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題名 資本市場發展對股利資訊意涵之影響 －以台灣資本市場為例
How can development of capital market affect the imformation effect of dividends in Taiwan作者 周威佑 貢獻者 屠美亞
周威佑關鍵詞 現金股利
股利消失
資本市場發展
Cash dividends
disappearing dividends
the development of Capital Market日期 2011 上傳時間 30-十月-2012 10:41:52 (UTC+8) 摘要 我以台灣資本市場在1991至2010年之上市公司作為樣本，研究資本市場發展程度對於企業現金股利之資訊內涵的影響。我們首先觀察支付公司數占整體上市公司數比重以及加權平均股利發放率，發現台灣資本市場並不存在消失股利的現象。接著透過羅吉斯模型、Life RegressionTobit Model以及多變量迴歸分析，分別對台灣上市公司發放股利傾向、股利發放率，以及現金股利宣告效果進行分析。我發現儘管我國不存在股利消失現象，資本市場發展程度的確負向影響公司發放股利傾向、股利支付率，以及宣告增發股利時的宣告效果，代表現金股利的資訊意涵卻隨資本市場發展而弱化。另外機構投資人持股比率上升，顯著降低了現金股利的宣告效果。唯本土機構投資人持股比例越高，公司發放股利的傾向隨之增加，呼應了我國資本市場對於股利仍有一定的重視程度及偏好。
The main contribution of this article is that I use the variable of developmentof capital market as the main reason resulting in the decrease of the likelihood ofcompanies to pay cash dividends and cash dividends payout ratio, and it alsoweakens the announce effect of cash dividends.There are some results we can see in this investigation. First, throughobserving the trend of the percentage of cash-dividend –payer firms to all TWSEfirms and the trend of market value weighted payout ratio, we can see there is no“disappearing dividends” phenomenon in Taiwan capital market from 1991 to2010.Second, the development of capital market not only decreases the likelihoodof companies to pay cash dividends and cash dividends payout ratio, but alsoweakens the announce effect of cash dividends.Third, the more shares held by institutional investors, the weaker announceeffect caused by cash dividends announcement. However, firms with higherpercentage of shares held by local institutional investors are much likely to paydividends. It somehow means that cash dividends are preferred and respected.參考文獻 一、 中文部分江淑玲(1998)，「我國上市公司股利政策之研究」，國立政治大學會計學系博士班博士論文，民國87年6 月。方以唐(2005)，「股票股利消失?台灣上市公司股利政策之探討」，國立東華大學國際經濟研究所未出版之碩士論文。陳憲民(1989)，「台灣上市公司股利政策趨勢與公司特性之研究」，銘傳大學國際企業管理研究所未出版之碩士論文。黃桂榮(1997)，「企業特性與交易市場對股票股利資訊內涵影響程度之研究」，政治大學會計學研究所未出版之碩士論文。王象康(2006)，「台灣上市公司現金股利與庫藏股政策之探討」，交通大學財務金融研究所未出版之碩士論文。王錦瑩(2002) ，「台灣上市公司盈餘分配行為對股價影響之研究」，國立政治大學企業管理研究所博士論文。湯翠萍(2004)，「財務彈性-上市公司實施庫藏股之實證研究」，國立中山大學財務管理研究所未出版之碩士論文。二、 英文部分Asquith, P., and D. Mullins (1983), “The impact of initiating dividend payments onshareholders’ wealth,” Journal of Business, 56, 77-96.Baker, M. and J. Wurgler (2004), “ A catering theory of dividends,” Journal of Finance, 59,1125-1165.Bhattacharya, S. (1979), “Imperfect information, dividend policy, and ‘The bird-in-the-hand’fallacy,” Bell Journal of Economics, 10, 259-270.Demirgüç, A. and R. Levine (2001), “Bank-based and market-based financial systems:Cross-country comparison, in Demirgüç, A. and R. Levine Eds., Financial Structure andEconomic Growth: Cross-Country Comparison of Banks, Markets and Development,Cambridge,” MA, MIT Press, 81-140.Denis, D.J. and I. Osobov (2008), “Why do firms pay dividend? International evidence on thedeterminants of dividend policy,” Journal of Financial Economics, 89, 62-82.Easterbrook, F.H. (1984), “Two agency-cost explanations of dividends, American EconomicReview 74,” 650-659.Fama, E. F., and K.R. French (2001), “Disappearing dividends: Changing firm characteristicsor lower propensity to pay?” Journal of Financial Economics, 60, 3- 44.Gordon, M. J. (1963), “Optimal Investment and Financing Policy,” Journal of Finance, 60,1389-14265Grullon, G., R. Michaely, S. Benartzi, and R.H. Thaler (2005), “Dividend changes do notsignal changes in future profitability,” Journal of Business, 78, 1659-1682.Hoberg, Gerard, and Nagpurnanand Prabhala (2009), “Disappearing dividends, catering, andrisk,” Review of Financial Studies, 22, 79-116.Jensen, M.C. (1986), “Agency costs of free cash flow, corporate finance, and takeovers,”American Economic Review, 76, 323-329.Jensen, M.C. and W. H. Meckling (1976), “Theory of the Firm : Managerial Behavior,Agency Costs and Ownership Structur,” Journal of Financial Economics, 3, 305-360.Miller M. H. and F. Modigliani (1961), “Dididend Policy, Growth and Valuation of Shares,”Journal of Business.Yakov Amihud and Kefei Li (2006), “The Declining Information Content of DividendAnnouncements and the Effects of Institutional Holdings,” Journal of Financial andQuantitative Analysis, 637-660.Yaniv Grinstein and Roni Michaely (2005), “Institutional Holdings and Payout Policy,”Journal of Finance , 60, 1389-1426. 描述 碩士
國立政治大學
財務管理研究所
99357005
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099357005 資料類型 thesis dc.contributor.advisor 屠美亞 zh_TW dc.contributor.author (作者) 周威佑 zh_TW dc.creator (作者) 周威佑 zh_TW dc.date (日期) 2011 en_US dc.date.accessioned 30-十月-2012 10:41:52 (UTC+8) - dc.date.available 30-十月-2012 10:41:52 (UTC+8) - dc.date.issued (上傳時間) 30-十月-2012 10:41:52 (UTC+8) - dc.identifier (其他 識別碼) G0099357005 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54304 - 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) 99357005 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 我以台灣資本市場在1991至2010年之上市公司作為樣本，研究資本市場發展程度對於企業現金股利之資訊內涵的影響。我們首先觀察支付公司數占整體上市公司數比重以及加權平均股利發放率，發現台灣資本市場並不存在消失股利的現象。接著透過羅吉斯模型、Life RegressionTobit Model以及多變量迴歸分析，分別對台灣上市公司發放股利傾向、股利發放率，以及現金股利宣告效果進行分析。我發現儘管我國不存在股利消失現象，資本市場發展程度的確負向影響公司發放股利傾向、股利支付率，以及宣告增發股利時的宣告效果，代表現金股利的資訊意涵卻隨資本市場發展而弱化。另外機構投資人持股比率上升，顯著降低了現金股利的宣告效果。唯本土機構投資人持股比例越高，公司發放股利的傾向隨之增加，呼應了我國資本市場對於股利仍有一定的重視程度及偏好。 zh_TW dc.description.abstract (摘要) The main contribution of this article is that I use the variable of developmentof capital market as the main reason resulting in the decrease of the likelihood ofcompanies to pay cash dividends and cash dividends payout ratio, and it alsoweakens the announce effect of cash dividends.There are some results we can see in this investigation. First, throughobserving the trend of the percentage of cash-dividend –payer firms to all TWSEfirms and the trend of market value weighted payout ratio, we can see there is no“disappearing dividends” phenomenon in Taiwan capital market from 1991 to2010.Second, the development of capital market not only decreases the likelihoodof companies to pay cash dividends and cash dividends payout ratio, but alsoweakens the announce effect of cash dividends.Third, the more shares held by institutional investors, the weaker announceeffect caused by cash dividends announcement. However, firms with higherpercentage of shares held by local institutional investors are much likely to paydividends. It somehow means that cash dividends are preferred and respected. en_US dc.description.tableofcontents 摘要 Ⅰ英文摘要 Ⅱ目錄 Ⅳ表次 Ⅵ圖次 Ⅶ第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的與貢獻 3第三節 研究架構與流程 4第二章 文獻探討與研究假說 5第一節 股利政策相關文獻 5第二節 探討股利消失之相關文獻 7第三章 研究方法 9第一節 研究假說 9 第二節 變數定義與預測 10第三節 實證模型 21第四節 樣本選取與資料來源 25第四章 實證結果與分析 26第一節 敘述統計量 26第二節 相關係數與貢獻性分析 32第三節 實證結果分析 36第五章 結論與建議 48 第一節 結論 48 第二節 研究限制 49 第三節 建議 50參考文獻 51附錄 54 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099357005 en_US dc.subject (關鍵詞) 現金股利 zh_TW dc.subject (關鍵詞) 股利消失 zh_TW dc.subject (關鍵詞) 資本市場發展 zh_TW dc.subject (關鍵詞) Cash dividends en_US dc.subject (關鍵詞) disappearing dividends en_US dc.subject (關鍵詞) the development of Capital Market en_US dc.title (題名) 資本市場發展對股利資訊意涵之影響 －以台灣資本市場為例 zh_TW dc.title (題名) How can development of capital market affect the imformation effect of dividends in Taiwan en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 一、 中文部分江淑玲(1998)，「我國上市公司股利政策之研究」，國立政治大學會計學系博士班博士論文，民國87年6 月。方以唐(2005)，「股票股利消失?台灣上市公司股利政策之探討」，國立東華大學國際經濟研究所未出版之碩士論文。陳憲民(1989)，「台灣上市公司股利政策趨勢與公司特性之研究」，銘傳大學國際企業管理研究所未出版之碩士論文。黃桂榮(1997)，「企業特性與交易市場對股票股利資訊內涵影響程度之研究」，政治大學會計學研究所未出版之碩士論文。王象康(2006)，「台灣上市公司現金股利與庫藏股政策之探討」，交通大學財務金融研究所未出版之碩士論文。王錦瑩(2002) ，「台灣上市公司盈餘分配行為對股價影響之研究」，國立政治大學企業管理研究所博士論文。湯翠萍(2004)，「財務彈性-上市公司實施庫藏股之實證研究」，國立中山大學財務管理研究所未出版之碩士論文。二、 英文部分Asquith, P., and D. Mullins (1983), “The impact of initiating dividend payments onshareholders’ wealth,” Journal of Business, 56, 77-96.Baker, M. and J. Wurgler (2004), “ A catering theory of dividends,” Journal of Finance, 59,1125-1165.Bhattacharya, S. (1979), “Imperfect information, dividend policy, and ‘The bird-in-the-hand’fallacy,” Bell Journal of Economics, 10, 259-270.Demirgüç, A. and R. Levine (2001), “Bank-based and market-based financial systems:Cross-country comparison, in Demirgüç, A. and R. Levine Eds., Financial Structure andEconomic Growth: Cross-Country Comparison of Banks, Markets and Development,Cambridge,” MA, MIT Press, 81-140.Denis, D.J. and I. Osobov (2008), “Why do firms pay dividend? International evidence on thedeterminants of dividend policy,” Journal of Financial Economics, 89, 62-82.Easterbrook, F.H. (1984), “Two agency-cost explanations of dividends, American EconomicReview 74,” 650-659.Fama, E. F., and K.R. French (2001), “Disappearing dividends: Changing firm characteristicsor lower propensity to pay?” Journal of Financial Economics, 60, 3- 44.Gordon, M. J. (1963), “Optimal Investment and Financing Policy,” Journal of Finance, 60,1389-14265Grullon, G., R. Michaely, S. Benartzi, and R.H. Thaler (2005), “Dividend changes do notsignal changes in future profitability,” Journal of Business, 78, 1659-1682.Hoberg, Gerard, and Nagpurnanand Prabhala (2009), “Disappearing dividends, catering, andrisk,” Review of Financial Studies, 22, 79-116.Jensen, M.C. (1986), “Agency costs of free cash flow, corporate finance, and takeovers,”American Economic Review, 76, 323-329.Jensen, M.C. and W. H. Meckling (1976), “Theory of the Firm : Managerial Behavior,Agency Costs and Ownership Structur,” Journal of Financial Economics, 3, 305-360.Miller M. H. and F. Modigliani (1961), “Dididend Policy, Growth and Valuation of Shares,”Journal of Business.Yakov Amihud and Kefei Li (2006), “The Declining Information Content of DividendAnnouncements and the Effects of Institutional Holdings,” Journal of Financial andQuantitative Analysis, 637-660.Yaniv Grinstein and Roni Michaely (2005), “Institutional Holdings and Payout Policy,”Journal of Finance , 60, 1389-1426. zh_TW
