以縱橫平滑移轉模型探討股價與股利非線性關係之研究

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Title:	以縱橫平滑移轉模型探討股價與股利非線性關係之研究
Other Titles:	The examination of the nonlinear relationship between stock prices and dividends by panel smooth transition model
Authors:	葉几豪;Yeh, Chi-hao
Contributors:	淡江大學財務金融學系碩士班聶建中;Nieh, Chien-chung;樓禎祺;Lou, Chen-chi
Keywords:	現金股利;負債比率;總資產報酬率;速動比率;縱橫平滑移轉模型;非線性關係;dividends;Debt ratio;returns on asset;quick ratio;Panel Smooth Transition Model;nonlinear relationship
Date:	2009
Issue Date:	2010-01-11 01:02:16 (UTC+8)
Abstract:	本研究以美國上市公司為例，探討其上市公司現金股利以及股價間的非線性關係，本研究採用Gonzalez,　Terasvirta and Dijk　(2004, 2005)所發展的縱橫平滑移轉迴歸模型（Panel smooth transition regression model, PSTR），以負債比率以及股東權益報酬率為模型中的轉換變數，並分析以速動比率為額外控制變數，探討美國上市公司現金股利以及速動比率對股價的影響。本研究以S&P 500指數中16家美國上市公司中石油、天然氣以及消耗性燃料產業(Oil, Gas and Consumable Fuels)為樣本選取，資料期間為1993年至2008年共計16年之年資料，以Panel data的資料型態作為實證分析資料。根據本研究實証結果顯示，當負債比率小於31.05%時，現金股利與速動比率對股價呈現正相關，當負債比率大於31.05%時，雖較高的現金股利發放仍表示個股擁有較高的股價，但速動比率已與股價呈現負相關；當股東權益報酬率小於0.0451以及位於0.0451和0.1056區間時，股價與現金股利呈現正相關，而與速動比率呈現負相關，當股東權益報酬率大於0.1056時，現金股利仍與股價呈現正相關，而速動比率也轉而與股價呈現正相關。 The purpose of the research is to examine the nonlinear relationship between stock prices and cash dividends based on the empirical data of 16 American firms classified as the category of Oil, Gas and Consumable Fuels Industry in S&P 500 index. The interval of dataset is 16 years so that the set is formed as a 16x16 panel and the empirical activities proceed as Panel Smooth Transition derived by Gonzalez, Terasvirta and Dijk (2004, 2005). The results show that there are only two regimes on the nonlinear relationship between stock price, cash dividend and quick ratis by the threshold parameter of debt ratio. Stock prices are positive relevant to cash dividends wherever the threshold parameter locates on but to quick ratio only when debt ratio exceeds 31.05%, negative relevant to quick ratio otherwise though. In the other case, we use returns on asset as the threshold parameter to detect the nonlinear relationship between the same endogenous and extraneous variables. The output represents that there exists two thresholds. Cash dividends are positive relevant to stock prices globally, especially on the second regime. On the other hand, when ROA is under 0.0451 or between 0.0451 and 0.1056, quick ratio is negative relevant to stock price. Moreover, quick ratio represents positive effect on stock price under the situation of ROA exceeds 0.1056.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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