融资约束、代理成本与股利政策治理效应
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摘要
股利政策是公司财务研究领域一个经典而又不断推陈出新的研究课题。尽管有关股利政策的理论与实证研究成果丰硕，但是对于股利政策如何制定、什么是合理的股利政策等核心问题，国内外学术界始终没有得到一致的答案，这就为本文的研究提供了拓展的空间与改进的可能。
在理论文献与现实背景的分析基础上，本文提出将股利政策治理效应作为判断股利政策合理与否的标准或主要依据的学术观点，并着重探讨以下两个问题：
一是股利政策治理效应的存在性问题。本文分整体检验与局部检验两个步骤对存在性问题加以验证：（1）股利政策治理效应的整体检验。以一个综合性的公司治理指数作为公司治理机制整体完善程度的代理变量，在融资约束与代理成本的双重作用下，验证股利政策对公司治理机制的替代或增补效应；（2）股利政策治理效应的局部检验。以两种具体且重要的公司治理机制——管理层薪酬激励（激励机制）和股权制衡（约束机制）为例，验证股利政策与公司治理机制之间的替代或互补关系。
二是股利政策治理效应的量化分析与评价问题。本文将股利政策分别视为其治理效应的内生与外生影响因素，并结合治理效应的效率观点展开量化研究：（1）基于经典的Lintner股利收益模型和Rozeff股利权衡模型，运用双边随机前沿分析方法（2tier-SFA）探讨在融资约束与代理成本权衡下股利政策的有效性以及造成有效性损失的具体原因；（2）股利政策治理效应最终应该体现在公司价值的变化上，此时股利政策可以被视为外生影响因素。在真实世界中，股利政策无法达到最优状态，其必然伴随着治理效率的损失。因此，本文借助随机前沿分析方法（SFA），通过对公司价值视角下股利政策治理效率的测度来评价和分析股利政策治理效应，并引出股利政策的具体作用特征。
本文的主要研究结论如下：
第一，在假设融资约束与代理成本均不存在的理想状态下，现金股利的支付与公司治理机制可以相互替代，这表明前者具有一定的公司治理效应；当仅考虑代理成本而忽略融资约束的作用时，较为完善的公司治理机制能够在代理问题严重时促使公司发放现金股利，即现金股利可以作为传统意义上的公司治理机制的一种补充；而在同时考虑代理成本与融资约束的情况下，治理机制较为完善的公司又会选择减少现金股利的发放，即融资约束与代理成本的共同作用使得股利政策与公司治理机制整体上呈现出替代性特征。
第二，在代理成本与融资约束共同作用下，上市公司在管理层薪酬激励与股利政策之间具有明显的替代性倾向，即公司管理层并没有因为自身薪酬的增加而提高股利支付率以给予股东相对更多的回报；而股权制衡与股利政策是一种互补的而非替代的关系。
第三，当前，中国资本市场的融资约束是导致上市公司股利水平发生偏离——即造成股利政策有效性损失的主导因素，而代理成本的影响则相对较小，二者的净效应使得上市公司的实际股利支付水平低于相对的最优水平。
第四，现金股利支付率与公司价值之间存在正U型的二次非线性关系：即在上市公司现金股利支付率较低时，支付率的提高会降低公司价值；而当支付率达到一定水平时，股利政策才会起到提升公司价值的作用。
本文的研究贡献在于：
（1）明确提出将股利政策治理效应作为判定上市公司股利政策合理与否的标准或主要依据的理论观点，并构建了一个对股利政策治理效应进行整体与局部相结合的检验，以及从内生与外生双重视角对股利政策治理效应进行量化分析与评价的研究框架。该研究框架不仅克服了现有研究对股利政策治理效应单纯进行整体检验或者局部检验，以及仅仅关注股利政策相对于公司价值的外生性的不足，从而提高了本文研究结论的可靠性和可信度，而且对公司财务领域其他相关课题的研究也具有借鉴意义。
（2）股利政策作为一种特殊的公司治理机制，其有效性首先取决于股利支付水平的高低。其次，股利政策的相对有效性具体表现为实际股利支付水平与最优股利支付水平之间的偏差，基于这一认识，股利政策的有效性可以理解为以股利政策为内生变量的公司治理效率。本文在借鉴吸收Lintner股利收益模型和Rozeff股利权衡模型的思想基础上，运用双边随机前沿分析方法构建了一个新的双边随机前沿股利模型，进而通过实证分析，测定了融资约束与代理成本权衡下的中国上市公司股利政策的有效性，并发现了造成有效性损失的若干具体原因。
（3）股利政策治理效应最终应该体现在股利政策对公司价值的影响上。区别于以往大多数研究文献单纯使用会计指标、经济指标或市场指标，并通过公司价值对股利政策的回归分析来评价股利政策治理效应的方法，本文采用随机前沿分析模型，通过测定相对效率来评价股利政策治理效应，从而减少了信息不对称与主观性带来的偏误。
Dividend policy is a classical and constantly updated research topic in the financialresearch field. Despite of the variety of theoretical perspectives and a large number ofempirical studies emerging, there is no consistent answer to the problem of how to formulatethe dividend decision, which provides the space and possibility of theory improvement.On the basis of theoretical literature and the analysis of reality background, this paperproposes a standard to evaluate whether a dividend policy is reasonable from the perspectiveof governance effect of dividend policy. It focuses on two questions as following:
The primary question is the existence of the governance effect of dividend policy. Carriedout in accordance with the overall inspection and partial inspection:(1) Take a corporategovernance index (CGI) as proxy variable of the overall degree of corporate governancemechanism, and verify the dividend policy’s substitution or supplement effects to thecorporate governance mechanism in the dual role of financing constraints and agency costs;(2) Verify the dividend policy’s relationship with two specific governancemechanisms-management compensation incentive(as incentive mechanism) and equitybalance(as restriction mechanism), in the partial inspection, to find out the substitution orcompensation effect.
It followed by evaluating the governance effect of dividend policy. Take dividend policy asendogenous or exogenous factors of governance effects respectively:(1) to analyse the effectof the dividend policy in the financing constraints and agency costs via an empirical analysisbased on the two-tier stochastic frontier model(2-tier SFA), the classic Lintner dividend modeland Rozeff dividend balance model (2) The dividend policy can be regarded as exogenousfactors because the governance effects of dividend policy should eventually be reflected in thecorporate value. In the real world, dividend policy can’t be optimal, which cause the loss ofthe efficiency. With the stochastic frontier analysis, evaluation of the governance effects ofdividend policy will transfer to a measure of the governance efficiency of dividend policy inthe company perspective, and draw the specific characteristics of the role of dividend policy.The main conclusions are as follows:
Firstly, impeccable corporate governance mechanism can play substitution role in dividendspayment without financing constraints and agency costs, which indicates that dividends paymenth as a certain corporate governance effect. When we consider the influence of agencycosts solely, well governed corporations will pay dividend to restrain agency costs,conventional governance mechanisms have supplement effects. After adding the affect of financing constraints, these corporations prefer to reduce dividend payment, which exerts asubstitution effects.Those results show dividend policy has corporate governance effectindeed.
Secondly, under the dual role of agency costs and financing constraints, the executivecompensation incentives and dividend policy in listed companies show an obvioussubstitution tendency. The management layer don’t enhance dividend payout ratio to giveshareholders more in return due to an increase in the salaries. Equity balance to the dividendpolicy is a supplementrather than substitutes.
Thirdly, in current Chinese capital market, financing constraints is the dominant factorcausing the deflected dividend level of listed companies, that is, the loss of the governanceeffect of dividend policy. Meanwhile the effect of agency costs is relatively small and their neteffect makes the actual payout ratio of Chinese listed companies lower than the relativelyoptimal levels.
Fourthly, the relationship between the cash dividend payout ratio and the company value isa "U" shape of the quadratic nonlinear: when the level of the cash dividend payout ratio oflisted companies is not high, the increase of the payment rate will reduce the value of thecompany; and when the payment rate reach a certain level, the increase of the payment ratewill enhance the value of the company.
The probable contribution of this paper is:
(1)It proposes clearly one point that governance effect of dividend policy could be thecriterion of listed companies’ dividend policy decision, and build the framework for theinspection of governance effect of dividend policy including a whole and partial inspectionfrom the endogenous and exogenous perspective. This paper also provides a reference forresearches on other areas related to financing constraints and agency costs.Different from the previous literature which are only concerned with the exogenous ofdividend policy relative to the value of the company, this paper try to examine theeffectiveness of the dividend policy from two angles of endogenous and exogenous.
(2) As a special corporate governance mechanism, the validity of dividend policy dependson their own level primarily. Then, the relative validity of dividend policy assumes as thedeviation between optimal dividend level and actual dividend payout. In the definition of sucha deviation, the validity of the dividend policy can be understood as a corporate governanceefficiency by using dividend policy for the endogenous variables. Based on stochastic frontiermethod, the idea of Lintner model and Rozeff dividend balance model, this paper builds atwo-tier stochastic frontier dividend model, and evaluate the effect of dividend policy via empirical analysis.It also finds out the governance effect of dividend policy in financingconstraints and agency costs and the reasons of loss of the effectiveness.
(3) The ultimate goal of the governance effect of dividend policy is to achieve thepromotion of the corporate value. Different from most of the previous literature simply usingaccounting indicators, economic indicators, market indicators to regression analysis to test therelationship between the corporate value and the dividend policy, this paper try to measurethe governance effect of dividend policy in the view of relative efficiency by the stochasticfrontier model, which can reduce the bias causing by the information asymmetry andsubjectivity.
在理论文献与现实背景的分析基础上，本文提出将股利政策治理效应作为判断股利政策合理与否的标准或主要依据的学术观点，并着重探讨以下两个问题：
一是股利政策治理效应的存在性问题。本文分整体检验与局部检验两个步骤对存在性问题加以验证：（1）股利政策治理效应的整体检验。以一个综合性的公司治理指数作为公司治理机制整体完善程度的代理变量，在融资约束与代理成本的双重作用下，验证股利政策对公司治理机制的替代或增补效应；（2）股利政策治理效应的局部检验。以两种具体且重要的公司治理机制——管理层薪酬激励（激励机制）和股权制衡（约束机制）为例，验证股利政策与公司治理机制之间的替代或互补关系。
二是股利政策治理效应的量化分析与评价问题。本文将股利政策分别视为其治理效应的内生与外生影响因素，并结合治理效应的效率观点展开量化研究：（1）基于经典的Lintner股利收益模型和Rozeff股利权衡模型，运用双边随机前沿分析方法（2tier-SFA）探讨在融资约束与代理成本权衡下股利政策的有效性以及造成有效性损失的具体原因；（2）股利政策治理效应最终应该体现在公司价值的变化上，此时股利政策可以被视为外生影响因素。在真实世界中，股利政策无法达到最优状态，其必然伴随着治理效率的损失。因此，本文借助随机前沿分析方法（SFA），通过对公司价值视角下股利政策治理效率的测度来评价和分析股利政策治理效应，并引出股利政策的具体作用特征。
本文的主要研究结论如下：
第一，在假设融资约束与代理成本均不存在的理想状态下，现金股利的支付与公司治理机制可以相互替代，这表明前者具有一定的公司治理效应；当仅考虑代理成本而忽略融资约束的作用时，较为完善的公司治理机制能够在代理问题严重时促使公司发放现金股利，即现金股利可以作为传统意义上的公司治理机制的一种补充；而在同时考虑代理成本与融资约束的情况下，治理机制较为完善的公司又会选择减少现金股利的发放，即融资约束与代理成本的共同作用使得股利政策与公司治理机制整体上呈现出替代性特征。
第二，在代理成本与融资约束共同作用下，上市公司在管理层薪酬激励与股利政策之间具有明显的替代性倾向，即公司管理层并没有因为自身薪酬的增加而提高股利支付率以给予股东相对更多的回报；而股权制衡与股利政策是一种互补的而非替代的关系。
第三，当前，中国资本市场的融资约束是导致上市公司股利水平发生偏离——即造成股利政策有效性损失的主导因素，而代理成本的影响则相对较小，二者的净效应使得上市公司的实际股利支付水平低于相对的最优水平。
第四，现金股利支付率与公司价值之间存在正U型的二次非线性关系：即在上市公司现金股利支付率较低时，支付率的提高会降低公司价值；而当支付率达到一定水平时，股利政策才会起到提升公司价值的作用。
本文的研究贡献在于：
（1）明确提出将股利政策治理效应作为判定上市公司股利政策合理与否的标准或主要依据的理论观点，并构建了一个对股利政策治理效应进行整体与局部相结合的检验，以及从内生与外生双重视角对股利政策治理效应进行量化分析与评价的研究框架。该研究框架不仅克服了现有研究对股利政策治理效应单纯进行整体检验或者局部检验，以及仅仅关注股利政策相对于公司价值的外生性的不足，从而提高了本文研究结论的可靠性和可信度，而且对公司财务领域其他相关课题的研究也具有借鉴意义。
（2）股利政策作为一种特殊的公司治理机制，其有效性首先取决于股利支付水平的高低。其次，股利政策的相对有效性具体表现为实际股利支付水平与最优股利支付水平之间的偏差，基于这一认识，股利政策的有效性可以理解为以股利政策为内生变量的公司治理效率。本文在借鉴吸收Lintner股利收益模型和Rozeff股利权衡模型的思想基础上，运用双边随机前沿分析方法构建了一个新的双边随机前沿股利模型，进而通过实证分析，测定了融资约束与代理成本权衡下的中国上市公司股利政策的有效性，并发现了造成有效性损失的若干具体原因。
（3）股利政策治理效应最终应该体现在股利政策对公司价值的影响上。区别于以往大多数研究文献单纯使用会计指标、经济指标或市场指标，并通过公司价值对股利政策的回归分析来评价股利政策治理效应的方法，本文采用随机前沿分析模型，通过测定相对效率来评价股利政策治理效应，从而减少了信息不对称与主观性带来的偏误。
Dividend policy is a classical and constantly updated research topic in the financialresearch field. Despite of the variety of theoretical perspectives and a large number ofempirical studies emerging, there is no consistent answer to the problem of how to formulatethe dividend decision, which provides the space and possibility of theory improvement.On the basis of theoretical literature and the analysis of reality background, this paperproposes a standard to evaluate whether a dividend policy is reasonable from the perspectiveof governance effect of dividend policy. It focuses on two questions as following:
The primary question is the existence of the governance effect of dividend policy. Carriedout in accordance with the overall inspection and partial inspection:(1) Take a corporategovernance index (CGI) as proxy variable of the overall degree of corporate governancemechanism, and verify the dividend policy’s substitution or supplement effects to thecorporate governance mechanism in the dual role of financing constraints and agency costs;(2) Verify the dividend policy’s relationship with two specific governancemechanisms-management compensation incentive(as incentive mechanism) and equitybalance(as restriction mechanism), in the partial inspection, to find out the substitution orcompensation effect.
It followed by evaluating the governance effect of dividend policy. Take dividend policy asendogenous or exogenous factors of governance effects respectively:(1) to analyse the effectof the dividend policy in the financing constraints and agency costs via an empirical analysisbased on the two-tier stochastic frontier model(2-tier SFA), the classic Lintner dividend modeland Rozeff dividend balance model (2) The dividend policy can be regarded as exogenousfactors because the governance effects of dividend policy should eventually be reflected in thecorporate value. In the real world, dividend policy can’t be optimal, which cause the loss ofthe efficiency. With the stochastic frontier analysis, evaluation of the governance effects ofdividend policy will transfer to a measure of the governance efficiency of dividend policy inthe company perspective, and draw the specific characteristics of the role of dividend policy.The main conclusions are as follows:
Firstly, impeccable corporate governance mechanism can play substitution role in dividendspayment without financing constraints and agency costs, which indicates that dividends paymenth as a certain corporate governance effect. When we consider the influence of agencycosts solely, well governed corporations will pay dividend to restrain agency costs,conventional governance mechanisms have supplement effects. After adding the affect of financing constraints, these corporations prefer to reduce dividend payment, which exerts asubstitution effects.Those results show dividend policy has corporate governance effectindeed.
Secondly, under the dual role of agency costs and financing constraints, the executivecompensation incentives and dividend policy in listed companies show an obvioussubstitution tendency. The management layer don’t enhance dividend payout ratio to giveshareholders more in return due to an increase in the salaries. Equity balance to the dividendpolicy is a supplementrather than substitutes.
Thirdly, in current Chinese capital market, financing constraints is the dominant factorcausing the deflected dividend level of listed companies, that is, the loss of the governanceeffect of dividend policy. Meanwhile the effect of agency costs is relatively small and their neteffect makes the actual payout ratio of Chinese listed companies lower than the relativelyoptimal levels.
Fourthly, the relationship between the cash dividend payout ratio and the company value isa "U" shape of the quadratic nonlinear: when the level of the cash dividend payout ratio oflisted companies is not high, the increase of the payment rate will reduce the value of thecompany; and when the payment rate reach a certain level, the increase of the payment ratewill enhance the value of the company.
The probable contribution of this paper is:
(1)It proposes clearly one point that governance effect of dividend policy could be thecriterion of listed companies’ dividend policy decision, and build the framework for theinspection of governance effect of dividend policy including a whole and partial inspectionfrom the endogenous and exogenous perspective. This paper also provides a reference forresearches on other areas related to financing constraints and agency costs.Different from the previous literature which are only concerned with the exogenous ofdividend policy relative to the value of the company, this paper try to examine theeffectiveness of the dividend policy from two angles of endogenous and exogenous.
(2) As a special corporate governance mechanism, the validity of dividend policy dependson their own level primarily. Then, the relative validity of dividend policy assumes as thedeviation between optimal dividend level and actual dividend payout. In the definition of sucha deviation, the validity of the dividend policy can be understood as a corporate governanceefficiency by using dividend policy for the endogenous variables. Based on stochastic frontiermethod, the idea of Lintner model and Rozeff dividend balance model, this paper builds atwo-tier stochastic frontier dividend model, and evaluate the effect of dividend policy via empirical analysis.It also finds out the governance effect of dividend policy in financingconstraints and agency costs and the reasons of loss of the effectiveness.
(3) The ultimate goal of the governance effect of dividend policy is to achieve thepromotion of the corporate value. Different from most of the previous literature simply usingaccounting indicators, economic indicators, market indicators to regression analysis to test therelationship between the corporate value and the dividend policy, this paper try to measurethe governance effect of dividend policy in the view of relative efficiency by the stochasticfrontier model, which can reduce the bias causing by the information asymmetry andsubjectivity.
引文
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