Several studies have observed that stocks tend to drop by an amount that is less than the dividend on the ex-dividend day, the so-called ex-dividend day anomaly. However, there still remains a lack of consensus for a single explanation of this anomaly. Different from other studies, this dissertation attempts to answer the primary research question: How can investors make trading profits from the ex-dividend day anomaly and how much can they earn? With this goal, I examine the economic motivations of equity investors through four main hypotheses identified in the anomaly’s literature: the tax differential hypothesis, the short-term trading hypothesis, the tick size hypothesis, and the leverage hypothesis. While the U.S. ex-dividend anomaly is well studied, I examine a long data window (1975 to 2010) of Thailand data. The unique structure of the Thai stock market allows me to assess all four main hypotheses proposed in the literature simultaneously. Although I extract the sample data from two data sources, I demonstrate that the combined data are consistently sampled. I further construct three trading strategies: “daily return,” “lag one daily return,” and “weekly return” to alleviate the potential effect of irregular data observation. I find that the ex-dividend day anomaly exists in Thailand, is governed by the tax differential and is driven by short-term trading activities. That is, investors trade heavily around the ex-dividend day to reap the benefits of the tax differential. I find mixed results for the predictions of the tick size hypothesis and results that are inconsistent with the predictions of the leverage hypothesis. I conclude that, on the Stock Exchange of Thailand, juristic and foreign investors can profitably buy stocks cum-dividend and sell them ex-dividend while local investors should engage in short sale transactions. On average, investors who employ the daily return strategy have earned significant abnormal return up to 0.15% (45.66% annualized rate) and up to 0.17% (50.99% annualized rate) for the lag one daily return strategy. Investors can also make a trading profit by conducting the weekly return strategy and earn up to 0.59% (35.67% annualized rate), on average.

在過去的理論中，自從Campbell與Beranek 在1955年之研究發現除息之行 為會影響投資者的組合決策之後，除息及除權行為就成為其它學者深入探 所的一重要課題。如Miller與Modigliani (1961)提出的顧客效果假說， Elton 與 Gruber(1970) 提出稅率誘發的顧客效果，認為可從除息（權） 日的價格找出投資人的邊際稅率。但是學者Kalay(1984) 認為一般來說， 公司在進行除息或除權時，股價之下降通常不會等於息值或權值，對某些 投資人而言在除息（權）日可能存有一些套利的機會，故其另外提出所謂 的短線交易假說來分析除息（權）日的交易行為，而 Lakon- ishok和 Vermaelen(1986)則進一步從除息日前後有異常交易量證實短線交易的存 在。本研究即是從除息（權）日前後之交易來分析是否存有短線交易的行 為；並透過政府在民國78年對證券交易所得稅的課徵對投資人交易行為的 影響，提供政府未來開徵證券交易所得稅之參考。最後亦從交易成本與股 利收益率來分析對短線交易的影響。所得到結果如下： 1.在78年時，除 息日前後交易量呈現減少的情況，而在79至82年交易量則有異常增加的現 象。顯示投資人在78年並未透過除息事件來減少其稅負，即證券交易所得 稅的開徵對投資人的交易行為是無影響的；而在79至82年投資人的確有在 除息日前後採取節稅之短線交易。 2.如果將交易依照成股利收益率大小 予與分群，本研究發現異常交易量將隨著股利收益率的增加而增加；而驗 證股利收益率較高的股票對短線交易者的吸引力是較大的。 3.如果以交 易成本去分析其對除息日交易的影響，本研究採用交易群體為交易成本之 替代變數，發現交易成本相對投資報酬來講是很小的，故投資人在從事短 線交易時並不會考慮到其交易成本。