行为股利政策
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摘要
股利政策是财务学研究的经典课题之一,也是现代财务理论历经半个多世纪的发展而未能最终解答的研究难题。传统财务学关于股利政策的研究从“有关论”到“无关论”,而后开始逐步放宽MM定理的假设,产生了“追随者效应”、“信号传递”和“委托代理”三大理论,但不同的学说各执己见,在揭示了股利政策的某方面特征的同时,也留下许多的疑点,迄今为止没有一个理论能够完整地回答所有的“股利之谜”。一方面,财务学家重新审视MM定理时发现,传统股利政策陆续放宽了无税收、信息对称、完美代理人等多项假设,但从未触及过理性人假设,忽略了人的行为偏差对股利政策可能产生的影响。Shiller(1984)指出,除非未来的模型考虑了这些影响,否则人们对股利的非理性偏好很难解释,Miller(1986)也认为,在大多数微观决策的蓝图上,行为的因素是非常重要的组成部分,它不应该被忽略,把行为因素引入股利政策的解释有助于解释长期以来的异象。另一方面,股利支付作为资源分配行为,必然存在需求方和供给方。类似追随者效应的传统股利政策都只考虑了股利的需求方,或需求方对支付行为的主观解读,而作为股利提供方的管理者行为背后的主观能动性及其形成原因反而被忽视了。因此,有必要从股利供给方的角度对股利支付进行研究(Baker和Wurger,2004a)
近年来,随着实验心理学和行为学的发展,人的行为因素开始被引入财务学领域的研究,行为公司财务的研究逐渐兴起,而从管理者行为的角度研究股利政策也成为当前股利政策研究的前沿课题。2003年,Gurtler和Hartmann的工作论文《行为股利政策》首次提出了“行为股利政策”一词,使之正式登上了股利政策研究的舞台。但遗憾的是,Gurtler和Hartmann(2003)虽然在标题重要位置提出了“行为股利政策”,但文中并未对它的内涵和外延进行研究和拓展,只是指出行为股利政策是行为公司财务的一个组成部分。尽管此后一些有影响的成果(例如Baker和Wurger,2004a、2004b;Li和Lie,2005)从行为角度探讨股利政策,但是这些零散的文献也仅就自身角度进行分析,迄今为止尚未有文献将它们概括为“行为股利政策”,或者专门针对“行为股利政策”这一课题展开较为全面和系统的研究,而且相关实证分析也没有充分展开,因而经验证据也很少。因此,本文就以“行为股利政策”为题进行相关研究。
本文研究行为股利政策的另一个原因在于,本文发现了一个之前股利政策的研究从未提及的新异象——我国上市公司的股利“群聚”现象。我们发现,80%以上的上市公司每股现金股利在0.2元以下,以变异系数表示的股利分散程度只相当于同时期美国上市公司每股现金股利分散程度的三分之一。为何会产生股利“群聚”现象?本文认为,传统股利政策理论无法提出合理的解释,而引入行为因素则有助于分析这些异象产生的原因(Shefrin和Statman,1984)。因此,本文通过探讨管理者的行为对公司股利政策的影响,以“行为股利政策”为工具来解释中国上市公司股利“群聚”现象。
本文的研究内容主要包括文献综述、制度背景分析和经验研究,全文共分为八章,各章的具体内容如下:
第一章为导论,介绍本文的研究问题、研究内容、论文框架、研究方法以及主要学术贡献与创新。
第二章对传统股利政策理论的研究文献进行回顾。本章首先回顾了完美市场上股利无关论,然后介绍了现代股利政策理论如何逐渐放宽MM定理的某些假设,形成了股利的税收、信号和委托代理三大理论,最后总结和评述传统股利政策理论所面临的挑战。
第三章描述我国上市公司存在的股利“群聚”现象。本章首先提出股利“群聚”现象,然后指出“群聚”现象存在于各个年度,而且具有行业分布不同的特征。最后本章通过分析指出,西方传统股利政策理论无法解释我国上市公司的股利“群聚”现象。
第四章为行为股利政策的文献综述。本章首先介绍了行为股利政策理论的产生过程,指出目前行为股利政策可能的两个发展方向为股利迎合理论和股利羊群行为理论。然后,本章分别从股利迎合理论和管理者羊群行为两个角度进行文献评述,为后续的实证研究提供理论支持。
第五章是管理者羊群行为与股利“群聚”现象的实证分析。本章的实证检验分成两个部分,第一部分检验了股利羊群行为是否存在,第二部分检验了股利羊群行为产生的原因是否与声誉有关。
第六章是股利迎合理论与股利“群聚”现象的实证分析。本章的实证检验同样分成两个部分,第一部分检验了我国上市公司管理者支付股利时是否迎合流通股东的偏好,第二部分检验了管理者支付股利是否迎合了大股东的现金偏好。
第七章是行为股利政策的联合检验。本章采用Tobit模型,把管理者股利羊群行为和股利迎合理论放在同一个模型内联合检验,同时考察“是否支付”与“支付水平高低”问题以克服可能存在的样本选择偏差。本章也是行为股利政策及其对“群聚”现象解释能力的稳健性检验。
第八章为全文总结,具体包括研究的主要结论与启示,研究的局限性及未来的研究方向。
本文的主要研究结论如下:
第一,管理者的股利羊群行为可以解释我国上市公司股利“群聚”现象,一方面,管理者在决定股利支付水平时受到行业普遍水平和行业领先者的影响而产生了羊群行为。另一方面,公司的声誉是产生和影响羊群行为程度的动因,声誉越高的公司越不可能产生羊群行为。
第二,管理者股利迎合行为同样可以解释我国上市公司股利“群聚”现象。管理者支付股利时没有考虑中小股东的股利需求,而是仅仅迎合了大股东的现金偏好。上市公司股权越集中,越倾向于支付股利,支付的金额也越高。最后,大股东偏好也与我国上市公司股利的“群聚”程度也存在正相关关系。
第三,采用Tobit模型,对行为股利政策理论进行联合检验发现,管理者羊群行为和管理者迎合大股东行为对上市公司的股利政策有稳定的影响,公司声誉和股权集中度对均股利“群聚”存在稳定的相关关系。
总之,本文的研究结果证实,管理者的羊群行为和迎合行为在很大程度上解释了我国上市公司的股利支付行为,对声誉和大股东偏好的考虑是管理者支付行为的动因,因此,行为因素是影响股利支付的重要因素,行为股利政策能够解释我国上市公司的股利“群聚”现象。
本文的主要贡献与创新之处表现在如下三个方面:在选题上,首次提出我国上市公司股利支付存在的“群聚”现象,丰富了对“股利之谜”的研究;在文献评述上,较为系统和全面地梳理了管理者羊群行为和管理者迎合理论的相关文献,首次将管理者羊群行为理论应用于股利政策领域,并首次将管理者羊群行为和迎合理论归纳和总结为行为股利政策理论;在实证研究上,采用Tobit模型检验股利“群聚”现象,克服仅采用线性回归模型研究股利问题可能存在的样本选择偏差的问题。
本文的局限性在于,仅仅从经验研究的角度探讨行为股利政策对股利“群聚”现象的影响,未能进一步构建一个正式模型来描述管理者行为因素,特别是管理者羊群行为因素对股利政策的影响。
Being one of the most classical fields in science of finance, dividend policy is still a much-debated problem yet to be solved over the last five decades. Traditional finance research on dividend started with the debate between the dividend irrelevance and relevance propositions. Afterwards researchers turned to gradually relax the assumptions of MM theorem and three important theories on dividend, the clientele effect, the signaling models and agency theory, were thereof put forward. Despite the distribution on unveiling dividend policy in various aspects, those theories persist in their own opinions and many doubtful points left behind. And so far none of them could explain the whole puzzle of dividend. On the one hand, when reviewing the studies on MM theorem, researchers found that several assumptions were relaxed such as no taxes, information symmetry and perfect agency assumption, but the "rational man" assumption remains untouched upon and the possible impacts of human behavior bias on dividend were ignored by those studies. Shiller (1984) pointed out that it is very difficult to explain the irrational preference to dividend by investors unless aforesaid impacts were taken into consideration in future models. Miller (1986) agreed that being an important part of most micro decision making, behavioral elements could not be ignored and the introduction of behavioral elements in dividend policy might help resolve longstanding anomalies. On the other hand, as a method of resource allocation, the payment of dividend has two sides: supply and demand. Traditional research on dividend policy, such as the clientele effect, only considers the demand side or the subjective analysis on the payment behavior by the demand side and ignores the manager behavior and the incentives behind it as the supply side. Therefore, it is necessary to study dividend payment from the standpoint of the supply side (Baker and Wurger, 2004a) .
In recent years, with the development of experimental psychology and behavioral science, the behavioral elements have been introduced into finance study. Behavior corporate finance has been a rising field and the study in the sight of manager behavior is becoming one of the frontier topics in the field of dividend policy. In 2003, Gurtler and Hartmann put forward the term "behavior dividend policy" in their working paper, the behavior dividend policy, which is the first time the term stepped onto the stage of dividend research. But it's a pity they only point out that behavior dividend policy is a part of behavior corporate finance and actually they don't elaborate and define the concept's connotation and extension. Some influential works afterwards, such as Bake and Wurger (2004a, 2004b), Li and Lie (2005), studied dividend policy from the standpoint of behavior. But they are unsystematic and isolated from each other. Until now there is no research which classifies those works under the field of behavior dividend policy and no systematic research focusing on the field of behavior dividend policy. The empirical research in this field was underdeveloped therefor the empirical evidences are rare. The paper aims to do some research focusing on the behavior dividend policy.
Another reason for choosing this topic is that a new anomaly which is never mentioned before in the works on dividend policy was found in this paper - the dividend clustering phenomena in the listed companies of China. We found that 80% of the listed companies paid cash dividend under 0.2 RMB Yuan per share. The dispersion of dividend in China showed in coefficient of variation only equals to 1/3 of that in America. What is the origin of the dividend clustering phenomena? Since the traditional dividend policy theories can not explain this phenomena, it will be helpful for us to introduce behavioral elements to analyse the cause of the phenomena (Shefrin and Statman, 1984). So, using "behavior dividend policy" as a tool, the paper is intended to explain the dividend clustering phenomena in listed companies of China by discussing the impacts from manager behavior to corporate dividend policy.
The paper begins with a literature review and then followed by background analysis and empirical research. It is divided into eight chapters.
Chapter one is an introduction of the research issues, contents, framework, methods and the contributions of the paper.
Chapter two is literature review of researches on traditional dividend policy. This chapter reviews the dividend irrelevance propositions in perfect market and then introduces how the assumptions of MM theorem were relaxed by theories of modern dividend policy so as to form taxes clienteles, signal models and agency hypothesis. Finally, a summary and discussion of the challenges that the traditional dividend policy theories face will be made.
Chapter three shows the phenomena of dividend clustering of listed companies in China. This chapter firstly points out that the dividend clustering phenomena happens in every year and its distribution has various characters in different industries. After analysis the chapter concludes that traditional research on dividend policy in west countries can not explain the dividend clustering phenomena in China.
Chapter four is a literature review of behavior dividend policy. The chapter shows how the behavior dividend policy was formed and then points out two possible branches developing from it - the catering theory and the herding theory of dividend. After that, the chapter reviews the literature of two branches separately, which is providing the theoretical foundation of empirical research thereof.
Chapter five is empirical research on relationship between herding behavior of managers and dividend clustering. There are two parts in the chapter: part one examines whether the herding behavior of managers exists in dividend payment, and part two discusses if the herding behavior of dividend payment relates to the reputation of the company.
Chapter six is empirical research on relationship between catering behavior of managers and dividend clustering. There are also two parts in the chapter: part one studies if the managers of listed companies in China cater to the preference of tradable shareholders in dividend payment and part two shows if the managers cater to the cash preference of leading (untradeable) shareholders.
Chapter seven is a joint examination of behavior dividend policy. Tobit model was used in this chapter to examine both herding and catering theories in one single model and to study "whether to pay" and "how much to pay" at the same time. This chapter is also a robustness testing of explanation of dividend clustering phenomena by behavior dividend policy.
Chapter eight is the conclusion of this paper. It sonsists of the research finding, the lessons we learn, the limitations of the research and the directions for future research.
This paper has reached the following conclusions:
Firstly, herding behavior of managers can explain the dividend clustering phenomena of listed companies in China. On one hand, the payment decisions of manager will be influenced by the last average dividend level of leading companies and the last average dividend level of all the companies in the industry. On the other hand, company reputation is a factor which can influence herding behavior. The higher the reputation is, the lower probability in which herding behavior happens.
Secondly, catering behavior of managers can also explain the dividend clustering phenomena of listed companies in China. Managers in China do not consider the preference of small and middle shareholders. They only cater to the cash demand of leading shareholders. The more shares concentrated, the more likely that managers turn to pay and at the same time the amount of dividend paid is higher. What's more, leading shareholders' preference is positive related to the level of concentration of the dividend for the listed companies in China. That's one of the reasons why the dividend clustering phenomena will happen.
Thirdly, using a Tobit model to examine the behavior dividend policy theories, the paper finds that both herding and catering behavior of managers can explain why the dividend will cluster. The company reputation and shares concentration will influence dividend clustering positively.
In a word, this paper offers evidences that herding and catering behavior of managers can explain the dividend behavior of listed companies in China. The consideration to company reputation and leading shareholders' preference are incentives of the dividend payment. As a result, the behavioral elements are important factors to influence dividend payment, and the theory of behavior dividend policy can explain the dividend clustering phenomena of listed companies in China.
The major contributions and innovations of this paper are in the following aspects: in subject selection, the paper is a precursor to study the dividend clustering phenomena of listed companies in China, which enriches the research on the dividend puzzle. In literature review, this paper is the first work that applies herding behavior of managers in the area of dividend and integrates the literatures of the herding and catering behavior of managers under the theories on behavior dividend policy. In the empirical study, this paper applies the Tobit model to examine dividend clustering phenomena, which can reduce the risk of sample selection bias that might happens in linear regression models.
This paper discusses the impact on dividend clustering phenomena of behavior dividend policy from the single perspective of empirical research. But, for the aspect of building a formal model to elaborate manager behavior especially the impacts on dividend policy from herding behavior of managers, much progress needs yet to be made.
近年来,随着实验心理学和行为学的发展,人的行为因素开始被引入财务学领域的研究,行为公司财务的研究逐渐兴起,而从管理者行为的角度研究股利政策也成为当前股利政策研究的前沿课题。2003年,Gurtler和Hartmann的工作论文《行为股利政策》首次提出了“行为股利政策”一词,使之正式登上了股利政策研究的舞台。但遗憾的是,Gurtler和Hartmann(2003)虽然在标题重要位置提出了“行为股利政策”,但文中并未对它的内涵和外延进行研究和拓展,只是指出行为股利政策是行为公司财务的一个组成部分。尽管此后一些有影响的成果(例如Baker和Wurger,2004a、2004b;Li和Lie,2005)从行为角度探讨股利政策,但是这些零散的文献也仅就自身角度进行分析,迄今为止尚未有文献将它们概括为“行为股利政策”,或者专门针对“行为股利政策”这一课题展开较为全面和系统的研究,而且相关实证分析也没有充分展开,因而经验证据也很少。因此,本文就以“行为股利政策”为题进行相关研究。
本文研究行为股利政策的另一个原因在于,本文发现了一个之前股利政策的研究从未提及的新异象——我国上市公司的股利“群聚”现象。我们发现,80%以上的上市公司每股现金股利在0.2元以下,以变异系数表示的股利分散程度只相当于同时期美国上市公司每股现金股利分散程度的三分之一。为何会产生股利“群聚”现象?本文认为,传统股利政策理论无法提出合理的解释,而引入行为因素则有助于分析这些异象产生的原因(Shefrin和Statman,1984)。因此,本文通过探讨管理者的行为对公司股利政策的影响,以“行为股利政策”为工具来解释中国上市公司股利“群聚”现象。
本文的研究内容主要包括文献综述、制度背景分析和经验研究,全文共分为八章,各章的具体内容如下:
第一章为导论,介绍本文的研究问题、研究内容、论文框架、研究方法以及主要学术贡献与创新。
第二章对传统股利政策理论的研究文献进行回顾。本章首先回顾了完美市场上股利无关论,然后介绍了现代股利政策理论如何逐渐放宽MM定理的某些假设,形成了股利的税收、信号和委托代理三大理论,最后总结和评述传统股利政策理论所面临的挑战。
第三章描述我国上市公司存在的股利“群聚”现象。本章首先提出股利“群聚”现象,然后指出“群聚”现象存在于各个年度,而且具有行业分布不同的特征。最后本章通过分析指出,西方传统股利政策理论无法解释我国上市公司的股利“群聚”现象。
第四章为行为股利政策的文献综述。本章首先介绍了行为股利政策理论的产生过程,指出目前行为股利政策可能的两个发展方向为股利迎合理论和股利羊群行为理论。然后,本章分别从股利迎合理论和管理者羊群行为两个角度进行文献评述,为后续的实证研究提供理论支持。
第五章是管理者羊群行为与股利“群聚”现象的实证分析。本章的实证检验分成两个部分,第一部分检验了股利羊群行为是否存在,第二部分检验了股利羊群行为产生的原因是否与声誉有关。
第六章是股利迎合理论与股利“群聚”现象的实证分析。本章的实证检验同样分成两个部分,第一部分检验了我国上市公司管理者支付股利时是否迎合流通股东的偏好,第二部分检验了管理者支付股利是否迎合了大股东的现金偏好。
第七章是行为股利政策的联合检验。本章采用Tobit模型,把管理者股利羊群行为和股利迎合理论放在同一个模型内联合检验,同时考察“是否支付”与“支付水平高低”问题以克服可能存在的样本选择偏差。本章也是行为股利政策及其对“群聚”现象解释能力的稳健性检验。
第八章为全文总结,具体包括研究的主要结论与启示,研究的局限性及未来的研究方向。
本文的主要研究结论如下:
第一,管理者的股利羊群行为可以解释我国上市公司股利“群聚”现象,一方面,管理者在决定股利支付水平时受到行业普遍水平和行业领先者的影响而产生了羊群行为。另一方面,公司的声誉是产生和影响羊群行为程度的动因,声誉越高的公司越不可能产生羊群行为。
第二,管理者股利迎合行为同样可以解释我国上市公司股利“群聚”现象。管理者支付股利时没有考虑中小股东的股利需求,而是仅仅迎合了大股东的现金偏好。上市公司股权越集中,越倾向于支付股利,支付的金额也越高。最后,大股东偏好也与我国上市公司股利的“群聚”程度也存在正相关关系。
第三,采用Tobit模型,对行为股利政策理论进行联合检验发现,管理者羊群行为和管理者迎合大股东行为对上市公司的股利政策有稳定的影响,公司声誉和股权集中度对均股利“群聚”存在稳定的相关关系。
总之,本文的研究结果证实,管理者的羊群行为和迎合行为在很大程度上解释了我国上市公司的股利支付行为,对声誉和大股东偏好的考虑是管理者支付行为的动因,因此,行为因素是影响股利支付的重要因素,行为股利政策能够解释我国上市公司的股利“群聚”现象。
本文的主要贡献与创新之处表现在如下三个方面:在选题上,首次提出我国上市公司股利支付存在的“群聚”现象,丰富了对“股利之谜”的研究;在文献评述上,较为系统和全面地梳理了管理者羊群行为和管理者迎合理论的相关文献,首次将管理者羊群行为理论应用于股利政策领域,并首次将管理者羊群行为和迎合理论归纳和总结为行为股利政策理论;在实证研究上,采用Tobit模型检验股利“群聚”现象,克服仅采用线性回归模型研究股利问题可能存在的样本选择偏差的问题。
本文的局限性在于,仅仅从经验研究的角度探讨行为股利政策对股利“群聚”现象的影响,未能进一步构建一个正式模型来描述管理者行为因素,特别是管理者羊群行为因素对股利政策的影响。
Being one of the most classical fields in science of finance, dividend policy is still a much-debated problem yet to be solved over the last five decades. Traditional finance research on dividend started with the debate between the dividend irrelevance and relevance propositions. Afterwards researchers turned to gradually relax the assumptions of MM theorem and three important theories on dividend, the clientele effect, the signaling models and agency theory, were thereof put forward. Despite the distribution on unveiling dividend policy in various aspects, those theories persist in their own opinions and many doubtful points left behind. And so far none of them could explain the whole puzzle of dividend. On the one hand, when reviewing the studies on MM theorem, researchers found that several assumptions were relaxed such as no taxes, information symmetry and perfect agency assumption, but the "rational man" assumption remains untouched upon and the possible impacts of human behavior bias on dividend were ignored by those studies. Shiller (1984) pointed out that it is very difficult to explain the irrational preference to dividend by investors unless aforesaid impacts were taken into consideration in future models. Miller (1986) agreed that being an important part of most micro decision making, behavioral elements could not be ignored and the introduction of behavioral elements in dividend policy might help resolve longstanding anomalies. On the other hand, as a method of resource allocation, the payment of dividend has two sides: supply and demand. Traditional research on dividend policy, such as the clientele effect, only considers the demand side or the subjective analysis on the payment behavior by the demand side and ignores the manager behavior and the incentives behind it as the supply side. Therefore, it is necessary to study dividend payment from the standpoint of the supply side (Baker and Wurger, 2004a) .
In recent years, with the development of experimental psychology and behavioral science, the behavioral elements have been introduced into finance study. Behavior corporate finance has been a rising field and the study in the sight of manager behavior is becoming one of the frontier topics in the field of dividend policy. In 2003, Gurtler and Hartmann put forward the term "behavior dividend policy" in their working paper, the behavior dividend policy, which is the first time the term stepped onto the stage of dividend research. But it's a pity they only point out that behavior dividend policy is a part of behavior corporate finance and actually they don't elaborate and define the concept's connotation and extension. Some influential works afterwards, such as Bake and Wurger (2004a, 2004b), Li and Lie (2005), studied dividend policy from the standpoint of behavior. But they are unsystematic and isolated from each other. Until now there is no research which classifies those works under the field of behavior dividend policy and no systematic research focusing on the field of behavior dividend policy. The empirical research in this field was underdeveloped therefor the empirical evidences are rare. The paper aims to do some research focusing on the behavior dividend policy.
Another reason for choosing this topic is that a new anomaly which is never mentioned before in the works on dividend policy was found in this paper - the dividend clustering phenomena in the listed companies of China. We found that 80% of the listed companies paid cash dividend under 0.2 RMB Yuan per share. The dispersion of dividend in China showed in coefficient of variation only equals to 1/3 of that in America. What is the origin of the dividend clustering phenomena? Since the traditional dividend policy theories can not explain this phenomena, it will be helpful for us to introduce behavioral elements to analyse the cause of the phenomena (Shefrin and Statman, 1984). So, using "behavior dividend policy" as a tool, the paper is intended to explain the dividend clustering phenomena in listed companies of China by discussing the impacts from manager behavior to corporate dividend policy.
The paper begins with a literature review and then followed by background analysis and empirical research. It is divided into eight chapters.
Chapter one is an introduction of the research issues, contents, framework, methods and the contributions of the paper.
Chapter two is literature review of researches on traditional dividend policy. This chapter reviews the dividend irrelevance propositions in perfect market and then introduces how the assumptions of MM theorem were relaxed by theories of modern dividend policy so as to form taxes clienteles, signal models and agency hypothesis. Finally, a summary and discussion of the challenges that the traditional dividend policy theories face will be made.
Chapter three shows the phenomena of dividend clustering of listed companies in China. This chapter firstly points out that the dividend clustering phenomena happens in every year and its distribution has various characters in different industries. After analysis the chapter concludes that traditional research on dividend policy in west countries can not explain the dividend clustering phenomena in China.
Chapter four is a literature review of behavior dividend policy. The chapter shows how the behavior dividend policy was formed and then points out two possible branches developing from it - the catering theory and the herding theory of dividend. After that, the chapter reviews the literature of two branches separately, which is providing the theoretical foundation of empirical research thereof.
Chapter five is empirical research on relationship between herding behavior of managers and dividend clustering. There are two parts in the chapter: part one examines whether the herding behavior of managers exists in dividend payment, and part two discusses if the herding behavior of dividend payment relates to the reputation of the company.
Chapter six is empirical research on relationship between catering behavior of managers and dividend clustering. There are also two parts in the chapter: part one studies if the managers of listed companies in China cater to the preference of tradable shareholders in dividend payment and part two shows if the managers cater to the cash preference of leading (untradeable) shareholders.
Chapter seven is a joint examination of behavior dividend policy. Tobit model was used in this chapter to examine both herding and catering theories in one single model and to study "whether to pay" and "how much to pay" at the same time. This chapter is also a robustness testing of explanation of dividend clustering phenomena by behavior dividend policy.
Chapter eight is the conclusion of this paper. It sonsists of the research finding, the lessons we learn, the limitations of the research and the directions for future research.
This paper has reached the following conclusions:
Firstly, herding behavior of managers can explain the dividend clustering phenomena of listed companies in China. On one hand, the payment decisions of manager will be influenced by the last average dividend level of leading companies and the last average dividend level of all the companies in the industry. On the other hand, company reputation is a factor which can influence herding behavior. The higher the reputation is, the lower probability in which herding behavior happens.
Secondly, catering behavior of managers can also explain the dividend clustering phenomena of listed companies in China. Managers in China do not consider the preference of small and middle shareholders. They only cater to the cash demand of leading shareholders. The more shares concentrated, the more likely that managers turn to pay and at the same time the amount of dividend paid is higher. What's more, leading shareholders' preference is positive related to the level of concentration of the dividend for the listed companies in China. That's one of the reasons why the dividend clustering phenomena will happen.
Thirdly, using a Tobit model to examine the behavior dividend policy theories, the paper finds that both herding and catering behavior of managers can explain why the dividend will cluster. The company reputation and shares concentration will influence dividend clustering positively.
In a word, this paper offers evidences that herding and catering behavior of managers can explain the dividend behavior of listed companies in China. The consideration to company reputation and leading shareholders' preference are incentives of the dividend payment. As a result, the behavioral elements are important factors to influence dividend payment, and the theory of behavior dividend policy can explain the dividend clustering phenomena of listed companies in China.
The major contributions and innovations of this paper are in the following aspects: in subject selection, the paper is a precursor to study the dividend clustering phenomena of listed companies in China, which enriches the research on the dividend puzzle. In literature review, this paper is the first work that applies herding behavior of managers in the area of dividend and integrates the literatures of the herding and catering behavior of managers under the theories on behavior dividend policy. In the empirical study, this paper applies the Tobit model to examine dividend clustering phenomena, which can reduce the risk of sample selection bias that might happens in linear regression models.
This paper discusses the impact on dividend clustering phenomena of behavior dividend policy from the single perspective of empirical research. But, for the aspect of building a formal model to elaborate manager behavior especially the impacts on dividend policy from herding behavior of managers, much progress needs yet to be made.
引文
[1]见Black(1976),The dividend puzzle,Journal of Portfolio Management,Vol.2,P5.
[1]样本筛选方法同Fama和French(2001)。
[2]见Baker,M.and Wugler,J.,2004a,A Catering Theory of Dividends,the Journal of Finance 3,P1156.
[3]见Frankfurter,G.M.and Wood Jr.,B.G,2002,Dividend Policy Theories and Their Empirical Tests,International Review of Financial Analysis 11,P128.
[1]Miller(1986)撰写此文的目的是展示财务学中基于理性市场的一般均衡模型,特别是股利模型,强调它们都是生动、有用的--至少不比经济学中其它的模型坏.他认为这个框架也不应该因为股利异象的存在而被看低。不过他文中也多次承认,在不久的将来,很可能也很需要对这些模型从行为和认知角度进行完全的重新构建。见Miller,M.H,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P466.
[2]见Miller,M.H.,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P451.
[3]经济学上,其实还有两种情况可能在产品市场上产生“群聚现象”:一是完全市场竞争的结果产生的价格群聚,一是寡头共谋或者厂商勾结。见沈艺峰、许琳和黄娟娟,我国股权分置中对价水平的“群聚”现 象分析,经济研究[J],2006年11月,第102页。本文的讨论排除了这两种情况,因为完全市场竞争这一结论在我国证券市场显然不适用,而上市公司数量庞大这一实际情况也排除了寡头共谋的可能性。
[1]《公司理财》,斯蒂芬·P·罗斯等著,原书第六版,吴世农、沈艺峰和王志强等译,机械工业出版社,2000年,第356页。
[2]“……”所讨论的股利信号完全是基于对现金股利信号的研究。实际上还有很小的一部分文献研究了股票股利的信号传递问题……”,见《公司财务理论主流》,沈艺峰和沈洪涛著,东北财经大学出版社,2004年8月,第185页脚注2。
[1]见Miller,M.H.and Modigliani,F.,1961,Dividend Policy,Growth,and the Valuation of Shares,Journal of Business 34,P414.
[1]见Bhattacharva,2007.Dividend Policy:a Review.Managerial Finance,33.P5.
[2]这样一来,股利支出的现金可以用新筹集资金来补充,股利政策就与筹资策略紧密联系起来。可见,“股利无关论”是MM的“资本结构无关论”在股利领域的延伸。Miller(1988)也承认,股利无关论的想法在发表资本结构无关论的时候就已经成熟了。见Miller,1988,The Modigliani-Miller Propositions After Thirty Years,Journal of Economic Perspectives 2,P99-120.
[3]Bhattacharya(2007)总结认为:“股利无关论是建立在投资项目决策是独立进行的,而且每个股东具有相同的回报率(例如,折现率是常数).……股利无关论无法解释为何人们如此有兴趣去观察股利公告.显然,它违背了某些假设。”见Bhattacharya,2007,Dividend Policy:a Review,Managerial Finance,33,P5.
[1]见Black,F.,and Scholes,M.S.,1974,the effects of dividend yield and dividend policy on common stock prices and returns,Journal of Financial Economics 1,P1.
[2]转引自威廉·L.麦金森著,刘明辉主译,公司财务理论[M],东北财经大学出版社,2002,第365页脚注.
[3]根据Long(1978)对1955年至1969年公共事业公司股票股利和现金股利支付历史的比较研究,现金股利公告市场溢价(如果存在溢价的话)比股票股利公告市场溢价还要稍稍高一点。见Long,J.,1978,the Market Valuation of Cash Dividends,Journal of Financial Economics 6,P235-264.
[1]见Miller,M.H.and Grundy,B.D.,2002,Selected Works of Merton H.Miller:.A Celebration of Markets,University of Chicago Press,2002,P65.
[2]同上,P66。
[1]见Kalay,A.,1982,the Ex-Dividend Day Behavior of Stock Prices:A Re-Examination of the Clientele Effect,the Journal of Finance.37,PLOT0.
[2]见 Pettit,R.R.,1972,Dividend Announcements,Security Performance,and Capital Market Efficiency,the Journal of Finance 27,P1006.
[1]见 Yoon,P.S.and Starks,L.T.,1995,Signaling,Investment Opportunities,and Dividend Announcements,Review of Financial Studies 8,P995.
[1]见 Easterbrook,F.H.,1984,Two Agency-Cost Explanations of Dividends,the American Economic Review 74,P651.
[2]Frankfurter和Wood(2002)指出:“信息不对称是股利信号模型、代理成本理论和自由现金流量假说这三种截然不同的股利解释的基础。”见Frankfurter,G M.and Wood Jr.,B.G,2002,Dividend Policy Theories and Their Empirical Tests,Intemational Review of Financial Analysis 11,P113.
[3]见 Jensen,M.C.and Meckling,W.H.,1976,Theory of the firm:Managerial behavior,agency costs and ownership structure,Journal of Financial Economics 3.P305-360.
[4]Easterbrook(1984)直言,“本文的目的就是探究股利是如何调和管理者和投资者之间的利益冲突的。它为股利(政策)提供了一个代理成本的解释.”见Easterbroolk,F.H.,1984,Two Agency-Cost Explanations of Dividends,the American Economic Review 74,P650,摘要。
[1]见 Easterbrook,F.H.,1984,Two Agency-Cost Explanations of Dividends,the American Economic Review 74,P651.
[2]同上,P658.
[3]见 Jensen,M.C.,1986,Agency Cost of Free Cash Flow,Corporate Finance and Takeover,American Economic Review 76,P323.
[4]同上。
[1]见 Jensen,M.C.,1986,Agency Cost of Free Cash Flow,Corporate Finance and Takeover,American Economic Review 76,P323.
[2]见 Jensen,M.C.,1986,Agency Cost of Free Cash Flow,Corporate Finance and Takeover,American Economic Review 76,P324.
[3]Schleifcr和Vishny写道:“在(1980年)财富500强的456个公众公司中,就有354家公司第一大股东持股超过5%,持股低于3%的情况只出现在15个公司……这456家公司的第一大股东平均持股超过15%,前五大股东持股总数达到28.8%.”见Schleifcr,A.and Vishny,R.W.,1986,Largc Shareholders and Corporate Control,Journal of Political Economy 94,P462。
[4]因为小股东大多是个人,面临的股利所得税率高于资本利得税率,偏好资本利得;而大股东一般都是企业,偏好股利支付。见Schleifer,A.and Vishny,R.W.,1986,Large Shareholders and Corporate Control,Journal of Political Economy 94,P465.
[5]见Schleifer,A.and Vishny,R.W.,1997,a Survey of Corporate Governance,Journal of Finance 52,P758.
[1]见 La Porta,R.,Lopez-de-Silanes,F.,Schleifer,A.,1999,Corporate Ownership around the World,the Journal of Finance LⅣ,P513.
[2]见Johnson,S.,La Porta,R.,Lopez-de-Silanes,F.,Schleifer,A.,2000,Tunneling,the American Economic Review 90,P26.
[3]见La Porta,R.,Lopez-de-Silanes,F.,Schleifer,A.and Vishny,R.,2000b,Investor protection and corporate governance,Journal of Financial Economics 58,P6.
[1]见Frankfurter,G.M.and Wood Jr.,B.G.,2002,Dividend Policy Theories and Their Empirical Tests,International Review of Financial Analysis 11.P128.
[2]虽然Lease et al(2000)把非理性行为的这部分研究当成不完美市场框架下股利政策的相对少数的研究.Baker、Powell和Veit(2002)指出:“关于股利相关性的行为解释近年来逐渐增多了。”见Lease,R.C.,John,K.,Kalay,A.,Loewenstein,U.,and Sarig,O.H.,2000,Dividend policy,Boston:HarvardBusiness School Press.转引自Baker,H.K.,Powell,G.E.and Veit,E.T.,2002,Revisiting the Dividend Puzzle:Do All of the Pieces Now Fit? Review of Financial Economics 11.P241-261.
[3]Miller(1986)撰写此文的目的是展示财务学中基于理性市场的一般均衡模型,特别是股利模型,强调它们都是生动、有用的--至少不比经济学中其它的模型坏。他认为这个框架也不应该因为股利异象的存在而被看低。不过他文中也多次承认,在不久的将来,很可能也很需要对这些模型从行为和认知角度进行完全的重新构建。见Miller,M.H,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P466.
[4]见Miller,M.H.,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P451.
[1]见Baker,M.and Wugler,J.,2004a,A Catering Theory of Dividends,the Journal of Finance 3,P1156.
[1]见Lease,R.C.,John,K.,Kalay,A.,Loewenstein,U.,and Sarig,O.H.,2000,Dividend policy,Boston:HarvardBusiness School Press.转引自Baker,H.K.,Powell,G.E.and Veit,E.T.,2002,Revisiting the Dividend Puzzle:Do All of the Pieces Now Fit? Review of Financial Economics 11,P241 - 261.
[1]Shefrin和Statman也指出,其实Kahneman和Tversky的前景理论还可以解释股利的其它几个问题。其中比较突出的两个是:(1)前景理论认为,人对损失的痛苦感觉的远远比收入喜悦大,这可以解释“为何股利减少公告比股利增加公告在市场上有更大的影响”的问题。(2)前景理论也为“为何把股利分成正常和超常两部分能够传递信息”提供了解释。见Shefrin,H.M.and Statman,M.,1984,Explaining investor preference for cash dividends,Journal of Financial Economics 13,P267.
[1]见Shefrin,H.M.and Statman,M.,1984,Explaining investor preference for cash dividends,Journal of Financial Economics 13,P253。
[2]见Miller,M.H,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P466.
[3]同上,P467.
[4]Miller(1986)撰写此文的目的是展示财务学中基于理性市场的一般均衡模型,特别是股利模型,强调它们都是生动、有用的--至少不比经济学中其它的模型坏。他认为这个框架也不应该因为股利异象的存在而被看低。不过他文中也多次承认,在不久的将来,很可能也很需要对这些模型从行为和认知角度进行完全的重新构建。见Miller,M.H,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P466.
[5]见Miller,M.H.,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P451.
[6]同上。
[1]见Shefrin,H.M,,2001,Behavior Corporate Finance,Journal of Applied Corporate Finance 14,P2.
[1]除了股利迎合理论之外,还包括:信号理论、交易成本、流动性等等。
[2]Baker和Wurgler(2004b)写道:“总之,本文的结论把Fama和French(2001)与Baker和Wurgler(2004)两篇文章相互联系起来,”Baker,M.and Wugler,J.,2004b,Appearing and Disappearing of Dividends:the Link to Catering Incentives,the Journal of Financial Economics 73,P273.
[1]Stein(1996)研究的是关于资本预算的问题:当对股票回报率的预测反映了投资者的非理性而不是基础的风险补偿时,理性的管理者应该怎么做?见Stein,J.C.,1996,Rational Capital Budgeting in an Irrational World,the Journal of Business 69,P429-455.
[2]见Baker,M.,Ruback,R.S.,and Wugler,J.,2004,Behavioral Corporate Finance:A Survey,working paper,Harvard Business School,P6.
[3]见Baker,M.and Wugler,J.,2004a,A Catering Theory of Dividends,the Journal of Finance 3,P1127.
[1]见Baker,M.,Ruback,R.S.,and Wugler,J.,2004,Behavioral Corporate Finance:A Survey,working paper,Harvard Business School,P5.
[1]见戴维·迈尔斯著,张志勇、乐国安、侯玉波等译,社会心理学[M],人民邮电出版社,2006年,第153页。
[2]见泰勒、佩普劳、希尔斯著,谢晓非等译,社会心理学[M],北京大学出版社,2004年,第221页。
[3]同上,第224页。
[1]见Cialdini,R.B.and Trust,M.R.,Social influence:Social norms,conformity,and compliance.In D.T.Gilbert,S.T.Fiske,and G.Lindzey(Eds.),Handbook of social psychology,Vol 2,P151-192,Boston,MA:McGraw-Hill.转引自泰勒、佩普劳和希尔斯,谢晓非等译,《社会心理学》,北京大学出版社,2004年,第225页。
[2]见戴维·迈尔斯著,张志勇、乐国安、侯玉波等译,社会心理学[M],人民邮电出版社,2006年,第172页。
[3]见泰勒、佩普劳和希尔斯,谢晓非等译,《社会心理学》,北京大学出版社,2004年,第226页。不过泰勒等人也承认,“当人们改变自己的行为以满足群体标准时,也可能存在一种改变自身观点的倾向,例如认知失调理论认为人们会有一个‘后从众判断'过程,指人在行动之后重新思考自己的观点,尽力理解群体成员的观点,构建对情境的新解释,使之与自己的从众行为相吻合。”
[4]见Coleman,J.F.,Blake,R.R.,and Mouton,J.S.,Task difficulty and conformity pressures,Journal of Abnormal and Social Psychology 57,P120-122.转引自见泰勒、佩普劳和希尔斯,谢晓非等译,《社会心理学》,北京大学出版社,2004年,第225页。
[5]泰勒、佩普劳和希尔斯以及戴维·迈尔斯的书中都曾提到了这一点。
[1]参见Berry,J.W.,Poortinga,Y.H.,Segall,M.H.,and Dasen,R R.,1992,Cross-cultural psychology:Research and applications.New York:Cambridge University Press,以及Bond,R.and Smith,P.B.,1996,Culture and comformity:A meta-analysis of studies using Asch's(1952b,1956) line judgment task,Psychological Bulletin 119,P111-137.转引自泰勒、佩普劳和希尔斯,谢晓非等译,《社会心理学》,北京大学出版社,2004年,第226页。
[2]见Hirshleifer,D.and Teoh,S.H.,2003,Herd Behavior and Cascading in Capital Markets:a Review and syntheses,European Financial Management 9,P53.
[3]迈尔斯指出,对社会形象的关注往往容易产生规范影响,而希望自己行事正确则往往容易产生信息影响。见戴维·迈尔斯著,张志勇、乐国安、侯玉波等译,社会心理学[M],人民邮电出版社,2006年,第172页.
[1]见Scharfstein,Stein,1990,Herd Behavior and Investment,the American Economic Review 80,P466.
[2]同上。
[3]见Zwiebel,1995,Zwiebel,1995,Corporate Conservatism and Relative Compensation,P2-3.
[4]关于金融市场上的羊群行为还有第三种推断--基于薪酬结构而产生的羊群行为,这些研究主要针对分析师展开。但是由于在上市公司中,不同公司管理者之问的薪酬的关系与证券分析师之间的关系有很大的区别,本文认为管理者羊群行为不应该包括这部分研究。
[1]见Bikhchandani,S.,Hirshleifer,D.,and Welch,I.,1996,Informational Cascades and Rational Herding:An Annotated Bibliography,UCLA/Andersn and Michigan,working Paper,http://next.agsm.ucla.edu,P4。
[2]见Bikhchandani,S.,Hirshleifer,D.,and Welch,I.,1992,A Theory of Fads,Fashion,Custom,and Cultural Change as Informational Cascades,Journal of Political Economy 100,P995.
[3]Banerjee不无自豪地自称道,该模型的贡献之一就是“模型极其简单,而且不含任何制度细节”,见Banerjce,A.V.,1992,a Simple Model of Herd Behavior,the Quarterly Journal of Economic 107,P799.
[1]见Welch,I.,1992,Sequential Sales,Learning,and Cascades,The Journal of Finance 47,F696.
[2]同上,P697.
[1]见Bikhchandani,S.,Hirshleifer,D.,and Welch,I.,1992,A Theory of Fads,Fashion,Custom,and Cultural Change as Informational Cascades,Journal of Political Economy 100,P995.
[1]同上,P1001.
[2]同上,P992.
[3]Lee,I.H.,1993,on the Convergence of Informational Cascades,Iournal of Economics Theory 61,P397.
[4]同上。
[1]见Shiller,R.J.,1995,Coversation,information,and herd behavior,American Economic Review 85,P182.
[1]同上,P183.
[2]见John M.Keynes,1936,the General Theory,P158,转引自Scharfstein,D.S.and Stein,J.C.,1990,Herd behavior and investment,the American Economic Review 80,P465.
[3]见Scharfstein,D.S.and Stein,J.C.,1990,Herd behavior and investment,the American Economic Review 80,P466.
[1]见Zweibel,J.,1995,Corporate Conservatism and Relative Compensation,Journal of Political Economy 103,P3.
[2]同上,P1.
[3]同上,P2-3.
[1]见Prendergast,C.and Stole,L.,1996,Impetuous Youngsters and Jaded Old,Timers Acquiring a Reputation for Learning,Journal of Political Economy I04,P1106.
[1]见Prendergast,C.and Stole,L.,1996,Impetuous Youngsters and Jaded Old,Timers Acquiring a Reputation for Learning,Journal of Political Economy 104,P1119.
[2]同上,P1108.
[1]Gramham曾在文中坦言“我们用一个证券分析师的简单模型来研究羊群行为,借鉴了Sharfstein和Stein (1990)的模型。”见 Graham,J.,1999,Herding among investment newsletters:Theory and evidence,the Journal of Finance 54,P238.
[1]见Friend,Blume,Crockett,1970,Mutual funds and other institutional investors(McGraw-Hill,New York,MY),转引自Lakonishok,J.,Shleifer,A.and Vishny,R.W.,1992,the Impact of Institutional Trading on Stock Prices,Journal of Financial Economics 32,P25.
[2]见Kraus,A.and Stoll,H.R.,1972,Parallel trading by institutional investors,Journal of Financial Quantitative Analysis 7,P569-588。转引自Lakonishok,J.,Shleifer,A.and Vishny,R.W.,1992,the Impact of Institutional Trading on Stock Prices,Journal of Financial Economics 32,P25.
[3]见Lakonishok,J.,Shleifer,A.and Vishny,R.W.,1992,the Impact of Institutional Trading on Stock Prices,Journal of Financial Economics 32,P25.
[1]见G-rinblatt,M.Titman,S.and Wermers,r.,1995,Momentum Investment Strategies,Portfolio Performance,and Herding:A Study of Mutual Fund Behavior,the American Economic Review 85,P1089.
[2]同上。
[1]Wormers将样本检验期间从四年增加到了二十年,共同基金样本数从769家“戏剧性地”增加到了2400家,Wermers不无自豪地说:“我们提供了最为全面的检验证据。”见Wermers,R.,1999,Mutual Fund Herding and the Impact on Stock Prices,Journal of Finance 54,P583.
[2]同上,P593.
[1]见Welch,I.,2000,Herding among Security Analysts,Journal of Financial Economics 58,P370.
[2]见Trueman,B.,1994,Analyst Forecasts and Herding Behavior,Review of Financial Studies 7,P98.
[3]尽管Sticke(1990)没有直接使用“羊群行为”一词,而是使用了“从众”(followthe crowd)一词,但从内容上来看,Sticke的文章已经非常接近证券分析师羊群行为的分析思想。严格说来,Graham(1999)也可以算作一篇,但是它主要目的在于检验声誉模型,而不是验证羊群行为是否存在,所以本节不作主要介绍。
[1]见Welch,I.,2000,Herding among Security Analysts,Journal of Financial Economics 58,,P370.
[2]同上,P377.
[1]见Bernhardt,D.,Campello,M.,and Kutsoati,E.,2006,Who Herds? Journal of Financial Economics 80,P657.
[1]见Graham,J.,1999,Herding among investment newsletters:Theory and evidence,the Journal of Finance 54,P261.
[2]同上,P238.
[1]见Hong,H.,Kubik,J.and Solomon,A.,2000,Security Analysts' Career Concerns and Herding of Earnings Forecasts,Rand Journal of Economics 31,P121.
[1]见Hirshleifer,D.and Teoh,S.H.,2003,Herd Behavior and Cascading in Capital Markets:a Review and syntheses,European Financial Management 9,P53.
[2]见Bikhchandani,S.,和 sharma,S.,2001,Herd Behavior in Financial Markets,working paper,IMF (International Monetary Fund) Staff Papers 47,P282.
[1]见Bikhchandani,S.,和 sharma,S.,2001,Herd Behavior in Financial Markets,working paper,IMF (International Monetary Fund) Staff Papers 47,P282.
[1]威廉.H·格林著,王明舰、王永宏等译,经济计量分析[M],中国社会科学出版社,2004。
[2]格林就直接将二者等同起来。他指出:“基于上述讨论的回归模型称为被审查回归模型,或称为Tobit 模型。”见威廉·H·格林著,王明舰、王永宏等译,经济计量分析[M],中国社会科学出版社,2004。
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[104]Prendergast,C.and Stole,L.,1996,Impetuous Youngsters and Jaded Old,Timers Acquiring a Reputation for Learning,Journal of Political Economy 104,1105-1134.
[105]Rozeff,M.S.,1982.Growth,Beta and Agency Costs as Determinants of Dividend Payout Ratios,Journal of Financial Research 5,249-259.
[106]Scharfstein,D.S.and Stein,J.C.,1990,Herd Behavior and Investment,the American Economic Review 80,465-479.
[107]Shefrin,H.M.,2001,Behavioral Corporate Finance,Journal of Applied Corporate Finance 14,available at SSRN:http:///ssrn.com/abstract=288257.
[108]Shefrin,H.M.and Statman,M.,1984,Explaining Investor Preference for Cash Dividends,Journal of Financial Economics 13,253-282.
[109]Shefrin,H.M.and Thaler,R.H.1988,the Behavioral Life-Cycle Hypothesis,Economic Inquiry 26,609-644.
[110]Shefrin,H.M.,2001,Behavior Corporate Finance,Journal of Applied Corporate Finance 14,1-17.Available at SSRN:http://ssrn.com/abstract=288257.
[111]Shiller,R.J.,1984,Stock Prices and Social Dynamics,Brookings Papers on Economic Activity 2,457-498.
[112]Shiller,R.J.,1995,Conversation,Information,and Herd Behavior,American Economic Review 85,181-185.
[113]Schleifer,A.and Vishny,R.W.,1986,Large Shareholders and Corporate Control,Journal of Political Economy 94,461-488.
[114]Schleifer,A.and Vishny,R.W.,1997,a Survey of Corporate Governance,Journal of Finance 52,737-783.
[115]Stein,J.C.,1996,Rational Capital Budgeting in an Irrational World,the Journal of Business 69,429-455.
[116]Stickel,S.E.,1990,Predicting Individual Analyst Earnings Forecasts,Journal of Accounting 28,409-417.
[117]Su,Dongwei,2000,Corporate Finance and State Enterprise Reform in China,working paper,University of Akron.
[118]Thaler,R.,1980,toward a Positive Theory of Consumer Choice,Journal of Economic Behavior and Organization 1,39-60.
[119]Thaler,R.and Shefrin,H.,1981,an Economic Theory of Self-Control,Journal of Political Economy 89,392-410.
[120]Trueman,B.,1990,On the Incentives for Security Analysts to Revise their Earnings Forecasts,Contemporary Accounting Research 7,203-222.
[121]Trueman,B.,1994,Analyst Forecasts and Herding Behavior,Review of Financial Studies 7,97-124.
[122]Venkatesh,P.C,1989,the Impact of Dividend Initiation on the Information Content of Earnings Announcements and Returns Volatility,the Journal of Business 62,175-197.
[123]Volpin,P.F.,2002,Governance with Poor Investor Protection:Evidence from Top Executive Turnover in Italy,Journal of Financial Economics 64,61-90.
[124]Walter,J.E.,1956,Dividend Policies and Common Stock Prices,the Journal of Finance 11,29-41.
[125]Watts,R.,1973,the Information Content of Dividends,Journal of Business 46,191-211.
[126]Welch,I.,1992,Sequential Sales,Learning,and Cascades,The Journal of Finance 47,695-732
[127]Welch,I.,2000,Herding among Security Analysts,Journal of Financial Economics 58,369-396.
[128]Wermers,R.,1995,Herding,Trade Reversals,and Cascading by Institutional Investors,mimeo,University of Colorado,Boulder(1995).
[129]Wermers,R.,1999,Mutual Fund Herding and the Impact on Stock Prices,Journal of Finance 54,581-622.
[130]Williams,J.B.,1938,the Theory of Investment Value,Harvard University Press.
[131]Yoon,P.S.and Starks,L.T.,1995,Signaling,Investment Opportunities,and Dividend Announcements,Review of Financial Studies 8,995-1018.
[132]Zweibel,J.,1995,Corporate Conservatism and Relative Compensation,Journal of Political Economy 103,1-25.
[1]样本筛选方法同Fama和French(2001)。
[2]见Baker,M.and Wugler,J.,2004a,A Catering Theory of Dividends,the Journal of Finance 3,P1156.
[3]见Frankfurter,G.M.and Wood Jr.,B.G,2002,Dividend Policy Theories and Their Empirical Tests,International Review of Financial Analysis 11,P128.
[1]Miller(1986)撰写此文的目的是展示财务学中基于理性市场的一般均衡模型,特别是股利模型,强调它们都是生动、有用的--至少不比经济学中其它的模型坏.他认为这个框架也不应该因为股利异象的存在而被看低。不过他文中也多次承认,在不久的将来,很可能也很需要对这些模型从行为和认知角度进行完全的重新构建。见Miller,M.H,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P466.
[2]见Miller,M.H.,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P451.
[3]经济学上,其实还有两种情况可能在产品市场上产生“群聚现象”:一是完全市场竞争的结果产生的价格群聚,一是寡头共谋或者厂商勾结。见沈艺峰、许琳和黄娟娟,我国股权分置中对价水平的“群聚”现 象分析,经济研究[J],2006年11月,第102页。本文的讨论排除了这两种情况,因为完全市场竞争这一结论在我国证券市场显然不适用,而上市公司数量庞大这一实际情况也排除了寡头共谋的可能性。
[1]《公司理财》,斯蒂芬·P·罗斯等著,原书第六版,吴世农、沈艺峰和王志强等译,机械工业出版社,2000年,第356页。
[2]“……”所讨论的股利信号完全是基于对现金股利信号的研究。实际上还有很小的一部分文献研究了股票股利的信号传递问题……”,见《公司财务理论主流》,沈艺峰和沈洪涛著,东北财经大学出版社,2004年8月,第185页脚注2。
[1]见Miller,M.H.and Modigliani,F.,1961,Dividend Policy,Growth,and the Valuation of Shares,Journal of Business 34,P414.
[1]见Bhattacharva,2007.Dividend Policy:a Review.Managerial Finance,33.P5.
[2]这样一来,股利支出的现金可以用新筹集资金来补充,股利政策就与筹资策略紧密联系起来。可见,“股利无关论”是MM的“资本结构无关论”在股利领域的延伸。Miller(1988)也承认,股利无关论的想法在发表资本结构无关论的时候就已经成熟了。见Miller,1988,The Modigliani-Miller Propositions After Thirty Years,Journal of Economic Perspectives 2,P99-120.
[3]Bhattacharya(2007)总结认为:“股利无关论是建立在投资项目决策是独立进行的,而且每个股东具有相同的回报率(例如,折现率是常数).……股利无关论无法解释为何人们如此有兴趣去观察股利公告.显然,它违背了某些假设。”见Bhattacharya,2007,Dividend Policy:a Review,Managerial Finance,33,P5.
[1]见Black,F.,and Scholes,M.S.,1974,the effects of dividend yield and dividend policy on common stock prices and returns,Journal of Financial Economics 1,P1.
[2]转引自威廉·L.麦金森著,刘明辉主译,公司财务理论[M],东北财经大学出版社,2002,第365页脚注.
[3]根据Long(1978)对1955年至1969年公共事业公司股票股利和现金股利支付历史的比较研究,现金股利公告市场溢价(如果存在溢价的话)比股票股利公告市场溢价还要稍稍高一点。见Long,J.,1978,the Market Valuation of Cash Dividends,Journal of Financial Economics 6,P235-264.
[1]见Miller,M.H.and Grundy,B.D.,2002,Selected Works of Merton H.Miller:.A Celebration of Markets,University of Chicago Press,2002,P65.
[2]同上,P66。
[1]见Kalay,A.,1982,the Ex-Dividend Day Behavior of Stock Prices:A Re-Examination of the Clientele Effect,the Journal of Finance.37,PLOT0.
[2]见 Pettit,R.R.,1972,Dividend Announcements,Security Performance,and Capital Market Efficiency,the Journal of Finance 27,P1006.
[1]见 Yoon,P.S.and Starks,L.T.,1995,Signaling,Investment Opportunities,and Dividend Announcements,Review of Financial Studies 8,P995.
[1]见 Easterbrook,F.H.,1984,Two Agency-Cost Explanations of Dividends,the American Economic Review 74,P651.
[2]Frankfurter和Wood(2002)指出:“信息不对称是股利信号模型、代理成本理论和自由现金流量假说这三种截然不同的股利解释的基础。”见Frankfurter,G M.and Wood Jr.,B.G,2002,Dividend Policy Theories and Their Empirical Tests,Intemational Review of Financial Analysis 11,P113.
[3]见 Jensen,M.C.and Meckling,W.H.,1976,Theory of the firm:Managerial behavior,agency costs and ownership structure,Journal of Financial Economics 3.P305-360.
[4]Easterbrook(1984)直言,“本文的目的就是探究股利是如何调和管理者和投资者之间的利益冲突的。它为股利(政策)提供了一个代理成本的解释.”见Easterbroolk,F.H.,1984,Two Agency-Cost Explanations of Dividends,the American Economic Review 74,P650,摘要。
[1]见 Easterbrook,F.H.,1984,Two Agency-Cost Explanations of Dividends,the American Economic Review 74,P651.
[2]同上,P658.
[3]见 Jensen,M.C.,1986,Agency Cost of Free Cash Flow,Corporate Finance and Takeover,American Economic Review 76,P323.
[4]同上。
[1]见 Jensen,M.C.,1986,Agency Cost of Free Cash Flow,Corporate Finance and Takeover,American Economic Review 76,P323.
[2]见 Jensen,M.C.,1986,Agency Cost of Free Cash Flow,Corporate Finance and Takeover,American Economic Review 76,P324.
[3]Schleifcr和Vishny写道:“在(1980年)财富500强的456个公众公司中,就有354家公司第一大股东持股超过5%,持股低于3%的情况只出现在15个公司……这456家公司的第一大股东平均持股超过15%,前五大股东持股总数达到28.8%.”见Schleifcr,A.and Vishny,R.W.,1986,Largc Shareholders and Corporate Control,Journal of Political Economy 94,P462。
[4]因为小股东大多是个人,面临的股利所得税率高于资本利得税率,偏好资本利得;而大股东一般都是企业,偏好股利支付。见Schleifer,A.and Vishny,R.W.,1986,Large Shareholders and Corporate Control,Journal of Political Economy 94,P465.
[5]见Schleifer,A.and Vishny,R.W.,1997,a Survey of Corporate Governance,Journal of Finance 52,P758.
[1]见 La Porta,R.,Lopez-de-Silanes,F.,Schleifer,A.,1999,Corporate Ownership around the World,the Journal of Finance LⅣ,P513.
[2]见Johnson,S.,La Porta,R.,Lopez-de-Silanes,F.,Schleifer,A.,2000,Tunneling,the American Economic Review 90,P26.
[3]见La Porta,R.,Lopez-de-Silanes,F.,Schleifer,A.and Vishny,R.,2000b,Investor protection and corporate governance,Journal of Financial Economics 58,P6.
[1]见Frankfurter,G.M.and Wood Jr.,B.G.,2002,Dividend Policy Theories and Their Empirical Tests,International Review of Financial Analysis 11.P128.
[2]虽然Lease et al(2000)把非理性行为的这部分研究当成不完美市场框架下股利政策的相对少数的研究.Baker、Powell和Veit(2002)指出:“关于股利相关性的行为解释近年来逐渐增多了。”见Lease,R.C.,John,K.,Kalay,A.,Loewenstein,U.,and Sarig,O.H.,2000,Dividend policy,Boston:HarvardBusiness School Press.转引自Baker,H.K.,Powell,G.E.and Veit,E.T.,2002,Revisiting the Dividend Puzzle:Do All of the Pieces Now Fit? Review of Financial Economics 11.P241-261.
[3]Miller(1986)撰写此文的目的是展示财务学中基于理性市场的一般均衡模型,特别是股利模型,强调它们都是生动、有用的--至少不比经济学中其它的模型坏。他认为这个框架也不应该因为股利异象的存在而被看低。不过他文中也多次承认,在不久的将来,很可能也很需要对这些模型从行为和认知角度进行完全的重新构建。见Miller,M.H,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P466.
[4]见Miller,M.H.,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P451.
[1]见Baker,M.and Wugler,J.,2004a,A Catering Theory of Dividends,the Journal of Finance 3,P1156.
[1]见Lease,R.C.,John,K.,Kalay,A.,Loewenstein,U.,and Sarig,O.H.,2000,Dividend policy,Boston:HarvardBusiness School Press.转引自Baker,H.K.,Powell,G.E.and Veit,E.T.,2002,Revisiting the Dividend Puzzle:Do All of the Pieces Now Fit? Review of Financial Economics 11,P241 - 261.
[1]Shefrin和Statman也指出,其实Kahneman和Tversky的前景理论还可以解释股利的其它几个问题。其中比较突出的两个是:(1)前景理论认为,人对损失的痛苦感觉的远远比收入喜悦大,这可以解释“为何股利减少公告比股利增加公告在市场上有更大的影响”的问题。(2)前景理论也为“为何把股利分成正常和超常两部分能够传递信息”提供了解释。见Shefrin,H.M.and Statman,M.,1984,Explaining investor preference for cash dividends,Journal of Financial Economics 13,P267.
[1]见Shefrin,H.M.and Statman,M.,1984,Explaining investor preference for cash dividends,Journal of Financial Economics 13,P253。
[2]见Miller,M.H,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P466.
[3]同上,P467.
[4]Miller(1986)撰写此文的目的是展示财务学中基于理性市场的一般均衡模型,特别是股利模型,强调它们都是生动、有用的--至少不比经济学中其它的模型坏。他认为这个框架也不应该因为股利异象的存在而被看低。不过他文中也多次承认,在不久的将来,很可能也很需要对这些模型从行为和认知角度进行完全的重新构建。见Miller,M.H,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P466.
[5]见Miller,M.H.,1986,Behavioral Rationality in Finance:The Case of Dividends,Journal of Business 59,P451.
[6]同上。
[1]见Shefrin,H.M,,2001,Behavior Corporate Finance,Journal of Applied Corporate Finance 14,P2.
[1]除了股利迎合理论之外,还包括:信号理论、交易成本、流动性等等。
[2]Baker和Wurgler(2004b)写道:“总之,本文的结论把Fama和French(2001)与Baker和Wurgler(2004)两篇文章相互联系起来,”Baker,M.and Wugler,J.,2004b,Appearing and Disappearing of Dividends:the Link to Catering Incentives,the Journal of Financial Economics 73,P273.
[1]Stein(1996)研究的是关于资本预算的问题:当对股票回报率的预测反映了投资者的非理性而不是基础的风险补偿时,理性的管理者应该怎么做?见Stein,J.C.,1996,Rational Capital Budgeting in an Irrational World,the Journal of Business 69,P429-455.
[2]见Baker,M.,Ruback,R.S.,and Wugler,J.,2004,Behavioral Corporate Finance:A Survey,working paper,Harvard Business School,P6.
[3]见Baker,M.and Wugler,J.,2004a,A Catering Theory of Dividends,the Journal of Finance 3,P1127.
[1]见Baker,M.,Ruback,R.S.,and Wugler,J.,2004,Behavioral Corporate Finance:A Survey,working paper,Harvard Business School,P5.
[1]见戴维·迈尔斯著,张志勇、乐国安、侯玉波等译,社会心理学[M],人民邮电出版社,2006年,第153页。
[2]见泰勒、佩普劳、希尔斯著,谢晓非等译,社会心理学[M],北京大学出版社,2004年,第221页。
[3]同上,第224页。
[1]见Cialdini,R.B.and Trust,M.R.,Social influence:Social norms,conformity,and compliance.In D.T.Gilbert,S.T.Fiske,and G.Lindzey(Eds.),Handbook of social psychology,Vol 2,P151-192,Boston,MA:McGraw-Hill.转引自泰勒、佩普劳和希尔斯,谢晓非等译,《社会心理学》,北京大学出版社,2004年,第225页。
[2]见戴维·迈尔斯著,张志勇、乐国安、侯玉波等译,社会心理学[M],人民邮电出版社,2006年,第172页。
[3]见泰勒、佩普劳和希尔斯,谢晓非等译,《社会心理学》,北京大学出版社,2004年,第226页。不过泰勒等人也承认,“当人们改变自己的行为以满足群体标准时,也可能存在一种改变自身观点的倾向,例如认知失调理论认为人们会有一个‘后从众判断'过程,指人在行动之后重新思考自己的观点,尽力理解群体成员的观点,构建对情境的新解释,使之与自己的从众行为相吻合。”
[4]见Coleman,J.F.,Blake,R.R.,and Mouton,J.S.,Task difficulty and conformity pressures,Journal of Abnormal and Social Psychology 57,P120-122.转引自见泰勒、佩普劳和希尔斯,谢晓非等译,《社会心理学》,北京大学出版社,2004年,第225页。
[5]泰勒、佩普劳和希尔斯以及戴维·迈尔斯的书中都曾提到了这一点。
[1]参见Berry,J.W.,Poortinga,Y.H.,Segall,M.H.,and Dasen,R R.,1992,Cross-cultural psychology:Research and applications.New York:Cambridge University Press,以及Bond,R.and Smith,P.B.,1996,Culture and comformity:A meta-analysis of studies using Asch's(1952b,1956) line judgment task,Psychological Bulletin 119,P111-137.转引自泰勒、佩普劳和希尔斯,谢晓非等译,《社会心理学》,北京大学出版社,2004年,第226页。
[2]见Hirshleifer,D.and Teoh,S.H.,2003,Herd Behavior and Cascading in Capital Markets:a Review and syntheses,European Financial Management 9,P53.
[3]迈尔斯指出,对社会形象的关注往往容易产生规范影响,而希望自己行事正确则往往容易产生信息影响。见戴维·迈尔斯著,张志勇、乐国安、侯玉波等译,社会心理学[M],人民邮电出版社,2006年,第172页.
[1]见Scharfstein,Stein,1990,Herd Behavior and Investment,the American Economic Review 80,P466.
[2]同上。
[3]见Zwiebel,1995,Zwiebel,1995,Corporate Conservatism and Relative Compensation,P2-3.
[4]关于金融市场上的羊群行为还有第三种推断--基于薪酬结构而产生的羊群行为,这些研究主要针对分析师展开。但是由于在上市公司中,不同公司管理者之问的薪酬的关系与证券分析师之间的关系有很大的区别,本文认为管理者羊群行为不应该包括这部分研究。
[1]见Bikhchandani,S.,Hirshleifer,D.,and Welch,I.,1996,Informational Cascades and Rational Herding:An Annotated Bibliography,UCLA/Andersn and Michigan,working Paper,http://next.agsm.ucla.edu,P4。
[2]见Bikhchandani,S.,Hirshleifer,D.,and Welch,I.,1992,A Theory of Fads,Fashion,Custom,and Cultural Change as Informational Cascades,Journal of Political Economy 100,P995.
[3]Banerjee不无自豪地自称道,该模型的贡献之一就是“模型极其简单,而且不含任何制度细节”,见Banerjce,A.V.,1992,a Simple Model of Herd Behavior,the Quarterly Journal of Economic 107,P799.
[1]见Welch,I.,1992,Sequential Sales,Learning,and Cascades,The Journal of Finance 47,F696.
[2]同上,P697.
[1]见Bikhchandani,S.,Hirshleifer,D.,and Welch,I.,1992,A Theory of Fads,Fashion,Custom,and Cultural Change as Informational Cascades,Journal of Political Economy 100,P995.
[1]同上,P1001.
[2]同上,P992.
[3]Lee,I.H.,1993,on the Convergence of Informational Cascades,Iournal of Economics Theory 61,P397.
[4]同上。
[1]见Shiller,R.J.,1995,Coversation,information,and herd behavior,American Economic Review 85,P182.
[1]同上,P183.
[2]见John M.Keynes,1936,the General Theory,P158,转引自Scharfstein,D.S.and Stein,J.C.,1990,Herd behavior and investment,the American Economic Review 80,P465.
[3]见Scharfstein,D.S.and Stein,J.C.,1990,Herd behavior and investment,the American Economic Review 80,P466.
[1]见Zweibel,J.,1995,Corporate Conservatism and Relative Compensation,Journal of Political Economy 103,P3.
[2]同上,P1.
[3]同上,P2-3.
[1]见Prendergast,C.and Stole,L.,1996,Impetuous Youngsters and Jaded Old,Timers Acquiring a Reputation for Learning,Journal of Political Economy I04,P1106.
[1]见Prendergast,C.and Stole,L.,1996,Impetuous Youngsters and Jaded Old,Timers Acquiring a Reputation for Learning,Journal of Political Economy 104,P1119.
[2]同上,P1108.
[1]Gramham曾在文中坦言“我们用一个证券分析师的简单模型来研究羊群行为,借鉴了Sharfstein和Stein (1990)的模型。”见 Graham,J.,1999,Herding among investment newsletters:Theory and evidence,the Journal of Finance 54,P238.
[1]见Friend,Blume,Crockett,1970,Mutual funds and other institutional investors(McGraw-Hill,New York,MY),转引自Lakonishok,J.,Shleifer,A.and Vishny,R.W.,1992,the Impact of Institutional Trading on Stock Prices,Journal of Financial Economics 32,P25.
[2]见Kraus,A.and Stoll,H.R.,1972,Parallel trading by institutional investors,Journal of Financial Quantitative Analysis 7,P569-588。转引自Lakonishok,J.,Shleifer,A.and Vishny,R.W.,1992,the Impact of Institutional Trading on Stock Prices,Journal of Financial Economics 32,P25.
[3]见Lakonishok,J.,Shleifer,A.and Vishny,R.W.,1992,the Impact of Institutional Trading on Stock Prices,Journal of Financial Economics 32,P25.
[1]见G-rinblatt,M.Titman,S.and Wermers,r.,1995,Momentum Investment Strategies,Portfolio Performance,and Herding:A Study of Mutual Fund Behavior,the American Economic Review 85,P1089.
[2]同上。
[1]Wormers将样本检验期间从四年增加到了二十年,共同基金样本数从769家“戏剧性地”增加到了2400家,Wermers不无自豪地说:“我们提供了最为全面的检验证据。”见Wermers,R.,1999,Mutual Fund Herding and the Impact on Stock Prices,Journal of Finance 54,P583.
[2]同上,P593.
[1]见Welch,I.,2000,Herding among Security Analysts,Journal of Financial Economics 58,P370.
[2]见Trueman,B.,1994,Analyst Forecasts and Herding Behavior,Review of Financial Studies 7,P98.
[3]尽管Sticke(1990)没有直接使用“羊群行为”一词,而是使用了“从众”(followthe crowd)一词,但从内容上来看,Sticke的文章已经非常接近证券分析师羊群行为的分析思想。严格说来,Graham(1999)也可以算作一篇,但是它主要目的在于检验声誉模型,而不是验证羊群行为是否存在,所以本节不作主要介绍。
[1]见Welch,I.,2000,Herding among Security Analysts,Journal of Financial Economics 58,,P370.
[2]同上,P377.
[1]见Bernhardt,D.,Campello,M.,and Kutsoati,E.,2006,Who Herds? Journal of Financial Economics 80,P657.
[1]见Graham,J.,1999,Herding among investment newsletters:Theory and evidence,the Journal of Finance 54,P261.
[2]同上,P238.
[1]见Hong,H.,Kubik,J.and Solomon,A.,2000,Security Analysts' Career Concerns and Herding of Earnings Forecasts,Rand Journal of Economics 31,P121.
[1]见Hirshleifer,D.and Teoh,S.H.,2003,Herd Behavior and Cascading in Capital Markets:a Review and syntheses,European Financial Management 9,P53.
[2]见Bikhchandani,S.,和 sharma,S.,2001,Herd Behavior in Financial Markets,working paper,IMF (International Monetary Fund) Staff Papers 47,P282.
[1]见Bikhchandani,S.,和 sharma,S.,2001,Herd Behavior in Financial Markets,working paper,IMF (International Monetary Fund) Staff Papers 47,P282.
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