2009-08-012024-05-15https://scholars.lib.ntu.edu.tw/handle/123456789/664124摘要：這一多年期計畫將研究公司特定事件發生時，不同類型的投資人交易行為。目的在於利用投資人的異質性來區分不同假說。 公司特定事件，不管是除息除權日或是庫藏股宣告日，都有龐大的文獻。研究人員檢視市場價格的反應來衡量這些事件對股東財富的影響。為了解釋市場的反應，研究者提出不同的假說。這一多年期計畫將檢視不同類型投資人的交易行為來區分這些假說。檢視交易行為將對現有的假說提出新的檢定方法，也將有助於對現有的問題提出新的假說。 第一年計畫將檢視除息除權日現象並提出新的解釋。許多研究都發現除息日的股價下跌幅度小於現金股利的金額變動。我將提出一個新的解釋：除息除權日的超額報酬是反應小額投資人的需求，這些需求則源自除息除權日所受到的特別關注。 按照法規，公司必須在交易所的公開資訊觀測站揭露除息除權日。同時，報紙或是券商研究報告也往往會報導除息除權日，因此除息除權日受到的關注遠高於其他交易日。因為資源有限，也或許因為專業知識不足，小額投資人無法瞭解所有的股票，比較容易受到除息除權日所受到的特別關注影響。因為關注程度較高，我預測小額投資人比較容易在除權日購買股票，而且關注程度越高的股票，小額投資人買的越多。 <br> Abstract: This multiyear project intends to study the trading behavior of different groups of investors around corporate events. The purpose is to exploit the heterogeneity of investors to test competing hypotheses regarding corporate events. Corporate events, e.g., ex-dividend dates, earnings announcement, and share repurchase announcements, have been studied extensively. Researchers examine market reactions to these events to gauge their impacts on shareholders wealth. To explain the observed market reactions, different hypotheses are proposed. This project proposes an alternative approach of testing by studying the trading behavior of specific groups of investors around corporate events. The competing hypotheses can have implications on the trading behavior of specific groups of investors. Using transaction data of different groups of investors will allow us to develop new tests for old hypotheses; it can also provide new hypotheses for old questions. The first year project will address the ex-date phenomenon. Many studies have documented that the amount of the drop in the stock price on ex dates is significantly lower than the amount of cash dividends. In this project, we propose a new explanation for the abnormal return on ex dates. We argue that the abnormal return reflects a higher demand from small investors who are attracted to ex dates by the higher publicity. An ex dividend is an event that is required to be announced by the company on the information system of the stock exchange that is publicly available to investors. An ex dividend is also an event that is frequently covered in newspapers or the investment reports prepared by brokerage houses. Small investors are limited in resources and rationality; they cannot know every stock, but publicity can draw their attention to some. Given the attention, I predict that small investors are more likely to buy stocks on the ex date. Furthermore, small investors will buy more on the ex date of stocks that receive more attention.公司事件投資人交易除息除權日小額投資人注意corporate eventinvestor tradingex-dividend datesmall investorattention