除息日與發放日之週日期分佈研究:美國市場與台灣市場 (A Study on the Weekday Distribution of the Ex-Dividend Date and the Payment Date: US Market and Taiwan Market)
Takming University Journal, 38(1), 17-40.
24 Pages Posted: 27 Jan 2015
Date Written: January 25, 2015
Abstract
Chinese Abstract: 本研究分析台灣2002至2013年之現金股利發放資料,再輔以美國市場2005年之發放資料,歸納以下結論:一、美國發放公司之除息日至發放日間隔週期分佈在2至105日,眾數16日,中位數18日,平均18.89日。公司傾向於選擇星期三除息,在星期五發放。二、台灣發放公司之間隔週期分佈6日至582日,眾數28日,中位數是29日,平均是31.22日。公司傾向於選擇星期四除息,在星期五發放。三、相對於美國公司間隔週期較趨近於常態分佈,台灣公司之間隔週期分佈形成三峰分佈狀態,即22、28與36日是三個群聚點。四、本研究提出偶數效應、週循環效應與月循環效應,以解釋上述台灣市場特性,再論證除息日與發放日之行為面影響決策因素,大於新古典經濟學之理性面決策與極大化原則。最後,台灣與美國企業皆趨向於在星期五發放股息之行為,可從公司現金與流動性管理角度獲得合理解釋,但台灣公司傾向在星期四除息,以及美國公司傾向在星期三除息之行為,則是一個待發掘合理解釋之議題。
English Abstract: This study examines the ex-dividend date and the payment date determined by Taiwanese corporations from 2002 to 2013, coupled with investigating a U.S. sample taken from 2005. We show that according to the U.S. sample the duration ranged from 2 to 105 days, with a mode of 16 days, a median of 18 days, and a mean of 18.89 days. They tend to go ex-dividend on Wednesdays and pay cash on Fridays. The periods for Taiwanese companies ranged from 6 to 582 days, with a mode of 28, a median of 29, and a mean of 32.22 days. Taiwanese firms tend to go ex-dividend on Thursdays and pay cash on Fridays. The distribution of U.S. durations tends to be normally distributed, while those in Taiwan reveal three concentrated points: around 22, 28, and 36 days. Using behavioral economics (including the notion of fairness, reference points, and status quo bias), we explain these anomalies. We propose an even-number effect, a weekly cycle effect, and a monthly cycle effect, based on the notion of behavioral economics instead of neoclassical economics, which employs principles of full rationality and maximization. From the perspective of corporate cash and liquidity management, it is reasonable for a dividend-paying firm to tend to pay the cash on Fridays. However, it seems difficult to find a plausible justification for the tendency of Taiwanese firms to go ex-dividend on Thursdays and for U.S. firms to opt for Wednesdays. This is an interesting issue left for future research.
Note: Downloadable document is in Chinese.
Keywords: Dividend policy, payment date, even number effect, weekly cycle effect, monthly cycle effect
JEL Classification: G32
Suggested Citation: Suggested Citation