兩岸股票股利與股價關聯性之研究

Abstract

中國從2013年4月1日起，開放境內港、澳、台居民可開設A股帳戶投資A股，許多往返兩岸的台灣投資者多了一項投資A股的選擇。本文目的在探討兩岸上市公司發放股票股利對股價造成的影響與可能因素，希望能讓台灣投資者選擇在台灣或中國市場參與股利分派。本文以2007年至2013年台股與中國A股上市公司為樣本，先分析兩岸市場與發放股票股利三大重要事件日的異常報酬，再比較高配股與低配股樣本間異常報酬的差異，並分析2013年起中國與台灣個人投資者分別經歷股息紅利稅制之改變與開徵補充保費，對於兩岸除權股之異常報酬是否產生影響，本文最後取累積異常報酬為應變數，盈餘配股率、公積配股率、配股率增加與否、現金股利發放與否、股價淨值比作為自變數，探討這些因素對於股價的影響，其研究結果如下: 一、台灣與中國於股票股利第一次宣告日與股東會決議(公告)日前後，皆呈現「先上漲、後下跌」之型態，台股與中國A股皆存在股利宣告效果導致股票上漲，而中國A股在宣告日前即出現正的異常報酬有資訊外洩之嫌。而在股東會決議(公告)日前後，面臨沉重賣壓。在除權日期間，台股存在除權行情，中國A股則無，且中國A股除權股於除權日前後股價先漲後跌，似有炒作跡象。 二、台灣與中國之高配股率(配股率大於25%)樣本在股利第一次宣告期間，異常報酬皆高於低配股率樣本，支持信號傳遞效果。台灣高配股率與低配股率樣本皆有除權行情，中國高配股率樣本則於除權日前後先漲後跌，不存在除權行情。 三、除權日前，台灣與中國於2013年間的異常報酬皆沒有比2007年至2012年間的樣本低，投資者並未因新股息紅利稅制(或開徵補充保費)對淨股利所得的負面影響，而顯著降低參與除權的意願。除權日後，台灣與中國於2013年間之累積異常報酬皆較2007年至2012年樣本高，代表2013年投資人於除權後回補股票意願較往年高。

四、在台灣與中國股票市場，盈餘配股率與公積配股率越高，股利第一次宣告日期間異常報酬越高，其中低股價淨值比公司之股票股利宣告較受投資者青睞。除權日期間台股盈餘配股率與公積配股率越高者除權效應越強，支持比價心理假說，但當年度配股率較前一年度高者反而於除權期間對異常報酬呈現負向影響。中國A股當年度配股率較前一年度高者對異常報酬的影響於除權日前後由正轉負，似有受投資人炒作之嫌。

Taiwan investors have been allowed to invest in China A-share market directly since April 1st, 2013. The thesis examines the market reaction to a sequence of event dates related to stock dividend issuance to help Taiwan investors decide when and which market to participate in stock dividend issuance. The samples are selected from listed companies on Taiwan Stock Exchange and A-share companies listed on Shanghai and Shenzhen Stock Exchange from 2007 to 2013. The empirical results are summarized as follows: 1. There is significant announcement effect of stock dividends in Taiwan and China's A-share market. However, China's A-share market reacts positively before the dividend announcement date, seemingly because of information leakage. Throughout the shareholder meeting period, both markets fall significantly. During the ex-right period, Taiwan market cumulated positive abnormal returns. China's A-share market rallies before ex-right day, but soon tumbles since ex-right day. 2. High payout sample (more than 25% payout ratio) has higher abnormal returns than low payout sample. The finding is consistent with the signaling theory. Taiwan's high and low payout samples remain significantly positive abnormal returns during ex-right period. However, China's high payout sample exhibits a price uptrend before ex-right day and a price downtrend since ex-right day respectively. 3. Unexpectedly, the implementation of new dividend taxation in China and supplementary insurance premium in Taiwan didn't pose a negative price impact on ex-right stocks in both markets before ex-right day in 2013. Furthermore, the abnormal returns in 2013 are higher than those from 2007 to 2012 since ex-right day. The result implies investors are more willing to buy back the ex-right stocks in 2013. 4. The higher the stock dividend payout ratio from retained earnings and from capital surplus, the higher the announcement effect in Taiwan and China market. Investors prefer to the stock dividends from the companies with low market-to-book ratio in both markets. Throughout the ex-right period in Taiwan, the cumulative abnormal returns are positively correlated with the higher payout ratio. The result is consistent with the hypothesis of bargain hunting. In China, ex-right stocks are just regarded as an accounting game and the targets for investors to speculate.