中国股票市场股利政策(英文)

本文解释了鼓励政策的定义和现今中国企业通常使用的股利政策方法。文中将对中国与西方的股利政策的异同进行对比,同时分析了具有中国特色股利政策形成的原因,并且提出了一些改善现状的意见和建议。     

中国股票市场股利政策

本文解释了鼓励政策的定义和现今中国企业通常使用的股利政策方法.文中将对中国与西方的股利政策的异同进行对比,同时分析了具有中国特色股利政策形成的原因,并且提出了一些改善现状的意见和建议.     

Dividend commitment in firm bylaws and capital structure change

Dividend policies can predict changes in capital structure. We focus on a unique setting, namely, dividend commitment emerging from a new dividend policy in China, and explore its relation to leverage. We find a commitment to increase dividends is associated with a subsequent reduction in leverage, and this negative relation is enhanced in firms without preliminary conditions specified for their commitments or with greater dividend smoothing in previous periods. Robustness tests support the main findings. Further analysis addresses four internal mechanisms that play essential roles in the above link, and we provide further details about how leverage is reduced.     

创业板上市公司股利分配研究

本文以截止2010年4月30日79家创业板上市公司为对象,以实证分析的方法研究创业板上市公司股利分配。结论显示,创业板上市公司股利分配与第一大股东持股比例之间没有显著关系;公司成长性对现金股利发放水平有抑制作用;公司盈利能力、货币资金充足率及盈余积累水平对公司现金股利分配水平有显著影响。本文的研究表明,创业板公司股利分配行为不支持股利迎合假说及利益输送假说,公司股利分配在一定程度上反映了公司的组织结构特征。     

Extending the capital asset pricing model: the reward beta approach

This paper offers an alternative method for estimating expected returns. The proposed reward beta approach performs well empirically and is based on asset pricing theory. The empirical section compares this approach with the capital asset pricing model (CAPM) and the Fama–French three‐factor model. In out‐of‐sample testing, both the CAPM and the three‐factor model are rejected. In contrast, the reward beta approach easily passes the same test. In robustness checks, the reward beta approach consistently outperforms both the CAPM and the three‐factor model.     

The Role of Payout Ratio in the Relationship Between Stock Returns and Dividend Yield

Abstract:   This paper examines the relationship between returns and dividend yield in the UK stock market, and introduces earnings‐related data to the asset pricing model in the form of payout ratio. The latter has a considerable effect upon the inferences which would otherwise be drawn from a study of the dividend yield‐returns relationship in the absence of such earnings information. Payout ratio conveys additional signalling information and is an important adjunct to dividend yield in explaining returns.     

Dividend Policy and Reputation

Abstract:  We examine the role of reputation when firms use dividends to signal their profitability. We analyze a signaling model in which reputation plays no role in equilibrium. We then show that taking reputation into account as a link between sequential dividend decisions makes it possible to endogenize signaling costs and obtain a separating equilibrium. Lastly, we use the reversibility hypothesis and assume that in each period, managers can reverse their choices in terms of dividend distribution. We find that in most cases, the signaling equilibrium becomes unstable, causing any dividend signaling policy to become difficult to implement.     

Capital Structure and the Ex‐Dividend Day Return

We apply an option‐pricing framework to the ex‐dividend behavior of common stocks. The framework explains the observed behavior of positive returns on the ex‐dividend day and predicts that ex‐dividend day returns will be higher for firms with greater financial leverage. Empirical testing supports the prediction. In contrast to prior studies, we find that dividend‐capture activity has no significant impact on ex‐dividend behavior, and we offer an explanation based on the importance of tick intervals.     

Cost of capital equations under the Australian imputation tax system

Since the introduction of the Australian imputation tax system, there have been problems both in the measurement of the market value of franking (imputation tax) credits and in their application to estimating cash flows and the cost of capital. In the present paper, we provide a convenient and robust resolution to the above problems in the context of an internally consistent set of equations for the cost of capital, asset valuation and the capital asset pricing model (CAPM). The equations apply under both classical and imputation tax systems and under differential taxation of dividends, capital gains and interest. The simple form of the CAPM presented here is shown to encompass more complex versions of the CAPM, which attempt to accommodate the effect of personal taxes. The valuation equations require an estimate of the market value of $1 of the firm's dividends, within which is embedded the market value of the imputation tax credits. Separate estimates of the value of imputation tax credits, or Officer's gamma factor, are not required.     

Economic Risk Factors and Commercial Real Estate Returns

A great deal of research has focused on the links between stock and bond market returns and macroeconomic events such as fluctuations in interest rates, inflation rates, and industrial production. Although the comovements of real estate and other asset prices suggests that these same systematic risk factors are likely to be priced in real estate markets, no study has formally addressed this issue. This study identifies the growth rate in real per capita consumption, the real T-bill rate, the term structure of interest rates, and unexpected inflation as fundamental drivers or state variables that systematically affect real estate returns. The finding of a consistently significant risk premium on consumption has important ramifications for the vast literature that has examined the (risk-adjusted) performance of real estate, for it suggests that prior findings of significant abnormal returns (either positive or negative) that have ignored consumption are potentially biased by an omitted variables problem. The results also have important implications for dynamic asset allocation strategies that involve the predictability of real estate returns using economic data.     

Pension benefits, wealth accumulation, and capital market equilibrium: a life cycle hypothesis-based dynamic model

This paper examines the impacts of pension benefits on capital asset pricing in conjunction with wealth accumulation and retirement, and derives and tests a dynamic capital asset pricing model (CAPM) within the framework of a life cycle hypothesis-based dynamic model. The life cycle hypothesis-based dynamic model maximizes the expected utility of the individual's lifetime wealth in a continuous time process. An optimal solution of the individual's wealth path, incorporating the ages of retirement and death, is obtained and, based on the optimal wealth path, an analysis of comparative dynamics is pursued. The dynamic CAPM is then derived from the optimal wealth path; simulation and nonparametric tests are undertaken to evaluate the performance of the dynamic CAPM as compared to the traditional model which does not consider the impacts of pension benefits and the static model that incorporates the effects of pension benefits. The test results suggest that the proposed dynamic CAPM closely states the expected rate of return for a capital asset; that the new dynamic CAPM is preferable over the static model that is preferable over the traditional model; and that the three models considered are statistically distinguishable from one another.     

Asset correlations and bank capital adequacy

This paper addresses the estimation of confidence sets for asset correlations used in credit risk portfolio models. Research on the estimation of asset correlations using endogenous probabilities of default estimations has focused on the impact of concentration risk factors, such as firm size and industry. The empirical evidence from Italian small- and medium-size companies show that the assumptions underlying the Basel Committee regulatory capital risk weight function are not substantiated. The regulatory impact is that the capital adequacy is significantly compromised, driving an adverse selection, which favors the worst companies, and transferring the procyclical effects from firms to banks.     

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.     

Relationship between franking credits and the market risk premium: a comment

This paper examines two arguments presented in Gray and Hall (2006). First, that the generally used estimate of 0.06 for the market risk premium within the Officer version of the capital asset pricing model (CAPM) and the generally used estimate of 0.50 for the parameter ‘gamma’ within the Officer framework are jointly inconsistent with evidence concerning the market risk premium in the standard version of the CAPM. Second, that the first two of these parameter estimates are also jointly inconsistent with the observed cash dividend yield on the Australian market. To resolve these problems, Gray and Hall recommend setting gamma to zero. The present paper shows that the first argument does not account for the fact that imputation induces a reduction in the market risk premium as defined in the standard version of the CAPM. The present paper also shows that both arguments identify a problem that characterizes only parts of the Officer framework, and these parts are not generally used in Australia. Therefore, rather than suggesting that gamma should be zero, Gray and Hall's analysis identifies parts of the Officer framework that should be avoided.     

Some Tests of the Risk-Return Relationship Using Alternative Asset Pricing Models and Observed Expected Returns

This study examines the performance of three asset pricing models: the CAPM, the APT and the UAPT using observed expected returns from a three-phase dividend discount model with Value Line analyst estimates of future company-level earnings, dividends and growth rates. Our study is the first we know of to test the three major asset pricing models using observed expected returns. Our results are similar to prior research using ex post (realized) returns in that we find that the UAPT using macroeconomic factors is the best performing model, followed by the APT and the CAPM. However, our results also suggest that the importance of macroeconomic factors is much greater to expected returns than to realized returns, and the corresponding R2 values for models using expected returns are much higher than for models using realized returns. Combining our results for the UAPT with those of Marston and Harris (1993) for the CAPM suggests that these models are more successful in tests using observed expected returns than in tests using realized returns as proxies for expected returns. Unit root tests suggest that monthly observed expected returns follow the classic random walk without drift model while monthly realized returns do not.     

Dividend Policy Irrelevancy and the Construct of Earnings

This paper analyzes the characteristics of earnings in valuation settings where the dividend policy is irrelevant to equity value. The paper first demonstrates an equivalent characterization of dividend policy irrelevancy (DPI) in a general linear dynamic. It then proceeds to show how DPI leads to ideal and practical constructs of earnings and examines their analytical properties. We further demonstrate that earnings properties can be used to deduce the core approach in practical equity valuation – namely, measures of growth in expected earnings explain the price to forward earnings ratio. However, unlike dividends, free cash flow cannot generally be claimed to be irrelevant to value.     

Core Earnings Uncertainty,Dividend Change Announcements and the Reduction of Covariance Component Risks

We present evidence of two systematic market risk implications associated with core earnings news implicit in dividend change announcements: (1) a decline in firm‐market correlation intensity, consistent with reduced investor reliance on overall market movements to value shares, and (2) a downward shift in standard deviation of returns, consistent with increased core earnings information precision. Decoupling these two covariance component risk effects is important because they can offset one another at the firm level, masking unique market influences on total systematic risk. Each is influenced by the information environment in different ways and each is shown to incrementally explain returns in a manner consistent with the capital asset pricing model (CAPM).     

自由现金流、现金股利与中国上市公司过度投资

处于经理人控制之下的自由现金流有可能被投入到损害公司价值的非盈利项目上，从而导致过度投资。股利代理成本理论认为，较高的股利支付水平可以迫使经理人“吐出”自由现金流，从而降低企业自由现金流代理成本。但本文实证研究表明，中国上市公司过度投资程度与现金股利支付水平无关。其原因在于，上市公司股利政策受到监管层政策驱动因素的影响，造成股利政策扭曲，并被“异化”为大股东“利益输送”的一种手段。     

Industry cost of equity capital: European evidence for multifactor models

We estimate the costs of equity capital for 117 industries from 16 European countries employing the CAPM and 8 multifactor asset pricing models as well as a variety of different econometric techniques. In doing so, we extend previous research on cost of equity estimation in mainly two ways. First, our study involves European instead of US or UK industries, which are investigated in previous research, and we find that cost of equity estimates obtained from the CAPM or multifactor asset pricing models are as imprecise for European industries as for US and UK industries. Second, in addition to the CAPM, the Fama and French [1993 Fama, Eugene F., and Kenneth R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33: 3–56. doi: 10.1016/0304-405X(93)90023-5[Crossref], [Web of Science ®] , [Google Scholar]. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33: 3–56] three-factor model, and the Carhart [1997 Carhart, Mark M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82. doi: 10.1111/j.1540-6261.1997.tb03808.x[Crossref], [Web of Science ®] , [Google Scholar]. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82] four-factor model, which are usually employed, our study includes six multifactor models that have not yet been examined on their ability to provide precise estimates of the costs of equity: the five-factor model of Fama and French [1993 Fama, Eugene F., and Kenneth R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33: 3–56. doi: 10.1016/0304-405X(93)90023-5[Crossref], [Web of Science ®] , [Google Scholar]. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33: 3–56] as well as the multifactor models of Pástor and Stambaugh [2003 Pástor, Lubos, and Robert F. Stambaugh. 2003. “Liquidity Risk and Expected Stock Returns.” Journal of Political Economy 111 (3): 642–685. doi: 10.1086/374184[Crossref], [Web of Science ®] , [Google Scholar]. “Liquidity Risk and Expected Stock Returns.” Journal of Political Economy 111 (3): 642–685]; Campbell and Vuolteenaho [2004 Campbell, John Y., and Tuomo Vuolteenaho. 2004. “Bad Beta, Good Beta.” American Economic Review 94 (5): 1249–1275. doi: 10.1257/0002828043052240[Crossref], [Web of Science ®] , [Google Scholar]. “Bad Beta, Good Beta.” American Economic Review 94 (5): 1249–1275]; Hahn and Lee [2006 Hahn, Jaehoon, and Hangyong Lee. 2006. “Yield Spreads as Alternative Risk Factors for Size and Book-To-Market.” Journal of Financial &; Quantitative Analysis 41 (2): 245–269. doi: 10.1017/S0022109000002052[Crossref], [Web of Science ®] , [Google Scholar]. “Yield Spreads as Alternative Risk Factors for Size and Book-To-Market.” Journal of Financial &; Quantitative Analysis 41 (2): 245–269]; Petkova [2006 Petkova, Ralitsa. 2006. “Do the Fama–French Factors Proxy for Innovations in Predictive Variables?” The Journal of Finance 61 (2): 581–612. doi: 10.1111/j.1540-6261.2006.00849.x[Crossref], [Web of Science ®] , [Google Scholar]. “Do the Fama–French Factors Proxy for Innovations in Predictive Variables?” The Journal of Finance 61 (2): 581–612]; and Koijen, Lustig, and van Nieuwerburgh [2010 Koijen, Ralph S., Hanno N. Lustig, and Stijn G. van Nieuwerburgh. 2010. “The Cross-Section and Time-Series of Stock and Bond Returns.” Working Paper, University of Chicago, University of California at Los Angeles, New York University. [Google Scholar]. “The Cross-Section and Time-Series of Stock and Bond Returns.” Working Paper, University of Chicago, University of California at Los Angeles, New York University]. Our results suggest that these models provide even more imprecise cost of equity estimates. One main reason for these inaccurate estimates is the large temporal variation of the risk loadings on the non-traded factors in these models.