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題名 投資人情緒與公司發放現金股利和實施庫藏股替代效應之關聯性
A Study on the Relationship of Investor Sentiment and the Substitute Effect between Cash Dividend and Share Repurchase
作者 王予君
Wang, Yu-Chun
貢獻者 周冠男
Chou, Robin K.
王予君
Wang, Yu-Chun
關鍵詞 現金股利
庫藏股
替代效應
投資人情緒
Cash dividend
Share repurchases
Substitute effect
Investor sentiment
日期 2018
上傳時間 3-Jul-2018 17:25:43 (UTC+8)
摘要 本文探討投資人情緒因子是否會影響公司發還股東現金方式的選擇。發還股東現金方式主要分為三種，一、發放現金股利，二、現金退還減資，三、實施庫藏股，然而現金退還減資的案例在台灣並不常見，而效果幾乎等同收回庫藏股，因此本研究著重現金股利和實施庫藏股之間的選擇。發放現金股利是單純公司盈餘的分配，而實施庫藏股則等同公司減資的效果，也就是會造成公司股本的縮減，兩者都是將公司多餘的現金發還到股東手上，但對公司或是對股東來說，都有著不同層面的影響。公司方面可能會考慮到公司現金流的穩定狀況、股利政策的訂定、投資人偏好等；而股東方面則會考慮到資本利得和股利所得等稅負問題。因此，過去許多研究皆著重於兩種發還現金方式的比較，包括對於股價表現及公司後續營運績效的探討，而本研究則是進一步探討投資人情緒因子是否會影響公司對於兩種方式的選擇以及投資人情緒會不會影響公司現金發放率，並以邏輯斯回歸和簡單回歸分別做測試。
而研究發現，在台灣資本市場，投資人情緒確實會影響公司對於發放現金股利和實施庫藏股的決策，當投資人情緒越高，公司越傾向以發放現金股利取代實施庫藏股，不同於美國以庫藏股替代現金股利，台灣仍以配發股利為主，並在投資人情緒高漲時，特別明顯；然而，股利發放率和投資人情緒間並無顯著關係。
This article studies whether the factor of investor sentiment can affect the way company returning cash to shareholders or not. There are two classical types of cash distribution: cash dividends and share repurchases. Cash dividends is pure the distribution of earnings and share repurchases is one of the type of capital reduction, causing the company to reduce the capital. Both the ways are returning the company`s excess cash to shareholders, but at some extent, they have different influences on the company and shareholders. For firms, the stability of cash flow, the establishment of dividend policy, investor preferences and so on are the factors that management will consider when making decision. On the other hand, shareholders will take tax issues into accounts, comparing the tax between capital gains and dividend income. Many studies in the past focused on the comparison between two ways, including the stock price response and the company’s follow-up operating performance. This study further examines whether the investor`s sentiment is the factor affecting the company`s choice or not and whether the payout ratio goes high with investor sentiment increasing, and use the simple logistic regression and simple regression respectively to test it.
This paper indicates that in Taiwan’s capital market, investor sentiment does affect the company’s decision to issue cash dividends and implement treasury shares. The higher the investor’s sentiment, the greater the company’s tendency to disburse cash dividends instead of implementing treasury shares. Unlike American’s substitute effect of share repurchases replace cash dividend, Taiwan’s firms still prefer cash dividend, and this effect is particularly evident when investors` sentiment goes high. However, there isn’t significant relationship between payout ratio and investor sentiment.
參考文獻 English Reference
1.Lintner, “ Distribution of Incomes of Corporations among Dividends, Retained Earnings, and Taxes ”, The American Economic Review vol.46, No2 , 97-113.,1956
2.Brav, A., Graham, J. R., Harvey, C. R., Michaely, R.,.” Payout policy in the 21st century”, Journal of Financial Economics 77 (3), 483-527,2005
3.Fama, E.G., and French, K, “Disappearing Dividends ： Changing Firm Characteristics or Lower Propensity Top Pay? ”, Journal of Financial Economics, 60, pp.3-43, 2001
4.DeAngelo, DeAngelo, and Skinner,” Are dividends disappearing? Dividend concentration and the consolidation of earnings”, Journal of Financial Economics, 2004.
5.Gustavo Grullon, Roni Michaely , The Journal Of Finance” Dividends, Share Repurchases, and the Substitution Hypothesis”, 2002.
6.Baker & Wurgler,” A Catering Theory of Dividends”, The Journal Of Finance, VOL. LIX, NO. 3, 2004.
7.Baker and Wurgler” Investor Sentiment and the Cross-Section of Stock Returns”, The Journal Of Finance VOL. LXI, NO. 4,2006
8.Daniel Kahneman and Amos Tversky ,” Prospect Theory: An Analysis of Decision under Risk”, Econometrica, 47(2), pp. 263-291,1979.
9.Black ,“Noise” ,The Journal Of Finance,Volume41, Issue3, 1986.
10.DeLong et al.,” Noise Trader Risk in Financial Markets”, The Journal of Political Economy, Vol. 98, No. 4 (Aug., 1990), pp. 703-738, (1990a)
11.Baker & Wurgler,” A catering theory of dividends”, Journal of Finance , 59, 1125-1165.,2004a
12.Miller and Modigliani,” dividend policy, growth, and the valuation of shares”, The Journal of Business, vol.34,No 4,1961
13.Allen, Franklin and Bernardo, Antonio E. and Welch, Ivo, “A Theory of Dividends Based on Tax Clienteles”, Rodney L. White Center Working Paper No. 15-98. ,1998.
14.Gorden , “Dividends, Earnings, and Stock Prices”, The Review of Economics and Statistics, Vol. 41, No. 2, Part 1 (May, 1959), pp. 99-105, (1959)
15.Jesen & Meckling ,” Theory of the Firm: Managerial Behavior,Agency Costs and Ownership Structure”, 1976.
16.Jensen ,“Agency Costs of Free Cash Flow, Corporate Finance and Takeovers”,American Economic Review, 76(2), pp.323-329, 1986.
17.Rozeff,” Growth, Beta and Agency Costs as Determinants of Dividend Payout Ratios”, Journal of Financial Research, Vol. 5, No. 3, pp. 249-259, 1982
18.Easterbrook, F. H,” Two-agency explanations of dividends”, American Economic Review 74(4), 650-659, 1984.
19.Shleifer and Vishny , ” Large shareholders and corporate control”, Journal of Political Economy, 94(3), 461-488, 1986.
20.Allen, Bernardo and Welch (2000),” A Theory of Dividends Based on Tax Clienteles”, The Journal of Finance, Vol. 55, No. 6, (Dec., 2000), pp. 2499-2536,2000
21.Amy K. Dittmar,” Why Do Firms Repurchase Stock?”, The Journal of Business, Vol. 73, Issue 3, 2000.
22.Dann 1981; Vermaelen 1981; and Comment and Jarrell 1991
23.Medury, Bowyer, & Srinivasan,” Stock repurchases : A multivariate analysis of repurchasing firms”, Quarterly Journal of Business and Economics. 31(1): 21-44, 1992
24.Hovakimian, Opler, & Titman, “The capital structure choice: new evidence for a dynamic tradeoff model” Journal Of Applied Corporate Finance,Volume15, Issue1” ,2005
25.Maxwell &Stephens, ” The Wealth Effects of Repurchases on Bondholders”, The Journal of Finance, Vol. 73, Issue 3 Volume58, Issue2, 2003
26.Takeshi Nishikawa, Andrew K. Prevost, Ramesh P. Rao, ” Bond market reaction to stock repurchases: Is there a a wealth transfer effect? ” The Journal Of Finance Research, Volume34, Issue3,2011
27.Fenn & Liang1997,” Good news and bad news about shares repurchases”
28.Bagwell, ”Share Repurchse And Takeover Deterrence”, RAND Journal Of Economics vol22,No1, 1991.
29.Ana Isabel Areias Ribeiro Sanches Vieira, ” Payout policy and earnings management: Dividends versus stock repurchases”,2017.
30.Jagannathan, Stephens, and Weisbach (2000), Financial flexibility and the choice between dividends and stock repurchases,” Journal of Financial Economics, 2000, vol. 57, issue 3, 355-384”,
31.Stephens&Weisbach ,” Actual Share Reacquisitions in Open‐Market Repurchase Programs”, The Journal of Finance,Volume53, Issue1, 2002.

Chinese Reference
1.鄭桂蕙Zheng, Guigui,”庫藏股買回對股利發放之影響”, The International Journal of Accounting Studies 會計評論，第 41 期, 2005
2.陳信憲、蘇麗雯Chen, Xinxian and Su, Liwen, ”投資人情緒與臺灣上市公司股利發放因素之研究” , 2010
3.烏瑤佩Wu, Elle ,” 影響外資法人投資台股投資因子之探討”, 2005
4.汪瑞芝Wang, Ruizhi,” 庫藏股買回對公司績效之影響” , 中華管理評論2008 年 2 月第十一卷一期 Vol. 11, No. 1, 2008
5.王象康Wang, Xiangkang,” 台灣上市公司現金股利與庫藏股政策之探討”,2004
描述 碩士
國立政治大學
財務管理學系
106357006
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106357006
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Chou, Robin K.en_US
dc.contributor.author (Authors) 王予君zh_TW
dc.contributor.author (Authors) Wang, Yu-Chunen_US
dc.creator (作者) 王予君zh_TW
dc.creator (作者) Wang, Yu-Chunen_US
dc.date (日期) 2018en_US
dc.date.accessioned 3-Jul-2018 17:25:43 (UTC+8)-
dc.date.available 3-Jul-2018 17:25:43 (UTC+8)-
dc.date.issued (上傳時間) 3-Jul-2018 17:25:43 (UTC+8)-
dc.identifier (Other Identifiers) G0106357006en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118232-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 106357006zh_TW
dc.description.abstract (摘要) 本文探討投資人情緒因子是否會影響公司發還股東現金方式的選擇。發還股東現金方式主要分為三種，一、發放現金股利，二、現金退還減資，三、實施庫藏股，然而現金退還減資的案例在台灣並不常見，而效果幾乎等同收回庫藏股，因此本研究著重現金股利和實施庫藏股之間的選擇。發放現金股利是單純公司盈餘的分配，而實施庫藏股則等同公司減資的效果，也就是會造成公司股本的縮減，兩者都是將公司多餘的現金發還到股東手上，但對公司或是對股東來說，都有著不同層面的影響。公司方面可能會考慮到公司現金流的穩定狀況、股利政策的訂定、投資人偏好等；而股東方面則會考慮到資本利得和股利所得等稅負問題。因此，過去許多研究皆著重於兩種發還現金方式的比較，包括對於股價表現及公司後續營運績效的探討，而本研究則是進一步探討投資人情緒因子是否會影響公司對於兩種方式的選擇以及投資人情緒會不會影響公司現金發放率，並以邏輯斯回歸和簡單回歸分別做測試。
而研究發現，在台灣資本市場，投資人情緒確實會影響公司對於發放現金股利和實施庫藏股的決策，當投資人情緒越高，公司越傾向以發放現金股利取代實施庫藏股，不同於美國以庫藏股替代現金股利，台灣仍以配發股利為主，並在投資人情緒高漲時，特別明顯；然而，股利發放率和投資人情緒間並無顯著關係。		zh_TW
dc.description.abstract (摘要) This article studies whether the factor of investor sentiment can affect the way company returning cash to shareholders or not. There are two classical types of cash distribution: cash dividends and share repurchases. Cash dividends is pure the distribution of earnings and share repurchases is one of the type of capital reduction, causing the company to reduce the capital. Both the ways are returning the company`s excess cash to shareholders, but at some extent, they have different influences on the company and shareholders. For firms, the stability of cash flow, the establishment of dividend policy, investor preferences and so on are the factors that management will consider when making decision. On the other hand, shareholders will take tax issues into accounts, comparing the tax between capital gains and dividend income. Many studies in the past focused on the comparison between two ways, including the stock price response and the company’s follow-up operating performance. This study further examines whether the investor`s sentiment is the factor affecting the company`s choice or not and whether the payout ratio goes high with investor sentiment increasing, and use the simple logistic regression and simple regression respectively to test it.
This paper indicates that in Taiwan’s capital market, investor sentiment does affect the company’s decision to issue cash dividends and implement treasury shares. The higher the investor’s sentiment, the greater the company’s tendency to disburse cash dividends instead of implementing treasury shares. Unlike American’s substitute effect of share repurchases replace cash dividend, Taiwan’s firms still prefer cash dividend, and this effect is particularly evident when investors` sentiment goes high. However, there isn’t significant relationship between payout ratio and investor sentiment.		en_US
dc.description.tableofcontents Chapter 1 Introduction 3
Chapter 2 Literature Review 7
2.1 Investor sentiment and catering incentives 7
2.1.1Investor Sentiment 7
2.1.2Catering Incentives 9
2.2 Cash dividends 10
2.3 Share repurchases 14
Chapter 3 Hypothesis & Methodology 18
3.1 Sample source and Variables 18
3.2 Hypothesis 20
3.3 Empirical model 21
Chapter 4 Empirical Results 22
4.1 Descriptive statistics 22
4.2 Pearson &VIF 23
4.3 Empirical Results 25
Chapter 5 Conclusion 30
Reference 32		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106357006en_US
dc.subject (關鍵詞) 現金股利zh_TW
dc.subject (關鍵詞) 庫藏股zh_TW
dc.subject (關鍵詞) 替代效應zh_TW
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) Cash dividenden_US
dc.subject (關鍵詞) Share repurchasesen_US
dc.subject (關鍵詞) Substitute effecten_US
dc.subject (關鍵詞) Investor sentimenten_US
dc.title (題名) 投資人情緒與公司發放現金股利和實施庫藏股替代效應之關聯性zh_TW
dc.title (題名) A Study on the Relationship of Investor Sentiment and the Substitute Effect between Cash Dividend and Share Repurchaseen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) English Reference
1.Lintner, “ Distribution of Incomes of Corporations among Dividends, Retained Earnings, and Taxes ”, The American Economic Review vol.46, No2 , 97-113.,1956
2.Brav, A., Graham, J. R., Harvey, C. R., Michaely, R.,.” Payout policy in the 21st century”, Journal of Financial Economics 77 (3), 483-527,2005
3.Fama, E.G., and French, K, “Disappearing Dividends ： Changing Firm Characteristics or Lower Propensity Top Pay? ”, Journal of Financial Economics, 60, pp.3-43, 2001
4.DeAngelo, DeAngelo, and Skinner,” Are dividends disappearing? Dividend concentration and the consolidation of earnings”, Journal of Financial Economics, 2004.
5.Gustavo Grullon, Roni Michaely , The Journal Of Finance” Dividends, Share Repurchases, and the Substitution Hypothesis”, 2002.
6.Baker & Wurgler,” A Catering Theory of Dividends”, The Journal Of Finance, VOL. LIX, NO. 3, 2004.
7.Baker and Wurgler” Investor Sentiment and the Cross-Section of Stock Returns”, The Journal Of Finance VOL. LXI, NO. 4,2006
8.Daniel Kahneman and Amos Tversky ,” Prospect Theory: An Analysis of Decision under Risk”, Econometrica, 47(2), pp. 263-291,1979.
9.Black ,“Noise” ,The Journal Of Finance,Volume41, Issue3, 1986.
10.DeLong et al.,” Noise Trader Risk in Financial Markets”, The Journal of Political Economy, Vol. 98, No. 4 (Aug., 1990), pp. 703-738, (1990a)
11.Baker & Wurgler,” A catering theory of dividends”, Journal of Finance , 59, 1125-1165.,2004a
12.Miller and Modigliani,” dividend policy, growth, and the valuation of shares”, The Journal of Business, vol.34,No 4,1961
13.Allen, Franklin and Bernardo, Antonio E. and Welch, Ivo, “A Theory of Dividends Based on Tax Clienteles”, Rodney L. White Center Working Paper No. 15-98. ,1998.
14.Gorden , “Dividends, Earnings, and Stock Prices”, The Review of Economics and Statistics, Vol. 41, No. 2, Part 1 (May, 1959), pp. 99-105, (1959)
15.Jesen & Meckling ,” Theory of the Firm: Managerial Behavior,Agency Costs and Ownership Structure”, 1976.
16.Jensen ,“Agency Costs of Free Cash Flow, Corporate Finance and Takeovers”,American Economic Review, 76(2), pp.323-329, 1986.
17.Rozeff,” Growth, Beta and Agency Costs as Determinants of Dividend Payout Ratios”, Journal of Financial Research, Vol. 5, No. 3, pp. 249-259, 1982
18.Easterbrook, F. H,” Two-agency explanations of dividends”, American Economic Review 74(4), 650-659, 1984.
19.Shleifer and Vishny , ” Large shareholders and corporate control”, Journal of Political Economy, 94(3), 461-488, 1986.
20.Allen, Bernardo and Welch (2000),” A Theory of Dividends Based on Tax Clienteles”, The Journal of Finance, Vol. 55, No. 6, (Dec., 2000), pp. 2499-2536,2000
21.Amy K. Dittmar,” Why Do Firms Repurchase Stock?”, The Journal of Business, Vol. 73, Issue 3, 2000.
22.Dann 1981; Vermaelen 1981; and Comment and Jarrell 1991
23.Medury, Bowyer, & Srinivasan,” Stock repurchases : A multivariate analysis of repurchasing firms”, Quarterly Journal of Business and Economics. 31(1): 21-44, 1992
24.Hovakimian, Opler, & Titman, “The capital structure choice: new evidence for a dynamic tradeoff model” Journal Of Applied Corporate Finance,Volume15, Issue1” ,2005
25.Maxwell &Stephens, ” The Wealth Effects of Repurchases on Bondholders”, The Journal of Finance, Vol. 73, Issue 3 Volume58, Issue2, 2003
26.Takeshi Nishikawa, Andrew K. Prevost, Ramesh P. Rao, ” Bond market reaction to stock repurchases: Is there a a wealth transfer effect? ” The Journal Of Finance Research, Volume34, Issue3,2011
27.Fenn & Liang1997,” Good news and bad news about shares repurchases”
28.Bagwell, ”Share Repurchse And Takeover Deterrence”, RAND Journal Of Economics vol22,No1, 1991.
29.Ana Isabel Areias Ribeiro Sanches Vieira, ” Payout policy and earnings management: Dividends versus stock repurchases”,2017.
30.Jagannathan, Stephens, and Weisbach (2000), Financial flexibility and the choice between dividends and stock repurchases,” Journal of Financial Economics, 2000, vol. 57, issue 3, 355-384”,
31.Stephens&Weisbach ,” Actual Share Reacquisitions in Open‐Market Repurchase Programs”, The Journal of Finance,Volume53, Issue1, 2002.

Chinese Reference
1.鄭桂蕙Zheng, Guigui,”庫藏股買回對股利發放之影響”, The International Journal of Accounting Studies 會計評論，第 41 期, 2005
2.陳信憲、蘇麗雯Chen, Xinxian and Su, Liwen, ”投資人情緒與臺灣上市公司股利發放因素之研究” , 2010
3.烏瑤佩Wu, Elle ,” 影響外資法人投資台股投資因子之探討”, 2005
4.汪瑞芝Wang, Ruizhi,” 庫藏股買回對公司績效之影響” , 中華管理評論2008 年 2 月第十一卷一期 Vol. 11, No. 1, 2008
5.王象康Wang, Xiangkang,” 台灣上市公司現金股利與庫藏股政策之探討”,2004		zh_TW
dc.identifier.doi (DOI) 10.6814/THE.NCCU.Finance.004.2018.F07-