臺灣博碩士論文加值系統

本文利用Lee(1996)在恆常盈餘假設(permanent earnings hypothesis,PEH)及漸進調整假設(partial adjustment hypothesis,PAH)下建構四個模型來探討不同產業的動態股利行為。不同於Lee(1996)僅探討S&P500指數，本文研究包含股利發放相對波動的S&P500指數、半導體分類指數、電腦產業分類指數及相對穩定的公共事業分類指數、REITs分類指數。希望探討不同指數在PAH及PEH下的表現，以及引進恆常性盈餘、暫時性盈餘對於股利變動的波動情形，藉由本文研究對股利行為能更加瞭解。本研究發現S&P500指數及公共事業指數的股利行為並不支持PAH及PEH；而電腦產業指數的股利行為無法拒絕PAH及PEH；最後，REITs指數則是無法拒絕PEH，但並不支持PAH。再由模擬衝擊反應可觀察出，無論是哪個指數，股利變動主要由恆常性干擾解釋，且恆常性干擾在期初的波動大於暫時性干擾；股利及盈餘間離差(spreads)主要由暫時性干擾解釋，暫時性干擾波動大於恆常性干擾。

Following Lee (1996), this thesis estimates four different models built under permanent earnings hypothesis (PEH) and partial adjustment hypothesis(PAH). Our purpose is to analyze dynamic dividend behavior of four different industries. The permanent earning hypothesis states that dividend payout should be a function of the permanent earning not current earnings. The partial adjustment hypothesis states that the adjustment of the dividend payout to permanent earnings is gradual. This thesis is done under the belief that if an industry has a stable earning history, then it is easier to forecast the permanent earnings and therefore, its dividend payout can have a better chance to obey the permanent earnings hypothesis. To examine this hypothesis, we apply the methodology used in Lee (1996) to the dividend and earnings data in four different industries, the S&P500, the semi-conductor industry, the computer inustry, the utility industry and the REITs industry. The utility industry and the REITs industry are well known for its stable income and dividend policy, therefore, are believed to have a better chance than the S&P500 to follow the permanent earning hypothesis. Our results indicate that S&P500 and the utility industry data do not support PAH and PEH, the computer industry data fail to reject PAH and PEH, the REITs data fail to reject PEH, but reject PAH. This thesis also decomposed the variation of dividend change to into two components. Our results indicate that most of the dividend variation is explained by the permanent disturbance in earnings.

目錄
壹、緒論 1
第一節　研究動機與目的 1
第二節 論文架構 3
貳、文獻回顧 4
第一節 Lee(1996) BVAR模型 4
第二節 股利發放與股利的PEH、PAH模型 8
參、實證方法 11
第一節 PEH兩個模型及PAH三個模型 11
肆、資料來源及處理 14
第一節 資料來源與處理 14
第二節 產業選擇與簡介 15
第三節 單根檢定(unit root test) 21
第四節 共整合檢定(co-integration test)及共整合迴歸 22
第五節 VAR最適落後期數與估計 24
第六節 PAH及PEH檢定結果 28
第七節 模擬衝擊反應(impulse response simulation) 29
伍、結論與建議 34
附錄一 淺談其他股票市場相關文獻 35
附錄二 盈餘(earnings)、股利(dividend)與相關名詞概要 37
參考文獻 40

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