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題名 Sustainable growth rate, optimal growth rate, and optimal payout ratio: A joint optimization approach
作者 陳鴻毅
Chen, Hong-Yi ;Gupta, Manak C. ;Lee, Alice C. ;Lee, Cheng-Few
貢獻者 財管系
關鍵詞 Dividend policy; Payout ratio; Growth rate; Specification error; Logistic equation; Partial adjustment model; Mean reverting proces
日期 2013.04
上傳時間 22-Oct-2014 12:25:23 (UTC+8)
摘要 This study investigates the investment decision and dividend policy jointly from a non-steady state to a steady state. We extend Higgins, 1977, Higgins, 1981 and Higgins, 2008 sustainable growth rate model and develop a dynamic model which jointly optimizes the growth rate and payout ratio. We optimize the firm value to obtain the optimal growth rate in terms of a logistic equation and find that the steady state growth rate can be used as the benchmark for the mean-reverting process of the optimal growth rate. We also investigate the specification error of the mean and variance of dividend per share when introducing the stochastic growth rate. Empirical results support the mean-reverting process of the growth rate and the importance of covariance between the profitability and the growth rate in determining dividend payouts. The intertemporal behavior of the covariance may shed some light on the fact of disappearing dividends over decades.
關聯 Journal of Banking & Finance, 37, 1205-1222
資料類型 article
DOI http://dx.doi.org/10.1016/j.jbankfin.2012.11.019
dc.contributor 財管系en_US
dc.creator (作者) 陳鴻毅zh_TW
dc.creator (作者) Chen, Hong-Yi ;Gupta, Manak C. ;Lee, Alice C. ;Lee, Cheng-Fewen_US
dc.date (日期) 2013.04en_US
dc.date.accessioned 22-Oct-2014 12:25:23 (UTC+8)-
dc.date.available 22-Oct-2014 12:25:23 (UTC+8)-
dc.date.issued (上傳時間) 22-Oct-2014 12:25:23 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/70688-
dc.description.abstract (摘要) This study investigates the investment decision and dividend policy jointly from a non-steady state to a steady state. We extend Higgins, 1977, Higgins, 1981 and Higgins, 2008 sustainable growth rate model and develop a dynamic model which jointly optimizes the growth rate and payout ratio. We optimize the firm value to obtain the optimal growth rate in terms of a logistic equation and find that the steady state growth rate can be used as the benchmark for the mean-reverting process of the optimal growth rate. We also investigate the specification error of the mean and variance of dividend per share when introducing the stochastic growth rate. Empirical results support the mean-reverting process of the growth rate and the importance of covariance between the profitability and the growth rate in determining dividend payouts. The intertemporal behavior of the covariance may shed some light on the fact of disappearing dividends over decades.en_US
dc.format.extent 598535 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Journal of Banking & Finance, 37, 1205-1222en_US
dc.subject (關鍵詞) Dividend policy; Payout ratio; Growth rate; Specification error; Logistic equation; Partial adjustment model; Mean reverting procesen_US
dc.title (題名) Sustainable growth rate, optimal growth rate, and optimal payout ratio: A joint optimization approachen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.jbankfin.2012.11.019en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.jbankfin.2012.11.019 en_US