1、 外文翻译 原文 Dividend Policy and Inflation in Australia: Results from Cointegration Tests Material Source: http:/www.ccsenet.org/journal/index.php/ijbm/article/view/2293 Author: Tobias Basse Abstract This paper examines the relationship between dividends and inflation in Australia by testing for cointeg
2、ration between these two variables. The results of the tests indicate that inflation is contributing to dividend growth. This finding can be interpreted in different ways. Trying to follow a dividend policy which is perceived to be optimal Australian firms may, for example, believe that there is a d
3、esirable level of real dividend income to be paid out to their investors. A second possible interpretation of the results would be that inflation simply increases the nominal volume of corporate earnings and thereby leads to higher dividend payments. Keywords: Dividend policy, Inflation, Cointegrati
4、on, Stock market 1. Introduction This paper provides an analysis of the relationship between dividends and inflation in Australia by testing for cointegration between these two variables. Finding a statistically significant stable long-term relationship between dividends and the price level would be
5、 quite interesting. In fact, this approach offers a new perspective on two of the most important problems faced by the modern theory of finance. The first of these two major issues is to explain why firms pay dividends. The second important question is whether stocks are a useful hedge against infla
6、tion. Obviously, the approach suggested here will not give direct answers to these questions but will help to analyse the relationship between inflation and the dividend policy of Australian firms. The paper is organized as follows: Section 2 and 3 briefly review issues related to the optimal divide
7、nd policy of a firm and the relationship between inflation and the stock market. The fourth section describes the data sets examined. Section 5 presents the results from the cointegration tests. The final section concludes by discussing the implications of the empirical evidence presented in this pa
8、per. 2. Dividend Policy Assuming that capital markets are perfect and that there exist no taxes and Miller and Modigiliani (1961) have argued that the value of a firm is not affected by its dividend policy. Therefore, dividend changes have no economic implications and there is no optimal dividend po
9、licy for a firm. This Dividend Irrelevancy Hypothesis is based on the argument that dividends are paid from earnings and that investors do not prefer dividends to capital gains or vice versa. In fact, given that the tax laws of many countries discriminate against dividend income by taxing dividends
10、more heavily than capital gains there even are strong arguments against dividend payments. However, dividends are regularly paid by many firms. Agency theory may give a justification for the existence of dividend payments. Most importantly, trying to overcome information asymmetries the management o
11、f a firm can use dividend changes to signal revised earnings expectations to its investors. Testing this hypothesis has produced mixed empirical evidence. Allen and Michaely (1995) have provided an excellent survey of the literature and have noted that much work remains to be done. Taking a similar
12、view, Collins, Saxena, and Wansley (1996) have argued convincingly that the dividend policy issue is yet unresolved. 3. Stock Prices and Inflation Many investors seem to believe that stocks are a useful hedge against inflation. Generally speaking this assumption is based on the argument that stocks
13、are claims on real capital. At first sight it seems to be very convincing to assume that inflation by definition increases the nominal value of real capital and therefore leads to higher stock prices. A more detailed view on the relationship between inflation and the stock market reveals a quite sim
14、ple mechanism that can help to explain why there should be a positive relationship between inflation rates and stock returns: Higher prices increase the revenues of firms leading to higher corporate earnings and-ultimately-to an increase of stock prices. While this mechanism is intuitively appealing
15、, there are some obvious problems. As a matter of fact, Campbell and Shiller (1988) have pointed out that two countervailing trends are present. First of all-and as already noted-inflation raises corporate earnings and increases future expected dividends. This effect is, of course, positive for stoc
16、k returns. But there is also a second important effect of higher inflation rates. Namely, inflation increases the discount rate (via the Fisher effect) and therefore lowers stock prices. Given the existence of these two countervailing trends the mixed empirical evidence documented in the literature
17、is no surprise at all. At least in the short run there is no clear picture. In fact, many econometricians have reported that stock returns and inflation rates are negatively correlated. Brenner and Galai (1978), for example, have presented a survey of earlier empirical studies. These studies in gene
18、ral seem to show that the inflation rate and stock returns are negatively related. Therefore, the empirical evidence published in the seventies seems to indicate that stocks are a poor hedge against inflation. In spite of the negative contemporaneous correlation of stock returns and inflation most f
19、inancial economists today seem to accept the idea that inflation has a positive effect on stock returns in the long run. Boudoukha and Richardson (1993) as well as Kolari and Anari (2001) have reported empirical evidence indicating that stocks can indeed serve as long-term inflation hedge. 4. Data I
20、nflation is measured using the Australian All Groups Consumer Price Index which is reported on a quarterly basis by the Australian Bureau of Statistics. The index is based on a basket of goods and services known to account for a high proportion of the consumption expenditures in Australia and theref
21、ore is accepted as official measure of inflation. In fact, monetary policymakers in Australia use CPI inflation as target (see, for example, Heath, Robots and Bulman (2004).The current reference base period of the Australian All Groups Consumer Price Index is 1989-90. The Australian All Ordinaries I
22、ndex is usually used as proxy for the performance of the Australian stock market. This index consists of the 500 largest companies listed on the Australian Stock Exchange (measured by market capitalization) and therefore is a broad measure of stock market activity. Marrett and Worthington (2008), fo
23、r example, have argued that the All Ordinaries covers about 92% of Australian companies by market value. Consequently, many investors seem to believe that the All Ordinaries Index is a suitable market indicator for Australian stocks. Data on the volume of dividends paid by the index constitutes is p
24、rovided by Bloomberg (dividend per index share). Bloomberg reports data on dividends starting in the second quarter of 1999. Thus, there are just enough data points to perform cointegration tests. 5. Empirical Analysis According to ADF-tests (not reported) both the Australian consumer price index (C
25、PI) and the All Ordinaries stock market index dividend time series are nonstationary. As a consequence, the cointegration test developed by Johansen (1991) is used to search for a long-term relationship between the two variables. The results of the test for cointegration between consumer prices and
26、the All Ordinaries stock market index dividend time series are reported in table 1. The test statistics indicate quite clearly that cointegration is a relevant phenomenon. Therefore, a stable long run relationship between dividends and the price level seems to exist. In other words, both variables f
27、ollow a common trend. This result does not depend on the choice of the CPI as the measure of inflation. Table 2 shows that the dividend time series and the Australian GDP price deflator are also cointegrated. Table 1. Cointegration between dividends and the CPI Table 2. Cointegration between dividen
28、ds and the GDP price deflator Finding cointegration between dividend payments and the price level does not necessarily imply that stocks are a good hedge against inflation because dividends are only one source of equity market returns. However, the results reported above do suggest that inflation is
29、 contributing to dividend growth. There are different possibilities to interpret these empirical findings. In fact, Australian firms may assume that there is a desirable level of real dividend income to be paid out to their investors. This would imply that the corporate sector does indeed believe in
30、 the existence of some sort of optimal dividend policy. A second (and probably less noteworthy) interpretation of the results reported in table 1 and 2 would be that inflation simply increases the nominal volume of corporate earnings. Given that dividends are paid from earnings this could imply that
31、 the corporate sector also increases dividend payments. 6. Conclusion The empirical evidence presented above indicates quite clearly that there is a stable long run relationship between dividend payments and the price level examining data from Australia. Finding cointegration between the consumer pr
32、ice level and the dividends payments of Australian firms does not necessarily imply that stocks are a useful hedge against inflation-especially not in the short run. This study can also not help to explain why firms pay dividends at all. However, the cointegration tests reported above do indicate th
33、at dividend changes are related to the phenomenon of inflation. As a matter of fact, firms seem to increase their dividend payments facing an environment of a rising price level in order to stabilize the real value of dividend income. Therefore, higher inflation is a major driver of dividend increas
34、es. This finding does have a number of interesting implications. Most importantly, a higher variability of inflation may distort the ability of firms to use dividend changes to signal revised earnings expectations to their investors. 译文 澳大利亚的股利政策和通货膨胀：通过协整检验得出结论 资料来源 ： http:/www.ccsenet.org/journal/
35、index.php/ijbm/article/view/229 作者 ： Tobias Basse 摘要 本文通过协整检验探讨了澳大利亚的股利和通货膨胀这两个变量的关系。测试结果表明，通货膨胀促进了股利的增长。这个发现可以用不同的方式解释。试图调查一家被认为可能是澳洲最佳公司的股利政策，例如，认为有一家会真正支付给他们投资者最优股利的公司。第二个这种结果的解释可能是通货膨胀只是增加了 企业盈利的标称容量 ，从而导致更高的分红。 关键词 ： 股利政策；通货膨胀；协整；股市 1引言 本文通过协整检验解释了澳大利亚的股利和通货膨胀这两个变量的关系。找到一个股利和价格水平在 统计学上 长期稳定的关系将
36、是非常 有趣。事实上，这种方法提供了 现代金融经济学 所面临的最重要的两个问题的新视角。这两个主要问题首先要解释的是企业为什么要支付股利。第二个重要的问题是，股票是否是 防止通货膨胀的 有效 措施 。 显然，对于这些问题在这里建议的方法将不会给予直接回答，但将有助于分析澳大利亚公司的股利政策与 通货膨胀 的关系。本文结构如下：第二和第三部分分别简要回顾一下一个公司的最优股利政策和通货膨胀与股市的关系的有关问题。第四部分介绍了数据集检查。第五部分提出了协整检验的结果。最后一部分总结了通过讨论本文提出的的实证研究数据的影响 。 2股利政 策 Miller 和 Modigiliani(1961)已经
37、指出，假设资本市场是十全十美的，没有税收存在，那一个公司的价值是不受它的股利政策影响的。因此，对一个公司而言股利变动没有经济意义，也没有最优股利政策。该股利无关论假说是基于从盈利中支付股利而投资者不喜欢股利更喜欢资本收益这样的论点，反之亦然。事实上，鉴于许多国家的税法通过对股息收入征收比对资本收益征收的税额更高的税来遏制股息收入，人们甚至还有强大的论据来反对分红。 然而，一些公司仍定期支付股利。 代理理论可以给股利支付一个存在的理由。最重要的是，试图克服 信息不对称的公司的管理者能利用股利信号变化来 通知 投资者 调整 预期收益。检验这个假说已产生了混合的实验证据。 Allen 和 Micha
38、ely(1995)已经提供了一部优秀的文献调查，并指出仍有许多工作要做。采取了类似的观点， Collins， Saxena和 Wansley(1996)令人信服地指出股利政策问题尚未解决。 3 股票价格和通货膨胀 许多投资者似乎认为股票是有效防止通货膨胀的保障。一般来说这个假设基于股票是实际资本的要求权的论点。 乍一看，它似乎是非常有说服力的假设，通货膨胀顾名思义是增加实际资本名义上的价值， 从而导致较高的股票价格。一个对通货膨胀和股市的关系更详细的看法显示一个相当简单的机制，可以帮助解释为什么通货膨胀率与股票收益率呈正相关：价格上升增加了企业的收入致使企业盈利增加 最终导致股票价格上升。虽然
39、 这个机制具有直观的吸引力，但是也有一些明显的问题。事实上， Campbell 和 Shiller(1988)指出 两个反补贴趋势的存在。首先如前所述，通货膨胀增加了企业盈利和预期股利。当然，这种效果是股票收益的积极面。但较高的通货膨胀率也有第二个重要作用。也就是说，通货膨胀增加折扣率（通过 费雪 效应），因此降低了股票价格。鉴于这两个反补贴趋势的存在，文献中记载的混合实验证据是毫不奇怪的。至少在短期内没有清楚的认识。事实上，许多计量经济学家报告说，股票收益和通货膨胀率呈负相关。例如， Brenner 和 Galai(1978)已经提出早期的实证研究调查。一般来说，这些研究似乎表明通货膨胀率和
40、股票收益率呈负相关。因此，在七十年代出版的实验证据似乎表明，股票不能有防止效通货膨胀。尽管当时的股票收益率与通货膨胀率成负相关，但是大多数金融经济学家似乎接受从长远来看通货膨胀对股票收益会产生积极影响的观点。 Boudoukha 和 Richardson(1993)以及 Kolari 和 Anari(2001)的实证证据表明，股票的确可以作为长期防止通货膨胀的保障。 4数据 通货膨胀是根据澳大利亚统计局的季度报告所有团体消费物价指数来衡量的。 该指数是根据占澳大利亚消费支出比例高的一大堆商品和服务因此可以正式接受用来衡量通货膨胀。事实上，澳大利亚的货币政策制定者使用 消费者物价指数 通货膨胀作
41、为目标（例，见 Heath, Robots and Bulman(2004)）。 目前的参考澳大利亚所有团体消费物价指数的基期为 1989-90。澳大利 亚所有普通股指数通常是用来作为澳大利亚股市业绩的代理。 该指数由澳大利亚证券交易所最大的 500 家上市公司组成的（以市值计算）， 因此对股市是一个广泛的衡量标准。例如 Marrett 和 Worthington(2008)争辩说，所有普通股涵盖澳洲公司约 92%的市值。因此，许多投资者似乎认为，所有普通股指数是一个可以作为澳大利亚股市合适的市场指标。在该指数所支付的股息量构成的数据是由 Bloomberg提供的 （每指数股票股利）。 Blo
42、omberg 报告了在 1999 年第二季度开始分红的数据。因此，有足够的数据指向进行协整检验 。 5实证分析 据亚洲开发基金测试（未报道）澳大利亚 消费者物价指数 （ CPI）和所有普通股股利股市指数时间序列都是不平稳的。因此， Johansen(1991)发明的 协整检验的是用于寻找两个变量之间的长期关系。表一显示消费者价格和所有普通股股利股市指数时间序列之间的协整检验结果。测试数据显示很清楚，协整是一个相关的现象。因此，股息和价格水平似乎存在一个长期稳定的的关系。换句话说，两个变量都遵循一个共同的趋势。这种结果并不取决于消费者价指数作为衡量通货膨胀的选择。表二表明，股息的时间序列和澳大利
43、亚国内生产总值价 格紧缩指数也有长期均衡关系。 表一 股利与 消费者物价指数 间的协整。 表二股利与 国内生产总值价格紧缩指数间的协整。 找到股利支付与价格水平间的协整 并不一定意味着股票是一个有效防止通货膨胀的保障，因为股利只是一个公平市场回报的来源。不过，上述报告结果确实表明，通货膨胀是促进红利增长的。有不同的可能性，解释这些实证研究结果。事实上，澳大利亚公司可假设为支付给他们的投资者真正的最优股息收入的水平。这将意味着企业部门确实认为存在一些最佳股利政策。第二个（也可能更少值得注意）解释表一和表二的结果通货膨胀简单地增加了企 业盈利的标称容量。鉴于从收入中支付股息，这可能意味着企业部门也
44、增加股利支付。 6结论 上面介绍的来自澳大利亚研究数据的实验证据十分清楚地表明，股利支付和价格水平有一个长期稳定的关系。找到澳大利亚公司股利支付与消费者物价水平的协整并不一定意味着股票是有效防止通货膨胀的保障，尤其是在短期内不能有效防止。这项研究对于解释公司为什么要分红一点儿也没有帮助。不过，上面所述的协整检验表明，股利变化与通货膨胀的现象有关。由于事实上，公司在面临一个价格水平上升的环境中似乎会增加股利支付来稳定的股息收入的实际价值。因此，较 高的通货膨胀是股利增加的主要动力。这一发现确实有一些有趣的含义。 最重要的是， 公司可以利用改变股利这一信息来通知投资者们要更改预期收益，但较高的通货膨胀变动扭曲了公司的这一能力。
