The Asymmetric Responses of Stock Prices to Dividend Changes -- Evidence from Taiwan’s Electronics Industry
碩士 === 銘傳大學 === 經濟學系碩士班 === 101 === Dividend discount model documents that the stock price should be equal to the present value of its future dividends, which implies a long-term equilibrium relationship between stock price and dividend. Campbell and Shiller (1987) thus utilize the cointegration t...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91055796283541459229 |
| Summary: | 碩士 === 銘傳大學 === 經濟學系碩士班 === 101 === Dividend discount model documents that the stock price should be equal to the present value of its future dividends, which implies a long-term equilibrium relationship between stock price and dividend. Campbell and Shiller (1987) thus utilize the cointegration test to investigate this very relationship with the U.S. stock data, and find that the empirical support of the dividend-discount model seems to be disappointing. This then leads to many subsequent studies such as MacDonald and Power (1995) and Marsh and Power (2000). We try to shed some light on this issue by incorporating the dividend volatility which has been ignored in the previous literature into the model. Following Black (1976), whether stock price responds asymmetrically to positive and negative dividend changes is explored. Data of Taiwan’s electronics industry is used to conduct the study.
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