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題名 從股利迎合理論計算超額股利：以CAC 40股票指數為例
The Dividend premium measure from the Catering theory of dividend: A test on CAC 40 Stock Index作者 倪愛寧
Nedjar, Anaïs貢獻者 郭維裕
Kuo, George
倪愛寧
Nedjar, Anaïs關鍵詞 股息
派息政策
迎合
行為金融學
Dividends
Payout Policy
Catering
Behavioural finance日期 2015 上傳時間 13-Jul-2015 11:11:52 (UTC+8) 摘要 從股利迎合理論計算超額股利：以CAC 40股票指數為例
Investor’s demand for dividends fluctuates over time. Consequently, investors put a stock price premium on dividend payers when their sentiment for payers is favourable, while they don’t when they prefer nonpayers. If firms issue dividends according to this market sentiment, then the firms cater to investor demand. Based on Baker and Wurgler (2004), we empirically test if the catering theory of dividends can be applied to the French stock market. Our study period ranges from 2000 to 2014 and we select the CAC 40 market index. We use the market-to-book ratio as a measure of investor sentiment. In contrast with the finding of Baker and Wurgler (2004), we failed to prove that managers cater to investor demand to pay dividends.
1. Introduction 1 2. Literature review 4 2.1. Signaling theory 4 2.2. Investors preferences 6 2.2.1. Individual investors 6 2.2.2. Institutions 7 2.3. Dividend announcement reactions 9 2.4. Why firms pay dividends: other theories 9 2.5. Share repurchase, the new trend 13 3. Methodology 14 3.1. Data selection 14 3.2. Selection of variables for regression 15 3.2.1. Descriptive variables 15 3.2.2. Payment dynamics 15 3.2.3. The dividend premium 20 4. Descriptive statistics 25 4.1. Description of variables 25 4.2. Comparison between payers and nonpayers: 31 4.3. Overview of France between 1999 and 2014 33 5. Empirical Results 35 5.1. Time series 35 5.2. Regression results: Initiate against the lagged dividend premium 36 5.3. Robustness of regression variables 39 5.3.1. Stationarity 39 5.3.2. Correlation 39 5.4. Regression results: other models 40 5.5. Interpretation 43 6. Further research 45 7. Conclusion 46 8. Reference 48 9. Appendix 51參考文獻 Allen, Franklin, and Roni Michaely, 2002, Payout policy, North-Holland Handbook of Economics edited by George Constantinides, Milton Harris, and Rene Stulz; North-Holland. Allen, Franklin, Antonio E. Bernardo, and Ivo Welch, 2000, A theory of dividends based on tax clienteles, Journal of Finance 55, 2499–2536. Anderson, Ronald C. and David M. Reeb, 2003, Founding-Family Ownership and Firm Performance: Evidence from the S&P 500, Journal of Finance 58, 1301–1327. Asquith, Paul and David W. Mullins Jr., 1986, Signalling with Dividends, Stock Repurchases,and Equity Issues, Financial Management 3, 27-44 Asquith, Paul and David W. Mullins, Jr., 1983, The impact of initiating dividend payments On shareholders’wealth, Journal of Business 56, 77-96. Baker, Malcolm, and Jeffrey Wurgler, 2004a. A catering theory of dividends, Journal of Finance 59, 1125–1165. Baker, Malcolm, and Jeffrey Wurgler, 2004b. Appearing and disappearing dividends: the link to catering incentives, Journal of Financial Economics 73, 271–288. Barberis, Nicholas, and Ming Huang, 2001, Mental Accounting, Loss Aversion, and Individual Stock Returns, the Journal of Finance 56, 1247-1292. Bhattacharya, S., 1979, Imperfect information, dividend policy, and ‘the bird in the hand fallacy, Bell Journal of Economics 10, 259–270. Black, Fischer, 1976, The dividend puzzle, Journal of Portfolio Management 2, 5–8. Brav, Graham, Harvey, Michaely, 2005, Payout policy in the 21st century, Journal of Financial Economics 77, 483-527. Chen, Xia, Jarrad Harford, and Kai Li, 2007, Monitoring: Which Institutions Matter? Journal of Financial Economics 86, 279–305. DeAngelo, Harry, Linda DeAngelo, and René M. Stulz, 2006, Dividend policy and the earned/contributed capital mix: a test of the life-cycle theory, Journal of Financial Economics 81, 227–254. Denis, David J., and Igor Osobov, 2008, Why do firms pay dividends? International evidence on the determinants of dividend policy, Journal of Financial Economics 89, 62-82. Fama, Eugene F., and Kenneth R. French, 2001, Disappearing dividends: Changing firm characteristics or lower propensity to pay? Journal of Financial Economics 60, 3–44. Ferris, Stephen P., Narayanan Jayaraman, and Sanjiv Sabherwal, 2009, Catering effects in corporate dividend policy: The international evidence, Journal of Banking and Finance 33, 1730–1738. Graham, John R., and Alok Kumar, 2003, Do dividend clienteles exist? Evidence on dividend preferences of retail investors, The Journal of Finance 61, 1305–1336. Grullon, Gustavo, and Roni Michaely, 2004, Dividends, Share Repurchases, and the Substitution Hypothesis, Working paper. Hamada, Robert S. and Myron S. Scholes, 1985, Taxes and corporate financial management, Recent advances in corporate finance, 187-226. Healy, Paul M., and Krishna G. Palepu, 1988, Earnings information conveyed by dividend initiations and omissions, Journal of Financial Economics 21, 149–176. Hotchkiss, Edith S., and Stephen Lawrence, 2007, Empirical evidence on the existence of dividend clienteles, Working Paper, Boston College. John, Kose, and Joseph Williams, 1985, Dividends, dilution, and taxes: A signaling equilibrium, Journal of Finance 40, 1053–1070. La Porta, Rafael, Florencio Lopez De Silanes, and Andrei Shleifer, 2000, Corporate Ownership Around The World, Journal of Finance 54, 471–517. LaPorta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert Vishny, 2000. Agency problems and dividend policies around the world, Journal of Finance 55, 1–33. Lee, Charles M ., and Mark J.Ready, 1991, Inferring Trade Direction from Intraday Data 1991, The Journal of finance 46, 733-746. Li, Wei, and Erik Lie, 2006. Dividend changes and catering incentives, Journal of Financial Economics 80, 293–308. Lintner, John, 1956, Distribution of incomes of corporations among dividends, retained earnings, and taxes, The American Economic Review 56, 97–113. Liu, Laura Yue, and Liwei Shan, 2006, What is Dividend Premium?, Working paper. Michaely, Roni, Richard H. Thaler, and Kent L. Womack, 1995, Price reactions to dividend initiations and omissions: Overreaction or drift?, Journal of Finance 50, 573–608. Miller, Merton H., and Kevin Rock, 1985, Dividend Policy Under Asymmetric Information, Journal of Finance 40, 1031-1051. Prast, Henriette, 2004, Investor psychology: a behavioural explanation of six finance puzzles, Research Series Supervision 64. Securities Exchange Act of 1934 [AS AMENDED THROUGH P.L. 112-158, APPROVED AUGUST 10, 2012]. Shefrin, Hersh M., 2010, Behavioralizing Finance, Business & Economics, 186 pages. Shefrin, Hersh M., and Meir Statman, 1984, Explaining investor preference for cash dividends, Journal of Financial Economics 13, 253–282. Sraer, David and David Thesmar, 2007, Performance and behavior of family firms: evidence from the french stock market, Journal of the European Economic Association 5, 709–751. Thaler, Richard H., and Hersh M. Shefrin, 1981, An economic theory of self-control, Journal of Political Economy 89, 392–406. Von Eije, Henk, and William L. Megginson, 2008, Dividends and share repurchases in the European Union, Journal of Financial Economics 89, 347-374. 描述 碩士
國立政治大學
國際經營管理英語碩士學位學程(IMBA)
103933064
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103933064 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, George en_US dc.contributor.author (Authors) 倪愛寧 zh_TW dc.contributor.author (Authors) Nedjar, Anaïs en_US dc.creator (作者) 倪愛寧 zh_TW dc.creator (作者) Nedjar, Anaïs en_US dc.date (日期) 2015 en_US dc.date.accessioned 13-Jul-2015 11:11:52 (UTC+8) - dc.date.available 13-Jul-2015 11:11:52 (UTC+8) - dc.date.issued (上傳時間) 13-Jul-2015 11:11:52 (UTC+8) - dc.identifier (Other Identifiers) G0103933064 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76450 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營管理英語碩士學位學程(IMBA) zh_TW dc.description (描述) 103933064 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 從股利迎合理論計算超額股利：以CAC 40股票指數為例 zh_TW dc.description.abstract (摘要) Investor’s demand for dividends fluctuates over time. Consequently, investors put a stock price premium on dividend payers when their sentiment for payers is favourable, while they don’t when they prefer nonpayers. If firms issue dividends according to this market sentiment, then the firms cater to investor demand. Based on Baker and Wurgler (2004), we empirically test if the catering theory of dividends can be applied to the French stock market. Our study period ranges from 2000 to 2014 and we select the CAC 40 market index. We use the market-to-book ratio as a measure of investor sentiment. In contrast with the finding of Baker and Wurgler (2004), we failed to prove that managers cater to investor demand to pay dividends. en_US dc.description.abstract (摘要) 1. Introduction 1 2. Literature review 4 2.1. Signaling theory 4 2.2. Investors preferences 6 2.2.1. Individual investors 6 2.2.2. Institutions 7 2.3. Dividend announcement reactions 9 2.4. Why firms pay dividends: other theories 9 2.5. Share repurchase, the new trend 13 3. Methodology 14 3.1. Data selection 14 3.2. Selection of variables for regression 15 3.2.1. Descriptive variables 15 3.2.2. Payment dynamics 15 3.2.3. The dividend premium 20 4. Descriptive statistics 25 4.1. Description of variables 25 4.2. Comparison between payers and nonpayers: 31 4.3. Overview of France between 1999 and 2014 33 5. Empirical Results 35 5.1. Time series 35 5.2. Regression results: Initiate against the lagged dividend premium 36 5.3. Robustness of regression variables 39 5.3.1. Stationarity 39 5.3.2. Correlation 39 5.4. Regression results: other models 40 5.5. Interpretation 43 6. Further research 45 7. Conclusion 46 8. Reference 48 9. Appendix 51 - dc.description.tableofcontents 1. Introduction 1 2. Literature review 4 2.1. Signaling theory 4 2.2. Investors preferences 6 2.2.1. Individual investors 6 2.2.2. Institutions 7 2.3. Dividend announcement reactions 9 2.4. Why firms pay dividends: other theories 9 2.5. Share repurchase, the new trend 13 3. Methodology 14 3.1. Data selection 14 3.2. Selection of variables for regression 15 3.2.1. Descriptive variables 15 3.2.2. Payment dynamics 15 3.2.3. The dividend premium 20 4. Descriptive statistics 25 4.1. Description of variables 25 4.2. Comparison between payers and nonpayers: 31 4.3. Overview of France between 1999 and 2014 33 5. Empirical Results 35 5.1. Time series 35 5.2. Regression results: Initiate against the lagged dividend premium 36 5.3. Robustness of regression variables 39 5.3.1. Stationarity 39 5.3.2. Correlation 39 5.4. Regression results: other models 40 5.5. Interpretation 43 6. Further research 45 7. Conclusion 46 8. Reference 48 9. Appendix 51 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103933064 en_US dc.subject (關鍵詞) 股息 zh_TW dc.subject (關鍵詞) 派息政策 zh_TW dc.subject (關鍵詞) 迎合 zh_TW dc.subject (關鍵詞) 行為金融學 zh_TW dc.subject (關鍵詞) Dividends en_US dc.subject (關鍵詞) Payout Policy en_US dc.subject (關鍵詞) Catering en_US dc.subject (關鍵詞) Behavioural finance en_US dc.title (題名) 從股利迎合理論計算超額股利：以CAC 40股票指數為例 zh_TW dc.title (題名) The Dividend premium measure from the Catering theory of dividend: A test on CAC 40 Stock Index en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Allen, Franklin, and Roni Michaely, 2002, Payout policy, North-Holland Handbook of Economics edited by George Constantinides, Milton Harris, and Rene Stulz; North-Holland. Allen, Franklin, Antonio E. Bernardo, and Ivo Welch, 2000, A theory of dividends based on tax clienteles, Journal of Finance 55, 2499–2536. Anderson, Ronald C. and David M. Reeb, 2003, Founding-Family Ownership and Firm Performance: Evidence from the S&P 500, Journal of Finance 58, 1301–1327. Asquith, Paul and David W. Mullins Jr., 1986, Signalling with Dividends, Stock Repurchases,and Equity Issues, Financial Management 3, 27-44 Asquith, Paul and David W. Mullins, Jr., 1983, The impact of initiating dividend payments On shareholders’wealth, Journal of Business 56, 77-96. Baker, Malcolm, and Jeffrey Wurgler, 2004a. A catering theory of dividends, Journal of Finance 59, 1125–1165. Baker, Malcolm, and Jeffrey Wurgler, 2004b. Appearing and disappearing dividends: the link to catering incentives, Journal of Financial Economics 73, 271–288. Barberis, Nicholas, and Ming Huang, 2001, Mental Accounting, Loss Aversion, and Individual Stock Returns, the Journal of Finance 56, 1247-1292. Bhattacharya, S., 1979, Imperfect information, dividend policy, and ‘the bird in the hand fallacy, Bell Journal of Economics 10, 259–270. Black, Fischer, 1976, The dividend puzzle, Journal of Portfolio Management 2, 5–8. Brav, Graham, Harvey, Michaely, 2005, Payout policy in the 21st century, Journal of Financial Economics 77, 483-527. Chen, Xia, Jarrad Harford, and Kai Li, 2007, Monitoring: Which Institutions Matter? Journal of Financial Economics 86, 279–305. DeAngelo, Harry, Linda DeAngelo, and René M. Stulz, 2006, Dividend policy and the earned/contributed capital mix: a test of the life-cycle theory, Journal of Financial Economics 81, 227–254. Denis, David J., and Igor Osobov, 2008, Why do firms pay dividends? International evidence on the determinants of dividend policy, Journal of Financial Economics 89, 62-82. Fama, Eugene F., and Kenneth R. French, 2001, Disappearing dividends: Changing firm characteristics or lower propensity to pay? Journal of Financial Economics 60, 3–44. Ferris, Stephen P., Narayanan Jayaraman, and Sanjiv Sabherwal, 2009, Catering effects in corporate dividend policy: The international evidence, Journal of Banking and Finance 33, 1730–1738. Graham, John R., and Alok Kumar, 2003, Do dividend clienteles exist? Evidence on dividend preferences of retail investors, The Journal of Finance 61, 1305–1336. Grullon, Gustavo, and Roni Michaely, 2004, Dividends, Share Repurchases, and the Substitution Hypothesis, Working paper. Hamada, Robert S. and Myron S. Scholes, 1985, Taxes and corporate financial management, Recent advances in corporate finance, 187-226. Healy, Paul M., and Krishna G. Palepu, 1988, Earnings information conveyed by dividend initiations and omissions, Journal of Financial Economics 21, 149–176. Hotchkiss, Edith S., and Stephen Lawrence, 2007, Empirical evidence on the existence of dividend clienteles, Working Paper, Boston College. John, Kose, and Joseph Williams, 1985, Dividends, dilution, and taxes: A signaling equilibrium, Journal of Finance 40, 1053–1070. La Porta, Rafael, Florencio Lopez De Silanes, and Andrei Shleifer, 2000, Corporate Ownership Around The World, Journal of Finance 54, 471–517. LaPorta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert Vishny, 2000. Agency problems and dividend policies around the world, Journal of Finance 55, 1–33. Lee, Charles M ., and Mark J.Ready, 1991, Inferring Trade Direction from Intraday Data 1991, The Journal of finance 46, 733-746. Li, Wei, and Erik Lie, 2006. Dividend changes and catering incentives, Journal of Financial Economics 80, 293–308. Lintner, John, 1956, Distribution of incomes of corporations among dividends, retained earnings, and taxes, The American Economic Review 56, 97–113. Liu, Laura Yue, and Liwei Shan, 2006, What is Dividend Premium?, Working paper. Michaely, Roni, Richard H. Thaler, and Kent L. Womack, 1995, Price reactions to dividend initiations and omissions: Overreaction or drift?, Journal of Finance 50, 573–608. Miller, Merton H., and Kevin Rock, 1985, Dividend Policy Under Asymmetric Information, Journal of Finance 40, 1031-1051. Prast, Henriette, 2004, Investor psychology: a behavioural explanation of six finance puzzles, Research Series Supervision 64. Securities Exchange Act of 1934 [AS AMENDED THROUGH P.L. 112-158, APPROVED AUGUST 10, 2012]. Shefrin, Hersh M., 2010, Behavioralizing Finance, Business & Economics, 186 pages. Shefrin, Hersh M., and Meir Statman, 1984, Explaining investor preference for cash dividends, Journal of Financial Economics 13, 253–282. Sraer, David and David Thesmar, 2007, Performance and behavior of family firms: evidence from the french stock market, Journal of the European Economic Association 5, 709–751. Thaler, Richard H., and Hersh M. Shefrin, 1981, An economic theory of self-control, Journal of Political Economy 89, 392–406. Von Eije, Henk, and William L. Megginson, 2008, Dividends and share repurchases in the European Union, Journal of Financial Economics 89, 347-374. zh_TW
