Dividend policy is widely researched in financial management, but determining whether it affects the market price per share is difficult. There has been much published on the subject, which presented theories such as the Modigliani, Miller, Gordon, Lintner, Walter and Richardson propositions and the relevance and irrelevance theories. However, little research has been done on the impact of dividend policy on shareholders’ wealth while considering the short- and long-run effects. The Vector Error Correction Model (VECM) was used to describe the short-run and long-run dynamics or the adjustment of the cointegrated variables towards their equilibrium values in South Africa. This study attempts to explain the effect of dividend policy on the market price per share. A sample of 46 companies listed on the Johannesburg Securities Exchange (JSE) was selected for the period 1995-2010. Three variables were used, namely the market price per share, the dividend per share and the earnings per share. The market price per share was used as a proxy in measuring shareholders’ wealth and the dividend per share was used as a proxy in measuring the dividend policy. Fixed and random effects models were applied to panel data to determine the relation between dividend policy and market price per share. The fixed effects method was used to control the stable characteristics of the companies over a fixed period. The random effects model was applied when the companies’ characteristics differed. Results for both models indicated that dividend yield is positively related to market price per share, while earnings per share do not have a significant impact on the market price per share. To test the strength of the long-run relationship, the VECM was applied. The coefficient for dividend per share in the co-integrating equation was positive, while the coefficient for earnings per share was negative. This confirms previous research findings. The results suggest that there is a long-run relationship between dividend per share and market price per share. The Granger causality test indicates there is bi-directional Granger causality between market price per share and dividend per share in South Africa. Therefore dividend policy does have a significant long-run impact on the share price and therefore provides a signal about the company’s financial success. / Dissertation (MCom)--University of Pretoria, 2012. / Financial Management / Unrestricted

This paper evaluates the ability of single and multi-ratio investment strategies, such as P/E, P/B, Magic Formula and Piotroski F-score, to generate excess returns and positive alpha values on the Stockholm Stock Market. Performances of the strategies tested are compared to the Stockholm Stock Market as a whole, also known as the index “OMXSPI”. In this paper, three single-ratio strategies are investigated along with three multi-ratio strategies, chosen on the basis of popularity among private investors, according to our observations. We also compare these strategies’ returns to the returns of the ten best performing funds, over the last ten years, found on SEB’s and Handelsbanken’s fund lists. We find that both multi and single-ratio strategies generated alpha values and that single-ratio strategies performed well, relative to multi-ratio strategies, considering their simplicity. The current portfolio composition from screening stocks based on low P/E, P/B and high dividend yield alone are also associated with less risk, expressed in volatility, than portfolios that would be composed based on the multi-ratio methods. We even find that one of the more complex strategies, Graham Screener, underperformed single-ratio strategies, when comparing yearly alpha values over 15 and 17 years, respectively. The funds’ alpha values are also very poor compared to both single and multi-ratio strategies considering the managers’ likely investment experience and complex investment systems. In sum, our empirical data suggests that excess returns were indeed attainable during the investigated time-periods by following a rule-based investing philosophy in conjunction with single or multi-ratio strategies, and unless the investor has sublime experience and knowledge, he or she is probably better off using this type of investing rather than making investment decisions in a discretionary manner.We also conclude that the Stockholm Stock Market probably suffered from lower market efficiency, from the perspective of the Efficient Market Hypothesis, and lower screening abilities and tools, such as Börsdata, among investors in the beginning of the testing periods, which could be one reason as to why these ratio strategies worked as well as they did. However, the results are still interesting because complexity does not seem to imply value (extra alpha generation) of significant magnitude, if at all. What does seem to imply value, are the minimization of human interactions with investment models and emotional stability.

Aktiemarknaden uppfattas som effektiv då aktiepriset faller i paritet med utdelningen på ex-dagen. Tidigare studier ger belägg för att aktiepriset faller med mindre än utdelningen. Att aktiepriset faller med mindre än utdelningsbeloppet på ex-dagen utgör ex-dagseffekten och innebär en avvikande avkastning för aktier kring ex-dagen. Ex-dagseffektens existens har genom historien undersökts och det råder delade meningar kring dess uppkomst och existens. Skattehypotesen, kortsiktiga handelshypotesen, mikrostrukturhypotesen och dispositions-effekten är fyra olika förklaringar till ex-dagseffektens uppkomst som ligger till grund för denna studie. Hypoteserna analyseras i samband med tidigare utförda studier och sedan dras slutsatsen att skattehypotesen är den mest uppmärksammade förklaringen till ex-dagseffekten. / The stock market is perceived as efficient under the presumption that stock prices falls in parity with the dividends on the ex-dividend day. Earlier researches establish that stock prices rather falls with less than the amount of the dividend. The phenomen that the stock prices falls with less than the dividend constitutes the ex-div effect and implicate an abnormal return on the ex-dividend day. The existence of the ex-div effect has been examined through the history and there are shared opinions about its origin and existence. The tax hypothesis, the short-term trading hypothesis, the microstructure hypothesis and the disposition effect are four different explanations of the ex-div effect that forms the basis of this study. The hypotheses are analyzed in conjunction with earlier researches and the conclusion of the study is that the tax hypothesis is the most common explanation for the ex-div effect.

This thesis explores the implementation of three quantitative investment strategies – the dividend yield strategy, the EV/EBITDA strategy, and the momentum strategy – within the Swedish stock market using Equal-Weighted Portfolios (EWP) and Value-Weighted Portfolios(VWP). The analysis is based on backtesting during the periods 2009 − 2022, 2001 − 2022, and 1992 − 2022, for each strategy respectively. The research aims to assess the risk-adjusted returns of these strategies and compare the performance of the EWP and the VWP. The results indicate that all the tested quantitative investment strategies beat the market. Moreover, the VWP achieve higher annual returns compared to the EWP. However, when considering risk-adjusted returns, the EWP generally demonstrate superior performance. Specifically, the EWP incorporating momentum monthly rebalancing exhibit the largest risk-adjusted returns.

Att kunna förklara och förutse aktiers avkastning är av stort intresse för aktörer inom finansbranschen. Kunskap inom ämnet kan leda till mer framgångsrika investeringsstrategier och en mer träffsäker analys av ett företags värde. I syfte att bättre kunna förklara aktiers avkastning har flera olika strategier utvecklats. En av dessa modeller är CAPM, som försöker förutse aktiers avkastning genom bland annat dess risk. Modellen har fått utstå omfattande kritik, bland annat för att den exkluderar viktiga variabler och utgår från orealistiska antaganden. Andra strategier använder sig av olika nyckeltal i försök att förklara aktiers avkastning. Tidigare forskning visar att det finns variabler som bidrar till att förklara avkastning. Vad som är säkert är att ingen modell är perfekt, men vissa kan fungera bättre än andra.  Avsikten med studien är 1) att analysera CAPM:s tillförlitlighet på den svenska aktiemarknaden, och 2) analysera om nyckeltalen beta, direktavkastning, företagets storlek, P/E-tal, och skuldkvot kan förklara variationer i aktiers avkastning. För detta ändamål undersöks 80 aktier på Stockholmsbörsen under tidsperioden 2010-2021. Detta för att utreda om det finns en statistiskt signifikant skillnad mellan den faktiska avkastningen och den avkastning som aktierna bör ha enligt CAPM, samt om de nyckeltal som används i studien har ett statistiskt signifikant samband med avkastning.  Resultaten visar att det finns en statistiskt signifikant skillnad mellan den faktiska avkastningen och den enligt CAPM förväntade avkastningen under studieperioden. Slutsatsen är att CAPM inte kan förutse avkastning på Stockholmsbörsen. Resultaten visar också att avkastning har ett positivt samband med direktavkastning och ett negativt samband med skuldkvot under studieperioden. Variablerna P/E, beta och företagets storlek har inte statistiskt signifikanta samband med avkastning på Stockholmsbörsen. / To be able to explain and predict stock returns is of great interest in finance. Knowledge in the matter can result in more successful investment strategies and a more accurate analysis of a company's value. Many different strategies have been developed in order to better be able to explain stock returns. One of these is the CAPM, which aims to predict a stock’s return by estimating its risk. The model has been subject to much critique, for example because it excludes significant variables and contains unrealistic assumptions. Other strategies use key performance indicators in attempts to explain stock returns, and previous research shows that there in fact are variables that help explain variations in stock returns. Even though no model is perfect, some may work better than others.  The purpose of this study is 1) to analyse the performance of CAPM on the Swedish stock market, and 2) analyse if the key performance indicators beta, P/E ratio, dividend yield, firm size and debt ratio can explain variations in stock returns. For this purpose the return of 80 stocks on the Swedish stock market are investigated between 2010-2021. This is done in order to determine if there is a significant difference between the actual returns and the returns predicted by CAPM, and also if the key performance indicators used in this study have had a significant relationship with returns.  The results show that there is a significant difference between actual returns and the returns predicted by CAPM during the time period investigated. From this the conclusion is drawn that CAPM is not able to predict returns on the Swedish stock market. The results also show that stock returns have a positive relationship with dividend yield and a negative relationship with debt ratio during this time period. However, the variables P/E, beta and firm size do not have a significant relationship with stock returns.

[pt] Este trabalho mostra que as regras brasileiras de dividendos mínimos fazem com que a distribuição de proventos no Brasil seja alta relativamente aos Estados Unidos, apesar da fraca proteção oferecida pela lei das S.A. aos acionistas minoritários no Brasil. Ainda assim, subterfúgios legais permitem que 42% de uma ampla amostra de empresas não financeiras com ações listadas na Bovespa distribuem menos dividendos do que o previsto em estatuto. Tal retenção de ganhos poderia ser benéfica aos acionistas, visto que garante financiamento a novos projetos. Entretanto, dados de investimentos das empresas listadas na Bovespa mostram que este não parece ser o caso: à exceção de períodos com forte restrição ao crédito, a regra brasileira de dividendos mínimos protege os acionistas minoritários sem prejudicar a capacidade das firmas financiarem oportunidades de investimento. / [en] This paper shows that Brazil s mandatory dividend rules partly explain why its average dividend yield is higher than in the U.S. And yet, several Brazilian firms bypass the mandatory dividend rules. We show that 42% of a broad sample of nonfinancial firms with shares listed at Bovespa use legal loopholes to pay fewer dividends than the amount that their statutes call for. The data suggest that the main reason for these firms to bypass the dividend rules is not to ensure financing for new projects. Instead, lower dividend payments seem to pave the way for the controlling shareholders to dilute the cash-flow rights of minority shareholders. Thus, short of credit crunch, the Brazilian mandatory dividend rules do protect minority shareholders, without making harder for firms to finance investment opportunities.

L'objecte d'estudi d'aquesta tesi es centra en la política europea de l'espectre radioelèctric i presta especial atenció a l'harmonització del dividend digital al Regne Unit i Espanya. La metodologia es basa en una revisió bibliogràfica i hemerogràfica completada amb un conjunt d'entrevistes amb representants de diferents organismes de regulació del Regne Unit i Espanya, i de la mateixa Comissió Europea. En la primera part de la tesi es realitza una aproximació conceptual, des d'una vessant tècnica i jurídica, a la xarxa radioelèctrica i al dividend digital, espai alliberat una vegada completada la transició a la TDT. Seguidament, s'aborda la naturalesa, àmbits de regulació de la xarxa radioelèctrica, actors, models i evolució de les formes de gestió. El tercer capítol es centra en la Unió Europea com actor de la política de l'espectre radioelèctric des de mitjans de la dècada dels 80 fins a l'actualitat. En la darrera part de la tesi es descriuen i analitzen les actuacions de la UE destinades a harmonitzar el dividend digital fent especial referència a les conseqüències d'aquesta harmonització sobre les estructures nacionals i la planificació de la TDT en els dos països estudiats, el Regne Unit i Espanya. / El objeto de estudio de esta tesis se centra en la política europea del espectro radioeléctrico y presta una especial atención a la armonización del dividendo digital en el Reino Unido y España. La metodología está basada en una revisión bibliográfica y hemerográfica completada con un conjunto de entrevistas con representantes de diferentes organismos de regulación del Reino Unido y España, y de la misma Comisión Europea. En la primera parte de la tesis se realiza una aproximación conceptual, desde una vertiente técnica y jurídica, a la red radioeléctrica y al dividendo digital, espacio liberado una vez se ha completado la transición a la TDT. Seguidamente, se aborda la naturaleza y ámbitos de la regulación de la red radioeléctrica, sus actores, modelos y evolución de sus formas de gestión. El tercer capítulo se centra en la Unión Europea como actor de la política del espectro radioeléctrico desde mediados de la década de los 80 hasta la actualidad. En la última parte de la tesis se describen y analizan las actuaciones de la UE destinadas a armonizar el dividendo digital y se atiende especialmente a las consecuencias que esta armonización tiene sobre las estructuras nacionales y la planificación de la TDT en los dos países estudiados, el Reino Unido y España. / The object of study of this thesis focuses on the European radio spectrum policy in particular the harmonization of the digital dividend in the United Kingdom and Spain. The methodology is based on a multidisciplinary bibliographic review completed with an in-depth interviews with policy-makers from the national regulatory authorities and the European Commission. The first chapter of the dissertation consists of a conceptual approach of radio spectrum network and the digital dividend, the amount space released once the switch-over is completed. Afterwards, it deals with the nature of spectrum regulation, its actors, models and evolution of spectrum management. Its third chapter focuses on the European Union as a spectrum policy actor from the 80's onwards. Finally, this thesis analyses the EU actions oriented to the harmonisation of the digital dividend, and pays special attention to its consequences on national structures and DTT plans of the United Kingdom and Spain.

Existing literature and theories related to the separation of ownership and control and its impact on companies' financial performance, including dividend payment have left this subject in state of ambiguity and uncleamess, with various contradictions and inconsistencies being noted. In order to establish whether there is a significant difference in financial performance between owner-controlled and management-controlled companies in South Africa, as a result of the separation of ownership and control, this study has used appropriate mathematical and statistical methods for data processing and analysis. Results obtained from the study have revealed the existence of a significant difference in financial performance between owner-controlled and management-controlled companies in South Africa, as measured in terms of profitability, asset management, liquidity, leverage and dividend payment. The analysis has indicated that management-controlled companies have been more efficient, more mature financially and paying higher dividends, out of earnings available to shareholders, than their owner-controlled counterparts. / Business Management / M. Comm. (Business Management)

研發扣抵政策之有效性在過去文獻有著不一致的結果，許多研究者認為可能原因之一即為與兩稅合一的衝突，實施兩稅合一之後，在有限的資金之下將增加公司發放股利的誘因；同樣的，在實施研發扣抵後亦將增加公司研發投資的金額，都會影響彼此的政策效果。 　　近年來台灣經歷獎勵投資條例、促進產業升級條例及現在的產業創新條例，其對投資之效果飽受爭論。而我國除採取研發扣抵政策外，亦實施兩稅合一政策以解決重複課稅之問題，因此在台灣兩稅合一與研發扣抵是否會互相衝突會是一項值得探討的議題。 　　本文以 1996 年至 2014 年台灣與 OECD上市公司的非均衡追蹤資料 (Unbalanced panel data) 來進行分析。實證結果指出，同時實施兩稅合一及研發扣抵的國家相較於其他樣本，其股利支付與研發投資之間的關係呈現更為顯著的負相關，代表當同時實施雙重扣抵制度，兩項支出之間的衝突性更為明顯。 　　本文另外也做了台灣與其他國家的比較，實證結果指出，台灣雖實施雙重扣抵制度，但其支出之間的關係，反而呈現較為顯著的正相關。可能的原因即為台灣之研發扣抵相較於兩稅合一，其誘因明顯為大，因此文末亦作了 difference in difference 的敏感度分析，但結果顯示不論是 1998 年兩稅合一或 2010 年產創條例實施後，研發投資與股利支付之間的關係並沒有顯著的改變。 / The effectiveness of R&D tax credit is inconsistent in past literature, and many researchers believe one possible reason is the impact of dividend imputation credit. After imputation credit, it will increase the company’s incentive to pay dividend. Also, after R&D tax credit, it will increase the payment of R&D investment. So both of the policy will affect the effect of each other. In recent years in Taiwan, we experienced Statute for the Encouragement of Investment, Statute for Upgrading Industry and current Statute for Industrial Innovation, and their effect on investment suffered controversy. In Taiwan, we have not only R&D tax credit, but also the implementation of dividend imputation to relieve the problem of double taxation, so it becomes an important issue. This paper examines the unbalanced panel data of Taiwan and OECD from 1996 to 2014. Empirical results indicate that in the context of both R&D tax credit and dividend imputation credit compared to the other sample, the negative correlation is more significant between the dividend payments and R&D investment. It means when we implement both credits, the payments of dividend and R&D conflict more. This paper also examines Taiwan with respect to OECD countries, and the empirical results indicate that although the implementation of both credits, the positive correlation is more significant between the two payments in Taiwan. One possible reason is that the R&D tax credit in Taiwan is obviously more attractive than the dividend imputation credit. Therefore, I also use the sensitive analysis of difference in difference to examine this problem. However, it shows that after the implementation of dividend imputation in 1998 or R&D tax credit of Statute for Upgrading Industry in 2010, the relationship of payments doesn’t differ obviously.

綠色稅制改革始於1990年代，在此前歐美主要稅收所得來源為所得稅，隨著歐美國家面臨經濟與財政困境，課稅項目漸漸地轉向環境稅，最先實施的國家為北歐國家，目前我國正面臨經濟衰退，且新政府上任後，增稅政策屢屢遭到民眾的反彈，有些學者認為，環境稅有辦法達成「雙重紅利」，既能增進環境品質且改善所得分配，不失為一向好的課稅工具。 本研究以民國100年行政院主計處的「產業關聯表」與「家庭收支調查報告」估計綠色稅制改革的所得重分配效果，利用投入產出分析法，估計環境稅對於消費支出項目價格影響，再將環境稅稅收金額作為所得稅減免與移轉收入減免用途，最後估計吉尼係數，觀察實施綠色稅制改革後的所得重分配效果。 實證結果顯示，環境稅是一具有累退性質之租稅，故單純課徵環境稅會造成所得分配惡化，且課徵越高之金額，所得分配惡化越嚴重；實施綠色稅制改革後，所得分配都較原始值平均，且綠色稅制改革金額越大之方案，改善所得分配效果則越好。