臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：股利資訊內涵與未來獲利關聯性之研究
作者：游清芳 引用關係
作者(外文)：Chun-Fan You
校院名稱：國立雲林科技大學
系所名稱：管理研究所博士班
指導教授：黃金生
胥愛琦
學位類別：博士
出版日期：2009
主題關鍵詞：雙訊號；股利訊號；股利變動；股利；dividend signal；dividend；dividend change；dual signal.
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:34
長久以來許多研究發現，在現金股利下公司的股利變動隱含著未來獲利的訊號。此引發了一個有趣的問題，那就是台灣是一個多元化股利支付的市場，那麼股利訊號假說在此是否依然成立？為此，本文提出一個創新的雙訊號調整模式來加以驗證。該模式奠基於兩個支柱，其一是以預期股利變動模式篩選出符合公司獲利展望的樣本，另一是以未來獲利的代理變數來判別股利變動的真實性。研究結果發現，在合併橫斷面資料下不論股利支付型態為何，股利變動不僅連結一個同向的未來獲利，而且此性質同樣適用於未來報酬率、及股利變動的投資組合。而值得注意的是，在橫斷面資料也出現類似的結果。最後，本文以股票購回、均數回歸等數個議題進行穩健性測試，結果並未改變。
Over the last few decades, many literatures have found that for those companies paying cash dividends, the change of dividends conveys the information of future profitability. This induces an interesting question, i.e., for a diverse dividends distrubition market in Taiwan, does the dividend signaling hypothesis still hold? To answer this question, this study proposes an “adjusted dual signal model” and examines the association between dividend change and future profitability. The main thrusts of the model are that adopting “predicted dividend change model” to find out a dividend change sample in compile with the prospective of firm profitability, and using the proxy variable of future profitability to indentify the validity of dividend change. The empirical results show that, using pooled cross section data, dividend change is positively associated with future profitability for any type of dividend payout. Such pattern is also applicable to future return of stock prices and portfolios of dividend change. Notably, similar result occurs in cross-sectional data. Finally, the robustness tests on share repurchase, mean reverting, etc, also present consistent results.
參考文獻

王錦瑩、陳隆麒與劉玉珍（2006），「股票購回對股利政策變動宣告效果之影響」，《管理評論》，第25卷第3期，93-117。new window
李存修 （1991），「股票股利及現金增資之除權與股價行為—理論與實證」，《臺大管理論叢》，第2卷第1期，1-40。new window
林宜勉、游淑禎（2003），「股利訊號與未來盈餘之關聯性研究」，《台灣管理學刊》，第3卷第2期，41-64。new window
Aharony, J. and I. Swary (1980), “Quarterly Dividend and Earnings Announcements and Stockholders’ Returns: An Empirical Analysis,” Journal of Finance, Vol. 35, No. 1, 1-12.
Aharony, J. and A. Dotan (1994), “Regular Dividend Announcements and Future Unexpected Earnings: An Empirical Analysis,” Financial Review, Vol. 29, No. 1, 125-151.
AICPA, (1953), “Accounting Research Bulletin No 43,” American Institute of Certified Public Accountants, New York, NY.
Allen, F. and R. Michaely (1994), “Dividend policy,” Working Paper of the Rodney L. White Center for Financial Research.
_____________________. (2003), “Payout Policy,” In Handbook of the Economics of Finance: Corporate Finance, Edited by G. Constantinides, M. Harris, and R. Stulz. Amsterdam: Elsevier.
Amit, R., J. Livnat and P. Zarowin (1989), “A Classification of Mergers and Acquisitions by Motives: Analysis of Market Responses,” Contemporary Accounting Research, Vol. 6, No. 1, 143-158.
Bajaj, M. and A. Vijh (1990), “Dividend Clienteles and the Information Content of Dividend Changes,” Journal of Financial Economics, Vol. 26, No. 2, 193-219.
Barber, B. M. and J. D. Lyon (1996), “Detecting Abnormal Operating Performance: The Empirical Power and Specification of Test Statistics,” Journal of Financial Economics, Vol. 41, No. 3, 359-399.
Barberis, N. and A. Shleifer (2003), “Style Investing,” Journal of Financial Economics, Vol. 68, No. 2, 161-199.
Bekaert, G., C.R. Harvey and C. Lundblad (2006), “Growth Volatility and Financial Liberalization,” Journal of International Money and Finance, Vol. 25, No 3, 370-403.
Benartzi, S., R. Michaely and R.Thaler (1997), “Do Changes in Dividends Signal the Future or the Past?” Journal of Finance, Vol. 52, No. 3, 1007-1034.
Bhattacharya, S. (1979), “Imperfect Information, Dividend Policy, and ‘The Bird in the Hand’ Fallacy,” Bell Journal of Economics and Management Science, Vol. 10, No. 1, 259-270.
Brav, A., J. R. Graham, C. R. Harvey and R. Michaely (2005), “Payout Policy in the 21st Century,” Journal of Financial Economics, Vol. 77, No. 3, 483-527.
Brennan, M.J. (1970), “Taxes, Market Valuation and Financial Policy,” National Tax Journal, Vol 23, No. 4, 417-427.
Brickley, J. (1983), “Shareholder Wealth, Information Signaling and the Specially Designated Dividend: An Empirical Study,” Journal of Financial Economics, Vol. 12, No. 2, 187-209.
Charest, G. (1978), “Dividend Information, Stock Returns and Market Efficiency-II,” Journal of Financial Economics, Vol. 6, No. 2-3, 297-330.
Crawford, D., D.R. Franz and G.J. Lobo (2005), “Signaling Managerial Optimism Through Stock Dividends and Stock Splits: A Reexamination of the Retained Earnings Hypothesis,” Journal of Financial & Quantitative Analysis, Vol.40, No. 1, 531-561.
DeAngelo, H., L. DeAngelo and D.J. Skinner (1992), “Dividends and Losses,” Journal of Finance, Vol. 47, No. 5, 1837-1863.
______________________________________. (1996), “Reversal of Fortune: Dividend Signaling and the Disappearance of Sustained Earnings Growth,” Journal of Financial Economics, Vol. 40, No. 3, 341-371.
____________________________________. (2004), “Are Dividends Disappearing? Dividend Concentration and the Consolidation of Earnings,” Journal of Financial Economics, Vol. 72, No. 3, 425-456.
Elgers, P.T. and D. Murray (1985), “Financial Characteristics Related to Managements’ Stock Split and Stock Dividend Decisions,” Journal of Business Finance & Accounting, Vol.12, No. 4, 543-551.
Fama, E.F. and H. Babiak (1968), “Dividend Policy: An Empirical Analysis,” Journal of the American statistical Association, Vol. 63, No. 324, 1132-1161.
Fama, E.F. and J.D. MacBeth (1973), “Risk, Return, and Equilibrium: Empirical Tests,” Journal of Political Economy, Vol. 81, No. 3, 607-636.
Fama, E.F. and K. French (1993), “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, Vol. 33, No. 1, 3-56.
Fukuda, A. (2000), “Dividend Changes and Earnings Performance in Japan,” Pacific-Basin Finance Journal, Vol. 8, No. 1, 53-66.
Furceri, D., G. Karras (2007), “Country Size and Business Cycle Volatility: Scale Really Matters,” J. Japanese Int. Economies, Vol. 21, No 4, 424-434.
Ghosh, C. and J. R. Woolridge (1988), “An Analysis of Shareholder Reaction to Dividend Cuts and Omissions,” The Journal of Financial Research, Vol. 11, No. 4, 281-294.
Gordon, M.J. (1962), “The Investment Valuation and Financing of the Corporation,” Homewood, IL:Richard D. Irwin.
Grinblatt, M.S., R. W. Masulis and S. Titman (1984), “The Valuation Effects of Stock Splits and Stock Dividends,” Journal of Financial Economics, Vol.13, No. 1, 461-490.
Grinblatt, M.S. and S. Titman (1998), “Financial Markets and Corporate Strategy,” McGraw Hill Press.
Grullon, G., R. Michaely, S. Benartzi and R. H. Thaler (2005), “Dividend Changes Do Not Signal Changes in Future Profitability,” Journal of Business, Vol. 78, No. 5, 1659-1682.
Guo, E., A.J. Keown and N. Sen (1995), “An Explanation of Bidder Returns in Corporate Acquisitions: The Case of Japanese Acquisitions of U.S. Firms,” Japan and the World Economy, Vol 7, No. 2, 145-154.
Harada, K. and P. Nguyen (2005), “Dividend Change Context and Signaling Efficiency in Japan,” Pacific-Basin Finance Journal, Vol. 13, No. 5, 504-522.
Healy, P. and K. Palepu (1988), “Earnings Information Conveyed by Dividend Initiations and Omissions,” Journal of Financial Economics, Vol. 21, No. 9, 149-176.
Huang, C.S., C.F. You and S.H. Lin (2009), “ Cash Dividends, Stock Dividends and Subsequent Earnings Growth,” Pacific-Basin Finance Journal, In Press, Corrected Proof, Available online 27 March 2009.
Hsu, J.C. (2004), “Cap-Weighted Portfolios are Sub-Optimal Portfolios,” Journal of Investment Management, Vol. 4, No. 3, 1-10.
Jensen, G.R. and J.M. Johnson (1995), “The Dynamics of Corporate Dividend Reductions,” Financial Management, Vol. 24, No. 4, 31-51.
Jensen, M.C. and W.H. Meckling (1976), “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure,” Journal of Financial Economics, Vol. 3, No. 4, 305-360.
John, K. and J. Williams (1985), “Dividends, Dilution and Taxes: A Signalling Equilibrium,” Journal of Finance, Vol. 40, No. 4, 1053-1070.
Kato, H.K., U. Loewenstein and W. Tsay (2002), “Dividend Policy, Cash Flow, and Investment in Japan,” Pacific-Basin Finance Journal, Vol. 10, No. 4, 443-473.
Kato, H.K. and W. Tsay (2002), “Are Stock Dividends (Mushos) Melons or Lemons in Japan?” Pacific-Basin Finance Journal, Vol. 10, No. 5, 531-548.
Koch, A.S. and A. Sun (2004), “Dividends Changes and the Persistence of Past Earnings Changes,” Journal of Finance, Vol. 59, No. 5, 2093-3016.
Lakonishok, J. and B. Lev (1987), “Stock Splits and Stock Dividends: Why, Who, and When,” Journal of Finance, Vol. 42, No. 4, 913-932.
Laub, P.M. (1972), “Some Aspects of the Aggregation Problem in the Dividend Earnings Relationship,” Journal of the American Statistical Association, Vol. 67, No. 9, 552-559.
Lee, B.S. and N. A. Yan (2003), “The Market''s Differential Reactions to Forward-Looking and Backward-Looking Dividend Changes,” Journal of Financial Research, Vol. 26, No. 4, 449-468.
Leftwich, R. and M. Zmijewski (1994), “Contemporaneous Announcements of Dividends and Earnings,” Journal of Accounting, Auditing & Finance, Vol. 9, No. 4, 725-762.
Leland, H.E. and D.H. Pyle (1977), “Informational Asymmetries, Financial Structure, and Financial Intermediation,” Journal of Finance, Vol. 32, No. 2, 371-387.
Lintner, J. (1956), “Distributions of Incomes of Corporations Among Dividends, Retained Earnings, and Taxes,” American Economic Review, Vol. 46, No. 2, 97-113.
Michaely, R., R. Thaler and K. Womack (1995), “Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?” Journal of Finance, Vol. 50, No. 2, 573-608.
Miller, M. and F. Modigliani (1961), “Dividend Policy, Growth, and the Valuation of Shares,” Journal of Business, Vol. 34, No. 4, 411-433.
Miller, M. and K. Rock (1985), “Dividend Policy Under Asymmetric Information,” Journal of Finance, Vol. 40, No. 4, 1031-1051.
Nissim, D. and A. Ziv (2001), “Dividend Changes and Future Profitability,” Journal of Finance, Vol. 56, No. 6, 2111-2133.
Penman, S.H. (1983), “The Predictive Content of Earnings Forecasts and Dividends,” Journal of Finance, Vol. 38, No. 4, 1181-1199.
Pettit, R.R. (1972), “Dividend Announcements, Security Performance, and Capital Market Efficiency,” Journal of Finance, Vol. 27, No. 5, 993-1007.
________. (1976), “The Impact of Dividend and Earnings Announcements: A Reconciliation,” Journal of Business, Vol. 49, No. 1, 86-96.
Rankine, G. and E. K. Stice (1997a), “Accounting Rules and the Signaling Properties of 20 Percent Stock Dividends,” The Accounting Review, Vol. 72, No. 1, 23-46.
_________________. (1997b), “The Market Reaction to the Choice of Accounting Method for Stock Splits and Large Stock Dividends,” Journal of Financial and Quantitative Analysis, Vol. 32, No. 2, 161-182.
Skinner, D. J. (2008), “The Evolving Relation Between Earnings, Dividends, and Stock Repurchases,” Journal of Financial Economics, Vol. 87, No. 3, 582-609.
Smith, R.L. and J.H. Kim (1994), “The Combined Effects of Free Cash Flow and Financial Slack on Bidder and Target Stock Returns,” Journal of Business, Vol. 67, No. 2, 281-310.
Spence, M. (1973), “Job Market Signaling,” Quarterly Journal of Economics, Vol. 87, No. 3, 355-374.
Treynor, J. (2005), “Why Market-Valuation-Indifferent Indexing Works,” Financial Analysts Journal, Vol. 61, No. 5, 65-69.
Yoon, S.Y. and L. Starks (1995), “Signaling, Investment Opportunities, and Dividend Announcements,” Review of Financial Studies, Vol. 8, No. 4, 995-1018.
Zeff, S.A., 1982. Towards a Fundamental Rethinking of the Role of the ‘Intermediate’ Course in the Accounting Curriculum. In: Jensen, Daniel L (Ed.), The Impact of Rule-Making on Intermediate Financial Accounting Textbooks. College of Administrative Science, The Ohio State University, Columbus, OH, 33-51.
Zhou, P. and W. Ruland (2006), “Dividend Payout and Future Earnings Growth,” Financial Analysts Journal, Vol. 62, No. 3, 58-69.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：879（臺灣：871，外國：8） ／ 本年度總使用人次：1827278 ／ 訪客人次（自102年09月）：67637224
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上