近年來以現金股利為主的金融商品使台灣市場投資人趨之若鶩，顯示我國投資人偏好具有穩定配息之投資工具，因此本研究欲探討我國股票現金殖利率與股價崩跌風險之關聯性，並依Baker & Wurgler (2003) 提出之股利溢酬模型著重討論排除市場溢酬效果之特有殖利率對崩跌的影響。實證結果顯示現金殖利率高低與未來股價崩跌風險成反比；此外，研究結果亦發現，股利溢酬效果將使負偏態係數上升，若公司過度地迎合市場股利偏好，將增加未來股價崩跌風險。此研究結果得幫助市場了解我國投資人對於現金股利率的重視程度，將來若要探討我國股價崩跌風險，鑑於投資人傾向，應能將現金殖利率納入考量。

Wealth management products based on cash dividends have become very popular among Taiwanese investors in recent years. Investment vehicles with stable dividends play an important role in Taiwan. Therefore, this study aims to explore the correlation between stock dividend yield and price crash risk in Taiwan. According to the Dividend Catering Model proposed by Baker & Wurgler (2003), we calculate the specific dividend yield which excludes the market catering effect. Then, we focus the impact of specific dividend yield on the crash risk. The empirical results show that the level of cash yield is inversely proportional to the crash risk of future. In addition, the results of the study also found that the catering effect will increase the negative skewness coefficient. In other words, when the company overly caters to investor preferences, price crash will happen easily in the future. The results of this research provide insight into how much Taiwanese investors value the dividend yield.

目錄
論文審定書 i
摘要 ii
Abstract iii
目錄 iv
表目錄 v
第壹章 緒論 - 1 -
第一節 研究背景與動機 - 1 -
第二節 研究目的與貢獻 - 3 -
第貳章 文獻回顧與假說建立 - 4 -
第一節 股利政策文獻回顧 - 4 -
第二節 股利溢酬理論文獻回顧 - 6 -
第三節 股價崩跌風險文獻回顧 - 7 -
第四節 假說建立 - 9 -
第參章 研究方法 - 11 -
第一節 變數之衡量 - 11 -
第二節 迴歸模型設計 - 17 -
第三節 研究期間與樣本選取 - 19 -
第肆章 實證結果與分析 - 20 -
第一節 敘述性統計 - 20 -
第二節 相關性分析 - 21 -
第三節 實證結果分析 - 22 -
第四節 散戶持股影響 - 24 -
第五節 穩健性測試 - 28 -
第伍章 結論 - 29 -
第一節 研究結論 - 29 -
第二節 研究限制 - 30 -
參考文獻 - 31 -


表目錄
表4-1 敘述性統計量表 - 33 -
表4-2. 相關係數表 - 34 -
表4-3. 現金殖利率與股票崩跌風險衡量指標 - 35 -
表4-4 平均股利溢酬(EW)與股票崩跌風險衡量指標 - 36 -
表4-5 加權股利溢酬(VW)與股票崩跌風險衡量指標 - 37 -
表4-6 現金殖利率、散戶交易占比交乘項與崩跌風險指標 - 38 -
表4-7. 特有現金殖利率(EW)、散戶交易占比交乘項與崩跌風險指標 - 39 -
表4-8. 特有現金殖利率(VW)、散戶交易占比交乘項與崩跌風險指標 - 40 -
表4-9. 現金殖利率、散戶持股比例交乘項與崩跌風險指標 - 41 -
表4-10. 特有現金股利率(EW)、持股比例交乘項與崩跌風險指標 - 42 -
表4-11. 特有現金股利率(VW)、持股比例交乘項與崩跌風險指標 - 43 -
表4-12. PSM配對後之樣本敘述性統計量表 - 44 -
表4-13. PSM配對後樣本代入迴歸模型之實證結果 - 45 -

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