上市公司竞争优势持续期实证研究评价

竞争优势持续期(简称CAP)是指公司新投资项目收益率超过资本成本的持续时间。根据有限增长期股利贴现模型推理的竞争优势持续期模型为投资者提供了比较行业内上市公司竞争优势情况、判断上市公司股票投资价值的独特视角和分析工具。     

Managerial Ownership and Agency Conflicts: A Nonlinear Simultaneous Equation Analysis of Managerial Ownership, Risk Taking, Debt Policy, and Dividend Policy

This paper uses a nonlinear simultaneous equation methodology to examine how managerial ownership relates to risk taking, debt policy, and dividend policy. The results have implications for our understanding of agency costs. We find risk to be a significant and positive determinant of the level of managerial ownership while managerial ownership is also a significant and positive determinant of the level of risk. The result supports the argument that managerial ownership helps to resolve the agency conflicts between external stockholders and managers but at the expense of exacerbating the agency conflict between stockholders and bondholders. We further observe evidence of substitution-monitoring effects between managerial ownership and debt policy, between managerial ownership and dividend policy, and between managerial ownership and institutional ownership.     

Examining the Impact of the 1986 Tax Reform Act on Corporate Dividend Policy: A New Methodology

This article introduces a new methodology to investigate the effects of the 1986 Tax Reform Act (TRA) on corporate dividend policy. The methodology employs a modified version of Rozeff's (1982) model to control for the potential effect of underlying influential variables. The empirical results show there is no widespread reaction to the 1986 TRA passage on the aggregate level of dividends and only modest support for an industry-related dividend effect. We also find that firm size does not play a significant role in dividend policy reaction to the 1986 TRA.     

Reflections on the Double Dividend Debate

We survey the history of carbon taxation, the range of market-based instruments (MBIs) of environmental control, and the state of the double dividend debate, in order to suggest directions for future research into MBIs. Returning MBI revenues as lower distortionary taxes rather than as lump sums raises aggregate welfare, but we favour MBIs which raise little or no revenue, for reasons of political acceptability to interest groups. At the same time, the overall case for any environmental improvement is weaker because of general equilibrium interactions with prior distortionary taxes. Research seems most necessary on quantifying the efficiency benefits of market control of heterogeneous polluters, the benefits of environmental improvement, the tax interaction effect, and the various information costs of an MBI, all on a case-by-case basis for different pollutants and places.     

Dividends and Market Signalling: an Analysis of Corporate Insider Trading

This study tests the multiple‐signal theory of dividends of John and Lang (1991) in the context of a European market. Our evidence shows that investors are more sensitive to insider trading signals than to signalled changes in existing dividends. In effect, the insider sales signal is universally understood as bad news. After controlling for the quality of a firm's investment opportunities, investors are found to penalise dividend outflows by mature firms that exhibit more informed insider sales activity. Finally, we offer an innovative exploration of the role of earnings announcements in market reaction to the dividend signal.     

Dividend preference of tradable‐share and non‐tradable‐share holders in Mainland China

Comprehensive data on corporate announcements of Chinese firms allows us to examine the preference for, and determinants of, cash and stock dividends. The results indicate that Chinese public investors prefer stock dividends over cash dividends, which are preferred by large state and legal person shareholders generally. Stock dividends, which do not require an explicit cash outflow from a firm, are found to be positively related to higher earnings, supporting the signalling hypothesis of dividend policy. In an imperfect market, these results have some implications for government regulation of financial markets.     

基于股利偏好角度的证券市场协整关系研究

运用协整分析方法对混合股利投资组合指数、现金股利投资组合指数、无股利投资组合指数三类指数与上证指数之间的长期均衡关系进行分析，并利用误差修正模型对三类指数从短期偏离向长期均衡恢复的动态调整速度进行检验，研究结果显示：具备市场偏好的混合股利投资组合指数与上证指数之间的协整关系最弱，从短期偏离向长期均衡修复的时间最长；不具备市场偏好的现金股利投资组合指数与上证指数之间的协整关系最强，从短期偏离向长期均衡修复的时间最短；不具备市场偏好的无股利投资组合指数与上证指数之间的协整关系较强，从短期偏离向长期均衡修复的时间较短。     

Perils of limiting the coverage of mandatory pay disclosure: The Korean experience

In 2013, Korea adopted a mandatory pay disclosure rule applicable only to board members paid above a certain threshold (KRW 500 million, roughly equal to USD 5 million). In this study, we find evidence of Korean executives avoiding disclosure through director deregistration, that is, stepping down from the board, but retaining a non-registered executive position in the same company. This tendency is stronger when deregistration cost is low (in case of family executives), and benefit is high (in case of high executive-to-worker pay ratios). We also find that family executives choose pay cuts over deregistration as means of avoidance when their income loss from pay cuts is relatively low. Last, we find that disclosure avoidance prompts negative share price reactions, leads to higher dividend payouts (in case of large pay cuts) and results in smaller board sizes (in case of family deregistration).     

Influence of dividend tax policy tied to investment horizon on stock price stability: Evidence from the 2015 dividend tax reform in China

We examine how the dividend tax cut policy tied to the investment horizon enforced on September 8, 2015, influences stock price stability in China's A-share market. As the new dividend tax policy waives the tax on cash dividends for investors holding a stock for more than a year, it encourages long-term investment behavior. From 2013 to 2017, we find that stock turnover, return volatility, and turnover volatility decrease after the policy enforcement, especially for stocks with high dividend yields. This result shows that dividend tax reforms increase investors' stock investment horizons and help stabilize the market. However, our findings demonstrate that stock crash risk increases after policy enforcement. Further analysis shows that earnings management through real activities manipulation for stocks with a higher dividend yield contributes to an increase in stock crash risk. Therefore, one externality of the dividend tax cut policy tied to the investment horizon is that top managers of firms with a higher dividend yield may take advantage of investors' passive longer-term investment behavior and engage in more earnings management. This result suggests that regulatory agencies should pay attention to top managers' earnings management behavior after enacting policies that encourage long-term investment.