In this paper we examine the short and long-term relations between stock price, book value and residual income.  We employ a panel error correction model, estimated with Engle & Granger’s (1987) two-step procedure and the single equation methodology. The models are estimated with FE-OLS and the MG-estimator. We find that stock prices adjust previous periods equilibrium error. Further, we find that book value has short and long-term effects on stock prices. Finally, this paper finds mixed results regarding residual incomes impact on stock prices. The MG-estimator finds evidence for a short-term relationship, while the FE-OLS provides insignificant or weak support for short-term effects. FE-OLS and MG-estimator find insignificant or weak support regarding residual incomes long-term effects.

The first essay studies the Marginal Cost of Funds in the existence of tax evasion. We develop a general equilibrium model of tax evasion, including the expected utility of taxpayers and three different revenue-raising government policies. In this rich model environment, we analytically derive the marginal cost of funds (MCF) for the alternative policy instruments. We consider two main fiscal reforms: the revision in the nonlinear tax scheme and the changes in enforcement mechanism (the audit and penalty rates). First, we derive the MCF for the tax reform and find its key determinants. The derived MCF is greater than the previous ones since it includes a "risk-bearing cost" as well as tax distortion. The reform in enforcement mechanism generates MCFs in different forms. Two more MCFs with respect to audit and penalty rates are presented. Finally, we compare these three different MCFs in numerical example and provide some policy implications. The second essay explores optimal tax structure in the presence of status effect. When the consumption of certain goods affects one's social status, this externality creates two opposite effects in a society. Seeking higher status through “positional goods" gives individuals much incentive to supply labor but still allocates income for less “nonpositional goods" as well. In this case, differential taxes on positional goods work as corrective instruments to internalize the social cost stemming from status seeking. Furthermore, the differential taxes generate revenue that can be used to alleviate preexisting income tax distortion. Thus, the differential taxes on positional goods could give so called “double dividend." I develop a game-theoretic model in which each individual with a different labor productivity unknown to the others engages in a status-seeking game, and the government has a revenue requirement. Then I show that, under a condition in which utility is separable between positional goods and leisure, a revenue-neutral shift in the tax mix away from nonlinear income taxes towards positional-good taxes enhances welfare. Hence, the differential taxes on positional goods are necessary together with the nonlinear income taxes for an optimal tax structure. The third essay explores the impact of increasing capital mobility on regional growth and environment. I develop an endogenous growth model in which each local government competes against the others, to induce imperfectly mobile stock of capital into its region. Then I show that an increase in capital mobility generates “tax importing" due to which each locality experiences a higher growth rate and more degraded environment. That is, the increasing mobility dampens the capital tax and transfers the burden of pollution abatement to the locality. This finding supports the hypothesis of “race to the bottom" in environmental standards. Identifying a reduction in overall welfare of residents, I consider two alternative federal interventions in the model: uniform environmental standard and requirement of lump sum transfer or tax. Both of these federal instruments enhance the residents' welfare. / text

This thesis investigates the nature of joint dividend-and-earnings signalling in announcements to the New Zealand Stock Exchange in the 1990s. Initially the Market Model is used to compute expected returns, and the abnormal returns derived from these are subjected to restricted least squares regressions to separate out a putative dividend signal from the concurrent earnings signal. But with the Market Model, the zero-value company returns associated with an absence of trading in thinly traded stocks are over-represented in returns distributions leading to problems of bias. New models are developed that explicitly exploit zero returns. The first alternative methodology entails friction modelling, which uses a maximum likelihood estimation procedure to find the relationship coefficients and the range of returns that should be considered as zero, and then proceeds to treat them as a separate category. The second alternative methodology is that of state asset models, which take a fresh new look at investor perceptions of the connection between movements in company returns and those of the concurrent underlying market. Zero-value company returns cease to be zero in value, where a state model is rotated, or alternatively they can be modelled as an extra state. All three methodologies furnish some evidence of dividend signalling; but this evidence is highly dependent on small changes within the given methodology.

Bhattacharyya（2007）建立一個連結企業管理階層薪酬與現金股利的模型。該模型指出在既定的可用現金下，企業管理階層薪酬與現金股利支付率呈負相關。本研究參考上述模型，以2005年至2008年國內上市櫃公司資料為樣本，使用Tobit模型檢視樣本公司高階經理人薪酬、董監事薪酬與現金股利支付率之關聯性。本研究實證結果符合上述模型之推論，亦即高階經理人總薪酬與公司之現金股利支付率呈顯著負相關。 　　本研究另將高階經理人薪酬區分為現金薪酬與股票薪酬，進行額外的分析，其結果顯示高階經理人之股票薪酬與公司現金股利支付率呈顯著負相關。換言之，台灣上市櫃公司（尤其高科技產業）常使用之股票薪酬合約，其性質具有長期激勵之效果。在公司既定的可用現金下，此種合約不但可激勵高品質的高階經理人選擇淨現值為正的投資方案，且可確保經理人不因短期投資方案而犧牲公司的長期利益。 / Bhattacharyya (2007) proposed a dividend payout model in which executive compensation is associated with the level of cash dividends. The model shows that for a given level of cash available for distribution, there is a negative　relationship between a company’s dividend payout ratio and its managerial compensation. This study applies the above model to a sample of the listed companies at the Taiwan Stock Exchange (TSE) and the Gre Tai Securities Market (GTSM) from 2005 to 2008. The Tobit regression results are consistent with the Bhattacharyya (2007) model’s prediction, i.e., the dividend payout ratios of sample firms have negative associations with their managerial compensations. 　　In addition, this study classifies executive compensation into cash and stock payments for further analyses. The results show that dividend payout ratio is negatively correlated only with the stock portion of executive compensation. It means that for a given level of available cash for distribution, the nature of stock compensation has the long term effects which not only encourage a company’s executives to invest more in the projects with positive NPV without sacrificing the company’s benefits, bus also leave less cash for　distribution as dividends.

This paper presents a method to value the residential real estate portfolio of an economy by summarizing the future discounted values of the net operating income. The motivation for this choice of subject is the concern for a house bubble in Sweden due to the double-digit rise in housing prices which the economy has experienced during many consecutive years. However, the method is general and can be applied anywhere where relevant statistics is available. The challenge to use an income approach to residential real estate valuation lies in the fact that there is no obvious net operating income, as the owner and the end user is in many cases the same person. To solve this challenge, we determine the maximum possible net operating income by taking the households’ disposable incomes and subtracting their expenses. This will be a fictional value for the maximum possible net operating income or the imputed income for real estate owners. When this fictional net operating income is compared to the mean prices of properties, a maximum potential yield to capital invested in residential real estate is extracted. The current number for this maximal potential yield on the Stockholm market seem to be 6,4 percent, 2017. The main contribution of this paper to the science of economy is that it presents a way to use classical fundamental valuation methods to evaluate the price level of residential real estate, that, due to lack of tangible net operating income is not as straightforward as the valuation of the commercial real estate market.

Made available in DSpace on 2010-04-20T20:08:08Z (GMT). No. of bitstreams: 1 71060100672.pdf: 991061 bytes, checksum: d5b6d799f4240e554496280b112e4007 (MD5) Previous issue date: 2010-02-26T00:00:00Z / In December 2000, Bovespa created a list differentiating companies that voluntarily accepted corporate governance practices in addition to those required by the CVM. The purpose of the innovation was to develop the relationship between companies and their investors, reducing the asymmetry of information, giving greater certainty to investors and thereby encouraging the funds invested in capital market. This study assessed the initiative made by Bovespa, therefore was applied several statistical and econometric tests, that differentiate company as a governance policy adopted. The database has a total of 326 companies that were analyzed from 1996 to 2008. The tests indicate the existence of a clear relation between the governance and the asymmetry of information. Companies that belong to the markets with more restrictive governance policies (New Market, Level 2 and Level 1) have fewer information asymmetries. The results show the formation of a market with different characteristics to the traditional Bovespa. The companies that suffer major restrictions configure a more secure institutional environment. Therefore, the initiative of Bovespa to differentiate the market according to the degree of governance brought positive contributions to the improvement of access to information, which means a safer market for shareholders. / Em dezembro de 2000, a Bovespa criou uma listagem diferenciando as empresas que voluntariamente aceitassem práticas de governança corporativas adicionais àquelas exigidas pela CVM. A finalidade da inovação era estreitar a relação entre as empresas e seus investidores, diminuindo a assimetria informacional, dando maior segurança ao investidor e, dessa forma, fomentando os recursos aplicados no mercado de capital. Este trabalho procura avaliar a iniciativa feita pela Bovespa, para tanto foram aplicados vários testes estatísticos e econométricos, que diferenciaram as empresas enquanto a política de governança adotada. O banco de dados possui um total de 326 empresas que foram analisadas no período de 1996 à 2008. Os resultados apontam a existência de uma relação clara entre a governança corporativa e a assimetria de informação. Companhias que adotam políticas de governança mais restritivas (Novo Mercado, Nível 2 e Nível 1) possuem menos assimetrias de informação. Os resultados apontam para a constituição de um mercado com características distintas do tradicional da Bovespa. As companhias que sofrem maiores restrições configuram um ambiente institucional mais seguro, donde se conclui que a iniciativa da Bovespa em diferenciar o mercado conforme o grau de governança trouxe contribuições positivas para a melhora do acesso à informação, que se traduz em um mercado mais seguro para o acionista.

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)

Intäkter är en väsentlig del av redovisningen och används för att fastställa de finansiella resultaten. Det är även ett betydelsefullt mått för intressenter som använder intäktsredovisningen för att bedöma företags finansiella prestation. År 2002 påbörjade IASB ett projekt för att utveckla en ny internationell intäktsstandard. Anledningen till detta var att öka jämförbarheten mellan olika företag och länder samt att utveckla ett mer konsekvent ramverk för intäktsredovisning. Svenska onoterade företag som klassificeras som större företag ska tillämpa det svenska regelverket K3, men har även möjlighet att följa det internationella regelverket IFRS genom att tillämpa den svenska rekommendationen RFR 2. Syftet med denna studie är att undersöka om skillnader uppstår mellan regelverken RFR 2/IFRS 15 och K3 vid redovisning av intäkter när hänsyn tas till inkomstbeskattning, utdelningsmöjligheter och nyckeltal. Syftet i studien är även att visa vilket regelverk som är mer fördelaktigt ur ett intressentperspektiv. Intressenterna som avses är användarna av finansiella rapporter vilka nämns i IASBs föreställningsram. För att uppnå syftet har tre typfall konstruerats med utgångspunkt i tre olika branscher som förväntas påverkas av den nya intäktsstandarden. Typfallen har därefter analyserats utifrån tillämpning av regelverken RFR 2/IFRS 15 och K3. Metoden som tillämpas i denna studie är av abduktiv karaktär och inom ramen för kvalitativ forskning. Resultatet av studien visar att det förekommer skillnader mellan RFR 2/IFRS 15 och K3. I typfallen uppstår skillnader i tidpunkten och fördelningen vid redovisning av intäkter vilket får effekter på inkomstbeskattning utdelning och nyckeltal. Det är dock svårt att utifrån dessa typfall och faktorer konstatera vilket regelverk som är mer fördelaktigt ur ett intressentperspektiv. När hänsyn tas till att RFR 2/IFRS 15 är mer omfattande och detaljrik än K3 kan däremot RFR 2/IFRS 15 anses vara det regelverk som är mer gynnsamt för intressenterna av den anledningen att det förser intressenterna med mer användbar och utförlig information. / Revenue recognition is an essential part of accounting theory and is used for determining financial performance. It is also a meaningful measure for stakeholders that use revenue recognition to estimate companies’ financial performance. In 2002 the IASB started a project to develop a new international revenue recognition standard. The reason for this was to increase the comparability across companies and countries as well as develop a more consistent framework for revenue recognition. Unlisted Swedish companies which classifies as larger companies should apply the Swedish regulation K3, but they also have the opportunity to practise the international IFRS regulation by applying the Swedish recommendation RFR 2. The purpose of this study is to examine possible differences that may arise between the revenue recognition of RFR 2/IFRS 15 and K3 regarding income tax, dividends and financial ratios. The study will also show which regulation is most beneficial from a stakeholder perspective. The stakeholders referred to are the users of the financial statements in IASB’s conceptual framework. In order to achieve the purpose of this study, three hypothetical examples have been designed based on three different industries that are expected to be the most affected of the new revenue recognition standard. The hypothetical examples have then been analyzed based on the application of RFR 2/IFRS 15 and K3. The method for this study is an abductive character and within the frames of qualitative research. The findings of this study indicate that differences appear between RFR 2/IFRS 15 and K3. The hypothetical examples show that differences occur in the timing and allocation of revenue recognition which have an effect on income tax, dividends and financial ratios. Even though differences occur it is difficult to conclude which regulation is the most beneficial from a stakeholder perspective, based on these hypothetical examples and elements. However, considering RFR 2/IFRS 15 being more comprehensive and detailed than K3, RFR 2/IFRS 15 may be considered more beneficial to stakeholders as it provides stakeholders with more useful and extensive information.

Segundo a teoria da firma, uma empresa é um nexo de relações contratuais entre os seus diversos participantes. Nessas relações contratuais, que não são perfeitas, surgem os problemas de agência, decorridos da assimetria informacional e dos conflitos de interesses entre o contratado e o contratante, no caso, agente e principal. Neste caso, quando se tem a intenção de alinhar os interesses entre eles, aparece a governança corporativa, atuando como um meio de minimizar os conflitos e diferenças existentes e corrigir as falhas presentes no processo de comunicação e informação das firmas. No Brasil, diante da fraca proteção legal aos acionistas minoritários, da alta concentração de propriedade nas empresas e da separação dos acionistas entre ordinários e preferenciais, algumas medidas institucionais e governamentais têm sido tomadas ao longo dos anos com o objetivo de contribuir com a evolução das práticas de governança corporativa no país. Uma dessas iniciativas foi a criação em 2000 do segmento Novo Mercado pela Bovespa, composto por regras e exigências crescentes em relação às boas práticas de governança. Nesse sentido, é coerente pensar que a política de dividendos, antes influenciada pela necessidade de atuar também como instrumento de redução de conflitos entre os acionistas, passou a ser decidida a partir de um foco preponderantemente gerencial pelas companhias deste segmento, ou seja, tomada do ponto de vista financeiro de maximização da riqueza dos acionistas. Para testar esta suposição, adotou-se o modelo conceitual da Teoria Residual dos Dividendos, estabelecidos pioneiramente por Modigliani e Miller (1961) e revisitado por Jensen (1986) na Teoria Free Cash Flow. Assim, conduziu-se um levantamento do Fluxo de Caixa Livre do Acionista (FCLA) para todas as companhias listadas no Novo Mercado da BM&FBovespa desde a sua criação até o ano de 2011. O objetivo foi investigar o perfil da política de dividendos dessas empresas, a partir da avaliação de como elas administram o FCLA. Além disso, foi testado se as decisões sobre a destinação do saldo de FCLA impactaram na rentabilidade do acionista, expressa pela Taxa de Retorno da Ação (TRA). Como proposta secundária, foram pesquisados também os fluxos de reinvestimento dos lucros destas companhias, buscando verificar se os acionistas são recompensados por maiores ganhos de capital em contrapartida pelo não recebimento de dividendos e, também, onde são alocados os lucros reinvestidos. Como resultado, constatou-se que grande parte das companhias apresentaram elevados níveis de sobreinvestimento no período, provocado pela retenção do FCLA, e que este problema pode ter sido a causa de uma Taxa de Retorno da Ação menor em alguns setores. Adicionalmente, foi observado que as empresas que mais retiveram lucro, ao longo do tempo, foram também as que proporcionaram os maiores retornos de ganhos de capital aos seus acionistas. Por fim, detectou-se que os lucros retidos pelas companhias foram reaplicados, em sua grande maioria, em investimentos relacionados à expansão ou manutenção de suas capacidades produtivas (capital fixo), embora a maior parcela deles acabasse não sendo identificada em nenhum dos ativos expressos pelo balanço patrimonial contábil. / According to the theory of the firm, the firm is a nexus of contractual relationships between its various participants. Such contractual relations, which are not perfect, agency problems arise, elapsed the information asymmetry and conflicts of interest between the engaged and the contractor, where, agent and principal. In this case, when it is intended to align the interests between them, appears to corporate governance, acting as a means to minimize conflicts and differences existing and correct the faults present in the process of communication and information firms. In Brazil, due to the weak legal protection for minority shareholders, the high concentration of ownership in firms and the separation between common and preferred shareholders, some institutional and government measures have been taken over the years in order to contribute to the evolution of corporate governance practices in the country. One such initiative was the creation in 2000 of the Novo Mercado segment by the Bovespa, composed of rules and increasing requirements in relation to good governance practices. Therefore, it is coherent to think that the dividend policy before influenced by the need to act as an instrument for reducing conflicts between shareholders, has to be decided from a managerial focus by companies in this segment, that is, the financial point of view of maximizing shareholder wealth. To test this assumption, we adopted the conceptual model of the Residual Theory of Dividends, established pioneered by Modigliani and Miller (1961) and revisited by Jensen (1986) in the Free Cash Flow Theory. Thus, we conducted a survey of Free Cash Flow to Equity (FCFE) for all companies listed on the Novo Mercado of the BM&FBovespa since its inception until the year 2011. The aim was to investigate the profile of the dividend policy of these companies, based on the evaluation of how they manage the FCFE. Furthermore, was tested whether if decisions on the allocation of the balance of FCFE impacted the profitability of the shareholder, expressed by the Rate of Stock Return (RSR). As proposed secondary, were surveyed the flows of reinvestment of profits these companies, seeking first check whether the shareholders are rewarded by higher capital gains in return for non-receipt of dividends, and also where they are allocated reinvested earnings. As a result, it was found that most companies had high levels of overinvestment during the period, caused by retention of FCFE and that this problem may have been the cause of a Rate of Stock Return lower in some sectors. Additionally, it was observed that companies that retained earnings, over time, were also the ones that provided the highest returns of capital gains to its shareholders. Finally, it was found that profits retained by the companies were reapplied mostly in investments related to the expansion or maintenance of their productive capacity (capital assets), while the largest portion of them end up not being identified in any of the assets of the balance sheet accounting.

La tesi studia l'interazione tra potere di mercato, disuguaglianza e benessere in un modello dinamico di equilibrio generale. A tal fine è necessario abbandonare due capisaldi della teoria Neoclassica: l'agente rappresentativo e la competizione perfetta. L'obiettivo del primo capitolo è capire come il potere di mercato influenza la distribuzine di ricchezza e reddito tra le famiglie. I risultati suggeriscono che una semplice estenzione del modello di Aiyagari, in particolare competizione oligopolistica con dinamica delle imprese endogena, riesce a replicare le distribuzioni osservate nei dati USA. Inoltre, un incremento del grado di concentrazione nel mercato dovuto a un aumento dei costi di entrata, implica una più bassa Labor Share e una più alta Profit Share. A loro volta queste dinamiche causano un incremento della disuguaglianza. Anche questi trend sono in linea con ciò che si può osservare dai dati USA. Il secondo capitolo estende il modello sviluppato nel primo per studiare il ruolo della tassazione dei dividendi nel redistribuire risorse. L'analisi considera due regimi alternativi. Una riduzione dell'aliquota sui dividendi, dallo Status Quo statunitense, comporta una perdita di benessere per la società. Una più bassa tassazione riduce i trasferimenti monetari alle famiglie, implicando alti costi per quelle più povere. Inoltre, una riduzione dei trasferimenti causa un incremento dei risparmi. Per poter risparmiare di più gli agenti meno abbienti devono sacrificare consumo. Dato che la ricchezza è molto concentrata, la maggior parte della popolazione soffre una perdita di benessere. / This work studies the interactions between market power, inequality, and welfare in a dynamic, general equilibrium framework. Doing so requires departing from two building blocks of the neoclassical general equilibrium model: the representative agent paradigm and perfect competition. The aim of the first chapter is to understand whether market power affects the distributions of wealth and income among households. Results suggest that a relatively simple extension of the Aiyagari model, namely oligopolistic competition with endogenous firms’ dynamics, is successful at reproducing the wealth and income distributions observed in the U.S. Additionally, an increase in concentration in the markets for final goods, due to an increase in entry costs, leads to a lower labor share and a higher profit share of income. These dynamics, in turn, imply higher income inequality. Importantly, these trends are broadly in line with those observed in the U.S. in the last thirty years. The second chapter extends the framework developed in chapter one to study the role of the dividend income tax as a redistributive tool. The analysis considers alternative redistribution regimes. The main finding is that a reduction of the dividend income tax rate, from the US Status Quo, is associated with a social welfare loss. A lower dividend income tax rate implies lower transfers to households. From a welfare point of view, this is particularly costly for poor households. Furthermore, a reduction in transfers forces households to save more for precautionary reasons. To do so, wealth poor households must sacrifice consumption. Given the high concentration of wealth, this implies that the majority of the population suffers a welfare loss.