本篇研究在探討股利宣告對股價影響和投資人情緒的關聯性。因此可以分成兩個面向來探討，在股利宣告部分，過去已有諸多學者提出股利政策具有信號放射功能，譬如，McNichols and David (1990)推論股票股利宣告事件之所以有正的平均異常報酬率係管理當局對其未來盈餘看好。本篇研究取的樣本期間為2001年至2009年，共九年，對象為台灣的上市上櫃有做股利宣告的公司，在這裡僅探究其股利宣告對股價的影響，並且以「事件研究法」的市場模型，來看是否有超額報酬，估計期為期170天，事件期以宣告日前3天至後3天，共7天。

在投資人情緒的部分，由於無法取得直接投資人情緒指標，因此本篇研究參照Baker and Wurgler (2006) 以及其它學者所提供的投資人間接情緒指標做為依據，各別編製出「個股情緒指標」與「市場情緒指標」，並對股利宣告的超額報酬做簡單迴歸的分析，來探討投資人情緒對於股利宣告報酬的影響。

最後，由實證結果可知
1.總合九年下來，在宣告後第一天以及第二天，均有顯著正向的超額報酬。
2.市場投資人情緒對股利宣告的累積超額報酬，有顯著的負向影響，可見得當期市場情緒為負時，下一期的股價就會反轉而有正的超額報酬。
3.個股投資人情緒，在本研究中，對於股利宣告的超額報酬沒有顯著的影響。
4.將股票做投資組合的分類時，個股情緒指標部分，亦沒有顯著的影響，但在市場情緒方面，可以發現公司規模小、成立期間短、股價淨值比大、營收成長低、公司股價風險大者，皆會受到市場情緒負面的影響。

The primary goal of this study is to investigate how investor sentiment affects a firm’s stock prices after its dividend announcements. To this end, we first study the effect of a firm’s dividend announcements on its stock prices and then see whether investor sentiment plays a role in explaining this effect. Many researchers have found the signaling effect of dividend announcements. For example, McNichols and David (1990) argue that the positive abnormal returns of the dividend announcement event are due to the fact that investors expect the firm’s will increase in the future. The sample period of this study covers from 2001 to 2009, and the sample includes all Taiwanese firms with dividend announcements. We use the event study methodology to conduct our analysis, and employ the market model to estimate abnormal returns after dividend announcements for each sample firm.

Because it is difficult to collect the data on the direct indices of investor sentiment, we follow Baker and Wurgler (2006) and other studies to calculate the indirect indices of investor sentiment. The indirect indices are classified into two categories: one is the firm-specific index and the other one is the market-wide index. Then we run the OLS regression to see how investor sentiment affects a firm’s stock prices after its dividend announcements.

Some important empirical results are noted as follows. First, we find that there are positive cumulative abnormal returns after announcement day 0 to day 2. Second, there is a negative relationship between investor sentiment and positive cumulative abnormal returns, meaning that low market-wide sentiment leads to high cumulative abnormal returns. Third, the firm-specific index has no impacts on cumulative abnormal returns. Fourth, we find that cumulative abnormal returns are significantly negatively affected by market-wide sentiment for small, young, unprofitable and high-volatility stocks.

中文文獻

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