A Study on Non-linear Relationship between Cash Dividend and Stock Return：Panel Smooth Transition Regression Model

• Main Authors: Yi-Ping Li, 李怡萍
• Other Authors: Chien-Chung Nieh
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/98007061777691577699

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 98 === This study is to investigate the panel smooth transition effect associated with cash dividend and stock return on the empirical data of listed company in Taiwan Stock Exchange. Utilizing the panel smooth transition regression model developed by Gonza′lez, Teräsvirta and Dijk（2004, 2005）, we test whether cash dividend can cause the panel smooth transition effect on stock return. In addition, we assess and weigh stock return by the influence of independent variables. The results show that cash dividend has the panel smooth transition effect with stock return. For all listed companies in Taiwan Stock Exchange, the panel smooth transition regression model between cash dividend and stock return produces a smooth transition at NT$ 0.1, because the transition speed is only 2.0764 that makes the model form a smooth transfer process close to transition threshold value. In addition, for companies with high cash dividend yield, the panel smooth transition regression model between cash dividend and stock return produces a smooth transition at NT$ 0.7738, because the transition speed is only 1.6793 that makes the model form a smooth transfer process close to transition threshold value. We also examine the influence of controlling variables. With the increase in cash dividend, debt ratio has a significant positive effect on stock return, on behalf of improving debt ratio, can be paid up stock return. Earnings per share on the stock return is negatively correlated, especially in companies with high cash dividend yield negative impact is particularly significant. Although return on equity is not significant impact on stock return, but still shows a positive correlation. Cash dividend yield has a significant negative effect on stock return. However, with the increase in cash dividend, cash dividend yield is not significant impact on stock return, but still shows a negative correlation. Therefore, suggesting that we can not only depend on a high cash dividend yield when makng investment strategies, we still need to reference more information about the financial side（such as: debt ratio, earnings per share …etc.）, investors can refer to this conclusion to control their own investment portfolio and develop appropriate investment strategies.