中国上市公司现金分红实证分析

(116025),,(FCFEONCFNCF):???,1956(JohnLintner),1961(Miller&Modigliani),,,,,,(1976)(dividendpuzzle),,,,,1993(36%),1994,1995(40%,36%),19961999(35%,54%,59%,62%),2000200147%54%,,,:,,(1999),,(2001),,,(2000),,:,,,,,,(,2000);,,(,,2001);,,,(,1999),(),,,,,,,(),92200314©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,(cashisking),,:(1)??(2)()??(3)?,:;,:,:(/),,,,(freecashflowtoequity,FCFE)FCFE(),,=+,,,;,,:,(J.E.walter,1956),,,;,,(ROE),(1999),,(),,6%,23%,6%89%,911%,,(),12,,103199910,:,,,,,,,,ROE,,,,,,:=+;++=+++++=+++:=-;=-;=---=-++-=+++--=+--(+-)+=+--+:=-200314©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.11.(EPS)/()2.(ROE)/3.(ONCF)/()4.(FCFE)/()5.(NCF)/()6.(DPS)/7.(EPSR)/8.(ONCFR)/9.(FCFER)/10.(BAR)/11.(NPR)/12.(TA),,(ROE)(EPS),,(FCFE)(ONCF)(NCF),,,,FCFE,,,:2000=2000+(2000-1999)-(2000-1999)-[(2000-2000)-(1999-1999)]+2000+(2000-1999):=-,,1(),200261179,25%2000299,STPT,SPSSEXCEL,()2,299,209,70%,30%,EPS295,98%,FCFENCFONCF56%,67%79%,NCFONCF,(299,37,)FCFENCF,131999,2000,,,,,200314©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.2(90,30%)3(209,70%)()()()EPS8695%209100%29598%45%0042%FCFE5359%11755%17056%3741%9245%12944%ONCF6875%17083%23879%2225%3917%6121%NCF5662%14469%20067%3438%6531%9933%312:(1);(2),;(3),2,,11,(EPSRFCFER),:(1)01000105011001150120125,1(2),EPSRFCFER(2),90,209,EPS20%50%,100%14,,EPSR,FCFER109(100%17,FCFE92),50%,FCFE,FCFER,23200314©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.(3)(),,,,,(4),,,;(),FCFE(3),(DPS)EPSONCFFCFENCF(3),EPS,ONCF,299,,EPS,3EPSFCFEONCF3rSig.(2-tailed)EPS0187901000FCFE-0120301550ONCF0167101024NCF0118101594:0105,,(EPS)(ROE)(ONCF)(TA)(BAR)(NPR),(DPS),(299),(stepwise)(4),,,,(1999),(2001),(2001)(),,,,,,,,29916,ROEONCF,533200314©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.4UnstandardizedCoefficientsStandardizedCoefficientstSig.FR2BBeta(Constant)-1248-410801000115513586191410002915670123161498E-021287511331000-91110E-02-1168-310121003aDependentVariable(DPS);bmethodstepwise5ROEONCFROEONCFNCF,ROEONCFNCF,NCF,ROEONCFNCF,ROEONCFNCF,NCF,NCF,:ROE911;019;ONCF0135,:(1)ROEONCF,,,(2)ROE,ONCF,,43200314©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,;,,,,,,,(3),ROE,,,;,1.,,,,,2000,,,,,2.,,,,FCFE,,3.,ROEONCF,;ROEONCF,,,,,,.2000..,10.1999..,6.2000..,5.2000..,2,.2001..,4.2000..,2.2001.:.,2AswathDamodaran,.2000..PaulM.HEALY&KrishnaG.PALEPU,1990.EffectivenessofAccounting-BasedDividendCovenants,JournalofAc2countingandEconomics12,97123RichardA.BrealeyStewartC.Myers,1998.PrinciplesofCorporateFinance(5thEdition),53,200314©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.