股票流動性與企業現金股利政策

Abstract

Miller and Modigliani（1961）提出股利無關論，他們認為在投資人皆理性的完美市場中：第一，投資人並不關心公司股利的分配狀況，這是因為在沒有交易摩擦的市場裡，倘若企業未發放足夠多的現金股利，投資人可透過售出其部分的持股達成自製股利效果來獲取現金，因此投資人對對現金股利和資本利得並無偏好上的差異；第二，公司的股利政策與公司價值無關，公司價值完全由公司資產的獲利能力或投資組合決定。在此理論提出後的數年內，大量的文獻與實證研究開始探討此理論的真實性，問題的癥結便是來自於它對完美資本市場中的假設，尤其是「交易無摩擦」這點，在現實生活裡並不可能真的實現。 Banerjee, Gatchev, and Spindit（2007）據此提出以下這個合理推論：若在一個有交易摩擦的市場下，而其他條件維持與Miller and Modigliani（1961）提出之理論不變，那麼對於一個股票流動性相對較差的企業（同等於此間公司股票在資本市場上存在較多交易摩擦）會較傾向提出選擇現金股利的發放形式，且較願意發放較多的現金股利，此推論被稱之為「流動性假說」。 而本研究旨在驗證此「流動性假說」是否亦存在於臺灣的證券市場中。本研究遂以2001年∼2007年為研究期間，選取台灣證券交易所上市公司中的384家樣本公司為研究對象進行實證工作，為求結果更為精確，因此本研究選取了三種流動性指標（週轉率、總成交值以及馬丁指數）做為單一證券之流動性代理變數。 實證結果揭示，「流動性假說」的現象在本研究所設定的研究期間內，可從台灣證券市場中明顯觀察到，且扣除掉基本公司特性的考量後，此假說仍依舊成立。另外，本研究也發現基本公司特性原先就偏向發放現金股利的公司，其證券流動性對投資人現金股利收益率的影響程度會較基本公司特性原先未偏向發放現金股利的公司來的大。

Miller and Modigliani (1961) advanced the dividend irrelevance proposition－in perfect capital markets populated by rational investors. First, because investors with liquidity needs can create homemade dividends at no cost by selling an appropriate amount of their holdings in the firm; therefore, they are not concerned about the payout policy. As a result, investors should be indifferent between receiving a dollar of dividends and selling a dollar’s worth of their investment. Second, a firm’s value is solely a function of the firm profitability or firm’s investment opportunities and is independent of payout policy. The following years, a large body of literature examines the importance that managers and investors attach to dividend policy in light of the irrelevance proposition. The starting point of these studies is to question some of the assumptions that define the perfect capital markets, especially the assumption of “trading is frictionless”, analyzed by Miller and Modigliani. In actuality, trading friction is pervasive throughout financial markets. According to the points of view above, Banerjee, Gatchev, and Spindit (2007) advanced the “liquidity hypothesis of dividend.” It says when trading friction exists in financial markets, an immediate implication of Miller and Modigliani (1961) is that, other things equal, firms with more (less) liquid stocks will have lower (higher) incentives to distribute cash dividends to shareholders. The main purpose of this study is to providing evidence of a link between firm dividend policy and stock liquidity and examining the “liquidity hypothesis of dividend” in Taiwan capital markets. This study covers 384 TSEC firms for the period 2001 to 2007. And I choose three measures of trading activity, share turnover, traded dollar volume in the stock, and Martin index, as proxies of liquidity. The result shows that there is a strong empirical relation between the dividend policy of the firm and the liquidity of its common stock, and these results persist throughout the examined period and remain after we control for the ability of firms to pay dividends. Also, I find that dividend payments are more sensitive to liquidity for the portfolio of firms that are more likely to pay based on firm characteristics.