现金股利支付决策与迎合理论
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摘要
上市公司的股利政策一直是社会公众和学术界长期关注的焦点。对公司股利政策的行为解释和市场反映有着广泛的争论和探讨。股利政策是关于股份公司是否发放股利,发放多少以及何时发放股利等方面的政策,是现代公司理财活动的核心之一。Miller和Modigliani (1961)提出的股利无关理论认为：在完美市场上,公司的价值或股票价格完全取决于其投资决策的获利能力,和股利支付的水平没有关系。但是,MM理论所要求的一系列严格的假设前提,比如,不存在税收、信息完备、完全契约、交易成本为零等,显然与实际有很大距离。于是,通过放松MM理论某些前提假设下,研究人员尝试着提出更为接近现实的各种解释,并形成了一系列关于股利政策的现代理论。随后出现的顾客效应理论认为股利的税率要高于资本利得征收的税率,放宽了MM理论的“税收无差异”假设。信号传递理论和代理成本理论则分别放松了“信息完全对称”和“完备契约,没有代理成本”假设。四十多年过去了,MM理论中唯一没有被彻底审视和挑战的前提假设就是“市场的有效性”。
Baker和Wurgler (2004)通过放宽MM理论中“市场有效性”的假设,首次提出了迎合理论并进行了实证检验。迎合理论认为现实当中只是有限套利；同时有限理性的存在,使得由投资者情绪(investor sentiment)导致的对股利的非理性需求能够影响股票的当前价格,产生股利溢价；理性的上市公司管理者会努力辨别并且制定相应的股利政策去迎合市场中投资者的这种随时间变化的需求。迎合理论突破了传统公司财务理论的约束,极大地丰富了对公司股利政策的研究；独辟蹊径,摒弃经典财务学中抽象掉人的情感、想象、行为的研究方法,从行为财务学的角度出发,充分考虑了市场参与者的情绪、认知的心理因素的作用,为解释上市公司现金股利支付倾向提供了新的思路。
近年来,开始出现为数不多的文献检验迎合理论对于中国证券市场的适用性。但是,由于我国特殊的股权结构和薄弱的法律保护,加上不同学者选择的样本及公司特征检验指标不尽相同,股利迎合理论的实证检验结果并不一致。因此,本文以股权分置改革为契机,采用2006—2010年所有沪深A股的年度分配方案,在控制股权结构的两个因素——股票流通性和股权集中度,以及一些关键公司特征指标,如盈利性、资产负债率、公司规模、现金流量、成长性的影响的基础上,从投资者需求的角度来出发,研究公司管理层发放现金股利的动机,检验股权分置改革后迎合理论对中国上市公司现金股利支付倾向现状的解释力度。
研究结果表明,投资者给予的现金股利溢价越高,公司越倾向于支付现金股利。也就是说,迎合理论对上市公司现金股利支付倾向有较强的解释力。这意味着中国上市公司的管理层在决定是否支付现金股利时,可能考虑到了市场中投资者对不同股利政策公司股票的随时间变化的投机性需求,并且在股利决策时会-定程度上去迎合市场中投资者的这种需求。研究结果还显示,股权越集中、盈利性越强、规模越大、现金流量越充沛的上市公司,越倾向于支付现金股利；而股票流通比例越高、投资机会(成长性)越多、债务负担越重的上市公司支付现金股利的可能性越小。这些结论均支持了已有的股利政策理论的实证研究结果。
但是,迎合理论毕竟只是行为财务学的一个应用,并且在一定的相对严格的假设条件下才能成立,能否最终被普遍认可,成为解释股利政策最好的理论,还有待经受考验。其理论本身的局限性主要体现在：第一,迎合理论从总体水平上解释了公司支付现金股利的倾向,而没有探讨支付现金股利的力度的问题,因为“股利溢价”无法体现股利支付水平的波动；第二,迎合理论假定管理者是理性,能够权衡当前股票被错误定价所带来的短期收益与长期运行成本之间的利弊,从而迎合投资者偏好制定现金股利政策。这一点似乎不尽合理,管理者也是非理性的人,一种情绪动物。不过,尽管迎合理论体系有诸多方面还不完善,检验模型也有待改进,所有观察到的现象不能完全从中得到合理解释,但它毕竟为我们更好地理解股利分配现象提供了一个崭新的视角。
The dividend policy of listed companies has been a long-term focus of attention of the public and academia. Explain the behavior of the company's dividend policy and the market reflects the have a wide range of debate and discussion. Dividend policy is whether the joint-stock companies pay dividends, payment of how much and when payment of dividends and other aspects of policy, is one of the core of modern corporate finance activities. The dividend irrelevance theory of Miller and Modigliani (1961):In a perfect market, the value of the company's stock price depends entirely on the profitability of their investment decisions, and dividend payout level. However, the series of stringent assumptions required by the MM theory, such as non-existent tax, complete information, incomplete contracts, transaction cost is zero, apparently with the actual distance. Thus, under the assumption that certain prerequisites to relax the MM theory, the researchers tried various explanations closer to reality, and formed a series of modern theories on dividend policy. Subsequent customer effect theory is that the dividend tax rate is higher than the capital gains tax rate, relaxation of the MM theory "revenue difference" hypothesis. Signaling theory and agency cost theory to relax completely symmetrical and complete contract, agency costs "hypothesis.40years later, only MM theory has not been thoroughly examine and challenge the assumption that "market efficiency".
Baker and Wurgler (2004) by relaxing the assumption of market efficiency in the MM theory, first proposed to cater to the theory and an empirical test. Cater to the theory that reality only limited arbitrage; the existence of bounded rationality, making irrational demand dividends can affect the stock price caused by investor sentiment (investor and sentiment) to produce the dividend premium; rational managers of listed companies efforts to identify and develop appropriate dividend policy to cater to investors in the market demand for this change over time. Cater to break through the constraints of the traditional theory of corporate finance theory, has greatly enriched the company's dividend policy; inventive, abandon classical Finance abstract away the emotion, imagination and behavior research methods from the behavioral finance perspective, give full consideration to the role of the market participants' emotional, cognitive, psychological factors, and provides a new approach to explain the listed company's cash dividend payout tendency.
In recent years, began to appear a few literature test to cater to the applicability of the theory for the Chinese stock market. However, due to our special ownership structure and weak legal protection, and selected samples of different academics and corporate characteristics test indicators are not the same, dividends to cater to the theory of empirical test results are not consistent. Thus, the split share structure reform as an opportunity to2006-2010all the Shanghai and Shenzhen A-share annual distribution plan, two factors control the ownership structure-stock liquidity and equity concentration, as well as some key corporate characteristics of indicators such as profitability, asset liability ratio, firm size, cash flow, growth potential impact on the basis of demand from the investors point of view to starting the research management of the Company issued a cash dividend of motivation to test the split share structure reform to cater to the theory paid cash dividends of listed companies in China to explain the intensity of the tendency of the status quo.
The results show that the higher cash dividend investors given premium, the company is more inclined to pay cash dividends. In other words, to cater to the theory of the listed company's cash dividend payment tend to have strong explanatory power. This means that the management of Chinese listed companies in deciding whether to pay cash dividends, may take into account the speculative demand of market investors in the company's shares on the dividend policy change over time, and dividend decisions will to some extent up to meet market investors in such demand. The study results also showed that more concentrated equity, profitability is the stronger, larger, more abundant cash flows for listed companies, the more inclined to pay cash dividends; the higher the proportion of stocks in circulation, more investment opportunities (growth), debt smaller the heavier the burden on listed companies the possibility of payment of cash dividends. These conclusions are supported by the empirical results of the existing dividend policy theory.
However, to cater to the theory, after all, only the behavioral finance applications, and can be established under the relatively strict assumptions, can eventually be widely recognized as the best theory to explain dividend policy remains to be tested. Its theoretical limitations:first, to cater to the theory explains the tendency of the company to pay cash dividends from the overall level, but did not discuss efforts to pay cash dividends because the dividend premium does not reflect the dividend payment fluctuations; to cater to the theory assumes that managers are rational, able to weigh the pros and cons between the current stock mispricing arising from short-term gains and long-term operating costs, which cater to the investor preference for cash dividend policy. This seems not quite reasonable, the manager is non-rational, an emotional animal. However, to meet the theoretical system is not perfect in many aspects, the test model could be improved, all observed phenomena can not be reasonably explained from, but after all it is for us to better understand the phenomenon of dividend distribution to provide a new perspective.
Baker和Wurgler (2004)通过放宽MM理论中“市场有效性”的假设,首次提出了迎合理论并进行了实证检验。迎合理论认为现实当中只是有限套利；同时有限理性的存在,使得由投资者情绪(investor sentiment)导致的对股利的非理性需求能够影响股票的当前价格,产生股利溢价；理性的上市公司管理者会努力辨别并且制定相应的股利政策去迎合市场中投资者的这种随时间变化的需求。迎合理论突破了传统公司财务理论的约束,极大地丰富了对公司股利政策的研究；独辟蹊径,摒弃经典财务学中抽象掉人的情感、想象、行为的研究方法,从行为财务学的角度出发,充分考虑了市场参与者的情绪、认知的心理因素的作用,为解释上市公司现金股利支付倾向提供了新的思路。
近年来,开始出现为数不多的文献检验迎合理论对于中国证券市场的适用性。但是,由于我国特殊的股权结构和薄弱的法律保护,加上不同学者选择的样本及公司特征检验指标不尽相同,股利迎合理论的实证检验结果并不一致。因此,本文以股权分置改革为契机,采用2006—2010年所有沪深A股的年度分配方案,在控制股权结构的两个因素——股票流通性和股权集中度,以及一些关键公司特征指标,如盈利性、资产负债率、公司规模、现金流量、成长性的影响的基础上,从投资者需求的角度来出发,研究公司管理层发放现金股利的动机,检验股权分置改革后迎合理论对中国上市公司现金股利支付倾向现状的解释力度。
研究结果表明,投资者给予的现金股利溢价越高,公司越倾向于支付现金股利。也就是说,迎合理论对上市公司现金股利支付倾向有较强的解释力。这意味着中国上市公司的管理层在决定是否支付现金股利时,可能考虑到了市场中投资者对不同股利政策公司股票的随时间变化的投机性需求,并且在股利决策时会-定程度上去迎合市场中投资者的这种需求。研究结果还显示,股权越集中、盈利性越强、规模越大、现金流量越充沛的上市公司,越倾向于支付现金股利；而股票流通比例越高、投资机会(成长性)越多、债务负担越重的上市公司支付现金股利的可能性越小。这些结论均支持了已有的股利政策理论的实证研究结果。
但是,迎合理论毕竟只是行为财务学的一个应用,并且在一定的相对严格的假设条件下才能成立,能否最终被普遍认可,成为解释股利政策最好的理论,还有待经受考验。其理论本身的局限性主要体现在：第一,迎合理论从总体水平上解释了公司支付现金股利的倾向,而没有探讨支付现金股利的力度的问题,因为“股利溢价”无法体现股利支付水平的波动；第二,迎合理论假定管理者是理性,能够权衡当前股票被错误定价所带来的短期收益与长期运行成本之间的利弊,从而迎合投资者偏好制定现金股利政策。这一点似乎不尽合理,管理者也是非理性的人,一种情绪动物。不过,尽管迎合理论体系有诸多方面还不完善,检验模型也有待改进,所有观察到的现象不能完全从中得到合理解释,但它毕竟为我们更好地理解股利分配现象提供了一个崭新的视角。
The dividend policy of listed companies has been a long-term focus of attention of the public and academia. Explain the behavior of the company's dividend policy and the market reflects the have a wide range of debate and discussion. Dividend policy is whether the joint-stock companies pay dividends, payment of how much and when payment of dividends and other aspects of policy, is one of the core of modern corporate finance activities. The dividend irrelevance theory of Miller and Modigliani (1961):In a perfect market, the value of the company's stock price depends entirely on the profitability of their investment decisions, and dividend payout level. However, the series of stringent assumptions required by the MM theory, such as non-existent tax, complete information, incomplete contracts, transaction cost is zero, apparently with the actual distance. Thus, under the assumption that certain prerequisites to relax the MM theory, the researchers tried various explanations closer to reality, and formed a series of modern theories on dividend policy. Subsequent customer effect theory is that the dividend tax rate is higher than the capital gains tax rate, relaxation of the MM theory "revenue difference" hypothesis. Signaling theory and agency cost theory to relax completely symmetrical and complete contract, agency costs "hypothesis.40years later, only MM theory has not been thoroughly examine and challenge the assumption that "market efficiency".
Baker and Wurgler (2004) by relaxing the assumption of market efficiency in the MM theory, first proposed to cater to the theory and an empirical test. Cater to the theory that reality only limited arbitrage; the existence of bounded rationality, making irrational demand dividends can affect the stock price caused by investor sentiment (investor and sentiment) to produce the dividend premium; rational managers of listed companies efforts to identify and develop appropriate dividend policy to cater to investors in the market demand for this change over time. Cater to break through the constraints of the traditional theory of corporate finance theory, has greatly enriched the company's dividend policy; inventive, abandon classical Finance abstract away the emotion, imagination and behavior research methods from the behavioral finance perspective, give full consideration to the role of the market participants' emotional, cognitive, psychological factors, and provides a new approach to explain the listed company's cash dividend payout tendency.
In recent years, began to appear a few literature test to cater to the applicability of the theory for the Chinese stock market. However, due to our special ownership structure and weak legal protection, and selected samples of different academics and corporate characteristics test indicators are not the same, dividends to cater to the theory of empirical test results are not consistent. Thus, the split share structure reform as an opportunity to2006-2010all the Shanghai and Shenzhen A-share annual distribution plan, two factors control the ownership structure-stock liquidity and equity concentration, as well as some key corporate characteristics of indicators such as profitability, asset liability ratio, firm size, cash flow, growth potential impact on the basis of demand from the investors point of view to starting the research management of the Company issued a cash dividend of motivation to test the split share structure reform to cater to the theory paid cash dividends of listed companies in China to explain the intensity of the tendency of the status quo.
The results show that the higher cash dividend investors given premium, the company is more inclined to pay cash dividends. In other words, to cater to the theory of the listed company's cash dividend payment tend to have strong explanatory power. This means that the management of Chinese listed companies in deciding whether to pay cash dividends, may take into account the speculative demand of market investors in the company's shares on the dividend policy change over time, and dividend decisions will to some extent up to meet market investors in such demand. The study results also showed that more concentrated equity, profitability is the stronger, larger, more abundant cash flows for listed companies, the more inclined to pay cash dividends; the higher the proportion of stocks in circulation, more investment opportunities (growth), debt smaller the heavier the burden on listed companies the possibility of payment of cash dividends. These conclusions are supported by the empirical results of the existing dividend policy theory.
However, to cater to the theory, after all, only the behavioral finance applications, and can be established under the relatively strict assumptions, can eventually be widely recognized as the best theory to explain dividend policy remains to be tested. Its theoretical limitations:first, to cater to the theory explains the tendency of the company to pay cash dividends from the overall level, but did not discuss efforts to pay cash dividends because the dividend premium does not reflect the dividend payment fluctuations; to cater to the theory assumes that managers are rational, able to weigh the pros and cons between the current stock mispricing arising from short-term gains and long-term operating costs, which cater to the investor preference for cash dividend policy. This seems not quite reasonable, the manager is non-rational, an emotional animal. However, to meet the theoretical system is not perfect in many aspects, the test model could be improved, all observed phenomena can not be reasonably explained from, but after all it is for us to better understand the phenomenon of dividend distribution to provide a new perspective.
引文
1 Miller, M. and Rock, K.1985, Dividend Policy under Asymmetric Information. Journal of Finance.
2 Baker, M. and Wurgler, J.2004, A catering theory of dividends, Journal of Finance.
3Modigliani和Miller在1961年发表的《股利政策、增长和股票估价》。
4Modigliani和Miller在1916年提出,即MM理论。
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[43]Myers, S.1984, The Capital Structure Puzzle, Journal of Finance (39):575-592.
[44]Myers, S. and Majluf, N.1984, Corporate Financing and Investment Decisions When Firms Have Information the Investors Do not Have, Journal of Financial Economics (38):187-222.
2 Baker, M. and Wurgler, J.2004, A catering theory of dividends, Journal of Finance.
3Modigliani和Miller在1961年发表的《股利政策、增长和股票估价》。
4Modigliani和Miller在1916年提出,即MM理论。
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