本研究檢視不同市場氣候如何影響資訊內涵。我們透過分析性模式建立理論基礎，並發展可驗證的假說。實證假說如下： 1.市場氣候會影響投資組合的系統風險係數值； 2.多頭市場氣候下的盈餘反應係數大於空頭市場氣候下的盈餘反應係數； 3.股利決策受到市場氣候影響且具有不同的資訊內涵。 實證結果支持上述假說。首先，我們發現投資組合系統的風險係數受到市場氣候的影響，且空頭市場氣候下的 值大於多頭市場氣候下的 。其次，實證結果亦顯示，多頭市場氣候下的盈餘反應係數大於空頭市場氣候下的盈餘反應係數。最後，我們亦發現，在多頭市場氣候下提高股票股利且降低現金股利的公司與在空頭市場氣候下降低股票股利且提高現金股利的公司，在事件期中皆能獲得正向超額報酬。 / This study reports the results that how differential market climates affect information content. We theoretically derive analytical models and empirically develop testable hypotheses. The hypotheses are as follows： a.Market climates will affect the systematic risk of the portfolios. b.The earnings response coefficients in bull markets will be larger than in bear markets. c.The dividend policy will be affected by market climates and will signal differential information content. The empirical evidence provides support for the above hypotheses. First, we find the systematic risk coefficient （beta） will be smaller in bull markets than in bear markets. Second, the earnings response coefficients in bull markets will be larger than in bear markets. Finally, both of those companies that increase stock dividends and decrease cash dividends in bull markets and those companies that increase cash dividends and decrease stock dividends in bear markets will obtain positive abcdrmal return in event periods. These empirical results indicate that the decision-making of dividend policy should consider the effect of market climates.