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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/146282
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/146282


    Title: 股利政策的代理問題與風險組成
    The agency problem and risk composition of dividend policy
    Authors: 楊子儀
    Yang, Tzu-Yi
    Contributors: 盧敬植
    楊子儀
    Yang, Tzu-Yi
    Keywords: 股利支付率
    代理問題
    過度投資
    盈餘管理
    股票報酬拆解模型
    未預期報酬
    現金流訊息
    報酬率訊息
    Expected-return news
    Dividend payout ratio
    Agency problems
    Overinvestment
    Earnings management
    Return-decomposition framework
    Unexpected stock return
    Cash-flow news
    Date: 2023
    Issue Date: 2023-08-02 12:58:33 (UTC+8)
    Abstract: 本研究主要在股票報酬拆解模型架構下,以未預期報酬波動作為公司風險的變數,並將未預期報酬拆解成現金流訊息和報酬率訊息,現金流訊息和報酬率訊息的波動度分別代表著現金流風險和折現率風險,能夠探討不同股利政策公司風險的組成,以及討論和股利政策相關的代理問題與公司風險之間的關聯性,本研究討論的代理問題包括過度投資問題與盈餘管理問題。實證結果顯示,股利支付率越低,公司的未預期報酬的波動程度越低,風險組成中主要來自現金流訊息。此外,過度投資和盈餘管理的問題都會隨著股利支付率的上升而下降,並且這兩種代理問題與公司風險之間的關聯性也會隨著股利支付率的上升而減少。在低股利支付的公司中,這兩種代理問題和現金流風險與折現率風險都呈現顯著正相關。
    The main objective of this study is to analyze the composition of company risk under the return-decomposition framework, where unexpected return volatility serves as a proxy for company risk. The return-decomposition framework decomposes unexpected returns into cash-flow news and expected-return news, with the volatility of cash-flow news and expected-return news representing cash flow risk and discount rate risk, respectively. This allows for the examination of the composition of company risk under different dividend policies, as well as the discussion of agency issues related to dividend policy and their relationship with company risk. The agency issues discussed in this study include the problems of overinvestment and earnings management.
    Empirical results indicate that as the dividend payout ratio decreases, the volatility of unexpected returns for the company also decreases, with cash flow news being the primary source of risk composition. Furthermore, both overinvestment and earnings management issues decrease as the dividend payout ratio increases, and the relationship between these two agency issues and company risk also diminishes with an increase in the dividend payout ratio. In companies with low dividend payouts, both of these agency issues exhibit a significant positive correlation with cash flow risk and discount rate risk.
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    Chan, Chia-Chung, & Chen, Chia-Wei, 2014. Does the Protection of Directors’ Liability Insurance Lead to Overinvestment? Journal of Financial Studies Vol. 22 No.1, 61-71.
    Caskey, Judson, and Michelle Hanlon, 2013. Dividend policy at firms accused of accounting fraud. Contemporary Accounting Research 30, 818-850.
    Easterbrook F. H., 1984. Two agency-cost explanations of dividends. The American Economic Review 74, 650-659.
    He, Wen, Lilian Ng, Nataliya Zaiats, & Bohui Zhang, 2017. Dividend policy and earnings management across countries. Journal of Corporate Finance 42, 267-286.
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    Description: 碩士
    國立政治大學
    財務管理學系
    110357015
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110357015
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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