1、 1 外文翻译 原文 A Catering Theory of Dividends Material Source:The journal of finance Author:Malcolm baker and Jeffrey wurgler Miller and Modigiliani(1961) prove that dividend policy is irrelevant to share value in perfect and efficient capital markets. In that setup, no rational investor has a preferenc
2、e between dividends and capital gains. Arbitrage ensures that dividend policy is irrelevant. Forty-plus years later, the only assumption in this proof that has not been thoroughly scrutinized is market efficiency.In this paper, we argue for a view of dividends that relaxes this assumption. It has th
3、ree basic ingredients. First,for either psychological or institutional reasons, some investors have an uninformed and perhaps time-varying demand for dividend-paying stocks. Second,arbitrage fails to prevent this demand from driving apart the prices of payers and nonpayers. Third, managers rationall
4、y cater to investor demandthey pay dividends when investors put higher prices on payers, and they do not pay when investors prefer nonpayers. We formalize this catering view of dividends in a simple model. The prediction of the model that we focus on in our empirical work is that the propensity to p
5、ay dividends depends on a dividend premium (or sometimes discount) in stock prices. To test this hypothesis, we use time-variation in four proxies for this dividend premium. The broadest one, which we simply call “the”dividend premium, is the difference between the average market-to-book ratio of di
6、vidend payers and nonpayers. The other measures are the difference in the prices of Citizens Utilities (CU) cash dividend and stock dividend share classes (between 1956 and 1989 CU had two classes of shares which differed in the form but not the level of their payouts); the average announcement effe
7、ct of recent dividend initiations; and the difference between the future stock returns of payers and nonpayers. Intuition suggests that the dividend premium, the CU dividend premium, and initiation effects are positively related to prevailing excess demand for payers. In contrast, the difference in
8、future returns of payers and nonpayers would be negatively related to this demandif demand for payers is currently so high that they are relatively 2 overpriced, their future returns will be relatively low. We then examine whether the aggregate rate of dividend initiations and omissions are connecte
9、d to these dividend premium proxies. The results on initiations are the strongest. Each of the four dividend premiumproxies is a significant predictor of the initiation rate. The lagged dividend premium variable by itself explains a remarkable 60% of the annual variation in the initiation rate betwe
10、en 1963 and 2000. We also find that when the initiation rate increases by one standard deviation, returns on payers are lower than nonpayers by nine percentage points per year over the next three years. Conversely, the omission rate increases when the dividend premium variable is low, and when futur
11、e returns on payers are high. The return predictability results are particularly suggestive of a time-varying mispricing associated with dividends. At face value, these results suggest that dividends are highly relevant to share price, but in different directions at different times. Moreover, the de
12、pendence of dividend payment decisions on the dividend premium proxies suggests that managers do cater to time-varying investor demand in an effort to maximize current share price. After a review of alternative hypotheses, we conclude that the results are indeed best explained by this catering dynam
13、ic. Explanations based on time-varying firm characteristics, such as investment opportunities or profitability, do not account for the results: the dividend premium variable helps to explain the residual “propensity to initiate” dividends that remains after controlling for changing firm characterist
14、ics, including investment opportunities, profits, and firm size using the methodology of Fama and French(2001). Many other features of the data are also inconsistent with this explanation. Alternative hypotheses based on time-varying contracting problems, Such as agency or asymmetric information, al
15、so do not address many key results, such as the connection between dividend payment and the CU dividend premium or future returns. We then investigatewhich source of investor demand creates the time-varying dividend premiumthat attracts caterers. One possibility is traditional dividend clienteles, s
16、uch as those discussed in Black and Scholes (1974), which are generated by taxes, transaction costs, or institutional investment constraints.One expects these clienteles to be satisfied by changes in the overall level of dividends,not the number of shares that pay them. But the evidence points the o
17、ppositewayinitiations and omissions are related to the dividend premium, but the aggregate dividend yield, the 3 aggregate payout ratio, and the aggregate rate of dividend increases are not. We also find that the relation between initiations and omissions and the dividend premium is equally apparent
18、 after controlling for plausible proxies for clientele demand. Another possibility is that the dividend premiumvariables are driven by sentiment. We tentatively endorse this explanation. One possibility is that when the dividend premium is high, investors are seeking firms that exhibit salient chara
19、cteristics of safety, including dividend payment; when it is low, investors prefer firms with the characteristics of maximum capital appreciation potential, which means no dividends. This view fits the full set of results well. Further evidence that points to sentiment is the positive correlation be
20、tween the dividend premium and the closed-end fund discount. In summary, we develop and test a catering view of dividends that relaxes the market efficiency assumption of the Miller and Modigliani dividend irrelevance proof. The theory thus adds to the collection of theories that relax other assumpt
21、ions of the proof. It also adds to the literature of behavioral corporate finance. Shefrin and Statman (1984) develop behavioral theories of investor preference for dividends based on self-control problems, prospect theory, and regret aversion. Our paper is closer to the line of research that views
22、managerial decisions as rational responses to security mispricing. For example, Baker and Wurgler (2000) and Baker, Greenwood, and Wurgler (2003) view security issuance decisions as responses to perceived mispricing, and Baker and Wurgler (2002a) develop this into a market timing view of capital str
23、ucture that relaxes the market efficiency assumption of the capital structure irrelevance proof. Shleifer and Vishny (2003) develop a market timing theory of mergers.Morck, Shleifer, and Vishny (1990), Stein (1996), Polk and Sapienza (2002), and Baker, Stein, andWurgler (2003) study corporate invest
24、ment in inefficient capital markets. Graham and Harvey (2001) and Jenter (2001) provide further evidence that managers react to mispricing, or at least the perception of mispricing. We propose a viewof dividends that is based on relaxing themarket efficiency assumption of the dividend irrelevance pr
25、oof. It adds to the collection of dividend theories that relax other assumptions of the proof. The essence of the catering theory is that managers give investors what they currently want. In the case of dividends, catering implies that managers tend to initiate dividends when investors put a relativ
26、ely high stock price on dividend payers, and tend to omit dividends when investors prefer nonpayers. A simple model formalizes the key trade-offs involved 4 and offers testable predictions. Our empirical work focuses on the prediction that the rates of dividend initiation and omission depend on the
27、current “dividend premium,” or the difference between the current stock prices of payers and nonpayers. We test this prediction by forming four stock price-based proxies for the dividend premium. We find that the aggregate initiation rate is significantly positively related to all four of our proxie
28、s. (In one case, this does not amount to more than a common trend.) In addition, the rate of omissionis significantly negatively related to two of the four dividend premium proxies. After reviewing alternative hypotheses,we conclude that catering is the most natural explanation. The results suggest
29、that dividends are highly relevant to share value, but in different directions at different times. Moreover, managers apparently recognize and cater to shifts in investor demand for dividend payers. We then inquire about the source of investor demand for dividends. We do not find much evidence that
30、it springs from traditional dividend clienteles. Instead, sentiment appears to be a key factor. This is suggested in the connection between the closed-end fund discount and the dividend premium variable,and in instrumental variables estimates of the effect of the dividend premium on dividend payment
31、. In Baker and Wurgler (2002b), we review academic histories of the capital markets and historical news articles to better understand why investor attitudes toward dividends have changed over time. Finally, we remind the reader that both the model and the empirical results are about the discrete dec
32、ision whether to pay dividends, not how much to pay.Once dividends are initiated, increases and decreases appear to be governed more by firm-level profitability than by the relative valuations of payers and nonpayers. Thus in terms of aggregate economic significance, catering explains the number of
33、payers but not the total payouts by existing payers. As a result,we suggest that catering be taken as a building block in an overall descriptive theory of dividend policy. 5 译文 餐饮股利理论 资料来源 :金融杂志 , 2004（ 06） . 作者：马尔科姆贝克和杰弗瑞沃勒 米勒和摩的吉拉尼 (1961)证明了股利政策与股票价值在完善和高效率的资本市场上是毫不相关的。在这个设定下 ,合理的投资者没有在股息和资本收益之间的特
34、选。套利可以确保股利政策是毫不相关的。 四十多年过去了 ，还没有被彻底审查证明 其 唯一假设是市场 效应。 本文中，我们为股息 政策 放宽这一假设争论。它有三个基本要素 ， 首先，无论是心理 还是 体制的原因，也许随时间变化 的需求 一些投资者 对 支付股息 的 股票的不了解。其次，除了价格这一需求 ,套利未能防止 主导 的纳税人 成为未被支付者 。第三，管理者合理迎合投资者的需求， 当 他们支付股利时，投资者对纳税人提出更高的价格，他们不支付时，投资者宁愿 不支付 。我们在一个简单的模型 证实 这种对 红利 规定 的看法 。 该模型是 根据 我们的经验 和 我们的工作重点 来 预测 建立的
35、， 并且根据 倾向支付股息股票价格的溢价（或有时折扣）而定。为了检验这一假设，我们 用 四个代理 使用的 时间 作 为此项股息溢价变化 的时间 。最 普遍 的一个，我们简单地称之为 “ 红利溢价 ” ，是与市场平均对书派息和 不缴纳 比例 的 差异。另一措施是公用事业中的公民（ CU）的现金股利和股票 红利份额类 的价格差（ 1956 年至 1989年有两个类别的股份的形式不同，但不是他们的支出水平）， 其结果表明 最近发起股息和纳税人之间的未来股票收益 存在 差异。直觉告诉人们，保费分红，红利溢价开始影响到当前纳税人的超额需求 并且呈正相关 。与此相反，在未来的回报付款人和 不缴纳 差别是
36、呈 负相关 的 ，这方面对纳税人的需求是如此之高，如果 他们目前 的 相对过高， 会导致 其未来的回报会比较低。 然后，我们研究 关于 发起的股息率和遗漏是否总 会联系 到这些红利溢价代理 。结果发起的股息率的影响 是最强的。四股息 代理保费 每一个都 是 起始率有显著 的 预测 。红利本身的滞后变量解释了保费在 1963 年至 2000 年引发速率的年际 显著 变化 60。我们还发现，当一个标准差引发速率的增加，对 付款人的回归低于不缴纳的每年九个百分点在以后的三年 。相反，漏报率增加时股利保费变低，而当对纳税人未来的回报也高。 回归结果的具有可预测性，特别是具有和分红相关的并且随时间变化的
37、错误定价暗示。 就 票面价值 而言 ，这些结果表明，股息 与股票形式是高度相关的用不同的方向在不同的时刻 。此外，对股息红利代理 保费的决定表明，经理人的依赖 是随时间变化的，是为了最大限度地提高当前股价投资者的需求 而变化的 。经过审查替代假说，我们得出这样的结论确实是最好的结果 ， 是这个饮食动态 的 解释。基于解释时变特征，如公司的投资机会或盈利，不 仅仅 为取得的 结果 ：股6 息保费变 化 有助于解释残余 “ 倾向，倡导 ” 分红后改变公司特征，包括 改变 投资的机会仍然 被 控制，利润和企业规模使用的方法和法国法玛（ 2001） 等，数据 许多其他 特点 也与这个解释不一致。基于时
38、间的替代假说变承包的问题 。 作为这些机构和信息部对称 ，也没有解决许多关键 问题， 例如中和 CU 股息红利 溢价或连接未来收益的结果。 随后 ，我们 调查 投资者的需求来源 ， 创造了随时间变化的股息 溢价 吸引供应商。一种可能性是传统的分红的客户群，如在布莱克和斯科尔斯（ 1974 年）中谈到的，这是由税收 ,交易成本，或机构投资 来限制。 预计这些客户群被更改 ，满足了整体水平所产生的股息，薪酬都挺不错的 ， 而不 仅仅 是股份 。 但是证据点 相反 ，发起和遗漏有关股息溢价，但总股息收益率，总支出比例，增加总量的股息率都没有 变化 。我们还发现，发起和遗漏之间的关系是保费分红同样明显
39、的需求后，为客户代理 所 合理控制 的 。 另一种可能性是，股息 溢价变量 是由情 绪驱动的。我们初步赞同这种解释。这种 可能性是，当红利溢价高，投资者正在寻求企业的安全表现出鲜明的特色，包括股息，当它是低，投资者 更喜欢最大资本潜力特征的企业 ，这意味着公司没有分红的特点。这种观点 很好的符合全套的结果 。 进一步的指向情绪与优质股息和定额基金折扣正相关 。 总之，我们开发和测试的餐饮股息认为，放宽对米勒和莫迪利亚尼股利无关市场效率假设的证据。从而增加了该理论 的论证 ，放宽证明其他假设。它也增加了企业融资行为的文献。 舍福林 和 斯德曼 （ 1984） 开发投资者特选的行动理论根据自我控制
40、的股息，勘察理论，并且 后悔反感 。我们 的理论更接近 以安全管理决策的错误定价的理性反应 的 研究 思路 。例如，贝克和 沃勒 （ 2000）和贝克，格林伍德和 沃勒 （ 2003）查看证券发行的决定，以知觉错误定价的反应，贝克和 沃勒 （ 2002 年）发展成为资本结构市场时机认为，这 是 放宽市场效率假设的资本结构无关的证明。 舍尔佛 和 卫诗 （ 2003 年）制定的 兼并 .默克 ，施莱弗市场时机理论，和 卫诗 （ 1990），斯坦因（ 1996 年），波尔克和罗马大学（ 2002），贝克施 .泰因 和沃勒 （ 2003）研究企业投资效率低下资本市场。格雷厄姆和 哈维（ 2001）和
41、简特（ 2001）提供进一步的证据，管理人员应对错误定价，或至少表示定价的看法。 我们提出 根据股息不相关证明的松弛效率提出假设的股息 。它增加了股利理论，放宽证明其他假设的集合。 餐饮理论的精华是经理 给予投资者他们目前想要的。在股息的情况下，餐饮 理论意味着当投资者分红派息相对高价格的股票 ， 并往往省略分红时， 投资者宁愿 不缴纳 。一个简单的模型形式化的关键权衡参与，并提供可检验的预测。 我们的实证工作的重点是预测，启动和遗漏的股息率取决于当前的 “ 红利7 溢价 ” ，或者纳税人之间的当前股票价格和 不缴纳 差异。我们测试这个成形四个股票股利溢价 价格为基础的代理预测。我们发现，总引
42、发速率 与我们所有代理的四个股票显著正相关 （ 这是一种情况 ，这并不等于多个普遍的趋势） 。 此外，四个代理保费 与 两个 遗漏 股息率 显著 负相关。 回顾 替代假说 后 ，我们认为， 餐饮理论 是最自然的解释。结果表明，股息 与 股票价值高度相关，但在不同的时间不同的方向。此外，管理人员显然 认可 并满足投资者需求变化的派息。 最后 ，我们询问有关投资者对股息的需求来源。我们没有找到太多的 它与传统顾客群反弹的 证据。 反而 ，情绪似乎是一个关键因素。这是建议在与封闭式基金折价和溢价股息 变化的 连接 上的 ，并 且是 关于股息 红利溢价效应的估计。在贝克和 沃勒 （ 2002）， 我们回顾资本市场和历史新闻文章的学术历史更好了解股息的投资者的态度为什么随着时间的推移改变了。 最后，我们提醒读者，无论是模型 还是 实证结果的决定 都 是对离散是否支付股息，而 不是支付多少 。 一旦 股息 方案 启动， 相对与 纳税人和 不缴纳 的对价格 的影响， 增加和减少 股息 似乎是受企业层面的盈利能力 影响更多 。因此，在经济总量意义上， 餐饮理论 解释了纳税人的数量，但不是现有纳税人总支出。因此，我们建议 其 作为 关键的一部分 采取整体股利政策的描述性理论。
