哈尔滨工业大学毕业设计（论文）
20 原红旗.中国上市公司股利政策分析[J].财经研究.2001,03.
21 黄玲玲.股权结构与现金股利的关系——基于家族上市公司的实证研究.
重庆大学.2009,04.
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哈尔滨工业大学毕业设计（论文）
附录1
A Catering Theory of Dividends
Abstract
We document a close link between fluctuations in the propensity to pay dividends and catering incentives. First, we use the methodology of Fama and French(2001)to identify a total of four distinct trends in the propensity to pay dividends between 1963 and 2000.
Second, we show that each of these trends lines up with a corresponding fluctuation in catering incentives: The propensity to pay increases when a proxy for the stock market dividend premium is positive and decreases when it is negative. The lone disconnect is attributable to Nixon-era controls.
Keywords: Dividends; Payout policy; Catering; Dividend premium; Investor sentiment
1. Introduction
In an important paper, Fama and French(2001)document a major time-series shift in dividend policy. Between 1978 and 1999, the fraction of their Compustat sample that pays dividends fell from 67%to 21%. They trace part of this decline to a composition effect. In recent years, an increasing fraction of firms were small and unprofitable but apparently had strong growth opportunities, so they would not have been expected to pay dividends. However, even after accounting for this effect, Fama and French find a large decline in the residual “propensity to pay dividends. ” In this sense, dividends have been disappearing since 1978. In this paper, we ask whether the catering view of dividends in Baker and Wurgler(2003) sheds light on the propensity to pay dividends. That view argues that when investor demand for payers is high(low)and Modigliani-Miller-style arbitrage is limited, a stock price premium(discount) could appear on payers(nonpayers), and firms on the margin could then cater to the implied investor demand in an attempt to capture this “dividend premium. ” Thus, leaving aside its allowance of a role for sentiment, the catering view can be seen as a disequilibrium version of the clientele equilibrium view in Black and Scholes(1974). Baker and Wurgler construct proxies for the time-varying dividend premium, or catering incentive, and find that they help to explain the aggregate rate of dividend initiation and omission.
We start the current analysis by applying the methodology of Fama and French to earlier data. This leads to our first main finding: There are actually four distinct trends in the propensity to pay dividends between 1963 and 2000. The post-1977 decline is certainly the largest and longest, but the three earlier fluctuations are clearly evident. While these trends are interesting in their own right, more important for us is that they essentially quadruple the degrees of freedom
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哈尔滨工业大学毕业设计（论文）
available for our analysis. Our second main finding is that each of these four trends can be connected to a corresponding fluctuation in a proxy for catering incentives, the stock market dividend premium variable from Baker and Wurgler. This variable, measured annually, is defined as the log difference in the value-weighted average market-to-book of payers and the value-weighted average market-to-book of nonpayers.
Specifically, the dividend premium is positive in the mid-1960s, coinciding with the first(increasing)trend in the propensity to pay that we document. Then it falls to negative territory through 1969, suggesting a premium for nonpayers, and accurately predicts the onset of the second(decreasing) trend. The dividend premium goes positive once again in 1970 and remains positive through 1977. While the propensity to pay does not begin its third(increasing)trend until 1973 or 1975, depending on how this variable is constructed, there is a simple explanation for the brief misfit. In the early 1970s, Nixon’s Committee on Interest and Dividends actively discouraged increases in dividends in an effort to fight inflation. Once their artificial controls were lifted, however, the propensity to pay immediately resumed alignment with catering incentives. Most striking of all, the dividend premium goes back to negative values in 1978 and remains negative essentially through 2000. Thus it accurately predicts both the onset and continuation of the fourth(decreasing) trend, the post-1977 disappearance.
Further analysis firms up the link between catering incentives and the propensity to pay. Going beyond a qualitative correspondence, we find that the dividend premium is able to explain the actual magnitude of the post-1977 disappearance in an out-of-sample test. We also find that the dividend premium and changes in the propensity to pay forecast the relative stock returns of payers and nonpayers, which bolsters the argument that these variables were associated with a real or perceived mispricing driven by investor demand.
Finally, we conduct an exhaustive review of historical New York Times articles pertaining to dividends to better understand fluctuations in the investor demand for payers. This review suggests an intuitive pattern. The dividend premium tends to be negative, and the propensity to pay tends to decrease, when sentiment for growth stocks(characteristically nonpayers) is high, such as in the late 1960s and late 1990s. Following crashes in growth stocks, demand appears to favor the “safe” returns on payers, the dividend premium rises, and dividends appear. This appears to characterize the mid-1960s, early to mid-1970s, and perhaps the early 2000s.
In sum, our results profitably marry the work of Fama and French(2001)and Baker and Wurgler(2003). While more research on the demand side is necessary, our results establish that the catering view of the supply side offers an empirically successful account of the post-1977 disappearance of dividends as well as earlier appearances and disappearances. Of course, our results do not rule out that other influences affect the propensity to pay—recent work finds some effect of repurchases(Grullon and Michaely, 2002), executive stock options(Fenn
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哈尔滨工业大学毕业设计（论文）
and Liang, 2001), and asymmetric information(Amihud and Li, 2002)—but they raise the bar from explaining one trend to explaining four.
This paper proceeds as follows. Section 2 describes four trends in the propensity to pay dividends between 1963 and 2000. Section 3 matches these to catering incentives and Nixon-era controls. Section 4 explores evidence on investor demand. Section 5 concludes.
3. Catering incentives and the propensity to pay dividends
Here we document that the four historical trends in the propensity to pay dividends roughly coincide with four broad fluctuations in catering incentives. Once account is taken of the intervention by the Nixon administration in the early 1970s, the correspondence is all but perfect. We then show that these forces can statistically“explain”the post-1977 disappearance of dividends in an out-of-sample test. We close with a complementary analysis of stock returns. 3. 1. Catering incentives
Baker and Wurgler(2003)suggest that managers could try to cater to prevailing investor demand for dividends by paying dividends when investors are putting a premium on dividend payers, and not paying when the dividend premium is negative. While surely not the only omitted influence on dividend payment in Eqs. (1)and(2), catering incentives vary over time and to an extent are separate from firm characteristics. It is natural to examine whether they influence the propensity to pay.
We measure catering incentives between 1962 and 1999 using the“dividend premium” variable in Baker and Wurgler. It is defined as follows. Each year, we compute the book-value- weighted average market-to-book ratio for dividend payers and the average for nonpayers. The dividend premium is the difference between the logs of these averages. The market-to-book ratio used here is defined using the calendar-year end stock price, instead of the fiscal-year end price, but otherwise follows the definition given above.
Baker and Wurgler(2003)find that this variable is significantly correlated with other plausible measures of investor demand for dividends, including a high correlation with a dividend premium variable based on the dual-class structure of the Citizens Utilities company and a significant positive correlation with the average announcement effect of dividend initiators. It is also significantly negatively correlated with the future returns of a portfolio that is long payers and short nonpayers(although a formal predictive relationship is not established there). These correlations suggest that the dividend premium variable, while crude, is a reasonable candidate for measuring the relative investor demand for payers.
The catering theory involves dynamics in disequilibrium and thus essentially maintains that uninformed investor demand for dividend payers fluctuates faster than firms can or do adjust. A nontrivial dividend premium(or discount)appears, and firms are presumed to cater to the implied excess demand. The appropriate comparison is thus between changes in the propensity to pay and the beginning-- 28 -
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