本文以2000~2009台灣地區不含金融證券業之上市公司為樣本，資料來源為台灣經濟新報社資料庫(Taiwan Economic Journal)，研究主題為探討多角化與股利發放政策之關聯性，同時也檢測多角化程度愈高而經營績效較差或盈餘品質較差的企業與股利發放政策之關係，實證研究的結果顯示，多角化程度會影響股利發放政策，而多角化與股利發放政策呈現顯著負相關，企業多角化程度愈高，股利支付率較低、較不會發放股利及較不會增加發放股利，而這些現象主要是集中在經營績效較差或盈餘品質較差的企業。 / Based on a sample of firms listed in Taiwan during 2000-2009, this study investigates the relationship between firm diversification and dividend policy and the extent to which firm performance and earnings quality affect diversified companies in making dividend policy decisions. The empirical results show that firms with greater diversification are less likely to pay dividends, pay lower dividend yields, and are less likely to increase dividends. I also find that such evidence is more pronounced among poor financial performance and lower earnings quality firms.

各國的股票市場無不以流動性、活絡性為主要發展目標，然在我國目前法令規範，上市櫃公司面額固定且須為十元，可能與此目標背道而馳。本文即從法律的角度探討股票之票面金額股制度存在之必要性，並以實證分析探討面額制度對股票流通性暨股利政策之影響。綜合相關文獻探討與本文實證研究分析，上市櫃公司面額固定且須為十元之規定並不利於高價股之流通，且票面金額股制對於目前政府推行海外企業來台上市之政策亦有所影響，而考量現存制度之潛在缺失且在我國證券市場發展愈趨成熟之際，或可引入無面額股票制度，在相關配套措施輔助下，無面額股票制度之推行，除能活絡股票之流通性外，且能促使公司自主的採行健全之股利政策，並有益於吸引海外企業來台上市，對台灣證券市場之國際化不啻是一種幫助。 / This research focuses on the par value stock system, and examines the par value system in Taiwan to see the influence on the liquidity of stock shares and the corporation’s dividend policy. Evidence reveals that the par value of stock certificates with par value of NT $10 has a negative impact on liquidity. Besides, current policy, listing in Taiwan by foreign issuers, is hard to be implemented smoothly because of the par value stock system. Considering the potential weakness of the existing system, perhaps we can adopt no par value stock and other alternatives. After we adopt the new system, we not only improve the liquidity of stock shares, but also encourage enterprises to adopt healthy dividend policy on their own way. Moreover, it’ll upgrade both the internationalization and competitiveness of Taiwan’s capital market.

The classical corporation, as described by Berle and Means (1932), was characterized by ownership that is dispersed between many small shareholders, yet control was concentrated in the hands of managers. This ownership structure created the conflict of interest between managers and dispersed shareholders. More recent empirical work (see, e.g., La Porta et al. (1999) and Barca and Becht (2001)) has shown that ownership in many countries around the world is typically concentrated in the hands of a small number of large shareholders. As a result, an equally important agency conflict arises between large controlling shareholders and minority shareholders. On the one hand, large shareholders can benefit minority shareholders by monitoring managers (Shleifer and Vishny, 1986, 1997). On the other hand, large shareholders can be harmful if they pursue private goals that differ from profit maximization or if they reduce valuable managerial incentives (Shleifer and Vishny, 1997; and Burkart et al., 1997). In the presence of several large shareholders, a conflict of interest may arise between these controlling shareholders (see, e.g., Zwiebel (1995), Pagano and Röell (1998), and Bennedsen and Wolfenzon (2000)). They can compete for control, monitor each other, or form controlling coalitions to share private benefits. The question arises as to what determines the role of controlling shareholders in various firm policies and performance. Previous literature has noted that the incentives to expropriate minority shareholders are often exacerbated by the fact that the capital invested by the controlling shareholders is relatively lower than the voting control they achieve through the use of dual class shares (i.e., shares with differential voting rights) or stock pyramids (e.g., Claessens et al., 2002). Moreover, the identity of the shareholder (e.g., family vs. financial institution) is important for understanding the role of controlling shareholders (see, e.g., Holderness and Sheehan (1988), Volpin (2002), Claessens et al. (2002), and Burkart et al. (2003)). Using Swedish data, Cronqvist and Nilsson (2003) show that the agency costs of family owners are larger than the agency costs of other controlling owners. The role of controlling shareholders in transition countries is exacerbated by the fact that the legal and general institutional environment remains underdeveloped. In such an environment, strong owners may be the second best option to weak legal protection of investors (La Porta et al., 1997, 1998). The transition countries of central and eastern Europe are experiencing increasingly concentrated control structures, typically with the controlling owner actively involved in the management of the firm (Berglöf and Pajuste, 2003). Moreover, experience from transition countries suggests that foreign direct investment, where investors take controlling positions, have been critical to the successful restructuring of privatized firms. This thesis consists of four self-contained chapters that empirically examine various corporate governance issues. The common theme throughout the thesis is the focus on large shareholders, their identity, as well as to whether they deviate from the principle of one share-one vote. In particular, I examine the effect of large shareholders on firm value (in the first and third chapters), dividend policies (in the second chapter), and stock returns (in the final chapter). The first two chapters employ the data from Finland, the third looks at companies in seven European countries where deviations from one share-one vote are common, and the final one explores the evidence from transition countries. / Diss. Stockholm : Handelshögskolan, 2004

In this thesis we empirically examine whether the Turkish stock market is driven by rational bubbles over the period between March 1990 and February 2012. The bubble periods are estimated using a recently developed right-tailed unit root test, the generalized sup augmented Dickey-Fuller test of Phillips, Shi and Yu (2011a). Applying their bubble detection and location strategies to weekly price dividend ratio series, we find strong evidence for the existence of rational bubbles in the Turkish stock market benchmark indices as well as sector indices. Our located bubble periods may give early warning signals of the subsequent Turkish financial crisis.

Vid införandet av 3:12-reglerna var lagstiftarens syfte att förhindra inkomstomvandling för delägare i fåmansföretag. På senare tid har synsättet förändrats och man fokuserar sedan reformen 2006 mer på att stimulera företagande och förenkla regelverket. År 2006 infördes förenklingsregeln för att underlätta tillämpningen av gränsbeloppsberäkningen. Förenk­lingsregeln innebär en förenklad beräkning av gränsbeloppet som inte tar hänsyn till företagets verksamhet. Det har i studier visats att förenklingsregelns tillämpning utnyttjas i skatteplaneringssyfte av delägare i fåmansföretag utan direkt aktivitet. Syftet med denna uppsats är att utreda förenklingsregeln och huruvida någon begränsning bör införas i dess tillämpning för att undvika inkomstomvandling. För att besvara syftet fast­ställs gällande rätt, där vår primära rättskälla är 56 – 57 kapitlet Inkomstskattelagen (1999:1229) (IL). Då en stor del av utredningen rör reglernas utveckling behandlas även förar­beten till IL i uppsatsen. För att undvika inkomstomvandling anses det motiverat att införa en begränsning i tillämpningen av förenklingsregeln. I uppsatsen utreds tre förslag på begränsningar. Det förslag som anses mest motiverat att införa är ett ak­tivitetskrav på företagsnivå. Detta skulle innebära att delägare inte kan utnyttja förenklings­regeln för att erhålla ett helt schablonbelopp, och därmed lägre beskattning, genom att starta företag utan faktisk verksamhet. Lagstiftarens syfte vid införandet av förenklingsregeln var att underlätta främst för mindre och nystartade företag, dessa företag skulle kunna ha problem att uppfylla aktivitetskravet om det sätts för högt.  Därmed finns vissa fördelar med att, för delägare i de företag som inte uppfyller aktivitetskravet, även införa ett lägre schablonbelopp.

The main purpose of this thesis is to examine the simultaneous determination of debt, dividend, and inside ownership policies in Sweden. We apply a simultaneous equation model estimated with 3SLS. The results reveal a positive two-way causal relationship between debt and dividend polices. We also find a two-way causal relationship between inside ownership and dividend policies, but dividends affect inside ownership in a positive way while inside ownership affects dividends in a negative way. Further, we find a relationship between inside ownership and debt policies, but any causality appears to run from inside ownership to debt in a negative way. This study supports the notion that the convergence of interest and the entrenchment theory are not mutually exclusive. We also show that a SEM estimated with 3SLS is justified empirically over the OLS and that the difference between using 3SLS compared to 2SLS is negligible in our model.

Market Timing Strategy is an active investment strategy, which is based on the signals of indicators, for the investors to make their investment decisions. However, there has always been the question on which variable is a good indicator, that would provide superior returns for the investment. Bond to Equity Yield Ratio (BEYR) is a new indicator widely researched by many academics in the field of finance and extensively applied by practitioners of the financial markets during the last two decades. Efficient Market Hypothesis (EMH) is a theory in finance which states that stock prices are always reflected with the relevant information and beating the market from predicting the trend of future stock prices is not possible. Therefore, if the market is in accordance with EMH, market timing strategy is not useful and passive investment strategy is better than active investment strategy. Although extant literatures have proved BEYR as a good indicator to be used in market timing strategy, the focus of the existing research is on the financial markets in the United States, the United Kingdom, and the Europe; the study on Asian financial markets is very limited. The main objective of the research is mainly motivated by this knowledge gap. This study will use extreme value strategy as an active trading strategy to conduct research on the market timing ability of BEYR in three Asian financial markets: Japan, Malaysia and Singapore. In addition, passive trading strategy will be used to compare with active trading strategy in each country to identify whether the markets comply with weak form of EMH. Deductive approach of quantitative research is conducted and three main hypotheses are developed to achieve the research objective. The empirical findings from our research and the responses to the main hypotheses can be summarized as active trading strategy does perform better than passive trading strategy for all countries and the market timing ability of BEYR is not as good as the traditional indicators: dividend yields and earning yields for all countries. Therefore, the financial markets of all counties under scrutiny do not comply with weak form of EMH. However, it is worthy to take note that the sample period chosen for this research includes the period when the Global Financial Crisis occurred in 2008. Therefore, it is assumed that the impact of the financial crisis is the main reason contributing the difference between the findings from our research and the existing literatures. Moreover, the difference in the nature of financial market can be considered as another underlying factor for the new perspective on BEYR resulting from our empirical results.

This thesis consists of three essays. In the first essay, I show that information about dividends implied in derivative markets predicts future dividend growth and thereby improves the forecasts of short-run returns on the aggregate market. In the second essay, we analyze the impact of options trading on the price distribution of the underlying asset. Specifically, we show that S&P 500 futures finish in the proximity of the closest strike price on days when options on S&P 500 futures expire. We document that this effect is mainly driven by the rebalancing of delta hedges of the market maker. In the third essay, we develop a theory of price support in security markets that arises from conflict of interests, and we test our hypothesis in the context of the Spanish mutual fund industry. In particular, we analyze how bank-affiliated mutual funds trade in the stock of the parent bank and show that, consistently with the price support hypothesis, affiliated mutual funds tend to increase their holdings of the parent bank’s stock following a large drop in its price. / Esta tesis consta de tres capítulos. En el primer capítulo, muestro que la información sobre dividendos implícita en los mercados de derivados predice el crecimiento futuro de los dividendos, mejorando así las predicciones de los rendimientos a corto plazo en el mercado agregado. En el segundo capítulo, analizamos el impacto de la compraventa de opciones en la distribución del precio del activo subyacente. En concreto, mostramos que los futuros del S&P 500 terminan en el entorno del precio de ejercicio más próximo en los días en que las opciones sobre los futuros del S&P 500 expiran. Documentamos que este efecto está principalmente motivado por el reajuste de la cobertura delta de los intermediarios. En el tercer capítulo, desarrollamos una teoría de sostenimiento de precios en los mercados de valores motivado por un conflicto de intereses y testamos nuestra hipótesis en el contexto de la industria española de fondos de inversión. En concreto, analizamos cómo los fondos de inversión afiliados a un banco operan las acciones del banco matriz y mostramos que, consecuentemente con la hipótesis del sostenimiento de precios, los fondos de inversión filiales tienden a incrementar sus posiciones en las acciones del banco matriz después de una caída importante de su cotización.

Kommersiella fastigheter har blivit allt viktigare inom svensk ekonomi. Fastighetssektorn har haft en särskilt hög tillväxt under de senaste åren där fastigheter kan anses vara en kapitalkrävande reell tillgång. Finansieringen av fastighetsbolag har traditionellt utgjorts av banklån men på senare tid söker fastighetsbolag alternativa finansieringsmetoder. Allt vanligare blir det att finna finansiering genom kapitalmarknaden. I regel är en av de största kostnaderna för ett fastighetsbolag dess finansieringskostnader. Således är det av vikt att bearbeta kapitalstrukturen för att använda den mest rationella givet bolagets förutsättningar, där ett sätt kan vara att i större utsträckning använda sig av eget kapital i balansräkningen. Vid första emissioner av preferensaktier i Sverige användes de av fastighetsbolagen ett sätt att inhämta eget kapital. De erbjöd investerarna en förutsägbar hög direktavkastning, samtidigt var utdelningen prioriterad framför andra aktieslag, dock utformade med en inlösenkurs. Efter ett antal år kom en första emission av D-aktier vilka populariserades bland fastighetsbolag. Dessa liknade preferensaktier med en löpande hög direktavkastning, dock utan prioritet. På senare tid har många preferensaktier kommit att lösas in av större fastighetsbolag. Samtidigt har många bolag kreditbetyget investment grade av ratinginstituten. Denna uppsats syftar till att reda ut vilken funktion preferensaktier har fyllt i form av källa till eget kapital och varför D-aktier delvis använts i form av ett substitut till preferensaktier. Undersökningen baserades på intervjuer med ett antal personer med erfarenhet och olika perspektiv av den kommersiella fastighetsmarknaden. Det framgår att emittering av preferensaktier kan vara rationellt för fastighetsbolag med höga tillväxtmål. Preferensaktier har historiskt varit en förmånlig källa till eget kapital vilket varit effektiv då det haft en låg utspädningseffekt relativt stamaktier. Preferensaktier blev dyra att behålla utestående för fastighetsbolag vilka sökte en investment grade-rating då dessa behövde förhålla sig till ratingbolagens syn på preferensaktier. Till följd av detta har D-aktier men även hybridobligationer används i form av ett substitut till preferensaktier. / Commercial properties have become increasingly important in the Swedish economy. The real estate sector has had a particularly high growth in recent years where real estate is considered a capitalintensive real asset class. Bank lending has traditionally been the method of financing real estate companies. As of recent years, the real estate companies seek to find alternative methods of financing, where it is becoming more common to finance through the capital markets. Generally, the biggest cost of a real estate company is its cost of finance. Therefore, it is important to process the capital structure to find the most rational one given the circumstances, where the use of equity found in the balance sheet can be an alternative. With the first issues of preferred shares in Sweden, the shares were used to obtain equity. The preferred shares offered the investors a high and predictable yield that was prioritized over the common shares, though designed as retractable at a specific price. Subsequently, the first dividend shares were issued, and the dividend share was popularized with real estate companies. The dividend share is similar to the preferred shares with a continuous high yield but without the priority. In recent years, many preferred shares have been retracted by the larger real estate companies. In the meantime, the demand for credit ratings has increased, with the goal of obtaining an investment grade rating by the rating agencies. This thesis aims to study what function the preferred shares have had as a source of equity and why dividend shares have partly been used as a substitute to preferred shares. The inquiry was based on interviews with persons of experience from the commercial real estate market that could offer different perspectives of the manner. What can be derived is that the issue of preferred shares can be rational for real estate companies with high set growth targets. Historically, preferred shares have been a competitive source of equity that has been effective due to its low dilution compared to common shares. Preferred shares became expensive to keep outstanding for the real estate companies that wanted the investment grade rating. This since the companies needed to operate in a way that the rating agencies favored regarding the preferred shares. As a result of this, dividend shares as well as hybrid bonds have been used as a substitute for preferred shares.

L’objectif de cette thèse est d’analyser l’existence de spécificités dans l’utilisation par les banques de la politique de dividende comme moyen de résolution des conflits d’intérêts. Il s’agit également de s’interroger sur l’opportunité d’une réglementation visant à imposer aux firmes le versement de dividendes, dans une perspective d’amélioration de la qualité de la gouvernance. Le premier chapitre analyse l’influence de deux conflits majeurs, dirigeants vs actionnaires et actionnaires vs créanciers. Il montre que les banques prennent en compte les deux types de conflits, la résolution des conflits entre actionnaires et dirigeants revêtant toutefois une importance prédominante. Les banques utilisent les dividendes comme un substitut à de faibles degrés de protection des droits des actionnaires et des créanciers. Le second chapitre explore ces conflits d’intérêt plus avant en analysant l’impact de la concentration de l’actionnariat et du degré d’opacité des banques. Que l’actionnariat soit dispersé ou concentré, un plus fort degré d’opacité favorise les comportements d’expropriation par les insiders (dirigeants ou actionnaires majoritaire) et conduit à des dividendes plus faibles. Un environnement institutionnel plus protecteur des droits des actionnaires ou un régime de supervision strict permettent de limiter l’expropriation. Une réglementation limitant le versement de dividendes, telle que définit dans Bâle III, pourraient renforcer de tels phénomènes. Le dernier chapitre s’interroge sur l’opportunité d’une réglementation de la politique des dividendes et s’intéresse au cas de l’Indonésie caractérisée un faible taux de versement et un faible degré de protection des actionnaires. En cohérence avec la théorie du cycle de vie, une telle réglementation devrait tenir compte du stade de développement de la firme et contraindre uniquement les firmes ayant atteint un stade de maturité, une réglementation uniforme de la politique de dividende n’étant donc pas souhaitable. / This dissertation aims first to investigate whether banks, which have unique characteristics, use dividends to reduce the agency conflicts between their different stakeholders. Another objective is to investigate if the implementation of a regulation of dividend policy is necessary to oblige firms to pay dividends for good governance purposes. In Chapter 1, we examine if bank managers use dividends to reduce agency cost of equity (managers vs. shareholders) and agency cost of debt (shareholders vs. creditors). We show that bank managers use dividends as substitute to weak legal protection and strike a balance in their dividend policy with however a more decisive role played by the agency cost of equity than the one of debt. Chapter 2 further explores if the degree of ownership concentration and the level of asymmetric information (opacity) faced by outsiders influence banks’ dividend payouts. In either concentrated or dispersed ownership structure insiders (managers or majority shareholders) pay lower dividends when the degree of opacity is high. In line with the entrenchment behavior for banks, insiders extract higher levels of private benefits when it might be more difficult to detect such opportunistic behavior. Higher level of shareholder protection and stronger supervisory regimes help to constrain such behavior. These findings have critical policy implications for the implementation of Basel 3 with restrictions on dividend payouts that might reinforce this entrenchment behavior. In the Chapter 3, we investigate if the implementation of a regulation to oblige firms to pay dividends for better governance is desirable. We consider the case of Indonesia, where the regulator plans to implement a mandatory regulation on dividends in a context of declining dividend payments and weak shareholder rights. The findings recommend that firms should only be required to pay dividends when they reach a certain development stage, and action should only be taken against those firms which do not pay dividends, although they should be able to. Overall, dividend policies should not be regulated by one-policy-for-all regulation.