臺灣博碩士論文加值系統

本研究目的為探討投資人情緒對公司管理當局股利政策的影響。過去文獻提出以管理當局迎合的動機、股票流動性以及公司個別風險來解釋美國近年來股利發放傾向低迷的現象，但這三者的解釋能力都有限，本文認為投資人情緒擁有更全面的解釋能力。除了投資人情緒對整體公司股利政策的影響外，本文進一步探討易受投資人情緒影響的公司，包含規模較小、年齡較輕、市帳比較極端、報酬波動度較大、有形資產比率較低以及獲利率較低的公司，是否更明顯受到影響。
本文的實證結果如下。第一，本文發現，公司管理當局制定股利政策時確實有考量投資人的情緒。當投資人情緒愈低，公司管理當局發放股利的傾向愈高，且規模較小、年齡較輕、市帳比較極端、報酬波動度較大、有形資產比率較低以及獲利率較低公司，受到投資人情緒影響的現象會更加顯著。第二，在投資人的反應方面，本文發現易受投資人情緒影響的公司管理當局，如果考量投資人的情緒制定股利政策，市場的反應會愈正面。第三，本文發現，易受投資人情緒影響的公司管理當局的確會由過去考量投資人情緒的經驗中學習，也就是，若過去所得到的市場反應愈大，愈會強化其再次考量投資人情緒的動機。

The research analyzes the impact of investor sentiment on dividend policy. The recent literature applied the view of cartering theory, liquidity and idiosyncratic risk of stock to explain why the low “propensity to pay dividends” in American. But they can explain the limited part. We think that investor sentiment can explain how managers do the dividend policy well. The research not only examine how investor sentiment affect dividend policy, but considering whether firms that are likely to be more affected by shifts in investor sentiment-newer, smaller, more volatile, unprofitable, with extreme growth potential firms- its dividend policy affected by investor sentiment will be more apparent.
The results suggest that the impact of investor sentiment on dividend policy is statistically significant from zero, when the investor sentiment is low, firms are more likely to pay dividends, and firms are newer, smaller, more volatile, unprofitable, with extreme growth potential, its dividend policy affected by nvestor sentiment is more apparent. We also find that firms are likely to be more affected by shifts in investor sentiment, the stock market reaction to their dividend changes more depends on investor sentiment. Furthermore, we find that firms are likely to be more affected by shifts in investor sentiment, its managers do learn from the firm’s own considering investor sentiment experience. If considered the investor sentiment had the great market reaction in last time, will enhance managers do consider the investor sentiment again.

第壹章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 6
第貳章 文獻探討 9
第參章 研究假說 15
第肆章 樣本選擇與資料來源 19
第伍章 研究設計 23
第一節 研究變數描述 23
第二節 研究方法 24
第陸章 實證結果與分析 31
第一節 投資人情緒對公司股利支付傾向的影響 32
第二節 當公司考量投資人情緒決定股利政策後對市場投資人的影響 34
第三節 前次股利宣告的市場反應對於公司股利政策的影響 36
第柒章 結論 39
參考文獻 41
附錄：股利溢酬對公司股利政策的影響 77
表一 變數定義 45
表二 敘述統計 46
表三 不同變數解釋股利發放傾向變動 47
表四 投資人情緒對公司發放股利決策的影響 48
表五 投資人情緒對公司增減股利決策的影響 50
表六 投資人情緒對公司增發股利累積異常報酬的影響 52
表七 投資人情緒對公司減發股利累積異常報酬的影響 54
表八 前次股利宣告的市場反應對於公司股利政策的影響 56
附表一 不同變數解釋股利發放傾向變動 (1963-1977 年) 57
附表二 不同變數解釋股利發放傾向變動 (1978-2006 年) 58
附表三 投資人情緒對公司發放股利決策的影響 (1963-1977 年) 59
附表四 投資人情緒對公司發放股利決策的影響 (1978-2006 年) 61
附表五 投資人情緒對公司增減股利決策的影響 (1963-1977 年) 63
附表六 投資人情緒對公司增減股利決策的影響 (1978-2006 年) 65
附表七 投資人情緒對公司增發股利累積異常報酬的影響 (1963-1977 年) 67
附表八 投資人情緒對公司增發股利累積異常報酬的影響 (1978-2006 年) 69
附表九 投資人情緒對公司減發股利累積異常報酬的影響 (1963-1977 年) 71
附表十 投資人情緒對公司減發股利累積異常報酬的影響 (1978-2006 年) 73
附表十一 前次股利宣告的市場反應對於公司股利政策的影響 (1963-1977 年) 75
附表十二 前次股利宣告的市場反應對於公司股利政策的影響 (1978-2006 年) 76
附錄表一 股利溢酬對公司發放股利決策的影響 81
附錄表二 股利溢酬對公司增發股利決策的影響 83
附錄表三 股利溢酬對公司增發股利累積異常報酬的影響 85
附錄表四 股利溢酬對公司減發股利累積異常報酬的影響 87
附錄表五 前次股利宣告的市場反應對於公司股利政策的影響 89

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