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題名 股利支付率與未來獲利能力成長之關聯性分析
The Analysis of the Relationship between Dividend Payout Ratio and the Growth of Future Profitability
作者 周文楷
Chou, Wen Kai
貢獻者 岳夢蘭
周文楷
Chou, Wen Kai
關鍵詞 股利支付率
成長機會
自由現金流量假說
Dividend payout ratio
Growth opportunity
Free cash flow theory
日期 2017
上傳時間 9-Apr-2018 15:39:25 (UTC+8)
摘要 本篇論文主要探討股利支付率與未來獲利能力成長的關聯性。過去相關文獻專注在股利變化率與未來盈餘成長的關係，股利支付率的文獻則較少。本研究以1991至2016年台灣上市、上櫃公司為樣本，利用固定效果模型來進行分析，實證結果發現股利支付率與未來獲利能力成長的關係呈顯著正相關。本研究根據文獻在迴歸模型中加入成長機會代理變數來檢驗股利支付率與未來獲利能力成長的正向關係是否能以自由現金流量假說解釋，實證結果與文獻一致，說明當成長機會愈低，台灣上市櫃公司之股利支付率與未來獲利能力成長之關聯性愈強，透過將剩餘的自由現金流量以股利發放的形式返還予股東，能減少公司之代理成本，市場上的投資機會未受到市場的競爭而使報酬率高於預期，因此出現公司股利支付率愈高，未來獲利能力成長愈高的現象。
This study examines the relationship between dividend payout ratio and the growth of future profitability. Previous literatures mainly focused on the relationship between dividend change rate and future earnings growth instead of dividend payout ratio. The sample of this study includes companies listed on Taiwan Stock Exchange and the OTC market from 1991 to 2016. Results of the fixed effect model shows that there is a significantly positive relationship between dividend payout ratio and the growth of future profitability. Proxy variables for growth opportunities are used in the　fixed effect model to further verify whether the positive relationship can be explained by free cash flow theory. Our results support the explanation, indicating that the positive relationship between dividend payout ratio and the growth of future profitability is stronger when growth opportunities are low. Companies can reduce agency costs by paying out dividends to shareholders, and the returns of investment opportunities on the market are unaffected by competition force, which results in the counter-intuitive phenomenon of higher dividend payout ratio and subsequent growth of future profitability.
參考文獻 Aharony, J., & Swary, I. (1980). Quarterly dividend and earnings announcements and stockholders` returns: An empirical analysis. The Journal of Finance, 35(1), 1-12.
Aivazian, V., Booth, L., & Cleary, S. (2003). Do emerging market firms follow different dividend policies from US firms? Journal of Financial research, 26(3), 371-387.
Ap Gwilym, O., Seaton, J., Suddason, K., & Thomas, S. (2006). International evidence on the payout ratio, earnings, dividends, and returns. Financial Analysts Journal, 62(1), 36-53.
Arnott, R. D., & Asness, C. S. (2003). Surprise! Higher dividends= higher earnings growth. Financial Analysts Journal, 59(1), 70-87.
Asquith, P., & Mullins Jr, D. W. (1983). The impact of initiating dividend payments on shareholders` wealth. Journal of business, 77-96.
Baker, H. K., Veit, E. T., & Powell, G. E. (2001). Factors influencing dividend policy decisions of Nasdaq firms. Financial Review, 36(3), 19-38.
Benartzi, S., Michaely, R., & Thaler, R. (1997). Do changes in dividends signal the future or the past? The Journal of Finance, 52(3), 1007-1034.
Bhattacharyya, N., Mawani, A., & Morrill, C. (2008). Dividend payout and executive compensation: theory and evidence. Accounting & Finance, 48(4), 521-541.
DeAngelo, H., & DeAngelo, L. (1990). Dividend policy and financial distress: An empirical investigation of troubled NYSE firms. The Journal of Finance, 45(5), 1415-1431.
Fama, E. F., & French, K. R. (2000). Forecasting profitability and earnings. The Journal of Business, 73(2), 161-175.
Fama, E. F., & French, K. R. (2002). Testing trade-off and pecking order predictions about dividends and debt. The review of financial studies, 15(1), 1-33.
Farrar, D. E., Farrar, D. F., & SELWYN, L. L. (1967). Taxes, corporate financial policy and return to investors. National Tax Journal, 20(4), 444-454.
Farsio, F., Geary, A., & Moser, J. (2004). The relationship between dividends and earnings. In Journal for Economic Educators.
Freeman, R. N., Ohlson, J. A., & Penman, S. H. (1982). Book rate-of-return and prediction of earnings changes: An empirical investigation. Journal of accounting research, 639-653.
Howatt, B., Zuber, R. A., Gandar, J. M., & Lamb, R. P. (2009). Dividends, earnings volatility and information. Applied Financial Economics, 19(7), 551-562.
Lie, E. (2005). Financial flexibility, performance, and the corporate payout choice. The Journal of Business, 78(6), 2179-2202.
Lintner, J. (1956). Distribution of incomes of corporations among dividends, retained earnings, and taxes. The American Economic Review, 46(2), 97-113.
Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. the Journal of Business, 34(4), 411-433.
Mizuno, M. (2007). Payout policy of Japanese firms: analysis on the survey of four industries listed on the Tokyo Stock Exchange. Pacific economic review, 12(5), 631-650.
Nissim, D., & Ziv, A. (2001). Dividend changes and future profitability. The Journal of Finance, 56(6), 2111-2133.
Pandey, I. M. (2003). Corporate dividend policy and behaviour: the Malaysian evidence. Asian Academy of Management Journal, 8(1), 17-32.
Parker, K. C. (2005). Do higher dividends lead to higher earnings growth? (Doctoral dissertation, Simon Fraser University).
Pettit, R. R. (1972). Dividend announcements, security performance, and capital market efficiency. The Journal of Finance, 27(5), 993-1007.
Vivian, A. (2006, January). The Payout Ratio, Earnings Growth Returns: UK Industry Evidence. In A paper presented at the EFM Behavioural Finance Symposium.
Watts, R. (1973). The information content of dividends. The Journal of Business, 46(2), 191-211.
Zhou, P., & Ruland, W. (2006). Dividend payout and future earnings growth. Financial Analysts Journal, 62(3), 58-69.
描述 碩士
國立政治大學
財務管理研究所
104357014
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104357014
資料類型 thesis
dc.contributor.advisor 岳夢蘭zh_TW
dc.contributor.author (Authors) 周文楷zh_TW
dc.contributor.author (Authors) Chou, Wen Kaien_US
dc.creator (作者) 周文楷zh_TW
dc.creator (作者) Chou, Wen Kaien_US
dc.date (日期) 2017en_US
dc.date.accessioned 9-Apr-2018 15:39:25 (UTC+8)-
dc.date.available 9-Apr-2018 15:39:25 (UTC+8)-
dc.date.issued (上傳時間) 9-Apr-2018 15:39:25 (UTC+8)-
dc.identifier (Other Identifiers) G0104357014en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/116768-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 104357014zh_TW
dc.description.abstract (摘要) 本篇論文主要探討股利支付率與未來獲利能力成長的關聯性。過去相關文獻專注在股利變化率與未來盈餘成長的關係，股利支付率的文獻則較少。本研究以1991至2016年台灣上市、上櫃公司為樣本，利用固定效果模型來進行分析，實證結果發現股利支付率與未來獲利能力成長的關係呈顯著正相關。本研究根據文獻在迴歸模型中加入成長機會代理變數來檢驗股利支付率與未來獲利能力成長的正向關係是否能以自由現金流量假說解釋，實證結果與文獻一致，說明當成長機會愈低，台灣上市櫃公司之股利支付率與未來獲利能力成長之關聯性愈強，透過將剩餘的自由現金流量以股利發放的形式返還予股東，能減少公司之代理成本，市場上的投資機會未受到市場的競爭而使報酬率高於預期，因此出現公司股利支付率愈高，未來獲利能力成長愈高的現象。zh_TW
dc.description.abstract (摘要) This study examines the relationship between dividend payout ratio and the growth of future profitability. Previous literatures mainly focused on the relationship between dividend change rate and future earnings growth instead of dividend payout ratio. The sample of this study includes companies listed on Taiwan Stock Exchange and the OTC market from 1991 to 2016. Results of the fixed effect model shows that there is a significantly positive relationship between dividend payout ratio and the growth of future profitability. Proxy variables for growth opportunities are used in the　fixed effect model to further verify whether the positive relationship can be explained by free cash flow theory. Our results support the explanation, indicating that the positive relationship between dividend payout ratio and the growth of future profitability is stronger when growth opportunities are low. Companies can reduce agency costs by paying out dividends to shareholders, and the returns of investment opportunities on the market are unaffected by competition force, which results in the counter-intuitive phenomenon of higher dividend payout ratio and subsequent growth of future profitability.en_US
dc.description.tableofcontents 目次
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究架構與流程 4
第二章 文獻回顧 5
第一節 股利訊號效果 5
第二節 股利變化率與未來獲利能力的關聯性 7
第三節 股利支付率與未來盈餘成長的關聯性 8
第三章 研究方法 11
第一節 資料說明 11
第二節 研究假說 11
第三節 變數定義 12
第四節 實證模型 15
第四章 實證分析 17
第一節 樣本敘述統計 17
第二節 極端值樣本產業分布 19
第三節 共線性檢定 20
第四節 相關係數 21
第五節 固定效果模型 22
第六節 不同時間水準對於固定效果模型結果之影響 28
第七節 自由現金流量假說驗證 30
第五章 結論 34
參考文獻 35		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104357014en_US
dc.subject (關鍵詞) 股利支付率zh_TW
dc.subject (關鍵詞) 成長機會zh_TW
dc.subject (關鍵詞) 自由現金流量假說zh_TW
dc.subject (關鍵詞) Dividend payout ratioen_US
dc.subject (關鍵詞) Growth opportunityen_US
dc.subject (關鍵詞) Free cash flow theoryen_US
dc.title (題名) 股利支付率與未來獲利能力成長之關聯性分析zh_TW
dc.title (題名) The Analysis of the Relationship between Dividend Payout Ratio and the Growth of Future Profitabilityen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Aharony, J., & Swary, I. (1980). Quarterly dividend and earnings announcements and stockholders` returns: An empirical analysis. The Journal of Finance, 35(1), 1-12.
Aivazian, V., Booth, L., & Cleary, S. (2003). Do emerging market firms follow different dividend policies from US firms? Journal of Financial research, 26(3), 371-387.
Ap Gwilym, O., Seaton, J., Suddason, K., & Thomas, S. (2006). International evidence on the payout ratio, earnings, dividends, and returns. Financial Analysts Journal, 62(1), 36-53.
Arnott, R. D., & Asness, C. S. (2003). Surprise! Higher dividends= higher earnings growth. Financial Analysts Journal, 59(1), 70-87.
Asquith, P., & Mullins Jr, D. W. (1983). The impact of initiating dividend payments on shareholders` wealth. Journal of business, 77-96.
Baker, H. K., Veit, E. T., & Powell, G. E. (2001). Factors influencing dividend policy decisions of Nasdaq firms. Financial Review, 36(3), 19-38.
Benartzi, S., Michaely, R., & Thaler, R. (1997). Do changes in dividends signal the future or the past? The Journal of Finance, 52(3), 1007-1034.
Bhattacharyya, N., Mawani, A., & Morrill, C. (2008). Dividend payout and executive compensation: theory and evidence. Accounting & Finance, 48(4), 521-541.
DeAngelo, H., & DeAngelo, L. (1990). Dividend policy and financial distress: An empirical investigation of troubled NYSE firms. The Journal of Finance, 45(5), 1415-1431.
Fama, E. F., & French, K. R. (2000). Forecasting profitability and earnings. The Journal of Business, 73(2), 161-175.
Fama, E. F., & French, K. R. (2002). Testing trade-off and pecking order predictions about dividends and debt. The review of financial studies, 15(1), 1-33.
Farrar, D. E., Farrar, D. F., & SELWYN, L. L. (1967). Taxes, corporate financial policy and return to investors. National Tax Journal, 20(4), 444-454.
Farsio, F., Geary, A., & Moser, J. (2004). The relationship between dividends and earnings. In Journal for Economic Educators.
Freeman, R. N., Ohlson, J. A., & Penman, S. H. (1982). Book rate-of-return and prediction of earnings changes: An empirical investigation. Journal of accounting research, 639-653.
Howatt, B., Zuber, R. A., Gandar, J. M., & Lamb, R. P. (2009). Dividends, earnings volatility and information. Applied Financial Economics, 19(7), 551-562.
Lie, E. (2005). Financial flexibility, performance, and the corporate payout choice. The Journal of Business, 78(6), 2179-2202.
Lintner, J. (1956). Distribution of incomes of corporations among dividends, retained earnings, and taxes. The American Economic Review, 46(2), 97-113.
Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. the Journal of Business, 34(4), 411-433.
Mizuno, M. (2007). Payout policy of Japanese firms: analysis on the survey of four industries listed on the Tokyo Stock Exchange. Pacific economic review, 12(5), 631-650.
Nissim, D., & Ziv, A. (2001). Dividend changes and future profitability. The Journal of Finance, 56(6), 2111-2133.
Pandey, I. M. (2003). Corporate dividend policy and behaviour: the Malaysian evidence. Asian Academy of Management Journal, 8(1), 17-32.
Parker, K. C. (2005). Do higher dividends lead to higher earnings growth? (Doctoral dissertation, Simon Fraser University).
Pettit, R. R. (1972). Dividend announcements, security performance, and capital market efficiency. The Journal of Finance, 27(5), 993-1007.
Vivian, A. (2006, January). The Payout Ratio, Earnings Growth Returns: UK Industry Evidence. In A paper presented at the EFM Behavioural Finance Symposium.
Watts, R. (1973). The information content of dividends. The Journal of Business, 46(2), 191-211.
Zhou, P., & Ruland, W. (2006). Dividend payout and future earnings growth. Financial Analysts Journal, 62(3), 58-69.		zh_TW