The Wealth Effect of Participating in Dividend

• Main Authors: Shu-jen Kang, 康素珍
• Other Authors: Tsai-yen Chung
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/00755343653419026700

碩士 === 元智大學 === 會計學系 === 93 === Abstract In an era during which financial systems evolve at a rapid pace, personal finance instruments emerge in response to lucrative demands. However, stocks remain as the most common instrument for investment. This thesis examines randomly selected 100 stocks listed in Taiwan Stock Exchange in 2002 and studies the effect of participating in stock or cash dividend distributions on shareholders’ wealth. The results are as follows: (1) Certain trading restrictions did not negatively reduce stock returns, indicating that the liquidity problem is not significant. (2) There is a negative effect on stock returns from selling pressure before ex-dividend date, however, the price recovers one day before and the day of the ex-dividend date. (3) Based on the abnormal returns over the period of 125 trading days after the date of declaration, smaller stock dividend and below medium cash dividend firms have significant positive abnormal returns, indicating that price can recover more easily for smaller stock or cash dividends. These results can assist investors in deciding whether to participate in the dividend distribution in order to maximize their wealth. Keywords: Ex-dividend Declaration Abnormal Returns