| Summary: | 碩士 === 國立臺灣大學 === 會計學系 === 85 === Abstract
The purpose of this thesis is to understand the stock
price and volume behavior on ex-dividend date for the
distribution of cash dividend and stock dividend.
Besides, we also discuss the way it works and the
existence of arbitrage opportunity.
In our study, we find the abnormal return is positive and
significant on ex-dividend date. The result can not be
completely explained by the "Tax Clientele Effect" since
imply tax rate is too high. Because of the high trading
cost, the short-term trading hypothesis can*t explain the
behavior in the stock market either. By examining the
trading volume before the ex-dividend date, we fine no
evidence to corroborate.
On the ex-dividend date of stock dividend, we also find
evidence of the existence of abnormal stock return.
After deducting all trading costs, there still are
arbitrage opportunities. This is similar to what happens
while testing the short-term trading hypothesis.
Furthermore, the trading volume we observe is also
consistent with short-term trading hypothesis.
After all, we suggest that the investors should hold
stock through the ex-dividend date of stock dividend,
which is rather profitable. And if the stockholder wants to
sell his stock around ex-dividend day , "sale after the
ex-dividend day" would be a good choice.
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