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研究生： 張育瑄
Chang, Yu-Hsuan
論文名稱： 股票流動性與股利政策 : 來自台灣公司的證據
Stock Liquidity and Dividend Policy: Evidence from Taiwan’s Publicly Traded Firms
指導教授： 黃炳勳
Huang, Ping-Hsun
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2022
畢業學年度： 110
語文別： 英文
論文頁數： 29
中文關鍵詞： 股票流動性 、現金股息 、代理理論 、資訊不對稱 、內部人
外文關鍵詞： Stock liquidity, Cash dividend, Agency theory, Asymmetric information, Insider
相關次數： 點閱：189  下載：15 
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    • 本研究使用2015至2019 年期間在台灣證券交易所上市的 5,293 個公司作為觀察樣本，探討股票流動性對現金股息支付的影響。我的羅吉斯迴歸和 tobit 迴歸結果顯示，公司支付股息的機率和支付的水平隨著股票報酬率和相關交易量的增加而顯著增加。而當我使用了Amihuid的非流動性指標來衡量公司的股票流動性水平時，有相似的顯著結果。我的發現呼應了代理理論，即股票流動性減少了不對稱信息，從而增加了內部人支付現金作股息的動機。

    Using a sample of 5,293 firm-year observations listed on Taiwan stock exchange during the period 2015–2019, this study investigates the impact of stock liquidity on dividend payouts. My logistic and tobit regression results show that firms’ probabilities of paying dividends and their dividend levels significantly increase with their share turnovers and associated trading volumes. The result is similar when I alternatively use Amihud’s illiquidity variable to measure a firm’s stock liquidity level. My findings are consistent with agency theory that stock liquidity reduces asymmetric information and thus increases insiders' incentive to pay out excessive cash as dividends.

    摘要 I ABSTRACT II 致謝 III 1. INTRODUCTION 1 2. LITERATURE REWIEW 3 2.1 Theoretical background 3 2.2 Empirical studies 6 3. DATA DECRIPTION 9 3.1 Methodology 9 3.2 Variable 10 3.3 Sample 12 4. RESULTS 14 4.1 Logit regression model: the impact of stock liquidity effects and other independent variables on firms' dividend policy (DIV). 14 4.2 Tobit regression model: the impact of stock liquidity effects and other independent variables on firms' dividend policy (DPR and DY). 17 5. ROBUSTNESS TEST 18 6. CONCLUSIONS 19 REFERENCES 20 Table 1. Definitions of variables 23 Table 2. Spearman correlation matrix 24 Table 3. Descriptive statistics of the research sample 25 Table 4. Summary statistics for dividend-payers and non-dividend payers 26 Table 5. Stock market liquidity and dividend policy: logit regression 27 Table 6. Stock market liquidity and dividend policy: tobit regression 28 Table 7. Stock market liquidity and dividend policy: robustness test 29

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