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研究生:周秋萍
研究生(外文):Chou Chiu-Ping
論文名稱:影響股利政策的會計及財務因素-TAR模型之應用
指導教授:何加政何加政引用關係黃柏農黃柏農引用關係
學位類別:碩士
校院名稱:國立中正大學
系所名稱:國際經濟所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:59
中文關鍵詞:股利政策門檻自我迴歸模型
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本研究利用Standard & Poor’s Research Insight COMPUSTAT資料庫中S&P500的188家公司,期間從1984年到2002年(BETA資料期間從1999年到2002年),共19年(BETA為4年)之年頻率資料,加以平均,得到橫斷面之值以進行估計。
我們先回顧影響股利政策的會計及財務因素,進行變數之間的線性估計,探討自變數(股權分佈、過去成長、投資機會、負債比率、公司規模和財務槓桿)和應變數(現金股利發放)之間的關係。再利用檢定方法檢定變數的非線性關係(也就是該變數是否具門檻效果),進而找出其門檻值,區分出兩個不同的體制,估計非線性的關係。我們發現線性和非線性所得的估計結果會有所不同,是由於資料包涵了不同型態的公司(如大小型公司、高低成長公司等),若能將資料進一步區隔出來,則更能有效地解釋目前金融市場上的現況。
By using 188 companies of S&P 500 index from Standard & Poor’s Research Insight COMPUSTAT database, evidence period is 1984~2002 ( evidence period of BETA variable is 1999~2002), the data frenquency is annual, and we can get the average value (cross-sectional value) for estimating the model.
First, we review the accounting factors and financial factors of influencing dividend policy, estimate the linear model of the variables, then disscuss the relationship between the dependent variables and the independent variables. Second, using statistical test method for testing the non-linear model of the variables (that is the way to test the variable exists the effect of threshold or not), then we will get the threshold value, and split 2 regimes for estimating the non-linear model. We will find the difference of the linear and non-linear model, that was probably because the data including the differenct types of company (such as, size firms, growth firms and so on), if we can split the data, we will explain the current financial market more efficient.
緒論 ……………………………………………………………………3
第一節 前言 …………………………………………………………………3
第二節 研究動機與研究目的 ………………………………………………4
第三節 研究架構 ……………………………………………………………6
第二章  文獻回顧與探討 ……………………………………………………7
第三章  影響股利政策的變數 ……………………………………………14
第四章  線性方法與實證結果 ……………………………………………19
第一節 線性方法 …………………………………………………………19
第二節 線性實證結果 ……………………………………………………21
第五章  非線性方法與實證結果 …………………………………………27
第一節 非線性方法 ………………………………………………………27
第二節 非線性實證結果 ………………………………………………29
第六章  結論 …………………………………………………………………45
第一節 結論 ……………………………………….………………………45
第二節 未來研究建議………………………………………….…………….48
參考文獻 ………………………………………………………………………49
附錄 ………………………………………………………………………………………………………53
中文部份


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