股利政策評估及其動態調整－以結構性轉變模型為例

本研究首先以逐步迴歸方法篩選出解釋股利的重要變數，研究資料係取自Robert J. Shiller個人網站，為美國股票交易市場中公開上市公司1871-2003年之股利和盈餘年實質資料，共計132筆，以Eviews及GAUSS軟體操作而得出實證結果。首先，以單根檢定檢視各別變數之定態性及其整合階次，由向量自我迴歸模型選擇適當的落階期數，再利用共整合檢定、誤差修正模型及結構性轉變模型，分析變數間長期均衡關係與短期動態調整過程，並試圖解釋美國股票交易市場公司股利政策行為之不對稱性。實證結果方面，說明變數的定義、衡量方式、選樣標準與資料來源，並列示各項實證結果，以進行比較分析。最後的結論與建議，則是彙整本研究之重要結論，說明研究限制，並對後續研究提出建議。

關鍵字

單根檢定；共整合檢定；多重結構性轉變模型；誤差修正模型

並列摘要

Employing three alternative measures of ability to pay, we find support for the Lintner hypothesis that firms pursue a long-run target payout ratio and also that current earnings better explain long-run dividends than cash flows or stock prices. The evidence further indicates that corporations adjust dividends with a ratchet effect, raising them more readily than they lower them. More specifically, when dividends are below target levels, firms move toward equilibrium by increasing them, but when dividends are above target levels, firms approach equilibrium by restricting dividend increases as earnings rise.

並列關鍵字

Unit-root test ； Cointegration test ； Multiple structural change model ； Error correction model

參考文獻

Aharony, J. and Swary, I. (1980), “Quarterly dividends and earnings announcements and stockholders’ returns: An empirical analysis.” Journal of Finance 35, 1-12.

Bai, J. and Perron, P. (1998), “Estimating and testing linear models with multiple structural breaks.” Econometrica 66, 47-78.

Bai, J. and Perron, P. (2001), “Multiple structural change models: A simulation analysis.” Manuscript, Department of Economics, Boston University.

Bai, J. and Perron, P. (2003), “Computation and analysis of multiple structural change models.” Journal of Applied Econometrics 18, 1-22.

Box, G. E. P. and Jenkins, G. M. (1970), Time series analysis: forecasting and control, Holden Day: San Francisco.

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股利政策評估及其動態調整－以結構性轉變模型為例

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