{"id":37554,"date":"2025-06-12T14:30:23","date_gmt":"2025-06-12T06:30:23","guid":{"rendered":"https:\/\/www.tejwin.com\/?post_type=insight&#038;p=37554"},"modified":"2025-07-10T13:33:25","modified_gmt":"2025-07-10T05:33:25","slug":"forecasting-dividend-rebound-probability-with-ex-dividend-event-studies","status":"publish","type":"insight","link":"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/","title":{"rendered":"Forecasting Dividend Rebound Probability with Ex-Dividend Event Studies"},"content":{"rendered":"\n<figure class=\"wp-block-image size-large is-resized\"><img fetchpriority=\"high\" decoding=\"async\" width=\"1024\" height=\"683\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/ex-dividend-1024x683.jpg\" alt=\"\" class=\"wp-image-37558\" style=\"width:841px;height:auto\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/ex-dividend-1024x683.jpg 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/ex-dividend-300x200.jpg 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/ex-dividend-150x100.jpg 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/ex-dividend-768x512.jpg 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/ex-dividend-1536x1024.jpg 1536w, https:\/\/www.tejwin.com\/wp-content\/uploads\/ex-dividend-2048x1365.jpg 2048w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<div id=\"ez-toc-container\" class=\"ez-toc-v2_0_81 counter-hierarchy ez-toc-counter ez-toc-grey ez-toc-container-direction\">\n<p class=\"ez-toc-title\" style=\"cursor:inherit\">Table of Contents<\/p>\n<label for=\"ez-toc-cssicon-toggle-item-69f0e5e17cb7b\" class=\"ez-toc-cssicon-toggle-label\"><span class=\"ez-toc-cssicon\"><span class=\"eztoc-hide\" style=\"display:none;\">Toggle<\/span><span class=\"ez-toc-icon-toggle-span\"><svg style=\"fill: #999;color:#999\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" class=\"list-377408\" width=\"20px\" height=\"20px\" viewBox=\"0 0 24 24\" fill=\"none\"><path d=\"M6 6H4v2h2V6zm14 0H8v2h12V6zM4 11h2v2H4v-2zm16 0H8v2h12v-2zM4 16h2v2H4v-2zm16 0H8v2h12v-2z\" fill=\"currentColor\"><\/path><\/svg><svg style=\"fill: #999;color:#999\" class=\"arrow-unsorted-368013\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" width=\"10px\" height=\"10px\" viewBox=\"0 0 24 24\" version=\"1.2\" baseProfile=\"tiny\"><path d=\"M18.2 9.3l-6.2-6.3-6.2 6.3c-.2.2-.3.4-.3.7s.1.5.3.7c.2.2.4.3.7.3h11c.3 0 .5-.1.7-.3.2-.2.3-.5.3-.7s-.1-.5-.3-.7zM5.8 14.7l6.2 6.3 6.2-6.3c.2-.2.3-.5.3-.7s-.1-.5-.3-.7c-.2-.2-.4-.3-.7-.3h-11c-.3 0-.5.1-.7.3-.2.2-.3.5-.3.7s.1.5.3.7z\"\/><\/svg><\/span><\/span><\/label><input type=\"checkbox\"  id=\"ez-toc-cssicon-toggle-item-69f0e5e17cb7b\"  aria-label=\"Toggle\" \/><nav><ul class='ez-toc-list ez-toc-list-level-1 ' ><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-1\" href=\"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/#Preface\" >Preface<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-2\" href=\"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/#TEJ_Financial_database%EF%BC%8DA_Comprehensive_Source_for_Dividend_Events_in_Taiwan\" >TEJ Financial database\uff0dA Comprehensive Source for Dividend Events in Taiwan<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-3\" href=\"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/#Backtesting_with_TEJ_Ex-Dividend_Data\" >Backtesting with TEJ Ex-Dividend Data<\/a><ul class='ez-toc-list-level-3' ><li class='ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-4\" href=\"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/#Defining_the_Rebound_Probability_Factor\" >Defining the Rebound Probability Factor<\/a><\/li><\/ul><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-5\" href=\"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/#Using_Event_Study_to_Measure_Abnormal_Returns\" >Using Event Study to Measure Abnormal Returns<\/a><ul class='ez-toc-list-level-3' ><li class='ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-6\" href=\"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/#Event_Study_Settings\" >Event Study Settings<\/a><\/li><\/ul><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-7\" href=\"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/#Result_Analysis\" >Result Analysis<\/a><ul class='ez-toc-list-level-3' ><li class='ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-8\" href=\"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/#Deepening_the_Analysis_Rebound_Probability_%C3%97_Operating_Profit_Growth\" >Deepening the Analysis: Rebound Probability \u00d7 Operating Profit Growth<\/a><\/li><\/ul><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-9\" href=\"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/#Conclusions\" >Conclusions<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-10\" href=\"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/#From_Research_to_Practice_How_TEJ_Enables_Event-Driven_Strategy_Development\" >From Research to Practice: How TEJ Enables Event-Driven Strategy Development<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-11\" href=\"https:\/\/www.tejwin.com\/en\/insight\/forecasting-dividend-rebound-probability-with-ex-dividend-event-studies\/#Further_Reading\" >Further Reading:<\/a><\/li><\/ul><\/nav><\/div>\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Preface\"><\/span><strong>Preface<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>A stock is said to \u201c<strong>rebound after dividends<\/strong>\u201d when its price climbs back to or above the closing price before the ex-dividend date, meaning that investors not only receive cash dividends but also avoid a capital loss from the price adjustment. This makes dividend-paying stocks with high rebound potential attractive to investors seeking both income and capital preservation.<\/p>\n\n\n\n<p>This study applies the <strong>event study methodology<\/strong> to test whether a company\u2019s historical ex-dividend rebound probability can signal future rebound potential, and whether this probability can serve as a basis for selecting high-yield stocks.<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"TEJ_Financial_database%EF%BC%8DA_Comprehensive_Source_for_Dividend_Events_in_Taiwan\"><\/span>TEJ Financial database\uff0dA Comprehensive Source for Dividend Events in Taiwan<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>The data used in this research is sourced from the <strong>TEJ Financial Database<\/strong>, which offers complete and structured data on listed companies\u2019 dividend policies and ex-dividend events. Key datasets include:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Shareholders\u2019 Meeting Information<\/strong><br>Tracks key dates surrounding shareholder meetings, such as book closure periods and margin trading cutoffs, helping investors align with important corporate actions.<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Dividend Policy Data<\/strong><br>Details each company\u2019s dividend distribution method (cash or stock), payout amounts, ex-dividend dates, and actual payment dates \u2014 enabling evaluation of payout consistency and financial health.<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Ex-Dividend Performance Data<\/strong><br>Provides stock returns five days before and after ex-dates, time required to fully rebound, and the market index impact, making it easy to analyze rebound speed and investor sentiment.<\/li>\n<\/ul>\n\n\n\n<p><\/p>\n\n\n\n<div class=\"wp-block-buttons is-content-justification-center is-layout-flex wp-container-core-buttons-is-layout-a89b3969 wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-100 has-custom-font-size\" style=\"font-size:21px\"><a class=\"wp-block-button__link has-background has-text-align-center wp-element-button\" href=\"https:\/\/www.tejwin.com\/en\/contact\/\" style=\"border-radius:16px;background:linear-gradient(135deg,rgb(160,209,216) 0%,rgb(51,145,181) 50%,rgb(50,95,191) 100%)\"><strong>Want to Learn More About Our Databases and Solutions?<br>\ud83d\udc49 Explore more TEJ data products<\/strong><\/a><\/div>\n<\/div>\n\n\n\n<div style=\"height:29px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Backtesting_with_TEJ_Ex-Dividend_Data\"><\/span><strong>Backtesting with TEJ Ex-Dividend Data<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Stock Pool: All listed and OTC common stocks (including KY stocks) that issued dividends.<\/li>\n\n\n\n<li>Period: January 1, 2013 \u2013 May 1, 2025.<\/li>\n\n\n\n<li>Sources: TEJ Ex-Dividend Data, Financial Statements, Company Fundamentals, and Stock Price Data.<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Defining_the_Rebound_Probability_Factor\"><\/span>Defining the Rebound Probability Factor<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>To evaluate whether past rebound success predicts future performance:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Rebound Probability (cover_prob)<\/strong> is calculated as the number of successful post-dividend rebounds divided by the total dividend events per company.<\/li>\n\n\n\n<li><strong>Lagged Rebound Probability (last_cover_prob)<\/strong> represents each stock\u2019s most recent rebound success rate and serves as the grouping factor.<\/li>\n<\/ul>\n\n\n\n<p>After excluding stocks lacking recent rebound records, 13,640 valid entries remained.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1024\" height=\"576\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/Rebound-Probability-Factor-1-1024x576.png\" alt=\"\" class=\"wp-image-37565\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/Rebound-Probability-Factor-1-1024x576.png 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/Rebound-Probability-Factor-1-300x169.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/Rebound-Probability-Factor-1-150x84.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/Rebound-Probability-Factor-1-768x432.png 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/Rebound-Probability-Factor-1-1536x864.png 1536w, https:\/\/www.tejwin.com\/wp-content\/uploads\/Rebound-Probability-Factor-1.png 1920w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Using_Event_Study_to_Measure_Abnormal_Returns\"><\/span>Using Event Study to Measure Abnormal Returns<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>The event study framework is a standard approach for analyzing how stock prices react to specific corporate events. It does so by calculating <mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">a<strong>bnormal returns(AR)<\/strong><\/mark><strong>,<\/strong> defined as the difference between a stock\u2019s return and that of a market index. When these differences are aggregated over a period, they form the<strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\"> cumulative abnormal return (CAR)<\/mark><\/strong>, which captures the market\u2019s overall reaction.<br>This study uses the <strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">Market Index Adjustment Model<\/mark><\/strong> to assess whether stocks outperform the market around the <strong>final purchase date (Day T)<\/strong>\u2014the last day investors can buy shares and still receive dividends. By comparing returns before and after this date, we evaluate whether historical rebound probabilities are linked to abnormal price movements.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Event_Study_Settings\"><\/span>Event Study Settings<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>This study examines whether historical dividend rebound probability can guide stock selection\u2014helping investors capture dividends while avoiding post-dividend capital losses. We define the event day (T) as the last day to purchase shares and still receive dividends.<\/p>\n\n\n\n<p>To measure market reaction, we use a 21-day event window before and after T (T\u201321 to T+21). For each stock, we calculate:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>bef_ret: cumulative abnormal return from T\u201321 to T\u20131, and<\/li>\n\n\n\n<li>aft_ret: cumulative abnormal return from T to T+21.<\/li>\n<\/ul>\n\n\n\n<p>To analyze performance differences, stocks are grouped into five brackets based on their most recent rebound probability: 0\u201320%, 20\u201340%, 40\u201360%, 60\u201380%, and 80\u2013100%. This allows us to compare how stocks with varying rebound histories behave around the ex-dividend period.<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Result_Analysis\"><\/span><strong>Result Analysis<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>The chat shows stocks with <strong>40\u2013100%<\/strong> rebound probability exhibited <strong>significant abnormal returns between T\u201310 and T\u20133<\/strong>, with CARs between 0.433% and 0.513%, all statistically significant at the 1% level. This suggests that investors start positioning up to two weeks before T.<\/p>\n\n\n\n<p>Some of this effect may be driven by dividend announcement dates, which often fall two weeks before ex-dividend day.During T\u20132 to T+2, CARs flattened or declined, indicating that early investors may have exited ahead of retail investors chasing dividends.<\/p>\n\n\n\n<p>After T+3, all high-rebound groups experienced steady selling pressure. CARs turned significantly negative, indicating profit-taking behavior after collecting dividends.<\/p>\n\n\n\n<div style=\"height:32px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"has-text-align-center\"><strong><mark>Chart 1, AAR and CAAR around the dividend announcement date \u00b121 days<\/mark><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"859\" height=\"1024\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u82f1-859x1024.png\" alt=\"\" class=\"wp-image-37585\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u82f1-859x1024.png 859w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u82f1-252x300.png 252w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u82f1-126x150.png 126w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u82f1-768x915.png 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u82f1.png 1259w\" sizes=\"(max-width: 859px) 100vw, 859px\" \/><\/figure>\n\n\n\n<div style=\"height:31px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"has-text-align-left\"><strong>Summary Table: CAR (%) Across Time Windows<\/strong><\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-fixed-layout\"><thead><tr><th class=\"has-text-align-right\" data-align=\"right\"><strong>Rebound Probability (%)<\/strong><\/th><th class=\"has-text-align-right\" data-align=\"right\">CAAR(%) at<br>T-21~T-11<\/th><th class=\"has-text-align-right\" data-align=\"right\">CAAR(%) at<br><strong>T-10~T-3<\/strong><\/th><th class=\"has-text-align-right\" data-align=\"right\">CAAR(%) at<br><strong>T-2~T2<\/strong><\/th><th class=\"has-text-align-right\" data-align=\"right\">CAAR(%) at<br><strong>T3~T21<\/strong><\/th><th class=\"has-text-align-right\" data-align=\"right\">CAAR(%) at<br><strong>T-21~T21<\/strong><\/th><\/tr><\/thead><tbody><tr><td class=\"has-text-align-right\" data-align=\"right\">0\u201320<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.085<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.396<\/td><td class=\"has-text-align-right\" data-align=\"right\">2.106***<\/td><td class=\"has-text-align-right\" data-align=\"right\">-1.224<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.401<\/td><\/tr><tr><td class=\"has-text-align-right\" data-align=\"right\">20\u201340<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.327<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.259<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.239<\/td><td class=\"has-text-align-right\" data-align=\"right\">-1.570***<\/td><td class=\"has-text-align-right\" data-align=\"right\">-1.918**<\/td><\/tr><tr><td class=\"has-text-align-right\" data-align=\"right\">40\u201360<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.152<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.462***<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.100<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.840***<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.430<\/td><\/tr><tr><td class=\"has-text-align-right\" data-align=\"right\">60\u201380<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.135<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.433***<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.093<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.583***<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.078<\/td><\/tr><tr><td class=\"has-text-align-right\" data-align=\"right\">80\u2013100<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.018<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.513***<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.170***<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.446***<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.254*<\/td><\/tr><\/tbody><\/table><figcaption class=\"wp-element-caption\">(* p &lt; 10%; ** p &lt; 5%; *** p &lt; 1%)<\/figcaption><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Deepening_the_Analysis_Rebound_Probability_%C3%97_Operating_Profit_Growth\"><\/span>Deepening the Analysis: Rebound Probability \u00d7 Operating Profit Growth<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>To uncover more precise market signals, this study cross-references dividend rebound probability with operating income growth, a fundamental indicator of a company\u2019s core business strength.<\/p>\n\n\n\n<p>Results show that among stocks with a rebound probability above 40%, those with positive operating income growth attract earlier and more persistent buying behavior. Their cumulative abnormal returns (CARs) are significantly stronger in the T\u201310 to T\u20133 period and show less downside in the post-dividend T+3 to T+21 period. In contrast, stocks with negative growth, even if historically strong at rebounding, experience a steeper selloff after T+3\u2014suggesting that fundamental weakness undermines investor confidence.<\/p>\n\n\n\n<p>Moreover, the T+3 to T+21 CARs for negative-growth stocks are all significantly negative (ranging from -0.79% to -1.19%), highlighting the market&#8217;s skepticism about their ability to sustain performance post-dividend. The data also shows that price differentiation between positive and negative growth stocks becomes more pronounced in the pre-dividend period, especially for those with higher rebound probabilities.<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img loading=\"lazy\" decoding=\"async\" width=\"1259\" height=\"1500\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u5229\u76ca\u7387_E.png\" alt=\"\" class=\"wp-image-37591\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u5229\u76ca\u7387_E.png 1259w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u5229\u76ca\u7387_E-252x300.png 252w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u5229\u76ca\u7387_E-859x1024.png 859w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u5229\u76ca\u7387_E-126x150.png 126w, https:\/\/www.tejwin.com\/wp-content\/uploads\/\u586b\u606f\u6a5f\u7387ar\u5716_\u5229\u76ca\u7387_E-768x915.png 768w\" sizes=\"(max-width: 1259px) 100vw, 1259px\" \/><\/figure>\n\n\n\n<h4 class=\"wp-block-heading\">Summary Table: CAAR (%) by Rebound Probability \u00d7 Operating Income Growth<\/h4>\n\n\n\n<p>(<em>Only selected groups shown for clarity<\/em>)<\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<figure class=\"wp-block-table is-style-stripes\"><table class=\"has-luminous-vivid-amber-background-color has-background has-fixed-layout\"><thead><tr><th><strong>Rebound Probability (%)<\/strong><\/th><th><strong>Operating Income Growth<\/strong><\/th><th>T-21~T-11\u00a0<\/th><th>T-10~T-3\u00a0<\/th><th>T-2~T+2\u00a0<\/th><th>T+3~T+21\u00a0<\/th><th>T-21~T+21\u00a0<\/th><\/tr><\/thead><tbody><tr><td rowspan=\"2\"><strong>0-20<\/strong>\u00a0%<\/td><td>Negative<\/td><td>0.798&nbsp;<\/td><td>1.824&nbsp;<\/td><td>2.144*&nbsp;<\/td><td>-5.268*&nbsp;<\/td><td>-0.501&nbsp;<\/td><\/tr><tr><td>Positive<\/td><td>-0.615&nbsp;<\/td><td>-1.728&nbsp;<\/td><td>2.084*&nbsp;<\/td><td>1.202&nbsp;<\/td><td>0.942&nbsp;<\/td><\/tr><tr><td rowspan=\"2\"><strong>20-40<\/strong>\u00a0%<\/td><td>Negative<\/td><td>-1.095***&nbsp;<\/td><td>-0.562&nbsp;<\/td><td>-0.020&nbsp;<\/td><td>-2.380**&nbsp;<\/td><td>-4.058***&nbsp;<\/td><\/tr><tr><td>Positive<\/td><td>0.539&nbsp;<\/td><td>0.084&nbsp;<\/td><td>0.531*&nbsp;<\/td><td>-0.654&nbsp;<\/td><td>0.500&nbsp;<\/td><\/tr><tr><td rowspan=\"2\"><strong>40-60<\/strong>\u00a0%<\/td><td>Negative<\/td><td>-0.399*&nbsp;<\/td><td>0.235&nbsp;<\/td><td>0.171&nbsp;<\/td><td>-1.194***&nbsp;<\/td><td>-1.187***&nbsp;<\/td><\/tr><tr><td>Positive<\/td><td>0.137&nbsp;<\/td><td>0.730***&nbsp;<\/td><td>0.016&nbsp;<\/td><td>-0.424&nbsp;<\/td><td>0.459&nbsp;<\/td><\/tr><tr><td rowspan=\"2\"><strong>60-80<\/strong>\u00a0%<\/td><td>Negative<\/td><td>-0.248*&nbsp;<\/td><td>0.053&nbsp;<\/td><td>0.097&nbsp;<\/td><td>-0.907***&nbsp;<\/td><td>-1.004***&nbsp;<\/td><\/tr><tr><td>Positive<\/td><td>0.522***&nbsp;<\/td><td>0.816***&nbsp;<\/td><td>0.090&nbsp;<\/td><td>-0.256&nbsp;<\/td><td>1.172***&nbsp;<\/td><\/tr><tr><td rowspan=\"2\"><strong>80-100<\/strong> %\u00a0<\/td><td>Negative<\/td><td>-0.407***&nbsp;<\/td><td>0.167*&nbsp;<\/td><td>0.080&nbsp;<\/td><td>-0.785***&nbsp;<\/td><td>-0.945***&nbsp;<\/td><\/tr><tr><td>Positive<\/td><td>0.372***&nbsp;<\/td><td>0.800***&nbsp;<\/td><td>0.245***&nbsp;<\/td><td>-0.166&nbsp;<\/td><td>1.251***&nbsp;<\/td><\/tr><\/tbody><\/table><figcaption class=\"wp-element-caption\">*** p &lt; 0.01; ** p &lt; 0.05; * p &lt; 0.10<\/figcaption><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n<\/blockquote>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Conclusions\"><\/span><strong>Conclusions<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>Overall, stocks with a higher historical dividend rebound probability (40% to 100%) tend to experience a significant surge in buying activity in the one to two weeks prior to the final purchase date (T\u201310 to T\u20133), driving cumulative abnormal returns above the market average. When these signals are further filtered by operating income growth, the strength of the pre-event performance becomes even more pronounced.<\/p>\n\n\n\n<p>However, in the post-dividend period (T+3 to T+21), even stocks with high rebound probability may underperform the market if the company lacks fundamental improvement. This suggests that dividend strategies relying solely on historical rebound trends may be vulnerable to reversal if not supported by strong core operations.<\/p>\n\n\n\n<p>Therefore, historical rebound probability serves as a valuable screening tool, but it is the combination of past market behavior and current financial strength that offers the most reliable foundation for identifying dividend stocks with lasting return potential.<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"From_Research_to_Practice_How_TEJ_Enables_Event-Driven_Strategy_Development\"><\/span>From Research to Practice: How TEJ Enables Event-Driven Strategy Development<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>This study highlights how combining <strong>historical rebound probability<\/strong> with <strong>event study techniques<\/strong> and <strong>fundamental filters<\/strong> can enhance alpha generation in Taiwan\u2019s equity market. Success in such analysis depends on access to structured, point-in-time, and programmable data.<br><strong>TEJ\u2019s Quantitative Solutions<\/strong> offer\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Fully annotated Ex-Dividend Event Data for tracking rebound outcomes.<\/li>\n\n\n\n<li>Point-in-time dividend policy and financial indicators for clean factor modeling.<\/li>\n\n\n\n<li>High-performance APIs to support automated screening and backtesting.<\/li>\n<\/ul>\n\n\n\n<p class=\"has-text-align-left\">Whether you&#8217;re building <strong>dividend-based alpha models<\/strong> or <strong>event-driven trading<\/strong> systems, TEJ\u2019s rich and reliable datasets provide the foundation to move from insight to execution.<a href=\"https:\/\/www.tejwin.com\/en\/news\/dividend-policy\/\"><\/a><\/p>\n\n\n\n<div class=\"wp-block-buttons is-layout-flex wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-100 has-custom-font-size\" style=\"font-size:22px\"><a class=\"wp-block-button__link has-background wp-element-button\" href=\"https:\/\/www.tejwin.com\/en\/solution\/quantitative-finance-solution\" style=\"border-radius:16px;background:linear-gradient(135deg,rgb(243,224,131) 0%,rgb(102,197,166) 50%,rgb(51,132,181) 100%)\"><strong>Access to Comprehensive Quantitative Data<\/strong><br><strong>Start Building Portfolios That Outperform the Market Today!<\/strong><\/a><\/div>\n<\/div>\n\n\n\n<div style=\"height:22px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"has-text-align-center\" style=\"font-size:32px\"><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\"><strong><em>&#8220;Taiwan stock market data, TEJ collect it all.&#8221;<\/em><\/strong><\/mark><\/p>\n\n\n\n<p><strong><mark style=\"background-color:rgba(0, 0, 0, 0);color:#0978b8\" class=\"has-inline-color\">Taiwan Economical Journal (TEJ)<\/mark><\/strong>, a financial database established in Taiwan for over 30 years, serves local financial institutions and academic institutions, and has long-term cooperation with internationally renowned data providers, providing high-quality financial data for five financial markets in Asia.&nbsp;<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><mark style=\"background-color:#ebc766\" class=\"has-inline-color has-black-color\">Complete Coverage<\/mark><\/strong>: Includes all listed companies on stock markets in Taiwan, China, Hong Kong, Japan, Korea, etc.&nbsp;<\/li>\n\n\n\n<li><strong><mark style=\"background-color:#ebc766\" class=\"has-inline-color\">Comprehensive Analysis of Enterprises<\/mark><\/strong>: Operational aspects, financial aspects, securities market performance, ESG sustainability, etc.&nbsp;<\/li>\n\n\n\n<li><strong><mark style=\"background-color:#ebc766\" class=\"has-inline-color\">High-Quality Database<\/mark><\/strong>: TEJ data is cleaned, checked, enhanced, and integrated to ensure it meets the information needs of financial and market analysis.&nbsp;<\/li>\n<\/ul>\n\n\n\n<p>With TEJ&#8217;s assistance, you can access relevant information about major stock markets in Asia, such as securities market, financials data, enterprise operations, board of directors, sustainability data, etc., providing investors with timely and high-quality content. Additionally, TEJ offers advisory services to help solve problems in theoretical practice and financial management!<\/p>\n\n\n\n<div class=\"wp-block-buttons is-content-justification-center is-layout-flex wp-container-core-buttons-is-layout-a89b3969 wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-100 has-custom-font-size\" style=\"font-size:21px\"><a class=\"wp-block-button__link has-background has-text-align-center wp-element-button\" href=\"https:\/\/www.tejwin.com\/en\/contact\/\" style=\"border-radius:16px;background:linear-gradient(135deg,rgb(160,209,216) 0%,rgb(51,145,181) 50%,rgb(50,95,191) 100%)\"><strong>Want to Learn More About Our Databases and Solutions?<br>Contact Us and Get the Free Trial Today!<\/strong><\/a><\/div>\n<\/div>\n\n\n\n<p><\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Further_Reading\"><\/span><strong>Further Reading:<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<ul class=\"wp-block-list\">\n<li><a href=\"https:\/\/www.tejwin.com\/en\/insight\/how-dividend-policy-affects-investment-an-event-study-analysis-of-key-factors\/\">How Dividend Policy Affects Investment: An Event Study Analysis of Key Factors<\/a><\/li>\n\n\n\n<li><a href=\"https:\/\/www.tejwin.com\/en\/insight\/factor-research-idiosyncratic-volatility\/\">Factor Research \u2013 Idiosyncratic Volatility\u00a0<\/a><\/li>\n\n\n\n<li><a href=\"https:\/\/www.tejwin.com\/en\/insight\/charles-brandes-value-investing-principles-building-a-portfolio-with-a-margin-of-safety-nemo\/\">Charles Brandes&#8217; Value Investing Principles : Building a Portfolio with a Margin of Safety<\/a><\/li>\n<\/ul>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Discover how TEJ\u2019s ex-dividend event data and financial indicators help forecast stock rebound probability. Learn to identify high-yield Taiwan stocks with stronger post-dividend performance using TEJ\u2019s point-in-time quantitative datasets.<\/p>\n","protected":false},"featured_media":37558,"template":"","tags":[3063,2962,3384],"insight-category":[690],"class_list":["post-37554","insight","type-insight","status-publish","has-post-thumbnail","hentry","tag-backtesting-2","tag-market-data","tag-shareholders-meeting","insight-category-data-analysis"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/37554","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight"}],"about":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/types\/insight"}],"version-history":[{"count":17,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/37554\/revisions"}],"predecessor-version":[{"id":42953,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/37554\/revisions\/42953"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media\/37558"}],"wp:attachment":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media?parent=37554"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/tags?post=37554"},{"taxonomy":"insight-category","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight-category?post=37554"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}