股利發放之決定因子─以美國市場為例

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許文欣(Wen-Hsin Shu) 查詢紙本館藏

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財務金融學系

論文名稱

股利發放之決定因子─以美國市場為例
(Determinates of dividend payout: Evidence from U.S.)

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摘要(中)

Miller and Modigliani (1961)曾發表股利無關論( Dividend Irrelevance Hypothesis )，表示股利政策之本身並不會影響公司價值的變動，而股利發放之所以會影響公司價值是由於股利發放行為之本身內含了其他資訊，以致於影響投資者對於公司之評價，此即為著名的「訊號發射理論」( Signaling Theory )或稱「資訊內含效果」( Information Content Effect )。Myers and Majluf (1984)亦為探知公司股利發放之因素，發表了剩餘股利假說( Residual Dividend Theory )，提到投資機會較多的公司，較不會發放股利。Fama and French (2001)曾對發放股利之公司做深入之討論，試圖找出發放股利公司其特徵與類型，並發現獲利能力、投資機會及公司規模大小均會影響到公司股利發放之決策。
本研究欲延續Fama and French (2001) 之研究，利用COMPUSTAT (北美版) 1991年至2006年間美國市場之上市公司資料，除探討發放股利公司之特徵外，特別探討2003年美國新公布「就業及成長減稅調和法案」對公司股利政策之影響，並使用多元迴歸與邏輯式迴歸分析，證明各特徵之顯著性。經實證後，發現(1)獲利能力較高之公司，較有可能發放股利；(2)投資機會多之公司，因剩餘資金較少，較不會發放股利；(3)規模較大之公司，因資金取得較容易，也較容易發放股利；(4) 2003年美國減稅法案，確實有增加公司發放股利之誘因。

摘要(英)

What kind of elements will affect dividend policies? Miller and Modigliani (1961) had considered that dividend is irrelevant with a company’s value in a perfect and efficient capital markets. On the other hand, signaling theory (also called “Information Content Effect”) think that the varied dividend policies is the effect of information content, which effects the stock price. Myers and Majluf (1984) issued “Residual Dividend Theory”. They found that if a company has more investment opportunities, they will pay less dividend or not to pay. In addition, Fama and French (2001) found the characteristics of company who paying dividends. They proved the profitability, investment opportunities and the size of company will affect dividend policies.
Our research follows Fama and French (2001), to detect the characteristics of paying companies, especially the effect of taxes cut in 2003, by using the database of COMPUSTAT (the version of North American). The sample period is from year 1991 to 2006. By using multiple regression and logistic regression analyze these characteristics, we found that:
(1) Companies with higher profitability have more probabilities to pay dividend.
(2) Companies with more investment opportunities have fewer probabilities to pay dividend.
(3) Larger companies have more probabilities to pay dividend
(4) The act of taxes cut in 2003 encouraged companies to pay dividends.

關鍵字(中)

★ 股利政策
★ 特徵值
★ 2003年減稅法案
★ 邏輯式迴歸

關鍵字(英)

★ Characteristics
★ Taxes cut of year 2003
★ Logistic Regression
★ Dividend Policies

論文目次

中文摘要 i
英文摘要 ii
致謝 iii
目　錄 iv
圖目錄 v
表目錄 v
第一章緒論 1
1-1 研究背景與動機 1
1-2 研究目的與架構 2
第二章文獻探討 5
2-1 股利政策與公司價值之關係 5
2-2 影響公司股利發放之因素 6
第三章研究樣本與方法 9
3-1 樣本資料為樣本期間 9
3-2-1 多元迴歸分析 10
3-2-2 邏輯式迴歸分析 11
第四章實證結果與分析 13
4-1 支付現金股利公司之變化與趨勢 13
4-2 公司特徵之討論 20
4-2-1 獲利能力 20
4-2-2 投資機會 22
4-2-3 公司規模 23
4-2-4 負債比例 24
4-3 迴歸分析 28
4-3-1 多元迴歸分析 28
4-3-2 邏輯式迴歸分析 30
4-4 子期間迴歸分析 32
第五章結論與建議 36
5-1 研究結論 36
5-2 研究限制與後續研究建議 36
參考文獻 37

參考文獻

[ 1 ] Alon Brav, John R Graham, et al., 2008, Managerial Response to the May 2003 Dividend Tax Cut, Financial Management 37, pp.611-624.
[ 2 ] Clifford W. Smith, and Ross L. Watts, Smith, 1992, The Investment Opportunity Set and Corporate Financing, Dividend, and Compensation Policies, Journal of Financial Economics 32, pp.263-292.
[ 3 ] Eugene F. Fama, and Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, pp.427-465.
[ 4 ] Eugene F. Fama, and Kenneth R. French, 2001, Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?, Journal of Financial Economics 60, pp.3-43.
[ 5 ] Harry DeAngelo, and Linda DeAngelo, 1990, Dividend Policy and Financial Distress: An Empirical Examination of Troubled NYSE Firms, Journal of Finance 45, pp.1415-1431.
[ 6 ] Harry DeAngelo, and Lindo DeAngelo, et al., 1992, Dividends and Losses, Journal of Finance 47, pp.1837-1863.
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[ 9 ] Malcolm Baker, and Jeffrey Wurgler, 2004, A Catering Theory of Dividends, Journal of Finance 59, pp.1125-1165.
[ 10 ] Merton H. Miller, and Franco Modigliani, 1961, Dividend Policy, Growth and the Valuation of Shares, Journal of Business 34, pp.411-433.
[ 11 ] Merton H. Miller, and Kevin Rock, 1985, Dividend Policy Under Asymmetric Information, Journal of Finance 40, pp.1031-1051.
[ 12 ] Michael C. Jensen, 1986, The Agency Costs of Free Cash Flow, Corporate Finance, and Takeover, American Economic Review 76, pp.323-329.
[ 13 ] Michael C. Jensen, and William H. Meckling, 1976, Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure, Journal of Financial Economics 3 , pp.305-360.
[ 14 ] Randall Morck and Bernard Yeung, 2005, Dividend Taxation and Corporate Governance, Journal of Economic Perspectives 19, pp.163-180.
[ 15 ] Robert H. Litzenberger, and Krishna Ramaswamy, 1979, The Effect of Personal Taxes and Dividends on Capital Assets Prices: Theory and Empirical Evidence, Journal of Financial Economics 7, pp.163-195.
[ 16 ] Stewart C. Myers, and Nicholas S. Majluf, 1984, Corporate Financing and Investment Decisions When Firms Information That Investors Do Not Have, Journal of Financial Economics 13, pp.187-221.

指導教授

徐政義(Cheng-Yi Shiu)

審核日期

2009-7-25

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