The impact of stock returns on dividend announcement on Taiwan motherboard market.

• Main Authors: HUANG, TUNG-LING, 黃冬玲
• Other Authors: GOO, YEONG-JIA
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/36225047745960041328

碩士 === 國立臺北大學 === 統計學系 === 92 === 　　The paper utilized intervention model to study the impact of stock returns on dividend announcement on Taiwan motherboard market. The sample period of this study covers from January 1 2001 to July 11 2003. This study is based on the historical data of six Taiwan motherboard manufacturer which had paid full dividend form 2001 to 2003. The objective of this study is to test the impact of abnormal returns on dividend announcement. In addition, for all stocks in the sample, analysis the difference of the method between the average of abnormal return and the average cumulation of abnormal return. There are several findings: 1. There is only one stock has the effect of abnormal return in the situation of increase dividend on the date of dividend announcement. 2.There is only one stock has the effect of abnormal return in the situation of dividend decrease on the date of dividend announcement. 3.There isn’t any stock has the effect of abnormal return, under the situation of dividend remains unchanged, on the day of dividend announcement. 4.There isn’t any stock has the effect of abnormal return, on the next day of dividend announcement, under all dividend policies. 5.There is only one stock has the effect of abnormal return, from the second to the fifth day after dividend announcement which decreases dividend. 6.The test on the average abnormal return of sample, under the situation of dividend increase, shows the rate of return of stock price has no significant difference from the day of dividend announcement to the fifth day of it. 7.The test on the average abnormal return of sample, under the situation of dividend decrease, shows the rate of return of stock price has significant difference only on the third and forth day after the announcement. It has no significant difference in the other time periods discussed in this study. 8.The test on the average cumulation abnormal return shows no information content effect form the day of dividend announcement to the fifth day of it, no matter what dividend policy is.