On the Announcement Effects of Cash Dividends in Taiwan Stock Exchange

• Main Authors: Ya-Hui Chang, 張雅惠
• Other Authors: 許 碧 峰
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/07511576892073505995

碩士 === 義守大學 === 管理科學研究所 === 89 === This paper examines the announcement effect of cash dividends in Taiwan Stock Exchange (TSE). The sample period of this study covers from 1993 to 1999. We choose the date of announcing to hold annual shareholders’ meeting to be event day and use market model to calculate abnormal return (AR) and cumulative abnormal return (CAR). Also use traditions examine and standardized-residual test to calculate t-value. 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 AR/CAR Method. The result based on a sample of 394 firms listed on the Taiwan Stock Exchange for the period 1993 to 1999 are investigated. Conclusions obtained from this study are as follows: 1.The announcement effect of the cash dividends is not statistically significant. 2. The cumulative abnormal returns have information effect in 1993 to 1999.