股利公告對股東價值的影響
Impact Of Dividend Announcement On Shareholder Value
 

不同的研究表明，股利支付對股票持有者的價值在稅收和市場不完善的情況下沒有影響。當企業有盈余的時候，他們應該把它投資于具有積極凈現值的項目上。另一種方法是，股票價值取決于預期未來的股票股利。因此，公司必須努力體現一個可持續增長，同時宣布股息。本研究探討股利公告對股東價值的影響。本研究以卡拉奇證券交易所上市的17家分紅公司為研究基礎。研究結果表明，投資者未從股利公告中獲得信息，但在30天內通過前20天分紅后的股利公告在期限內失去了一定的價值。研究結果支持假設的股息不敬，沒有效益分紅公告股東。
 
企業法人的終極目標是股東價值最大化。為了實現這一目標，財務經理需要三種重要的決策。第二個決定是投資和融資決策，第三個是關于把股利支付給股東。現在的問題是，支付股息是否增加股東價值。股利平均獎勵公司的股東，所以它是由股票價值下跌調整（波特菲爾德1959和1965）。一般來說，股東更傾向于現金股利，而理性是稅收模式。與資本收益相比，通常股息按較高稅率征稅。所以，如果我們忽視了稅收和其他限制的假設，那么股利宣告對股東價值沒有影響（米勒和莫迪利亞尼，1961）。

投資者價值一美元的預期股息高于預期資本收益的美元，因為股息率成分是不那么高風險的增長成分。

Different studies suggest that dividend payment has no impact on share holder value in the absence of taxes and market imperfection. Whenever companies have surplus earning, they should invest it in projects having positive net present value. Another approach is that, the stock value depends upon expected future dividend of that stock. So companies must try to reflect a sustainable growth while announcing dividends. This study is to examine the impact of dividend announcement on shareholder value. This study is based on 17 dividend paying companies, listed on Karachi Stock Exchange. The result shows that investors did not gain from dividend announcement, but lost some value over a period of 30 days prior to dividend announcement through 20 days after ex-dividend date. Results of study is supporting the dividend irreverence hypothesis, that there is no benefit of shareholder in announcement of dividend.

Literature Review:——文獻綜述

The ultimate objective of any corporate entity is to maximize the shareholder value. For the accomplishment of this objective, Finance managers take three kinds of important decisions. First two decisions are investment and financing decisions and the third one is regarding dividend payment to shareholders. Now the question is that whether the payment of dividend increases shareholder value or not. As dividend mean reward that shareholders already own in a corporation, so it is adjusted by decline in stock value (Porterfield 1959 and 1965). Generally shareholders prefer capital gain over cash dividend and the reason is tax pattern. Normally dividend is taxed at high rate as compared to the capital gain. So if we neglect the assumption of tax and other restrictions, then dividend announcement has no impact on shareholders’ value (Miller and Modigliani, 1961).#p#分頁標題#e#

Investors value a dollar of expected dividend more highly than a dollar of expected capital gain because the dividend yield component is less risky as compared to growth component. (Gorden 1963) If a firm pay the whole part of its earning as dividend then it is most possible that there will be shortage of funds for investment which may cause decrease in dividend in the future. Another related approach is that dividend announcement effect the market price of stocks because it carries the information of future cash flow of firm (Bhattacharya 1979, Baryosef and Huffman 1986).

Shareholders have no benefit in the announcement of dividend. As the shares value falls from thirty days before announcement of dividend to thirty days after dividend announcement. But these losses are partially compensated by dividend yield in long run (Hamid Uddin, 2003). In some countries like Pakistan, companies are ranked on the basis of dividend payout and some rules by SECP also forced the companies to pay dividend. Considering the benefits of capital gain over cash dividend this is not a better approach at all (Dr. Ahmad Kaleem & Chaudhary Salahuddin).

The whole literature review is based on two ideologies. One is that the dividend announcement has a positive relationship with stock prices (Gordon 1963) and the second is that the dividend announcement has a negative relationship with stock prices (Bhattacharya 1979, Baryosef, Huffman 1986 and Hamid Uddin, 2003). The positive relationship between stock prices and dividend announcement is due to dividend information effect, while the negative relationship is because of tax effect.

Introduction:——介紹

Whenever a company generates profit, it either goes for reinvestment or pay dividend. If a company is going to pay dividend then it takes decision of whether to pay cash dividend or to buy back some of the existing stocks. The question is if a company has opportunity of investment in a project having positive net present value then why should company go for dividend? According to Irrelevance Theory by Merton Miller and Franco Modigliani (MM) a firm’s dividend policy has no effect on shareholder value and cost of capital of that firm. The most important thing is the earning of a company nor the dividend policy or reinvestment plans. Assuming there are no taxes and brokerage costs. According to Porterfield (1959 and 1965) paying cash dividend means giving rewards to shareholders that is something they already own in a company. Hence this will offset by declining in the stock value. So paying dividend is not a good approach at all. According to Gorden (1963) investors prefer a dollar of present more than that of expected future one. That’s why companies should go for dividend instead of capital gain.

All the theories regarding payment of cash dividend have their own approaches and directions. So the issue of whether paying cash dividend has any impact on shareholder value or not is still unresolved. In countries where dividend income is highly taxable as compared to capital gain, investors prefer capital gain over cash dividend. There is another face of picture, in countries like Pakistan where companies are ranked according to rate of dividend paid by them, companies normally prefer to pay cash dividend.#p#分頁標題#e#

In this study we have examined the effect of dividend announcement on shareholders’ value. To do so, we have selected 17 dividend paying companies from eight different sectors and use the methodology of Market Adjusted Abnormal Return (MAAR) and Cumulative Abnormal Return (CAR).

Methodology:——方法論

To study the impact of dividend announcement on shareholder value, two measurement have been used. (i) Market Adjusted Abnormal Return (MAAR). (ii) Cumulative Abnormal Return (CAR). MAAR indicates the relative daily percentage price change in the dividend paying stocks compared to the change in average market price. We use KSE 100 price index as proxy of average market price. MAAR is calculated as follows.

MAARit = Rit-Rmt
MAARit it is the market adjusted abnormal return for security i over time t.

Rit is the time t return on secutiry I, calculated as (Pit – Pit-1)/Pit-1. Where, Pit is the market closing price of stock I on day t. Pit is the market closing price of stock I on day t-1.

Rmt is the time t return on the KSE-100 price index calculated as (It-It-1)/It-1. Where. Iit is the market index on day t. It-1 is the market index on day t-1.

The market adjusted abnormal return (MAAR) shows the change in individual stock’s value due to the dividend announcement. As the percentage change in market index is deducted, the remainder gives us the portion of the value change, which is specific to that particular stock resulting from its dividend announcement. MAAR is calculated over a period starting to – 30 days to +20 days relative to the dividend announcement day (O-day).

The second measure used is cumulative abnormal return (CAR), which measures the investor total return over a period starting from before the announcement of dividend to after the dividend announcement day. We use a 51 day window period starting from -30 day to + 20 day relative to the dividend announcement day (O-day). CAR is computed as follows.

CARit = ∑MAARit CARt = ∑CARit
Where CARit is cumulative abnormal return for security I and CARit is cumulative abnormal return for all securities. Similarly MAAR it is market adjusted abnormal return for security I for window period. After that all, the t-test suggested in Brown and Warner (1990, p251-252) is applied to test the significance of CARit and CARt.

Sample Description:——示例說明

The sample includes 17 companies, from eight different sectors. All these companies are registered on Karachi Stock Exchange (KSE) and announced dividend between January 2009 and December 2009. Five companies are from banking sector, three from oil and gas, three from cement, two from chemical, one from Pharmaceutical, one from auto assembler, one from textile and again one from telecom sector. Table 1 is showing the names of companies with percentage of dividend announced by them in respective year.#p#分頁標題#e#

Empirical findings and analysis——實證結果與分析

Market Adjusted Abnormal Return——市場調整異常返回

MAAR shows the change in individual stock’s value due to the dividend announcement. As the percentage change in market index is deducted, the remainder gives us the portion of the value change, which is specific to that particular stock resulting from its dividend announcement. In this study, MAAR is calculated over a period starting to – 30 days to +20 days relative to the dividend announcement day on zero days.

Cumulative Abnormal Return——累計非正常收益率

CAR which measures the investor total return over a period starting from before the announcement of dividend to after the dividend announcement day.

Table 1
Sample Companies
Sr. No
Company Name
Sector
1

Habib Bank Limited

Banking

2

Allied Bank Limited

Banking

3

National Bank of Pakistan

Banking

4

United Bank Limited

Banking

5

Bank AlFalah Limited

Banking

6

OGDCL

Oil and Gas

7

National Refinery Limited

Oil and Gas

8

Pakistan State Oil

Oil and Gas

9

Lucky Cement

Cement

10

DG Cement

Cement

11

Attock Cement

Cement

12

ICI Pakistan ltd.

Chemical

13

Engro Chemical Ltd

Chemical

14

Highnoon Labortories ltd.

Pharmaceutical

15

Indus Motor Company ltd.

Auto Assembler

16

Nishat Mill ltd.

Textile

17

Pakistan Telecom Co.

Telecom

Table 2
Dividend paid by different sectors in 2009 (Dividend in %age)
Sector
No of Companies
Maximum Dividend
Minimum Dividend
Average Dividend
Banking

5

66

25

28.5

Oil and Gas

3

125

25

67

Cement

3

40

Chemical

2

65

60

62.5

Pharmaceutical

1

25

25

25

Auto Assembler

1

100

100

100

Textile

1

20

20

20

Telecom

1

15

15

15

Table 3
Average MAAR for 51 days
Days relative to Dividend Announcement
Average MAAR
-30

0.006995623

-29

-0.000286981

-28

0.005946367#p#分頁標題#e#

-27

0.005136643

-26

0.005144653

-25

-0.004782532

-24

-0.005356564

-23

-0.002944433

-22

-0.01411987

-20

0.004907264

-19

0.00128167

-18

-0.00011111

-17

-0.001020032

-16

0.001673402

-15

0.000430173

-14

0.002846477

-13

-0.001693558

-12

0.002657397

-11

-0.016735807

-10

-0.013092062

-9

-0.005113378

-8

-0.000797798

-7

-0.015879282

-6

-0.005853397

-5

-0.006602591

-4

-0.010009299

-3

-0.002897751

-2

-0.009621279

-1

0.00260226

0

-0.007908932

1

0.005621832

2

-0.011260743

3

-0.001171285

4

-0.003236167

5

0.000455198

6

0.002713615

7

-0.002483024

8

0.006107779

9

-0.005986564

10

-0.006719537

11

-0.003661463

12

-0.00255736

13

0.001298415

14

-0.003020666

15

-0.013184736

16

-0.001647796

17

-0.000315768

18

0.006733917

19

-0.009766422

20

-0.000404328

Table 4

Cumulative Abnormal Return
Company Name
CARit
Habib Bank Limited

0.007539

Allied Bank Limited

-0.23825

National Bank of Pakistan

-0.13679

United Bank Limited

-0.56202

Bank AlFalah Limited

-0.46642

OGDCL

0.077864

National Refinery Limited

-0.17524

Pakistan State Oil

0.368848

Lucky Cement

-0.14289

DG Cement

-0.08247

Attock Cement

-0.2001

ICI Pakistan ltd.

0.04316

Engro Chemical Ltd

-0.32989

Highnoon Labortories ltd.

0.02233

Indus Motor Company ltd.

-0.31301

Nishat Mill ltd.

0.09022

Pakistan Telecom Co.

-0.13362

CARt
-2.17073