| Abstract: | 本研究旨在探討我國上市(櫃)公司之現金股利與股價報酬之縱橫平滑移轉效果，嘗試運用Gonza′lez, Teräsvirta and Dijk（2004, 2005）之縱橫平滑移轉迴歸模型，驗證現金股利對股價報酬是否存在縱橫平滑移轉效果，使得現金股利對股價報酬的影響變化呈現非線性關係，進而對於股價報酬受控制變數的影響進行評估與衡量。
實證結果發現，現金股利與股價報酬之間確實存在縱橫平滑移轉效果及非線性關係。而在「全產業組」方面，在現金股利為0.1元時產生一轉換區間且移換速度為2.0764，使得模型在轉換門檻值附近形成一平滑的轉換過程。此外，在「高現金殖利率組」方面，在現金股利為0.7738元時產生一轉換區間且移換速度為1.6793，亦使得模型在轉換門檻值附近形成一平滑的轉換過程。
控制變數對股價報酬之影響方面，隨著現金股利的增加，負債比率對股價報酬呈顯著的正向影響，代表提高負債比率，將促使股價報酬上升。每股盈餘對股價報酬的影響為呈現負相關，尤其是對高現金殖利率公司的負向影響程度特別顯著。淨值報酬率對股價報酬雖無顯著影響，但仍呈現正相關。至於現金殖利率對股價報酬則呈現顯著負向影響，然而隨著現金股利的增加，現金殖利率對股價報酬的影響程度則逐漸轉為不顯著，但仍呈現負相關。因此，建議擬定投資策略時，不能僅端看現金殖利率很高，就盲目地大量長期投資，仍需多參考公司財務面的相關資訊（如：負債比率、每股盈餘…等），投資人可參考本文結論，對照自身的投資組合，擬定適當的投資策略。
This study is to investigate the panel smooth transition effect associated with cash dividend and stock return on the empirical data of listed company in Taiwan Stock Exchange. Utilizing the panel smooth transition regression model developed by Gonza′lez, Teräsvirta and Dijk（2004, 2005）, we test whether cash dividend can cause the panel smooth transition effect on stock return. In addition, we assess and weigh stock return by the influence of independent variables.
The results show that cash dividend has the panel smooth transition effect with stock return. For all listed companies in Taiwan Stock Exchange, the panel smooth transition regression model between cash dividend and stock return produces a smooth transition at
NT$ 0.1, because the transition speed is only 2.0764 that makes the model form a smooth transfer process close to transition threshold value. In addition, for companies with high cash dividend yield, the panel smooth transition regression model between cash dividend and stock return produces a smooth transition at NT$ 0.7738, because the transition speed is only 1.6793 that makes the model form a smooth transfer process close to transition threshold value.
We also examine the influence of controlling variables. With the increase in cash dividend, debt ratio has a significant positive effect on stock return, on behalf of improving debt ratio, can be paid up stock return. Earnings per share on the stock return is negatively correlated, especially in companies with high cash dividend yield negative impact is particularly significant. Although return on equity is not significant impact on stock return, but still shows a positive correlation. Cash dividend yield has a significant negative effect on stock return. However, with the increase in cash dividend, cash dividend yield is not significant impact on stock return, but still shows a negative correlation. Therefore, suggesting that we can not only depend on a high cash dividend yield when makng investment strategies, we still need to reference more information about the financial side（such as: debt ratio, earnings per share …etc.）, investors can refer to this conclusion to control their own investment portfolio and develop appropriate investment strategies. |
