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研究生:李姿瑩
研究生(外文):Tzu-Ying Lee
論文名稱:股票流動性與企業現金股利政策
論文名稱(外文):Stock Liquidity and Firm Cash Dividend Policy
指導教授:郭震坤郭震坤引用關係
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:97
語文別:中文
論文頁數:92
中文關鍵詞:流動性現金股利政策縱橫資料固定效果模型Logistic迴歸模型
外文關鍵詞:LiquidityCash dividend policyPanel dataFixed effects modelLogistic regression model
相關次數:
  • 被引用被引用:5
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Miller and Modigliani(1961)提出股利無關論,他們認為在投資人皆理性的完美市場中:第一,投資人並不關心公司股利的分配狀況,這是因為在沒有交易摩擦的市場裡,倘若企業未發放足夠多的現金股利,投資人可透過售出其部分的持股達成自製股利效果來獲取現金,因此投資人對對現金股利和資本利得並無偏好上的差異;第二,公司的股利政策與公司價值無關,公司價值完全由公司資產的獲利能力或投資組合決定。在此理論提出後的數年內,大量的文獻與實證研究開始探討此理論的真實性,問題的癥結便是來自於它對完美資本市場中的假設,尤其是「交易無摩擦」這點,在現實生活裡並不可能真的實現。

Banerjee, Gatchev, and Spindit(2007)據此提出以下這個合理推論:若在一個有交易摩擦的市場下,而其他條件維持與Miller and Modigliani(1961)提出之理論不變,那麼對於一個股票流動性相對較差的企業(同等於此間公司股票在資本市場上存在較多交易摩擦)會較傾向提出選擇現金股利的發放形式,且較願意發放較多的現金股利,此推論被稱之為「流動性假說」。

而本研究旨在驗證此「流動性假說」是否亦存在於臺灣的證券市場中。本研究遂以2001年∼2007年為研究期間,選取台灣證券交易所上市公司中的384家樣本公司為研究對象進行實證工作,為求結果更為精確,因此本研究選取了三種流動性指標(週轉率、總成交值以及馬丁指數)做為單一證券之流動性代理變數。

實證結果揭示,「流動性假說」的現象在本研究所設定的研究期間內,可從台灣證券市場中明顯觀察到,且扣除掉基本公司特性的考量後,此假說仍依舊成立。另外,本研究也發現基本公司特性原先就偏向發放現金股利的公司,其證券流動性對投資人現金股利收益率的影響程度會較基本公司特性原先未偏向發放現金股利的公司來的大。
Miller and Modigliani (1961) advanced the dividend irrelevance proposition-in perfect capital markets populated by rational investors. First, because investors with liquidity needs can create homemade dividends at no cost by selling an appropriate amount of their holdings in the firm; therefore, they are not concerned about the payout policy. As a result, investors should be indifferent between receiving a dollar of dividends and selling a dollar’s worth of their investment. Second, a firm’s value is solely a function of the firm profitability or firm’s investment opportunities and is independent of payout policy. The following years, a large body of literature examines the importance that managers and investors attach to dividend policy in light of the irrelevance proposition. The starting point of these studies is to question some of the assumptions that define the perfect capital markets, especially the assumption of “trading is frictionless”, analyzed by Miller and Modigliani. In actuality, trading friction is pervasive throughout financial markets.

According to the points of view above, Banerjee, Gatchev, and Spindit (2007) advanced the “liquidity hypothesis of dividend.” It says when trading friction exists in financial markets, an immediate implication of Miller and Modigliani (1961) is that, other things equal, firms with more (less) liquid stocks will have lower (higher) incentives to distribute cash dividends to shareholders.

The main purpose of this study is to providing evidence of a link between firm dividend policy and stock liquidity and examining the “liquidity hypothesis of dividend” in Taiwan capital markets. This study covers 384 TSEC firms for the period 2001 to 2007. And I choose three measures of trading activity, share turnover, traded dollar volume in the stock, and Martin index, as proxies of liquidity.

The result shows that there is a strong empirical relation between the dividend policy of the firm and the liquidity of its common stock, and these results persist throughout the examined period and remain after we control for the ability of firms to pay dividends. Also, I find that dividend payments are more sensitive to liquidity for the portfolio of firms that are more likely to pay based on firm characteristics.
目 錄

中文摘要…………………………………………………………………I
英文摘要………………………………………………………………III
目錄………………………………………………………………………V
圖目錄…………………………………………………………………VII
表目錄…………………………………………………………………VIII
第一章 緒論……………………………………………………………1
第一節 研究背景與動機………………………………………………1
第二節 研究目的………………………………………………………8
第三節 研究架構………………………………………………………9
第二章 文獻探討………………………………………………………10
第一節 流動性的定義及重要性………………………………………10
第二節 有價證券流動性之衡量方法與適用性………………………13
第三節 臺灣股票市場機制與發展現況………………………………29
第四節 影響股利支付的因素…………………………………………32
第三章 研究方法………………………………………………………34
第一節 Panel Data分析法……………………………………………34
第二節 研究期間與樣本選擇…………………………………………42
第三節 實證變數之操作性定義與衡量………………………………45
第四節 研究方法與研究假說…………………………………………54
第四章 實證結果分析…………………………………………………61
第一節 敘述統計與相關分析…………………………………………61
第二節 模型最適性檢定分析結果……………………………………73
第三節 迴歸實證結果…………………………………………………75
第五章 結論……………………………………………………………88
第一節 研究結論………………………………………………………88
第二節 研究的局限性…………………………………………………89
參考文獻…………………………………………………………………90



圖 目 錄

圖1-1 臺灣證券市場1996年∼2007年上市公司發放股利形態柱狀圖7
圖2-1 有價證券流動性衡量方法之分類………………………………15
圖3-1 Panel Data 模型檢定流程圖 …………………………………41
圖4-1 臺灣證券市場歷年大盤本益比走勢圖…………………………68
圖4-2 現金股利政策變數之歷年趨勢圖………………………………69



表 目 錄

表1-1 臺灣證券市場1996年∼2007年上市公司及發放股利狀況統計表
……………………………………………………………………6
表2-1 價格構面中以交易對價格衝擊為基礎之流動性衡量方法之優缺
點…………………………………………………………………18
表2-2 價格構面中以價差為基礎之流動性衡量方法之缺點…………20
表2-3 價格構面中以流動比率為基礎之流動性衡量方法之優缺點…23
表2-4 價格構面中以價格自我相關為基礎之流動性衡量方法之缺點25
表2-5 交易熱絡程度構面中以交易週轉率為基礎之流動性衡量方法之
缺點………………………………………………………………27
表3-1 本研究選取之樣本公司總表……………………………………43
表3-2 單一證券流動性之代理變數之操作性定義……………………48
表3-3 企業現金股利政策變數之操作性定義…………………………49
表3-4 企業成長機會對股利政策之影響性假說彙整表………………51
表3-5 其他控制變數之操作性定義……………………………………53
表4-1 單一證券流動性代理變數之各年基本統計量…………………66
表4-2-1 臺灣歷年股票市場概況表……………………………………67
表4-2-2 韓國歷年股票市場概況表……………………………………67
表4-3 臺灣證券市場歷年大盤本益比統計表…………………………68
表4-4 股利政策變數之基本統計量……………………………………69
表4-5 控制變數之基本統計量…………………………………………70
表4-6 自變數的Pearson相關係數矩陣 ………………………………71
表4-7 控制變數與總成交值之容忍度與變異數膨脹因子……………72
表4-8 模型最適性檢定分析結果………………………………………74
表4-9 Panel固定效果迴歸實證結果 …………………………………82
表4-10 Logistic迴歸實證結果 ………………………………………84
表4-11 Model C1 Logistic預測模型之分組結果-Firm(H)組證券
代碼 ……………………………………………………………85
表4-12 Panel固定效果迴歸實證結果-Firm(H)組 ………………86
表4-13 Panel固定效果迴歸實證結果-Firm(L)組 ………………87
一、中文部份
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2.信玉紅、董保起、曹勇,「基於交易與價格的證券流動性衡量方法的探析」,商業研究,第10期,2005年。
3.洪榮華、曾子耘、林聖傑,「從股東稅負壓力探討兩稅合一對股利政策之影響」,輔仁管理評論,第13卷第1期,2006年,頁133-162。
4.馬黛,「證券市場特性之研究—臺灣股市流動性之衡量與分析」,行政院國家科學委員會研究計畫成果報告(NSC 78-0301-H-110-06),臺北,臺灣:行政院國家科學委員會,1989年。
5.詹場、胡星陽,「(綜論)流動性衡量方法之綜合評論」,國家科學委員會研究彙刊:人文及社會科學,第11卷第3期,2001年,頁205-221。
6.劉玉珍、劉維琪、吳欽杉、郭秋榮,「臺灣股票上市公司變現能力與股票報酬關係之實證研究」,管理科學學報,第8卷第1期,1991年,頁37-51。
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10.Crutchley, C. E. and R. S. Hansen. ”A Test of the Agency Theory of Managerial Ownership, Corporate Leverage, and Corporate Dividends”, Financial Management, (1989), 36-46.
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29.Martin, P. “Analysis of Impact of Competitive Rates on the Liquidity of NYSE Stocks.” Economics Staff Paper, Securities and Exchange Commission, (1985).
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