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題名 股利政策的代理問題與風險組成
The agency problem and risk composition of dividend policy作者 楊子儀
Yang, Tzu-Yi貢獻者 盧敬植
楊子儀
Yang, Tzu-Yi關鍵詞 股利支付率
代理問題
過度投資
盈餘管理
股票報酬拆解模型
未預期報酬
現金流訊息
報酬率訊息
Expected-return news
Dividend payout ratio
Agency problems
Overinvestment
Earnings management
Return-decomposition framework
Unexpected stock return
Cash-flow news日期 2023 上傳時間 2-Aug-2023 12:58:33 (UTC+8) 摘要 本研究主要在股票報酬拆解模型架構下，以未預期報酬波動作為公司風險的變數，並將未預期報酬拆解成現金流訊息和報酬率訊息，現金流訊息和報酬率訊息的波動度分別代表著現金流風險和折現率風險，能夠探討不同股利政策公司風險的組成，以及討論和股利政策相關的代理問題與公司風險之間的關聯性，本研究討論的代理問題包括過度投資問題與盈餘管理問題。實證結果顯示，股利支付率越低，公司的未預期報酬的波動程度越低，風險組成中主要來自現金流訊息。此外，過度投資和盈餘管理的問題都會隨著股利支付率的上升而下降，並且這兩種代理問題與公司風險之間的關聯性也會隨著股利支付率的上升而減少。在低股利支付的公司中，這兩種代理問題和現金流風險與折現率風險都呈現顯著正相關。
The main objective of this study is to analyze the composition of company risk under the return-decomposition framework, where unexpected return volatility serves as a proxy for company risk. The return-decomposition framework decomposes unexpected returns into cash-flow news and expected-return news, with the volatility of cash-flow news and expected-return news representing cash flow risk and discount rate risk, respectively. This allows for the examination of the composition of company risk under different dividend policies, as well as the discussion of agency issues related to dividend policy and their relationship with company risk. The agency issues discussed in this study include the problems of overinvestment and earnings management.Empirical results indicate that as the dividend payout ratio decreases, the volatility of unexpected returns for the company also decreases, with cash flow news being the primary source of risk composition. Furthermore, both overinvestment and earnings management issues decrease as the dividend payout ratio increases, and the relationship between these two agency issues and company risk also diminishes with an increase in the dividend payout ratio. In companies with low dividend payouts, both of these agency issues exhibit a significant positive correlation with cash flow risk and discount rate risk.參考文獻 Bhattacharya S., 1979. Imperfect Information, Dividend Policy, and “the Bird in the Hand” Fallacy. Bell Journal of Economics, 259-270.Bradley M., Capozza D. R., & Seguin P. J., 1998. Dividend Policy and Cash Flow Uncertainty. Real Estate Economics, 26(4), 555-581.Chan, Chia-Chung, & Chen, Chia-Wei, 2014. Does the Protection of Directors’ Liability Insurance Lead to Overinvestment? Journal of Financial Studies Vol. 22 No.1, 61-71.Caskey, Judson, and Michelle Hanlon, 2013. Dividend policy at firms accused of accounting fraud. Contemporary Accounting Research 30, 818-850.Easterbrook F. H., 1984. Two agency-cost explanations of dividends. The American Economic Review 74, 650-659.He, Wen, Lilian Ng, Nataliya Zaiats, & Bohui Zhang, 2017. Dividend policy and earnings management across countries. Journal of Corporate Finance 42, 267-286.Hsu, Shufang, Chen, Wei-Peng, & Feng, You-Ru, 2021. Dividend Policy, Earnings Management, and CEO Power. Journal of Financial Studies Vol. 29 No. 4, 31-48.Jensen, M. C., 1986. Agency costs and free cash flow, corporate finance and takeovers. American Economic Review, 76, 659–665.Jones, J., 1991. Earnings management during import relief investigations. Journal of Accounting Research 29, 193–228.Joseph Aharony, & Itzhak Swary, 1980. Quarterly Dividend and Earnings Announcements and Stockholder Returns: An Empirical Analysis. Journal of Finance 35,1-12.Kothari, Sagar P., Andrew J. Leone, & Charles E. Wasley, 2005. Performance matched discretionary accrual measures. Journal of Accounting and Economics 39, 163-197.Michaely, R., Rossi, S., & Weber, M, 2021. Signaling safety. Journal of financial Economics, 139(2), 405-427.Miller, Merton H., & Modigliani, 1961. Dividend policy, growth, and the valuation of Shares. The journal of business 34(4), 411-433.Miller, M. H., & Rock, K., 1985. Dividend policy under asymmetric information. The Journal of Finance 40(4), 1031-1051.Richardson, Scott, 2006. Over-investment of free cash flow. Review of Accounting Studies 11, 159-189.Ross, Steven S., 1977. The Determination of Financial Structure: The Incentive Signaling Approach. Bell Journal of Economics 8, 23-40.Rozeff, Michael S., 1982. Growth, beta, and agency costs as determinants of dividend payout ratios. Journal of Financial Research 5, 249-259.Skinner, Douglas J., and Eugene Soltes, 2011. What do dividends tell us about earnings quality? Review of Accounting Studies 16, 1-28.Vuolteenaho, T., 2002. What drives firm-level stock returns? The Journal of Finance 57, 233–264. 描述 碩士
國立政治大學
財務管理學系
110357015資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357015 資料類型 thesis dc.contributor.advisor 盧敬植 zh_TW dc.contributor.author (Authors) 楊子儀 zh_TW dc.contributor.author (Authors) Yang, Tzu-Yi en_US dc.creator (作者) 楊子儀 zh_TW dc.creator (作者) Yang, Tzu-Yi en_US dc.date (日期) 2023 en_US dc.date.accessioned 2-Aug-2023 12:58:33 (UTC+8) - dc.date.available 2-Aug-2023 12:58:33 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2023 12:58:33 (UTC+8) - dc.identifier (Other Identifiers) G0110357015 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146282 - 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) 110357015 zh_TW dc.description.abstract (摘要) 本研究主要在股票報酬拆解模型架構下，以未預期報酬波動作為公司風險的變數，並將未預期報酬拆解成現金流訊息和報酬率訊息，現金流訊息和報酬率訊息的波動度分別代表著現金流風險和折現率風險，能夠探討不同股利政策公司風險的組成，以及討論和股利政策相關的代理問題與公司風險之間的關聯性，本研究討論的代理問題包括過度投資問題與盈餘管理問題。實證結果顯示，股利支付率越低，公司的未預期報酬的波動程度越低，風險組成中主要來自現金流訊息。此外，過度投資和盈餘管理的問題都會隨著股利支付率的上升而下降，並且這兩種代理問題與公司風險之間的關聯性也會隨著股利支付率的上升而減少。在低股利支付的公司中，這兩種代理問題和現金流風險與折現率風險都呈現顯著正相關。 zh_TW dc.description.abstract (摘要) The main objective of this study is to analyze the composition of company risk under the return-decomposition framework, where unexpected return volatility serves as a proxy for company risk. The return-decomposition framework decomposes unexpected returns into cash-flow news and expected-return news, with the volatility of cash-flow news and expected-return news representing cash flow risk and discount rate risk, respectively. This allows for the examination of the composition of company risk under different dividend policies, as well as the discussion of agency issues related to dividend policy and their relationship with company risk. The agency issues discussed in this study include the problems of overinvestment and earnings management.Empirical results indicate that as the dividend payout ratio decreases, the volatility of unexpected returns for the company also decreases, with cash flow news being the primary source of risk composition. Furthermore, both overinvestment and earnings management issues decrease as the dividend payout ratio increases, and the relationship between these two agency issues and company risk also diminishes with an increase in the dividend payout ratio. In companies with low dividend payouts, both of these agency issues exhibit a significant positive correlation with cash flow risk and discount rate risk. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的與結果 2第二章 文獻回顧 3第一節 股利政策 3第二節 股票報酬拆解模型 4第三節 盈餘管理模型 6第三章 研究方法 8第一節 資料處理 8第二節 變數定義 9第三節 研究方法與實證模型 15第四章 實證結果 19第一節 敘述統計 19第二節 股票報酬拆解模型參數估計 24第三節 股票報酬拆解模型結果 25第四節 代理問題與股利政策的分析結果 30第五節 代理問題與公司風險的分析結果 32第六節 代理問題與Nr、Ncf的分析結果 38第五章 結論與建議 44第一節 研究結論 44第二節 研究限制與後續建議 45參考文獻 46 zh_TW dc.format.extent 919659 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357015 en_US dc.subject (關鍵詞) 股利支付率 zh_TW dc.subject (關鍵詞) 代理問題 zh_TW dc.subject (關鍵詞) 過度投資 zh_TW dc.subject (關鍵詞) 盈餘管理 zh_TW dc.subject (關鍵詞) 股票報酬拆解模型 zh_TW dc.subject (關鍵詞) 未預期報酬 zh_TW dc.subject (關鍵詞) 現金流訊息 zh_TW dc.subject (關鍵詞) 報酬率訊息 zh_TW dc.subject (關鍵詞) Expected-return news en_US dc.subject (關鍵詞) Dividend payout ratio en_US dc.subject (關鍵詞) Agency problems en_US dc.subject (關鍵詞) Overinvestment en_US dc.subject (關鍵詞) Earnings management en_US dc.subject (關鍵詞) Return-decomposition framework en_US dc.subject (關鍵詞) Unexpected stock return en_US dc.subject (關鍵詞) Cash-flow news en_US dc.title (題名) 股利政策的代理問題與風險組成 zh_TW dc.title (題名) The agency problem and risk composition of dividend policy en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Bhattacharya S., 1979. Imperfect Information, Dividend Policy, and “the Bird in the Hand” Fallacy. Bell Journal of Economics, 259-270.Bradley M., Capozza D. R., & Seguin P. J., 1998. Dividend Policy and Cash Flow Uncertainty. Real Estate Economics, 26(4), 555-581.Chan, Chia-Chung, & Chen, Chia-Wei, 2014. Does the Protection of Directors’ Liability Insurance Lead to Overinvestment? Journal of Financial Studies Vol. 22 No.1, 61-71.Caskey, Judson, and Michelle Hanlon, 2013. Dividend policy at firms accused of accounting fraud. Contemporary Accounting Research 30, 818-850.Easterbrook F. H., 1984. Two agency-cost explanations of dividends. The American Economic Review 74, 650-659.He, Wen, Lilian Ng, Nataliya Zaiats, & Bohui Zhang, 2017. Dividend policy and earnings management across countries. Journal of Corporate Finance 42, 267-286.Hsu, Shufang, Chen, Wei-Peng, & Feng, You-Ru, 2021. Dividend Policy, Earnings Management, and CEO Power. Journal of Financial Studies Vol. 29 No. 4, 31-48.Jensen, M. C., 1986. Agency costs and free cash flow, corporate finance and takeovers. American Economic Review, 76, 659–665.Jones, J., 1991. Earnings management during import relief investigations. Journal of Accounting Research 29, 193–228.Joseph Aharony, & Itzhak Swary, 1980. Quarterly Dividend and Earnings Announcements and Stockholder Returns: An Empirical Analysis. Journal of Finance 35,1-12.Kothari, Sagar P., Andrew J. Leone, & Charles E. Wasley, 2005. Performance matched discretionary accrual measures. Journal of Accounting and Economics 39, 163-197.Michaely, R., Rossi, S., & Weber, M, 2021. Signaling safety. Journal of financial Economics, 139(2), 405-427.Miller, Merton H., & Modigliani, 1961. Dividend policy, growth, and the valuation of Shares. The journal of business 34(4), 411-433.Miller, M. H., & Rock, K., 1985. Dividend policy under asymmetric information. The Journal of Finance 40(4), 1031-1051.Richardson, Scott, 2006. Over-investment of free cash flow. Review of Accounting Studies 11, 159-189.Ross, Steven S., 1977. The Determination of Financial Structure: The Incentive Signaling Approach. Bell Journal of Economics 8, 23-40.Rozeff, Michael S., 1982. Growth, beta, and agency costs as determinants of dividend payout ratios. Journal of Financial Research 5, 249-259.Skinner, Douglas J., and Eugene Soltes, 2011. What do dividends tell us about earnings quality? Review of Accounting Studies 16, 1-28.Vuolteenaho, T., 2002. What drives firm-level stock returns? The Journal of Finance 57, 233–264. zh_TW
