The Abnormal Returns of the Stock Price on the Ex-Right Date and the Declaration Date

• Main Authors: Su-Wen Lin, 林素雯
• Other Authors: Chih-Chi Ni
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/40883006839778271617

碩士 === 龍華科技大學 === 商學與管理研究所碩士班 === 91 === In Taiwan, stock market is one of the most important financial markets. But there is an unreasonable fact of an abnormal price at the ex-right date. In fact, a corporation will not change its shares when they pay the stock dividends to their stockholders. The number of the shares will increase but the stock price per share will decrease. Therefore, the corporation’s value will be unchanged. On the other hands, if there is any information transformation effect when the corporations announce paying the stock dividends, then the abnormal returns will display after the declaration day, not an ex-right day. Why the investors like to buy the stock after the ex-right day? In this paper, we use the event study method and the market model to estimate the expected returns. We hope to know the abnormal returns around the ex-right day and the declaration date from 1999 to 2002. We show that there are sustained a few days abnormal returns after the ex-right day from 1999 to 2002 in Taiwan, electronic especially. There is a significant information transformation effect in the stock market. Investors prefer to sell their stocks at the third day before the ex-right day and repurchase them at the ex-right day.