企業除息日決策與市場週日期報酬率

The Ex-Dividend Day Decision and the Weekday Anomaly Effect

李世欽(Shih-Chen Lee)；劉任昌(Jen-Chang Liu)；葉馬可(Mark Yeats)；張瑞麟(Jui-Lin Chang)

股利政策 ； 除息日 ； 發放日 ； 週末效應 ； 週循環效應 ； 填息效應 ； Dividend policy ； ex-dividend date ； payment date ； weekend effect ； day-of-the-week effect ； ex-dividend date anomaly

致理學報

34期（2014 / 07 / 01）

413 - 464

繁體中文

本研究承襲李世欽、劉任昌與葉馬可（2014）對於企業發放現金股利之分析架構，試圖補充該研究之美國市場樣本僅有2005年之不足，而蒐集美國市場2013年第四季之資料（15,569個事件），以檢視目前美國市場之狀況，也應用週末效應文獻之結果檢視之。本研究發現：美國企業仍然是偏向在週三除息（占31.4%），且在週五發放（占35.37%）。除息日至發放日之間隔最小值是3日，最大值是66日。但眾數仍為16日，且第三四分位仍為21日；其他之中位數17日，帄均18.28日，以及第一四分位14日，皆與2005年之樣本統計量相當。本研究回顧股市週末效應文獻，利用臺灣加權股價指數日報酬率資料，逐年依照上下半年之週日期計算帄均報酬率，檢視除息日決策與股市報酬率之可能關聯。結果顯示公司經理人之除息週日期決策，不存在填息效應之擇時能力。

This study resumes the research of Lee, Liu and Yeats (2014) which examines the weekday factors that affect corporate decisions regarding both ex-dividend dates and payment dates, based on U.S. date from 2005. We collect the U.S. dividend data from 2013 (with a sample size of 15,569) to complement the previous study. In addition, we link the weekday factors of the corporate dividend decision with literature that addresses the day-of-the-week effect. We show that U.S. firms are still inclined to go ex-dividend on Wednesday (with a ratio of 31.4%) and to pay the dividends on Friday (with a ratio of 35.37%). The duration between the ex-day and payable day ranges from 3 to 66 days, with a mode of 16 days, a median of 11 days, and a mean of 18.28 days. Their first quartile is 14 days and the third quartile is 21 days. These quantities are similar to those in 2005. We also collect the daily returns data from the Taiwan Weighted Average Index from 2004 to June 2014. We calculate the average returns of Monday through Friday semi-annually. We find no association between the ex-dividend decision and the week-of-the-day effects.