整體股票市場股利、盈餘、投資與負債比率間關聯性之實證研究

Abstract

本文利用最小預測誤差/多變量自我迴歸程序來探討股利、盈餘、投資與負債比率間動態因果關係。迄今實證研究至多僅探討其中三變數的關係且結果尚未有定論。根據美國公司的整體經濟資料，本文利用Granger因果方法來檢視融資決策、投資決策及股利政策間是否存在互動關係。實證結果發現：(1)負債比率不受投資決策影響及股利發放不受盈餘多寡影響;(2)投資決策與股利政策彼此互不影響;(3)除上述(1)及(2)所述情況外，股利、盈餘、投資與負債比率問具有相互關聯性。

Causal relations and dynamic interactions among dividends, earnings, investments and debt ratios are investigated using the final prediction error (FPE)/multivariate vector autoregression (VAR) approach. Existing empirical studies deal with at most three of these factors at a time and the results are still inconclusive. Based on the whole economic data of the U.S. corporations, this study uses the Granger causality method to examine whether interrelationships exist among financing decisions, investment decisions, and dividend policy. The major findings are: (1) there is no causal relationship from investment to debt ratio and from earnings to dividend, (2) there is no mutual causations between investment and dividends, and (3) there is interdependent relationships among dividends, earnings, investments and debt ratios.