股票市场流动性与公司股利政策外文翻译.doc

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 for 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 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 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 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 instantaneously 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 selling 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 with 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 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 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, 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 therefore 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 possible 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 literature 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 dividend 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 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 control 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 securities 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 common 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 variables 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, 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 and 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 our 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 stock 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 policy 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 determinant 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 future. 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 dividend 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 firms. 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 of 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 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 sensitivities. 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 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 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,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;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