Taxes,International Clienteles and the Value of ADR Dividends

An alternative approach to valuing dividends is developed and applied to American Depositary Receipts (ADRs) on Australian stocks. The values of ADR dividends are estimated from the period when, due to different ex‐dividend dates, the ADRs and their underlying stocks trade with differential dividend entitlements. Australian ADR dividends are valued at less than their face value and the dividends on the underlying stocks are valued at more than their face value. This suggests that ADR dividends are priced by a clientele of US investors placing little value on the imputation tax credits attached to the dividends and that a clientele of Australian resident investors, who obtain value from imputation tax credits, price the dividends on the underlying stock.     

Dividend payments as a response to peer influence

I show dividend policies have peer effects. My estimates indicate that firms speed up the time taken to make a dividend change by about 1.5 quarters and increase payments by 16% in response to peer changes. The peer effects matter in increases but not decreases. In contrast to dividends, repurchases show no peer effects. In addition, announcement returns indicate that investors partially anticipate the consequences of peer effects. Overall, peer interdependencies account for 12% of total dividend payments.     

Is corporate payout taxation a long run phenomenon? Evidence from international data

This paper examines whether dividend and capital gains taxation influences corporate payout policy using the country level data of 21 countries in panel versions of time series models. We find that dividend relative to capital gains tax penalty is cointegrated with corporate payouts (dividends and share repurchases) i.e. corporate payout taxation may be a long run phenomenon. Further, the cointegrating vector estimates are largely consistent with the traditional view of dividend taxation whereby the tax penalty discourages dividends, while the estimates give limited support to the premise that firms substitute dividends for share repurchases in response to an increase in dividend tax penalty. Long run causality also operates between the tax penalty and payouts in the error correction models. Additionally, dividend tax appears to be more influential than capital gains tax on dividend payout decisions. Lastly, taxation affects dividends more significantly in countries with high investor protection.     

Corporate payout policy in Australia and a test of the life‐cycle theory

We provide evidence on the frequency and size of payouts by Australian firms, and test whether the life‐cycle theory explains Australian corporate payout policies. Regular dividends remain the most popular mechanism for distributing cash to shareholders, despite a slight decline in the proportion of dividend payers since the relaxation of buyback regulations in 1998. Off‐market share buybacks return the largest amount of cash to shareholders. Dividend paying firms are larger, more profitable and have less growth options that nondividend paying firms. Consistent with the life‐cycle theory, we observe a highly significant relation between the decision to pay regular dividends and the proportion of shareholders’ equity that is earned rather than contributed.     

Dividends,research and development expenditures,and the value relevance of book value for UK loss-making firms

We extend prior research on the value relevance of accounting information for loss-making firms by allowing the coefficient of book value to vary across three distinct set of loss-making firm observations in our valuation model. Our key findings are, first, that book value is a less important determinant of equity value for either high R&D-intensive firms or dividend-paying firms, relative to firms with low R&D-intensity and zero dividends. Prior literature suggests that book value is a strong indicator of firm value for loss-making firms. This reasoning stems from book value's role as: (i) a proxy for the value of the possibility of abandoning or adapting the firms' net assets; and/or (ii) a proxy for expected future normal earnings. Our work suggests that this prior literature does not fully capture the valuation role of book value for loss-making firms. Second, we also find that dividends are value relevant, but generally only when the valuation role of book value is contextualised by allowing its coefficient to vary across high R&D-intensive firms, and dividend-paying, loss-making firms.     

Comparing linear and nonlinear forecasts for stock returns

We compare the out-of-sample performance of monthly returns forecasts for two indices, namely the Dow Jones (DJ) and the Financial Times (FT) indices. A linear and a nonlinear artificial neural network (ANN) model are used to generate the out-of-sample competing forecasts for monthly returns. Stationary transformations of dividends and trading volume are considered as fundamental explanatory variables in the linear model and the input variables in the ANN model. The comparison of out-of-sample forecasts is done on the basis of forecast accuracy, using the Diebold and Mariano test [J. Bus. Econ. Stat. 13 (1995) 253.], and forecast encompassing, using the Clements and Hendry approach [J. Forecast. 5 (1998) 559.]. The results suggest that the out-of-sample ANN forecasts are significantly more accurate than linear forecasts of both indices. Furthermore, the ANN forecasts can explain the forecast errors of the linear model for both indices, while the linear model cannot explain the forecast errors of the ANN in either of the two indices. Overall, the results indicate that the inclusion of nonlinear terms in the relation between stock returns and fundamentals is important in out-of-sample forecasting. This conclusion is consistent with the view that the relation between stock returns and fundamentals is nonlinear.     

企业社会责任、现金股利与投资效率

本文选择我国2008-2016年沪深两市的A股上市公司作为研究样本,首先实证检验了企业承担社会责任对企业现金股利分配的影响。研究结果表明,社会责任表现越好的企业其更倾向于派发或连续派发现金股利,并且现金股利支付率越高。接下来本文对企业发放现金股利与投资效率的关系进行了研究。研究表明,企业发放现金股利通过减少企业的自由现金流抑制代理问题,缓解了自由现金流富余的企业的过度投资,连续派现向市场传递出的积极信号为企业带来新的融资,缓解了自由现金流紧缺的企业的投资不足。最后,本文进一步研究了企业社会责任在现金股利与投资效率的相关关系中发挥了何种调节作用,研究结果显示企业通过履行社会责任增加现金股利的发放,进而可以显著提高现金股利对过度投资的抑制作用。履行社会责任的企业更倾向于连续派现,从而提高了现金股利对投资不足的缓解程度。     

对目前我国上市公司股利政策的思考

股利政策作为上市公司的核心财务政策之一,由于其既关系到股东的利益和福利水平,又关系到公司未来的发展,因而一直备受利益各方充分关注。笔者结合我国上市公司股利分配政策的实践,针对其所表现出的特点,从内部根源和外部环境方面分析其问题所在及带来的危害,最后笔者提出规范我国上市公司股利分配的几点建议。     

关联交易与控制性股东的"隧道行为"

在信息不对称情况下,控制性股东能够利用其对上市公司的控制力或影响力进行非公允关联交易,从而以其他投资者的利益为代价从上市公司攫取财富.本文以1998-2005年实施配股的上市公司为样本,分析了配股后上市公司关联交易的分布特征,并研究了关联交易对控制性股东资金占用行为、股票收益和企业价值的影响.研究结果表明:(1)控制性股东通过关联借贷大量侵占了上市公司的资金;(2)投资者在关联交易发生后相应调整了股票价格,导致了上市公司股票收益下降;(3)控制性股东通过隐蔽的关联交易从上市公司输出了财富,造成了以托宾Q衡量的公司价值下降,关联交易与公司价值之间存在负相关关系.非公允关联交易成为控制性股东掠夺中小股东财富的重要方式,导致上市公司的资源被不断输送出去.     

Pricing assets with stochastic cash-flow growth

We model the time series behavior of dividend growth rates, as well as the profitability rate, with a variety of autoregressive moving-average processes, and use the capital asset pricing model (CAPM) to derive the appropriate discount rate. One of the most important implications of this research is that the rate of return beta changes with the time to maturity of the expected cash flow, and the degree of mean reversion displayed by the growth rate. We explore the consequences of this observation for three different strands of the literature. The first is for the value premium anomaly, the second for stock valuation and learning about long-run profitability, and the third is for the St. Petersburg paradox. One of the most surprising results is that the CAPM implies a higher rate of return beta for value stocks than growth stocks. Therefore, value stocks must have higher expected returns, and this is what is required theoretically in order to explain the well-known value premium anomaly.