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| 研究生： |
楊子儀 Yang, Tzu-Yi |
|---|---|
| 論文名稱： |
股利政策的代理問題與風險組成 The agency problem and risk composition of dividend policy |
| 指導教授： | 盧敬植 |
| 口試委員: |
張元晨
姜堯民 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2023 |
| 畢業學年度： | 111 |
| 語文別： | 中文 |
| 論文頁數： | 47 |
| 中文關鍵詞： | 股利支付率 、代理問題 、過度投資 、盈餘管理 、股票報酬拆解模型 、未預期報酬 、現金流訊息 、報酬率訊息 |
| 外文關鍵詞： | Expected-return news, Dividend payout ratio, Agency problems, Overinvestment, Earnings management, Return-decomposition framework, Unexpected stock return, Cash-flow news |
| 相關次數： | 點閱：34 下載：3 |
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本研究主要在股票報酬拆解模型架構下，以未預期報酬波動作為公司風險的變數，並將未預期報酬拆解成現金流訊息和報酬率訊息，現金流訊息和報酬率訊息的波動度分別代表著現金流風險和折現率風險，能夠探討不同股利政策公司風險的組成，以及討論和股利政策相關的代理問題與公司風險之間的關聯性，本研究討論的代理問題包括過度投資問題與盈餘管理問題。實證結果顯示，股利支付率越低，公司的未預期報酬的波動程度越低，風險組成中主要來自現金流訊息。此外，過度投資和盈餘管理的問題都會隨著股利支付率的上升而下降，並且這兩種代理問題與公司風險之間的關聯性也會隨著股利支付率的上升而減少。在低股利支付的公司中，這兩種代理問題和現金流風險與折現率風險都呈現顯著正相關。
The main objective of this study is to analyze the composition of company risk under the return-decomposition framework, where unexpected return volatility serves as a proxy for company risk. The return-decomposition framework decomposes unexpected returns into cash-flow news and expected-return news, with the volatility of cash-flow news and expected-return news representing cash flow risk and discount rate risk, respectively. This allows for the examination of the composition of company risk under different dividend policies, as well as the discussion of agency issues related to dividend policy and their relationship with company risk. The agency issues discussed in this study include the problems of overinvestment and earnings management.
Empirical results indicate that as the dividend payout ratio decreases, the volatility of unexpected returns for the company also decreases, with cash flow news being the primary source of risk composition. Furthermore, both overinvestment and earnings management issues decrease as the dividend payout ratio increases, and the relationship between these two agency issues and company risk also diminishes with an increase in the dividend payout ratio. In companies with low dividend payouts, both of these agency issues exhibit a significant positive correlation with cash flow risk and discount rate risk.
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與結果 2
第二章 文獻回顧 3
第一節 股利政策 3
第二節 股票報酬拆解模型 4
第三節 盈餘管理模型 6
第三章 研究方法 8
第一節 資料處理 8
第二節 變數定義 9
第三節 研究方法與實證模型 15
第四章 實證結果 19
第一節 敘述統計 19
第二節 股票報酬拆解模型參數估計 24
第三節 股票報酬拆解模型結果 25
第四節 代理問題與股利政策的分析結果 30
第五節 代理問題與公司風險的分析結果 32
第六節 代理問題與Nr、Ncf的分析結果 38
第五章 結論與建議 44
第一節 研究結論 44
第二節 研究限制與後續建議 45
參考文獻 46
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