The dividend policy and the distribution of cash dividend can be of interest to the investors from many angles. Consequently, many theories have been built on the relevance of dividend policy and there are several theories proposing that dividends increase shareholder value. However, the most famous theory on dividend policy might be Miller and Modigliani's dividend irrelevance theory which implies that the dividend policy does not affect shareholder value. Although investors are concerned with shareholder value they are also concerned with achieving the highest possible return with the lowest volatility (risk). As many studies have focused on the dividend policy, especially dividend yield or the dividend payout ratio, and its relation with stock price movement we felt that there was a lack of information regarding the relation between return volatility and cash dividends. This resulted in the following research question: Does a change in cash dividend affect stock return volatility on NASDAQ OMX Stockholm? Answering this research question is the main purpose of the research. Additionally, the relationship between changes in cash dividend and return volatility will be compared in the different size segments that are to be found on NASDAQ OMX Stockholm. The study is quantitative with a deductive approach where historical data ranging from 2006-2012 has been gathered. Two measures of return volatility has been used, beta and standard deviation of return. Statistical tests have been conducted in an approach to answer the research question, mainly correlation tests and logistic regression analysis. No correlation between changes in cash dividend and changes in beta, nor changes in standard deviation were found. The same results were found when examining small, mid and large cap individually. In the logistic regression analysis no evidence was found that changes in dividend could explain changes in return volatility. Contrary to changes in dividend, the results indicate that the size of the company can explain changes in return volatility. Specifically, large cap companies explain increases in return volatility better than companies in the small cap segment. Therefore, the research question is concluded with no, a change in cash dividend does not affect stock return volatility. The findings could also be argued to be in support of the dividend irrelevance theory. Furthermore, the conclusion implies that investors need not regard the dividend policy when diversifying their portfolios. Additionally, managers need not be worried that a change in dividend policy should affect return volatility.

我以台灣資本市場在1991至2010年之上市公司作為樣本，研究資 本市場發展程度對於企業現金股利之資訊內涵的影響。我們首先觀察支 付公司數占整體上市公司數比重以及加權平均股利發放率，發現台灣資 本市場並不存在消失股利的現象。接著透過羅吉斯模型、Life Regression Tobit Model以及多變量迴歸分析，分別對台灣上市公司發放股利傾向、 股利發放率，以及現金股利宣告效果進行分析。我發現儘管我國不存在 股利消失現象，資本市場發展程度的確負向影響公司發放股利傾向、股 利支付率，以及宣告增發股利時的宣告效果，代表現金股利的資訊意涵 卻隨資本市場發展而弱化。另外機構投資人持股比率上升，顯著降低了 現金股利的宣告效果。唯本土機構投資人持股比例越高，公司發放股利 的傾向隨之增加，呼應了我國資本市場對於股利仍有一定的重視程度及 偏好。 / The main contribution of this article is that I use the variable of development of capital market as the main reason resulting in the decrease of the likelihood of companies to pay cash dividends and cash dividends payout ratio, and it also weakens the announce effect of cash dividends. There are some results we can see in this investigation. First, through observing the trend of the percentage of cash-dividend –payer firms to all TWSE firms and the trend of market value weighted payout ratio, we can see there is no “disappearing dividends” phenomenon in Taiwan capital market from 1991 to 2010. Second, the development of capital market not only decreases the likelihood of companies to pay cash dividends and cash dividends payout ratio, but also weakens the announce effect of cash dividends. Third, the more shares held by institutional investors, the weaker announce effect caused by cash dividends announcement. However, firms with higher percentage of shares held by local institutional investors are much likely to pay dividends. It somehow means that cash dividends are preferred and respected.

Payout policies is one of the most discussed topics in corporate finance. Since Miller & Modigliani (1961) dividend irrelevance theory, which was based on perfect markets, many theories have been developed in order to incorporate market imperfections to payout decisions. Numerous scholars have been trying to explain why companies pay dividends, whether they should compensate investors with alternative methods such as share repurchases or not distribute cash at all. The theme has gained lots of attention during the 21-st century driven by the subprime financial crisis in 2008 and mostly recently, in 2020, due to economic impacts brought by the Covid 19 pandemic. Another important aspect that makes the study of payout policy relevant in the 21-st century is the unique impacts of unveiled trends such as globalization and volatile markets, increased importance of ecology and sustainability, emergency of fast growth firms (mainly in the Tech industry) and change characteristics of listed firms. Globally there is a tendency of reduction in the number of listed firms and also deterioration in the quality of earnings. Additionally, there is no consensus about which factors influence a firm propensity of distributing cash to shareholders, which makes the topic very intriguing. Previous research has been conducted mainly within US firms. Few studies have been conducted regarding payout policies in the Nordic countries and most of them give little attention to share repurchases and payout policy determinants. Therefore, we decided to conduct a study regarding the patterns and determinants of payout policy in the 21-st century with focus on the Nordic countries. The purposes of the study are: first, to understand the pattern of payout policies in the Nordic countries during the 21-st century and second determine if there is a relationship between a number of firm’s selected factors and firm’s payout policy. As a sub purpose we intend to examine whether the Covid 19 pandemic had any effect on Nordic firm’s payout policies. The factors investigated, namely: debt, profit, retained earnings, growth opportunities, cash holdings, size and age were identified through a detailed literature review. We collected data from Thomson Reuters DataStream Eikon covering the period between 2000 and 2020 for 1,153 firms from all Nordic countries: Denmark, Iceland, Finland, Norway and Sweden. The study follows a quantitative research method with a deductive approach, and we have based the theoretical framework on the following theories: Miller-Modigliani dividend irrelevance theory, Signaling theory, Agency theory, Life-cycle theory and Substitution and Flexibility hypotheses. In order to determine whether there is a relationship between the companies selected factors and the payout ratios we conducted ordinary least square (OLS) correlation analysis. Additional regression analysis was conducted to verify possible impacts of Covid 19 on Nordic payout policies. Results indicate that some firms’ selected characteristics such as debt, size and age have an impact on Nordic firms’ payout policy during the 21-st century. Larger firms with lower debt are more willing to pay cash dividends, while older firms tend to present higher levels of share repurchase. Firms’ characteristics showed no impact on changes in payout ratios during the initial period of Covid 19.