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1、股票市场流动性与公司股利政策外文翻译 外文翻译Stock Market Liquidity and Firm Dividend Policy Material Source: Journal of Financial and Quantitative Analysis Author: Suman Banerjee;Viadimir A Cate;Paul A Spindt Firms dividend policies continue to puzzle financial researchers. In this paper, we argue that investor demand f
2、or stocks paying cash dividends is positively related to the trading friction that investors face when creating homemade dividends. We further hypothesize that the likelihood a firm will pay cash dividends is positively related to investor demand for dividend payments and therefore inversely related
3、 to the market liquidity of the firms stock.Examining the empirical evidence, we find strong support for our hypothesis. In their seminal work, Miller and Modigliani 1961 formally developed the dividend irrelevance hypothesis. In perfect capital markets populated by rational investors, a firms value
4、 is solely a function of the firms investment opportunities and is independent of the firms payout policy. A large body of theoretical work has tried to evaluate the importance that managers and investors attach to dividend policy in light of the irrelevance proposition. The starting point of these
5、studies is to question some of the assumptions that characterize the perfect capital markets hypothesized by Miller and Modigliani. One notable assumption of the dividend irrelevance proposition, and one central to this paper, is that trading is frictionless. In perfect markets, investors can instan
6、taneously invest or liquidate their investment in any stock without incurring any direct or indirect costs of trading and without changing the price of the underlying security. In markets with no trading friction, rational investors with liquidity needs can create homemade dividends at no cost by se
7、lling an appropriate amount of their holdings in the firm. As a result, they will be indifferent between receiving a dollar of dividend and selling a dollars worth of their investment. In markets with trading friction, stocks that pay cash dividends allow investors to satisfy their liquidity needs w
8、ith little or no trading in the stock and thus enable them to avoid trading friction. As a result, investors with current or anticipated future liquidity needs may have a preference for dividend paying stocks. This preference will be positively related to the level of trading friction so that higher
9、 lower trading friction will lead to higher lower demand for cash dividends relative to homemade dividends. Dong, Robinson, and Veld 2003 present survey evidence that retail investors want dividends, partly because their costs of cashing in dividends are lower than the transaction costs involved in
10、selling shares. It is important to address the question of how investor demand for dividends translates into actual dividend policy. On the one hand, existing literature argues that stock market liquidity affects the valuation of firms both in the cross-section and through time.3 In this literature,
11、 stocks with higher liquidity levels i.e., lower trading friction trade at a premium and have lower expected returns relative to stocks with lower liquidity levels i.e., higher trading friction. Firms, however, can pay cash dividends, reduce investor dependence on the liquidity of the market, and th
12、erefore raise their valuations ? an option more valuable for firms with higher discount rates due to lower liquidity levels. Indeed, Baker and Wurgler 2004a, 2004b present significant evidence that firms consider valuation effects when choosing a dividend policy. On the other hand, it is also possib
13、le that investors directly enforce the desired dividend policy, as suggested by La Porta, Lopez-de-Silanes, Shleifer, and Vishny 2000. While the possibility of a link between stock market liquidity and the dividend policy ofthe firm dates at least back to Miller and Modigliani 1961, current literatu
14、re provides little direct empirical evidence on that issue. Some indirect evidence, however, is consistent with our hypothesis. For example, Long 1978 documents that between 1956 and 1976 the cash dividend class of shares of Citizens Utilities Company on average sold at a premium to the stock divide
15、nd class. Subsequent work by Poterba 1986 shows that the two classes of shares trade at similar prices for the 1976-1984 period. The “disappearing” premium on the cash dividend shares is consistent with an increase in the liquidity of the market in that period. Nevertheless, the question of whether
16、stock market liquidity has an incremental impact on the dividend policy of the firm remains largely an empirical one and its investigation is the focus of the current study. We perform our analysis while taking into consideration firm size, profitability, and growth opportunities. The necessity to c
17、ontrol for these variables arises for at least two reasons. First, their use as determinants of dividend policy is consistent with the role of dividends in controlling the agency costs of free cash flow Easterbrook, 1984; Jensen, 1986 and with a pecking-order model where firms avoid issuing securiti
18、es due to asymmetric information costs Myers and Majluf, 1984; Myers 1984 and other flotation costs. The empirical importance of these variables for the firms decision to pay dividends is examined in Fama and French 2001 and is further confirmed in our study. Second, the liquidity of the firms commo
19、n stock can also be related to the size, profitability, and growth opportunities of the firm. Therefore, it is important to examine the link between firm dividend policy and liquidity after controlling for the possibility of such a relation. For the remainder of the paper, we refer to these variable
20、s as “firm characteristics” and to their collective explanatory power over the dividend policy of the firm as the firms “ability” to pay dividends. The main results of the paper can be summarized as follows. First, we document that firms with less liquid markets characterized by low trading activity
21、, high proportion of zero trading days, and high price impact of order-flow are more likely to pay dividends. These results persist after we control for the characteristics of the firm discussed above and provide .direct support for our hypothesis. Second, we present evidence that market liquidity a
22、nd firm likelihood to pay dividends are negatively related over time. The past four decades are characterized by declining commission rates, declining bid-ask spreads, and a ten-fold increase in market activity ? measures frequently used to quantify the liquidity of the stock market. When we apply o
23、ur 1963-1977 estimates to predict the proportion of dividend payers in more recent years, we find that increased market liquidity explains most of the lower propensity of firms to pay dividends documented by Fama and French 2001. Furthermore, the predictive accuracy of a model that controls for stoc
24、k market liquidity, versus a model that does not, is more pronounced for firms more likely to pay dividends based on their size, profitability, and growth opportunities i.e., firms with higher ability to pay and for firms with more liquid stocks. We further address the question of whether dividend p
25、olicy determines stock market liquidity and not vice versa. We now perform our analysis conditional on the past dividend policy of firms while at the same time we use a historic measure of liquidity rather than a contemporaneous one. We find that past year market liquidity is an important determinan
26、t of dividend initiations and of dividend omissions. Less more liquid firms that have never paid dividends are more less likely to initiate dividend payments. Similarly, less more liquid firms that have paid dividends for the past five years are more less likely to continue paying dividends in the f
27、uture. For dividend initiations, the predictive accuracy of a model that controls for market liquidity, versus a model that does not, is higher and the improvement is comparable to our results for all firms. For dividend omissions, stock market liquidity has no economic power in explaining the divid
28、end omission rates of firms. In fact, we do not find lower propensity to pay dividends for firms with long history of dividend payments. Models based on firms ability to pay dividends and models based on ability and stock market liquidity equally well explain more recent dividend omission rates of f
29、irms. In other words, we do not observe lower propensity to pay i.e., higher propensity to omit dividends for dividend paying firms. Up to this point of our discussion we have focused on the relation between dividend policy and liquidity at the firm level. Recent studies, however, present evidence o
30、f a common liquidity factor across firms. Chordia, Roll, and Subrahmanyam 2000, for example, find that several measures of liquidity co-move with market- and industry-wide liquidity. Pstor and Stambaugh 2003 propose that assets with high positive sensitivity of returns to aggregate liquidity result
31、in disproportionate decrease of investor welfare when aggregate liquidity is low. They find significant evidence that investors price this liquidity risk so that stocks with high sensitivities of returns to aggregate liquidity have higher expected returns than stocks with low or negative sensitiviti
32、es. Extending our previous arguments, we now suggest that the demand of investors for dividend paying stocks, and thus the value of such stocks relative to non-paying stocks, is higher in states characterized by low aggregate liquidity. We therefore expect that dividend initiating firms will reduce
33、their return sensitivity to innovations in aggregate liquidity. We build upon the work of Pstor and Stambaugh 2003 and indeed find that, after firms initiate dividend payments, their stock returns become less sensitive to aggregate liquidity. This result further suggests that investors, when valuing
34、 firms, view cash dividends and stock market liquidity as substitutes.译文股票市场流动性与公司股利政策 资料来源:金融财务与定量分析 作者:苏曼班纳吉;弗拉基米尔;保罗; 公司的股利政策继续迷惑着金融研究者们。在本文中,我们认为投资者支付的现金股利和对股票的需求成正相关交易,投资者在创造股利。我们进一步地假设,一个公司对股利支付的可能程度与投资者对股息的需求成正相关,而与股市的流动性成负相关。经过检查经验证据,我们找到了对假设强有力的支持。 在他们的开创性工作中,米勒和莫迪里阿尼(1961)正式制定了股利无足轻重的假说。在一
35、个被理性投资者居住的完善的资本市场中,一个公司的价值完全是这个公司投资机会的作用和公司独立的派息政策。理论工作一个大的方面是评估管理者和投资者赋予股利政策轻重的重要性。这些研究的出发点是回答一些由米勒和莫迪利阿尼提出的完善资本市场特点的假设。 一个是主张股息无关论,一个是这篇文章的核心,交易无摩擦。在完善的市场,投资者可在瞬间将投资或直接或间接清算其投资资本,而不会产生任何股票和证券价格没有改变的基础。在交易没有摩擦的市场,拥有流动资金的理性投资者需要创造自制股利,无需通出售持有该公司一定的数额的股票。因此,他们在收到一美元股利和卖出一美元投资的价值时候没有什么不同。 在无交易摩擦的市场,支付
36、现金股利的股票可以使投资者在进行很少的交易或不用交易的情况下就得到满足,因此就避免了交易摩擦。结果投资者当下或未来的投资需求可以通过支付股利实现。这种偏好将会和交易摩擦的水平联系起来,或高或低。交易摩擦将会导致高(低)对国产现金股利的需求。东,罗宾逊和艾伦2001的调查证据表明散户投资者要分红,因为他们兑现分红成本较低的股份参与了销售成本比交易。 要解决的重要问题是,投资者是如何将对股息的需求转化为实际的股利政策。一方面,现有文献认为股票市场的流动性影响公司在截面和时间的价值。在这些文献里,股票流动性较高的水平(即,降低交易摩擦)高级贸易在一定且具有较低的预期回报率相对较低的股票流动性水平(即
37、,高贸易摩擦)。企业,但是,可以支付现金股利减少投资者对市场流动性的依赖,因此,提高他们的估值-一种由于较低的流动水平而导致较高的贴现率的对公司更有价值的选择。事实上,贝克和Wurgler(2004)呈现了重要的证据,公司在选择股利时应考虑价值影响。另一方面,也可能是投资者直接执行股息政策,这个建议由维什尼肝门,洛佩兹德-硅烷,Shleife(2002)年提出。 然而股票市场流动性和公司股利政策日期之间的联系可以追溯到米勒和莫迪利亚尼(1961)。当今的文献提供了少量的关于那个假设的直接证据,一些间接的证据,但是,与我们假设一致的,比如,1978年的文件关于1956年和1976年之间公民分配的
38、现金股利和公司发行的事业股是溢价与股票股利。Poter(1986)随后的工作表明,这两个类别的股份在1976-1984是类似于交易价格的。这个“消失”的现金股利溢价在那个时期是被认为增加了市场的流动性。 然而,问题是是否股票市场流动性对公司保持巨大的主观经验和它的投资对股利政策有一个增长的影响是目前的研究焦点。我们完成把公司的型号,利益,机会增长纳入考虑的分析。控制这些增长变化的必要性的原因有两点,首先,他们利用政策红利的决定因素是一致的作用,1984年分红费用免费代理现金流量控制(伊斯特;詹森, 1986年)和一啄序模式,发行证券的公司避免由于不对称 。信息成本(迈尔斯和麦吉罗夫,1984年
39、;迈尔斯,1984年)和其他浮选成本。 公司支付股利决定变化的经验的重要性已经在法玛和法国2001年被检查,而且在我们的研究中被证实。其次,公司普通股的流动性也和公司的类型,利益和机会的增长联系在一起。因此,检查公司股利政策和流动性之间的关系在控制这种关系的可能性之后。对于其余的部分,我们涉及到的这些变化作为“企业特征”和对他们集体的解释关于公司的股利政策作为公司的能力。 该文件的主要成果可以概括如下,首先我们的文件 企业与市场的流动性较差(零交易活动的特点是低比重,高交易天,订单流量高价格的影响)更容易支付股利。这些结果后,我们支持上述公司的特点,并提供讨论支持我们的假说。其次,我们摆出的证
40、据表明,市场流动性和公司支付股利的偏好随时间移动呈负相关。在过去的四十年是 特点是佣金率下降,下降的价差,以及增加十倍 ,市场活动-措施经常用来量化的市场流动性的股票。当我们运用我们1963-1977年的估计去预测最近的股利支付,我们发现增强市场流动性较低的解释大部分的倾向公司支付的股息。据法玛和法国2001年的记载。此外,预测准确的市场模型可以控制市场流动性,相对于一个模型,并非是更为突出的公司更愿意支付利润,红利根据他们的大小,增长机会(即具有较高的支付能力的企业)和企业有更多的液体股票。 我们进一步解决这个问题,股利政策是否决定市场流动性而不是相反。我们现在执行分析公司在过去的股利政策,
41、同时我们运用历史的测量方法而不是同时期的。我们发现去年市场的流动性对股息红利灌顶和遗漏。是一个很重要的影响因素。少(更多)的公司从未支付股利多(少)开始的股利支付。同样,少(更多)的公司在过去五年支付的股利会继续多(更少)在将来支付股利。对于股息灌顶,模型,预测精度一控制市场不流动性。相对于一个模型,它的作用是提高和改善相当于所有公司的结局。对于股利停发,股市的流动性没有经济实力的公司股息率遗漏解释。事实上,我们做较低的倾向找不到支付股息红利支付为历史长的公司,基于公司支付股利能力的模型和基于能力和股票市场流通性的模型可以解释更多最近公司的股息率。换句话说,我们不遵守支付较低的倾向(即消费倾向
42、较高省略股利)派息公司。 至于我们讨论的这一点,我们聚焦在股利政策和公司流动水平的关系。近期的研究,但是,呈现公司普通流动性因素的证据。Chordia,Roll,和Subrahmanyam(2000),比如,发现几个大的流动性措施,共同行动与市场和行业。Pstor 和 Stambaugh (2003) 提出以积极的资产总额灵敏度高回报。流动性福利导致投资者对过度流动性总体下跌他们发现明显的证据表明,投资者的价格风险,使这种流动性与股票总体流动性高到敏感的回报比股票更高的预期回报 低或负的敏感度。 扩展我们先前的讨论,我们现在建议投资者对股票分红的需求,而且这种相对非支付股票,在低流动性的特色国家是高的。我们因此期望股利引发公司减少回报敏感度对流动总量。我们 (建立在)的工作牧师和斯坦博(2003)的发现,在公司开始派发股利之后,它们的股票回报变的对流动总量不那么敏感了,这个结果进一步表明投资者,当估价公司时,查看现金股利和股票市场流动性作为替代品。
