哈尔滨工业大学毕业设计（论文）
available for our analysis. Our second main finding is that each of these four trends can be connected to a corresponding fluctuation in a proxy for catering incentives, the stock market dividend premium variable from Baker and Wurgler. This variable, measured annually, is defined as the log difference in the value-weighted average market-to-book of payers and the value-weighted average market-to-book of nonpayers.
Specifically, the dividend premium is positive in the mid-1960s, coinciding with the first(increasing)trend in the propensity to pay that we document. Then it falls to negative territory through 1969, suggesting a premium for nonpayers, and accurately predicts the onset of the second(decreasing) trend. The dividend premium goes positive once again in 1970 and remains positive through 1977. While the propensity to pay does not begin its third(increasing)trend until 1973 or 1975, depending on how this variable is constructed, there is a simple explanation for the brief misfit. In the early 1970s, Nixon’s Committee on Interest and Dividends actively discouraged increases in dividends in an effort to fight inflation. Once their artificial controls were lifted, however, the propensity to pay immediately resumed alignment with catering incentives. Most striking of all, the dividend premium goes back to negative values in 1978 and remains negative essentially through 2000. Thus it accurately predicts both the onset and continuation of the fourth(decreasing) trend, the post-1977 disappearance.
Further analysis firms up the link between catering incentives and the propensity to pay. Going beyond a qualitative correspondence, we find that the dividend premium is able to explain the actual magnitude of the post-1977 disappearance in an out-of-sample test. We also find that the dividend premium and changes in the propensity to pay forecast the relative stock returns of payers and nonpayers, which bolsters the argument that these variables were associated with a real or perceived mispricing driven by investor demand.
Finally, we conduct an exhaustive review of historical New York Times articles pertaining to dividends to better understand fluctuations in the investor demand for payers. This review suggests an intuitive pattern. The dividend premium tends to be negative, and the propensity to pay tends to decrease, when sentiment for growth stocks(characteristically nonpayers) is high, such as in the late 1960s and late 1990s. Following crashes in growth stocks, demand appears to favor the “safe” returns on payers, the dividend premium rises, and dividends appear. This appears to characterize the mid-1960s, early to mid-1970s, and perhaps the early 2000s.
In sum, our results profitably marry the work of Fama and French(2001)and Baker and Wurgler(2003). While more research on the demand side is necessary, our results establish that the catering view of the supply side offers an empirically successful account of the post-1977 disappearance of dividends as well as earlier appearances and disappearances. Of course, our results do not rule out that other influences affect the propensity to pay—recent work finds some effect of repurchases(Grullon and Michaely, 2002), executive stock options(Fenn
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哈尔滨工业大学毕业设计（论文）
and Liang, 2001), and asymmetric information(Amihud and Li, 2002)—but they raise the bar from explaining one trend to explaining four.
This paper proceeds as follows. Section 2 describes four trends in the propensity to pay dividends between 1963 and 2000. Section 3 matches these to catering incentives and Nixon-era controls. Section 4 explores evidence on investor demand. Section 5 concludes.
3. Catering incentives and the propensity to pay dividends
Here we document that the four historical trends in the propensity to pay dividends roughly coincide with four broad fluctuations in catering incentives. Once account is taken of the intervention by the Nixon administration in the early 1970s, the correspondence is all but perfect. We then show that these forces can statistically“explain”the post-1977 disappearance of dividends in an out-of-sample test. We close with a complementary analysis of stock returns. 3. 1. Catering incentives
Baker and Wurgler(2003)suggest that managers could try to cater to prevailing investor demand for dividends by paying dividends when investors are putting a premium on dividend payers, and not paying when the dividend premium is negative. While surely not the only omitted influence on dividend payment in Eqs. (1)and(2), catering incentives vary over time and to an extent are separate from firm characteristics. It is natural to examine whether they influence the propensity to pay.
We measure catering incentives between 1962 and 1999 using the“dividend premium” variable in Baker and Wurgler. It is defined as follows. Each year, we compute the book-value- weighted average market-to-book ratio for dividend payers and the average for nonpayers. The dividend premium is the difference between the logs of these averages. The market-to-book ratio used here is defined using the calendar-year end stock price, instead of the fiscal-year end price, but otherwise follows the definition given above.
Baker and Wurgler(2003)find that this variable is significantly correlated with other plausible measures of investor demand for dividends, including a high correlation with a dividend premium variable based on the dual-class structure of the Citizens Utilities company and a significant positive correlation with the average announcement effect of dividend initiators. It is also significantly negatively correlated with the future returns of a portfolio that is long payers and short nonpayers(although a formal predictive relationship is not established there). These correlations suggest that the dividend premium variable, while crude, is a reasonable candidate for measuring the relative investor demand for payers.
The catering theory involves dynamics in disequilibrium and thus essentially maintains that uninformed investor demand for dividend payers fluctuates faster than firms can or do adjust. A nontrivial dividend premium(or discount)appears, and firms are presumed to cater to the implied excess demand. The appropriate comparison is thus between changes in the propensity to pay and the beginning-- 28 -
哈尔滨工业大学毕业设计（论文）
of-period level of the dividend premium. Fig. 2 plots the (lagged)dividend premium against the annual changes in the propensity to pay.
In sum, the dividend premium has run through four positive/negative cycles in this sample period, and these correspond closely with the four observed trends in the propensity to pay. There is no case in which changes in the propensity to pay predate changes in the dividend premium, and only one period in which the lag was substantial. The results suggest that catering incentives may have a central effect on the propensity to pay. 3. 2. Nixon-era dividend controls
From August 15 through December 31, 1971 the Nixon administration declared a dividend freeze as part of its efforts to curb inflation. In November 1971 the Committee on Interest and Dividends announced that corporations should observe a 4% dividend growth guideline in declaring dividends, effective January 1, 1972. The base for this calculation was the maximum of total dividends per share paid in any of the three prior fiscal years. As a result, a corporation that paid zero dividends per share in these years would, under the text of the guideline, also be limited to zero dividends in 1972. Essentially similar guidelines remained in place until the committee was dissolved on April 30, 1974. 5.Conclusion
We establish a close empirical link between the propensity to pay dividends and catering incentives. First, we apply the methodology of Fama and French(2001) to earlier data to identify four distinct trends in the propensity to pay between 1963 and 2000—two appearances and two disappearances. Second, we show that each of these trends is associated with a corresponding fluctuation in catering incentives, where the latter is measured by the dividend premium variable from Baker and Wurgler(2003). Once the impact of the early 1970s intervention by Nixon’s Committee on Interest and Dividends is noted, our analysis addresses essentially all significant fluctuations in the post-1963 propensity to pay time series. Moreover, we find that catering incentives are able to explain, in the appropriate out-of-sample test, the actual magnitude of the post-1977 disappearance documented by Fama and French.
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哈尔滨工业大学毕业设计（论文）
附录2
股利迎合理论
摘要
本文主要论述股利支付倾向的波动和和迎合动机之间的密切联系。首先，我们使用Fama 和French的方法（2001），以确定1963年至2000年四个不同阶段的股利支付倾向。
其次，我们展示四个阶段的每种趋势和相应的迎合动机的波动之间的关系：当股利溢价为正时，股利支付可能倾向增加，否者，股利支付倾向减少。没有联系的那个阶段是由于尼克松时代的管制。
关键字：股利，支付政策，迎合，股利溢价，投资者敏感度 1、导论
在一篇重要的论文中，Fama和French（2001）论述了股利政策一系列的转变。从1978年到1999年，他们的Compustat样本数据中支付股利的比例从67％下降至21％。他们跟踪这一下降部分的组合影响。近年来，越来越多的企业很小且不盈利，但他们显然有很强的增长机会，所以他们没有被期望支付股利。然而，即使剔除会计影响之后，Fama和French发现“股利支付倾向”不断减少。在这个意义上说，股利自1978年以来正在不断消失。
在本文中，我们论述 Baker和Wurgler（2003年）的股利迎合的观点是否阐明了股利支付倾向。这种观点认为，当投资者对股利的需求高（低）并且MM模型的套利是有限的，股利溢价（折价）能够导致上市公司支付股利（不支付股利），而且上市公司能迎合潜在投资者的需求以便获得 “股利溢价”。因此，撇开对股利的偏见，迎合的关键可以看作是布莱克和斯科尔斯（1974）客户平衡观点中出现不平衡。Baker和Wurgler构建随时间变化的股利溢价指标，即迎合敏感度，并发现它们有助于解释不断加重的股利发放和不发放。
我们最初的分析是利用Fama and French的早期数据。这导致我们最初的主要发现是:从1963到2000年，共有四个明显不同的股利支付倾向的阶段。在1977年以前，股利支付不断下降是最主要也是时间最长的趋势，但是三个早期的波动也是很明显的。这些趋势很有趣，不过对我们来说更重要
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哈尔滨工业大学毕业设计（论文）
的是他们获得了四倍的自由度在我们的分析中。我们的第二个主要发现是这四个趋势中每一个都能对应上迎合动机的指标（Baker和Wurgler提出的股利 溢价变动）的波动。这种变动实际上是通过发放现金股利的上市公司市场账面价值比按照市值加权值与不发放现金股利的上市公司市场账面价值比按照市值加权值的差来计算。
具体来说，20世纪60年代中期，股利溢价是正的，正好和我们提到的股利支付倾向的第一个趋势（上升）一致。接着，从1069年后，股利溢价变为负值，表明没有支付现金股利的上市公司获得了溢价，这也准确地暗示了第二个趋势（下降）的开始。只到1973年或者1975年，第三个股利支付倾向（上升），取决于这种变化是如何构建的，其中有一个样本无法被解释。在20世纪70年代早期，尼克松的利息和股利委员会为了抑制通货膨胀努力压制股利的增加。然而一旦人为管制被取消后，股利支付倾向和迎合动机立即趋于一致。最引人注目的是，股利溢价在1978年又回归负值并一直持续到2000年。这样，在1977年后股利逐步消失时代，它既准确预测了第四次趋势（下降）的开始又预测到了它的持续。
进一步的分析坚定了迎合动机和股利支付倾向之间的关系。在基于一种定性的关系之上，我们发现股利溢价也能够解释在样本外测试的1977年后股利消失的实际数量。我们也发现股利溢价和现金股利支付倾向的变动预测了相关的支付现金股利和不支付现金股利的上市公司的股票收益，这也支持股利变化和由投资者需求引起的真实的或者想象的错误定价相关这一观点。
最后，我们全面回顾纽约时报历史上和股息的文章，以更好地了解投资者对现金股利需求的波动。这项回顾表明一个直观的格局：当股利溢价溢价是负值的时候，股利支付倾向趋于下降，投资者投资于成长型股票时（典型不支付现金股利的公司）情绪很高，如在20世纪60年代末和90年代末。继成长股崩溃后，投资者的需求开始偏向于具有 “安全”回报的支付现金股利的上市公司，股利溢价上升，股息出现。这似乎是描述20世纪60年代中期， 70年代早期到中期，也许还有21世纪初。
总之，我们的结果可能和Fama and French(2001)and Baker and Wurgler(2003)的研究结果一致。当更多的在需求方面的研究是必要的时候，我们研究提供了这样一种贡献：在1977年后股利不断消失的年代和在早期股利的出现和消失一样，在迎合理论供给方面提供了一个成功的实证结果。当然，我们的结果没有排除其他影响股利支付倾向的其他方面——最近的研究发现了一些影响因素，比如股票回购(Grullon and Michaely, 2002), 经理人
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