general and protracted; therefore, this study believes that the empirical results about the number of days under the consideration of abnormal returns is more reasonable. That is, the more recent and stronger the price momentum before the ex-right and dividend, the less days is required to the first price recovery. As to the complete price recovery, the results also show that the recent and stronger the price momentum, the greater positive impact on the original returns of price recovery, while the required number of days is positively affected only by one-month momentum. Thus, the impact of stock market conditions should be considered. The above results also indicate that the impacts of the prior price momentum on the returns and the number of days for the first price recovery and the impacts for the complete price recovery are different. The empirical results of this study can provide a reference for investors who want to use the ex-dividend events to earn excess returns. It is suggested that investors had better consider the overall stock market situation in order to use the price momentum conditions for the various periods before ex-dividend to formulate investment strategies.
Appears in Collections:	[財務金融學系] 博碩士論文

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