臺灣上市電子股股價對於除權訊息過度反應之研究——過度自信假說之再檢驗

A Study of Taiwan Electronic Stock Price Overreaction to Ex-dividend Information：Reexamining Investors’ Overconfidence Hypothesis

本文以 Daniel, Hirshleifer and Subrahmanyam (1998) DHS 模型，檢驗投資人對於台灣 MSCI 50 檔上市電子股除權訊息的反應，實證結果發現，在多頭市場，投資人對於訊息過度自信，使股價過度反應，於董事會後反轉，與許光華等人(2004)發現ㄧ致；與其不同的是，在空頭市場，投資人對訊息無自信不足，使股價延遲至股東會後反轉，而是在董事會後即反轉，與 De Bondt and Thaler (1985)股價需很長時間才會自我修正的觀點不符，但支持 Williams (1956)股價過度反應及 Odean (1998)過度自信觀點；而且，因多、空頭市場股價過度反應，皆於董事會後反轉，所以，董事會前後股價波動幅度大於股東會。

This study is to examine stock price reaction of MSCI electronic stocks to ex-dividend information by DHS model proposed by Daniel, Hirshleifer and Subrahmanyam (1998). Our result shows that the in Bull market, investors are overconfident of ex-dividend information, so stock price overreacts and reverses around Board Meeting. This result is compatible with Kuang-Hua Hsu el.(2004). Unlike their findings, in Bear market, investors are not conservative , so stock price reverses around Board Meeting instead of Shareholders Meeting, which is not consist with De Bondt and Thaler (1985), but in support of overreaction and overconfidence hypothesis of Williams (1956) and Odean (1998). Moreover, in both markets, stock price reversing point occurs around Board and Trustees Meeting. Therefore, the magnitude of volatility around Board and Trustees Meeting is larger than that around Shareholders Meeting.