在當代股票市場中，公司通常以股利形式分配部分盈利給股東，以展示公司財務穩健性和盈利能力。台灣股市的「除權息」現象突顯了股票股利的影響力。本研究分析了 2009 年至 2023 年間台灣上市公司在除權息期間的股價行為及異常報酬。我們計算了公告除權息日隔天至除權息前一天、除權息前三天至除權息前一天、除權息當天開盤至收盤、除權息後 20 天至 60 天及除權息後 60 天至 180 天等五個時段的平均報酬率、勝率、扣除大盤報酬後的平均報酬率及標準差。

結果顯示，股票股利在勝率、報酬率及累積異常報酬（CAR）方面表現最佳，報酬率顯著高於全樣本、現金股利及不同殖利率範疇。此外，跳空價差和稅後 ROE 顯著提高了報酬率，而大戶持股率也對報酬變化有顯著影響。

本研究結果為投資者和研究者提供了重要參考，揭示了股利政策中特別是股票股利對股價行為及異常報酬的影響。未來研究可進一步探討不同市場環境下這些因子的長期影響，以提供更全面的見解。

In stock markets, companies distribute dividends to demonstrate financial stability and profitability. The ”ex-dividend” phenomenon in Taiwan high-lights stock dividends’ impact. This study analyzes stock price behavior and abnormal returns of Taiwanese listed companies from 2009 to 2023, calculating average return rates, winning percentages, and abnormal returns (CAR) over periods around the ex-dividend date.

Results show that stock dividends outperform in winning percentages, return rates, and CAR, significantly exceeding the full sample, cash dividends, and various yield categories. Additionally, price gap and post-tax ROE significantly improve returns, while large investor ratio also impacts return variations.

These findings provide insights for investors and researchers, revealing the influence of dividend policies, especially stock dividends, on stock price behavior and abnormal returns.

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