本文採用事件研究法探討股利變動是否有效傳達公司未來盈餘的訊息。以臺灣上市公司2009年至2016年期間的樣本進行研究，研究結果顯示股利變動有效傳達公司未來盈餘前景的重要資訊。研究結果也顯示營業費用和研發支出與股利變動具有關聯性，且發現金融市場對股利減少的反應比對股利增加的反應更顯著，說明市場對股利減少的反應更為敏感。此外，研究結果發現，市場的增量反應隨著股利變化的幅度而減少，說明巨大的股利變化並沒有比適度和小的股利變化傳達更有效的公司長期盈餘資訊。另外，透過百分位數衡量公司盈餘變化，研究結果顯示公司盈餘變化與股利增加或股利減少間的相互影響皆具有顯著持久性，且訊息延續至三年後並沒有減弱的趨勢。我的實證結果總體上支持股利訊號假說，認為股利變動有效傳達公司未來盈餘的重要資訊。

The purpose of this paper is to investigate whether dividend changes are effective in communicating a company's future earnings by using an event window approach. Examining a sample of Taiwan's listed companies over the period from 2009 to 2016, I find that dividend changes generally reveal important information about the company’s earnings prospects. My results also show that operating expenses and R&D expenditures are correlated with dividend changes, and financial markets react to dividend decreases more significantly than to dividend increases. This suggests that financial markets are more sensitive to dividend cuts. In addition, the incremental market response decreases with the magnitude of the dividend change, indicating that extremely dividend changes do not appear more informative than moderate and small changes. Furthermore, the result on earnings changes measured by percentile rank indicate that earnings changes are statistically significant for both dividend decreases and dividend increases across time horizons. Overall, my empirical results generally support the signaling hypothesis arguing that dividend changes consist of important information about the company's future earnings.

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