On the Valuation Effect in Ex-Dividend Day Anomalies: Evidence from Taiwan Stock Market

除息日股價和交易量異常現象一直是學界關注的議題，而多數文獻以「租稅效應假說」與「短期交易假說」解釋這些異常現象，本文則從股價評價變動的角度來解釋。本文首先說明除息事件如何改變股票的市價淨值比，並提出可以驗證的假說，接著介紹實證模型以及資料來源與處理方式。其次，本文以臺灣股票市場的除息事件為樣本，以及同期的除權事件為對照樣本，進行實證分析。 本文的實證結果顯示，市價淨值比的改變會引發除息日的股價和交易量異常現象，這和本文提出的假說一致，顯示除息事件確實有股價評價效應。本文的實證結果也顯示作為對照樣本的除權事件一如預期沒有股價評價效應，這能映證除息事件之所以有除息日異常現象，是因為其市價淨值比的改變。 本文的研究發現可以對除息日異常現象提供新的解釋，也能讓各界更加瞭解除息日的投資人行為，對投資人擬定投資策略也具有參考價值。For the past 60 years, the majority of literature has documented that there are ex-dividend day anomalies in many equity markets, and the cause of the anomalies has been of primary interest to scholars in the financial field. This study examines whether there is valuation effect in ex-dividend day anomalies. In this study, the relationship between cash dividend event and the change of price-to-book ratio is first illustrated. Next, five testable hypotheses are derived, and the empirical model is demonstrated. Finally, cash dividend and stock dividend events in Taiwan equity market are used to test the hypotheses. Our findings show that on the ex-dividend days, there is valuation effect in stock returns and trading volumes for cash dividend events but there is, as expected, no such effect for stock dividend events. Our findings suggest that the change of price-to-book ratio may lead to ex-dividend day anomalies. This study provides an alternative explanation for ex-dividend day anomalies and may shed more lights on the role of price-to-book ratio in ex-dividend day anomalies