政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/146282
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110442/141355 (78%)
Visitors : 46985357      Online Users : 855
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大典藏 > College of Commerce > Department of Finance > Theses >  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
    Yang, Tzu-Yi
    Keywords: 股利支付率
    Expected-return news
    Dividend payout ratio
    Agency problems
    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.
    Reference: Bhattacharya S., 1979. Imperfect Information, Dividend Policy, and “the Bird in the Hand” Fallacy. Bell Journal of Economics, 259-270.
    Bradley M., Capozza D. R., & Seguin P. J., 1998. Dividend Policy and Cash Flow Uncertainty. Real Estate Economics, 26(4), 555-581.
    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.
    Hsu, Shufang, Chen, Wei-Peng, & Feng, You-Ru, 2021. Dividend Policy, Earnings Management, and CEO Power. Journal of Financial Studies Vol. 29 No. 4, 31-48.
    Jensen, M. C., 1986. Agency costs and free cash flow, corporate finance and takeovers. American Economic Review, 76, 659–665.
    Jones, J., 1991. Earnings management during import relief investigations. Journal of Accounting Research 29, 193–228.
    Joseph Aharony, & Itzhak Swary, 1980. Quarterly Dividend and Earnings Announcements and Stockholder Returns: An Empirical Analysis. Journal of Finance 35,1-12.
    Kothari, Sagar P., Andrew J. Leone, & Charles E. Wasley, 2005. Performance matched discretionary accrual measures. Journal of Accounting and Economics 39, 163-197.
    Michaely, R., Rossi, S., & Weber, M, 2021. Signaling safety. Journal of financial Economics, 139(2), 405-427.
    Miller, Merton H., & Modigliani, 1961. Dividend policy, growth, and the valuation of Shares. The journal of business 34(4), 411-433.
    Miller, M. H., & Rock, K., 1985. Dividend policy under asymmetric information. The Journal of Finance 40(4), 1031-1051.
    Richardson, Scott, 2006. Over-investment of free cash flow. Review of Accounting Studies 11, 159-189.
    Ross, Steven S., 1977. The Determination of Financial Structure: The Incentive Signaling Approach. Bell Journal of Economics 8, 23-40.
    Rozeff, Michael S., 1982. Growth, beta, and agency costs as determinants of dividend payout ratios. Journal of Financial Research 5, 249-259.
    Skinner, Douglas J., and Eugene Soltes, 2011. What do dividends tell us about earnings quality? Review of Accounting Studies 16, 1-28.
    Vuolteenaho, T., 2002. What drives firm-level stock returns? The Journal of Finance 57, 233–264.
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110357015
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

    Files in This Item:

    File SizeFormat
    701501.pdf898KbAdobe PDF20View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    著作權政策宣告 Copyright Announcement
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback