| Summary: | 碩士 === 國立東華大學 === 國際經濟研究所 === 93 === Applying the stock order data in the Taiwan stock market, order imbalance, this paper studies Taiwan investor’s behaviors around ex-dividend days. The results are not consistent with Frank and Jagannathan’s (1998) theoretical derivation. First, the investors’ behaviors around ex-dividend days are quite different. Investors prefer high cash dividends to low cash dividends. In addition, foreign investors and security investment trust companies do not change their investment behaviors around ex-dividend days. However, other institutional investors such as other domestic institutions and security dealers buy stocks before the ex-dividend days and sell them after, and individual investors buy stocks on the ex-dividend days. Generally, limited evidence supports the tax-clientele hypothesis.
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