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題名 現金股利發放對盈餘品質與股票報酬之關聯性－股利是否可彌補盈餘品質的不足
The Relation Between the Impact of Cash Dividend Policy on Stock Returns and the Quality of Earnings
作者 張淑妘
貢獻者 屠美亞
張淑妘
關鍵詞 盈餘品質
現金股利
融資成本
累積異常報酬
日期 2012
上傳時間 11-Jul-2013 16:47:03 (UTC+8)
摘要 本研究主旨在探討當公司宣告發放現金股利時，盈餘品質的高低是否會對股票報酬產生影響，目的在瞭解盈餘品質較差的公司，是否該透過宣告發放現金股利的方式，傳達公司未來盈餘將會增加的訊息給投資人，進而提高公司的股價，但另一方面，盈餘品質較差的公司其訊息風險較高，故融資成本可能較高，因此本研究探討，當公司盈餘品質較差時，宣告發放現金股利，市場上是會較支持訊號面或是融資面。最後加以驗證，盈餘品質對宣告發放現金股利所造成的股價反應是否和盈餘品質的高低如何影響經理人決定是否發放現金股利的決策一致。
本研究以2003年至2012年的台灣上市公司為研究對象，在研究期間內，以所有宣告發放現金股利的公司為樣本，樣本共有497家，共計3,573個觀察值。本論文由各樣本公司的股利宣告日所建立的累積異常報酬，配合上一年度的盈餘品質指標，再加上公司規模、經營績效、成長機會、流動性、槓桿比率、生產能力、營運風險、內部人持股比率、現金股利金額變動之虛擬變數及現金股利金額變動與盈餘品質指標的交互作用之虛擬變數等10個控制變數，建立起盈餘品質指標與累積異常報酬之模型。其實證結果發現，當公司宣告發放現金股利時，累積異常報酬率與盈餘品質指標呈現負相關，且達顯著性水準，意味著盈餘品質指標較高(即盈餘品質較差)的公司，宣告發放現金股利所建立的累積異常報酬率較低。
接著我們予以驗證，盈餘品質較差的公司，宣告發放現金股利對其股價產生的不利影響，是否可由融資面加以解釋，因此本研究參照Francis et al. (2005)的研究方法，分別以負債成本與權益成本對盈餘品質指標建立模型，進行迴歸分析，實證結果顯示盈餘品質指標與融資成本存在正向關係，故當公司盈餘品質較差時，融資成本較高，因此予以驗證市場上是支持融資面的。
最後我們加以驗證，盈餘品質指標與現金股利發放與否之間存在顯著的負向關係，亦即盈餘品質較差的公司，較傾向不發放現金股利，此結果和盈餘品質較差的公司，若發放現金股利，其累積異常報酬率為負之現象，可相呼應。
參考文獻 1. Agrawal, A., Jayaraman, N., 1994. The dividend policies of all-equity firms: A direct test of the free cash flow theory. Managerial and Decision Economics, 15, 139-148.
2. Aharony, J., Swary, I., 1980. Quarterly dividend and earnings announcements and stockholders` returns: An empirical analysis. The Journal of Finance, 35, 1-12.
3. Akhigbe, A., Madura,J., 1996. Dividend policy and corporate performance. Journal of Business Finance and Accounting, 23, 1267-1287.
4. Ashbaugh, H., LaFond, R., Mayhew, B.W., 2003. Do nonaudit services compromise auditor independence? Further evidence. The Accounting Review, 78, 611-639.
5. Asquith, P., Mullins Jr, D.W.,1983. The impact of initiating dividend payments on shareholders` wealth. The Journal of Business, 56, 77-96.
6. Bharath, S.T., Sunder, J., Sunder, S.V.,2008. Accounting quality and debt contracting. The Accounting Review, 83, 1-28.
7. Bhattacharya, S., 1979. Imperfect information, dividend policy, and "The bird in the hand" fallacy. The Bell Journal of Economics, 10, 259-270.
8. Caskey, J., Hanlon, M., 2005. Do dividends indicate honesty? The relation between dividends and the quality of earnings. Working paper, University of Michigan.
9. Chan, K., Chan L.K.C, Jegadeesh, N., Lakonishok, J., 2001. Earnings quality and stock returns. Working paper, University of Illinois.
10. Chaney, P.K., Faccio, M., Parsley, D., 2011. The quality of accounting information in politically connected firms. Journal of Accounting and Economics, 51, 58-76.
11. Choi, S., Salamon, G., 1990. Accounting information and capital asset prices. Working paper, Vanderbilt University, Nashville, TN.
12. DeAngelo, L.E., 1986. Accounting numbers as market valuation substitutes: A study of management buyouts of public stockholders. The Accounting Review, 61, 400-420.
13. Dechow, P.M., Dichev, I.D., 2002. The quality of accruals and earnings: The role of accrual estimation errors. The Accounting Review, 77, 33-59.
14. Dechow, P.M., Schrand, C.M., 2004. Earnings Quality. Research Foundation of CFA Institute Monograph.
15. Dechow, P.M., Sloan, R.G., 1991. Executive incentives and the horizon problem: An empirical investigation. Journal of Accounting and Economics, 14, 51-89.
16. Dechow, P.M., Sloan, R.G., Sweeney, A.P., 1995. Detecting earnings management. The Accounting Review, 70, 193-225.
17. Easley, D., O’Hara, M., 2004. Information and the cost of capital. The Journal of Finance, 59, 1553-1583.
18. Easterbrook, F.H., 1984. Two agency-cost explanations of dividends. The American Economic Review, 74, 650-659.
19. Fama, E.F., Fisher, L., Jensen, M.C., Roll, R., 1969. The adjustment of stock prices to new information. International Economic Review, 10, 1-21.
20. Francis, J., LaFond, R., Olsson, P., Schipper, K., 2005. The market pricing of accruals quality. Journal of Accounting and Economics, 39, 295-327.
21. Healy, P.M., 1985. The effect of bonus schemes on accounting decisions. Journal of Accounting and Economics, 7, 85-107.
22. Jensen, M.C., 1986. Agency costs of free cash flow, corporate finance, and takeovers. American Economic Review, 76, 323-329.
23. John, K., Williams, J., 1985. Dividends, dilution, and taxes: A signalling equilibrium. The Journal of Finance, 40, 1053-1070.
24. Jones, J.J., 1991. Earnings management during import relief investigations. Journal of Accounting Research, 29, 193-228.
25. Leuz, C., Verrecchia, R., 2004. Firms’ capital allocation choices, information quality, and the cost of capital. University of Pennsylvania Working Paper.
26. Lintner, J., 1956. Distribution of incomes of corporations among dividends, retained earnings, and taxes. The American Economic Review, 46, 97-113.
27. Liu, M., Wysocki, P., 2007. Cross-sectional determinants of information quality proxies and cost of capital measures. Working paper, MIT.
28. Miller, M.H., Modigliani, F., 1961. Dividend Policy, Growth, and the Valuation of Shares. The Journal of Business, 34, 411-433.
29. OU, J.A., Penman, S.H., 1989. Financial statement analysis and the prediction of stock returns. Journal of Accounting and Economics, 11, 295-329.
30. Palepu, K.G., Healy, P.M., Peek, E., 2007. Business analysis and valuation IFRS edition.
31. Penman, S.H., Zhang, X.J., 2002. Accounting conservatism, the quality of earnings, and stock returns. The Accounting Review, 77, 237-264.
32. Pettit, R.R., 1972. Dividend announcements, security performance, and capital market efficiency. The Journal of Finance, 27, 993-1007.
33. Rozeff, M., 1982. Growth, beta and agency costs as determinants of dividend payout ratios. Journal of Financial Research, 5, 249-259.
34. Sengupta, P., 1998. Corporate disclosure quality and the cost of debt. The Accounting Review, 73, 459-474.
35. Skinner, D.J., Soltes, E., 2009. What do dividends tell us about earnings quality? Forthcoming, Review of Accounting Studies.
36. Sloan, R.G, 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review, 71, 289-315.
37. Twu, M., Tsai, Z.C., 2007. Are dividends informative for new stock issuances: A new explanation and new evidence. Journal of Financial Studies, 15, 43.
38. Valipour, H., Moradbeygi, M., 2011. Corporate debt financing and earnings quality. Journal of Applied Finance & Banking, 1, 139-157.
39. 沈中華、李建然(2000)，事件研究法─財務與會計實證研究必備，華泰文化事業公司。
40. 林佳蓉(2009)，公司治理與盈餘品質，國立高雄第一科技大學財務管理系碩士論文。
41. 林雅柔(2006)，盈餘品質與融資合約，私立輔仁大學會計學研究所碩士論文。
42. 許淑貞(2005)，盈餘品質與股價報酬關聯性之研究，私立真理大學管理科學研究所碩士論文。
43. 陳天欣(2006)，應計品質與資金成本之關聯性，國立台灣大學會計學研究所碩士論文。
44. 陳欣伶(2003)，台灣股利發放形式之價格效果與其影響因素，國立中正大學企業管理研究所碩士論文。
45. 楊朝凱(2005)，盈餘品質指標與股票報酬，國立成功大學會計學研究所碩士論文。
46. 鄭立暘(1996)，現金股利之資訊內容、Tobin`s Q、與股利率之關係，國立中正大學財務金融研究所碩士論文。
描述 碩士
國立政治大學
財務管理研究所
100357022
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100357022
資料類型 thesis
dc.contributor.advisor 屠美亞zh_TW
dc.contributor.author (Authors) 張淑妘zh_TW
dc.creator (作者) 張淑妘zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 11-Jul-2013 16:47:03 (UTC+8)-
dc.date.available 11-Jul-2013 16:47:03 (UTC+8)-
dc.date.issued (上傳時間) 11-Jul-2013 16:47:03 (UTC+8)-
dc.identifier (Other Identifiers) G0100357022en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58792-
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) 100357022zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 本研究主旨在探討當公司宣告發放現金股利時，盈餘品質的高低是否會對股票報酬產生影響，目的在瞭解盈餘品質較差的公司，是否該透過宣告發放現金股利的方式，傳達公司未來盈餘將會增加的訊息給投資人，進而提高公司的股價，但另一方面，盈餘品質較差的公司其訊息風險較高，故融資成本可能較高，因此本研究探討，當公司盈餘品質較差時，宣告發放現金股利，市場上是會較支持訊號面或是融資面。最後加以驗證，盈餘品質對宣告發放現金股利所造成的股價反應是否和盈餘品質的高低如何影響經理人決定是否發放現金股利的決策一致。
本研究以2003年至2012年的台灣上市公司為研究對象，在研究期間內，以所有宣告發放現金股利的公司為樣本，樣本共有497家，共計3,573個觀察值。本論文由各樣本公司的股利宣告日所建立的累積異常報酬，配合上一年度的盈餘品質指標，再加上公司規模、經營績效、成長機會、流動性、槓桿比率、生產能力、營運風險、內部人持股比率、現金股利金額變動之虛擬變數及現金股利金額變動與盈餘品質指標的交互作用之虛擬變數等10個控制變數，建立起盈餘品質指標與累積異常報酬之模型。其實證結果發現，當公司宣告發放現金股利時，累積異常報酬率與盈餘品質指標呈現負相關，且達顯著性水準，意味著盈餘品質指標較高(即盈餘品質較差)的公司，宣告發放現金股利所建立的累積異常報酬率較低。
接著我們予以驗證，盈餘品質較差的公司，宣告發放現金股利對其股價產生的不利影響，是否可由融資面加以解釋，因此本研究參照Francis et al. (2005)的研究方法，分別以負債成本與權益成本對盈餘品質指標建立模型，進行迴歸分析，實證結果顯示盈餘品質指標與融資成本存在正向關係，故當公司盈餘品質較差時，融資成本較高，因此予以驗證市場上是支持融資面的。
最後我們加以驗證，盈餘品質指標與現金股利發放與否之間存在顯著的負向關係，亦即盈餘品質較差的公司，較傾向不發放現金股利，此結果和盈餘品質較差的公司，若發放現金股利，其累積異常報酬率為負之現象，可相呼應。		zh_TW
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 3
第二章 文獻探討 4
第一節 盈餘品質 4
第二節 現金股利宣告與股票報酬之關係 11
第三節 盈餘品質與股票報酬之關係 14
第四節 盈餘品質與融資成本之關係 15
第五節 盈餘品質與現金股利之關係 18
第三章 研究方法 20
第一節 研究假說 20
第二節 樣本選取標準與資料來源 22
第三節 盈餘品質指標之建構 23
第四節 事件研究法 25
第五節 控制變數定義 29
第六節 研究設計 33
第四章 實證結果與分析 39
第一節 敘述性統計及相關性分析 39
第二節 現金股利宣告股價反應 60
第三節 融資成本與盈餘品質之關係 63
第四節 現金股利發放與否與盈餘品質之關係 65
第五章 研究結論與建議 68
第一節 研究結論 68
第二節 研究限制 70
第三節 後續建議 70
參考文獻 71
附錄 74		zh_TW
dc.format.extent 1222850 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100357022en_US
dc.subject (關鍵詞) 盈餘品質zh_TW
dc.subject (關鍵詞) 現金股利zh_TW
dc.subject (關鍵詞) 融資成本zh_TW
dc.subject (關鍵詞) 累積異常報酬zh_TW
dc.title (題名) 現金股利發放對盈餘品質與股票報酬之關聯性－股利是否可彌補盈餘品質的不足zh_TW
dc.title (題名) The Relation Between the Impact of Cash Dividend Policy on Stock Returns and the Quality of Earningsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. Agrawal, A., Jayaraman, N., 1994. The dividend policies of all-equity firms: A direct test of the free cash flow theory. Managerial and Decision Economics, 15, 139-148.
2. Aharony, J., Swary, I., 1980. Quarterly dividend and earnings announcements and stockholders` returns: An empirical analysis. The Journal of Finance, 35, 1-12.
3. Akhigbe, A., Madura,J., 1996. Dividend policy and corporate performance. Journal of Business Finance and Accounting, 23, 1267-1287.
4. Ashbaugh, H., LaFond, R., Mayhew, B.W., 2003. Do nonaudit services compromise auditor independence? Further evidence. The Accounting Review, 78, 611-639.
5. Asquith, P., Mullins Jr, D.W.,1983. The impact of initiating dividend payments on shareholders` wealth. The Journal of Business, 56, 77-96.
6. Bharath, S.T., Sunder, J., Sunder, S.V.,2008. Accounting quality and debt contracting. The Accounting Review, 83, 1-28.
7. Bhattacharya, S., 1979. Imperfect information, dividend policy, and "The bird in the hand" fallacy. The Bell Journal of Economics, 10, 259-270.
8. Caskey, J., Hanlon, M., 2005. Do dividends indicate honesty? The relation between dividends and the quality of earnings. Working paper, University of Michigan.
9. Chan, K., Chan L.K.C, Jegadeesh, N., Lakonishok, J., 2001. Earnings quality and stock returns. Working paper, University of Illinois.
10. Chaney, P.K., Faccio, M., Parsley, D., 2011. The quality of accounting information in politically connected firms. Journal of Accounting and Economics, 51, 58-76.
11. Choi, S., Salamon, G., 1990. Accounting information and capital asset prices. Working paper, Vanderbilt University, Nashville, TN.
12. DeAngelo, L.E., 1986. Accounting numbers as market valuation substitutes: A study of management buyouts of public stockholders. The Accounting Review, 61, 400-420.
13. Dechow, P.M., Dichev, I.D., 2002. The quality of accruals and earnings: The role of accrual estimation errors. The Accounting Review, 77, 33-59.
14. Dechow, P.M., Schrand, C.M., 2004. Earnings Quality. Research Foundation of CFA Institute Monograph.
15. Dechow, P.M., Sloan, R.G., 1991. Executive incentives and the horizon problem: An empirical investigation. Journal of Accounting and Economics, 14, 51-89.
16. Dechow, P.M., Sloan, R.G., Sweeney, A.P., 1995. Detecting earnings management. The Accounting Review, 70, 193-225.
17. Easley, D., O’Hara, M., 2004. Information and the cost of capital. The Journal of Finance, 59, 1553-1583.
18. Easterbrook, F.H., 1984. Two agency-cost explanations of dividends. The American Economic Review, 74, 650-659.
19. Fama, E.F., Fisher, L., Jensen, M.C., Roll, R., 1969. The adjustment of stock prices to new information. International Economic Review, 10, 1-21.
20. Francis, J., LaFond, R., Olsson, P., Schipper, K., 2005. The market pricing of accruals quality. Journal of Accounting and Economics, 39, 295-327.
21. Healy, P.M., 1985. The effect of bonus schemes on accounting decisions. Journal of Accounting and Economics, 7, 85-107.
22. Jensen, M.C., 1986. Agency costs of free cash flow, corporate finance, and takeovers. American Economic Review, 76, 323-329.
23. John, K., Williams, J., 1985. Dividends, dilution, and taxes: A signalling equilibrium. The Journal of Finance, 40, 1053-1070.
24. Jones, J.J., 1991. Earnings management during import relief investigations. Journal of Accounting Research, 29, 193-228.
25. Leuz, C., Verrecchia, R., 2004. Firms’ capital allocation choices, information quality, and the cost of capital. University of Pennsylvania Working Paper.
26. Lintner, J., 1956. Distribution of incomes of corporations among dividends, retained earnings, and taxes. The American Economic Review, 46, 97-113.
27. Liu, M., Wysocki, P., 2007. Cross-sectional determinants of information quality proxies and cost of capital measures. Working paper, MIT.
28. Miller, M.H., Modigliani, F., 1961. Dividend Policy, Growth, and the Valuation of Shares. The Journal of Business, 34, 411-433.
29. OU, J.A., Penman, S.H., 1989. Financial statement analysis and the prediction of stock returns. Journal of Accounting and Economics, 11, 295-329.
30. Palepu, K.G., Healy, P.M., Peek, E., 2007. Business analysis and valuation IFRS edition.
31. Penman, S.H., Zhang, X.J., 2002. Accounting conservatism, the quality of earnings, and stock returns. The Accounting Review, 77, 237-264.
32. Pettit, R.R., 1972. Dividend announcements, security performance, and capital market efficiency. The Journal of Finance, 27, 993-1007.
33. Rozeff, M., 1982. Growth, beta and agency costs as determinants of dividend payout ratios. Journal of Financial Research, 5, 249-259.
34. Sengupta, P., 1998. Corporate disclosure quality and the cost of debt. The Accounting Review, 73, 459-474.
35. Skinner, D.J., Soltes, E., 2009. What do dividends tell us about earnings quality? Forthcoming, Review of Accounting Studies.
36. Sloan, R.G, 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review, 71, 289-315.
37. Twu, M., Tsai, Z.C., 2007. Are dividends informative for new stock issuances: A new explanation and new evidence. Journal of Financial Studies, 15, 43.
38. Valipour, H., Moradbeygi, M., 2011. Corporate debt financing and earnings quality. Journal of Applied Finance & Banking, 1, 139-157.
39. 沈中華、李建然(2000)，事件研究法─財務與會計實證研究必備，華泰文化事業公司。
40. 林佳蓉(2009)，公司治理與盈餘品質，國立高雄第一科技大學財務管理系碩士論文。
41. 林雅柔(2006)，盈餘品質與融資合約，私立輔仁大學會計學研究所碩士論文。
42. 許淑貞(2005)，盈餘品質與股價報酬關聯性之研究，私立真理大學管理科學研究所碩士論文。
43. 陳天欣(2006)，應計品質與資金成本之關聯性，國立台灣大學會計學研究所碩士論文。
44. 陳欣伶(2003)，台灣股利發放形式之價格效果與其影響因素，國立中正大學企業管理研究所碩士論文。
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