使用選擇權價格所隱含之非預期股利變動檢定自由現金流量及訊息傳遞假說：經常性股利增加之情況

Abstract

本篇論文使用Bar-Yosef/Sarig的方法，利用選擇權的價格，計算出非預期股利變動，以檢定自由現金流量假說及訊息傳遞假說。本文的實證結果發現：(1)股利宣告日期間的超額報酬與非預期股利變動有明顯的正向關係；(2)對低Tobin q 廠商言，宣告日期間的超額報酬與其擁有的現金水準呈明顯的正向關係；(3)宣告日期間的超額報酬與現金水準的正向關係，低Tobin q廠商較高Tobin q廠商有較高的水準；(4)低Tobin q 廠商在股利宣告日後的第四年，其資本支出及研究發展費用的水準較股利宣告日那一年的水準有降低現象。本文的實證結果支持自由現金流量假說。

This paper adopts the Bar-Yosef/Sarig method to measure unexpected dividend changes in testing the free cash flow and information/signaling hypotheses. The empirical findings reveal the following: (1) Announcement period abnormal returns are positively related to unexpected dividend changes. (2) The association between announcement period abnormal returns and the cash level is significantly positive for low q firms. (3) The positive association between announcement period abnormal returns and the cash level is stronger in low q than in high q firms for most regressions. (4) Low q firms reduce their capital and research and development (R&D) expenditures during the four fiscal years following dividend increase announcements. Our findings are consistent with the free cash flow hypothesis.