本文以現金股利平滑的跨期替代觀點,利用現值模型來探討企業經營者預期未來企業淨盈餘成長率的趨勢及面對利率變動時,如何對目前企業的保留盈餘波動以及當前企業的現金股利政策產生影響。
我們利用 Campbell(1987)與 Campbell and Shiller (1987) 所發展出來的跨期經常帳理論模型與實證方法來建構一個企業最適現金股利平滑模型。一般的跨期模型大都假設利率為固定常數,本文試圖放寬此一假設,不再將利率假設為固定值。並與利率固定之模型的實證分析結果,兩者加以比較,探討是否放寬利率為可變性下之理論模型與其實證結果,對於現實企業之現金股利政策有更高的預測與解釋能力。
文中利用對數線性化與一階泰勒展開式的方法,推導出對數線性化下之跨期預算限制式,而建立與理論對應之向量自我回歸 (VAR) 實證估計模型;本文以七家美國前五百大企業為例,來探討於利率變動下最適現金股利政策與經營者對其未來淨盈餘之預期之間的關聯性。
根據本文實證結果發現,在股利平滑的觀點下,加入考慮利率變動影響下的VAR估計結果,確實能有效改善原始固定利率模型對公司保留盈餘動態趨勢的預測能力。

This thesis is based on the viewpoint of intertemporal substitution of dividend smoothing ,we employ the present value model to investigate the effects of a firm''s expected stream of future net earnings growth under variable interest rates on changes of retained earnings or on the smoothing component of cash dividend policy.
We apply the theoretical model of intertemporal approach to the current account and its empirical methododlogy ,originally developed by Campbell (1987) and Campbell and Shiller ,to establish a dividend-smoothing model .In general ,the intertemporal model assumes that interest rate fixed over-time .We release this assumption ,and allow for variable interest rates .Our purpose then is to see if the extendend model under variable interest rates will make a better prediction on firm''s retained earnings than the original fixed-interest-rate model does.
The derivation of the log-linear intertemporal budget constraint and empirical VAR estimation follow the log-linearization technique and first-order Taylor expansion .This thesis uses the empirical data from seven firms out of the S&P 500 ,to investigate the relationship between the smoothing component of the cash dividend and firm''s expected stream of future net earnings growth under variable interest rates .
According to our empirical findings and to the viewpoint of dividend-smoothing ,our extendend model that allows for variable interest rates does enhance the prediction of the path and volatility of the firms'' retained earnings.

1.緒論.......................... 1
2.文獻回顧...................... 4
3.理論模型與實證方法............ 9
4.實證結果與分析................27
5.結論..........................60

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