紅利之謎

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紅利之謎(Dividend Puzzle)

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什麼是紅利之謎

  紅利之謎是指私人投資者紅利資本利得分開來對待的現象。如果對紅利所徵的稅高於對資本利得所徵的稅,傳統的理性投資者應該懂得公司不支付紅利時,他們的收益將更高。可是在現實中,投資者卻更希望公司支付紅利。根據期望理論,一美元的紅利和一美元的資本利得是不同的,因為投資者將它們框定為兩個完全獨立的心理賬戶,即一個受最低風險保護的紅利賬戶和一個尋求高風險高收益的資本利得賬戶,股票價格的下跌是心理上資本賬戶的損失,而公司取消紅利則是紅利賬戶的損失,投資者一般將紅利看作是保證安全的一項收入,而將資本賬戶視為追求高收益的賬戶。

紅利之謎對主流金融學的衝擊

  行為金融學家們很早就聲稱從與分紅相關的一些現象的研究中找到了當前主流金融學的“死穴”(Shefrinand Statman)。

  1973年至1974年能源危機期間,紐約城市電力公司(ConsolidatedEdisonCompany,CEC)準備取消紅利支付。在1974年該公司的股東大會上,許多中小股東為此鬧事,甚至有人揚言要對公司董事會成員採取暴力舉動。顯然,這一事件是主流金融學所無法解釋的。ShefrinStatman(1984)尖銳地提出:按照主流金融學的分析框架,CEC的股東只會對能源危機對公司股價的影響敏感,而絕不會為公司暫停支付紅利的決定如此激動。因為在主流金融學的框架下,投資者遵循米勒(Miller)和莫迪利安尼(Modigliani)套利定價理論。他們知道,在不考慮稅收交易費用的情況下,一美元的紅利和一美元的資本利得並沒有什麼差異,他們隨時可以通過賣出股票自製“紅利”;而在收入稅率高於資本利得稅率的現實世界,減少股利支付會使股東的境況更好。那麼為什麼這麼多股份公司還要發放紅利呢?CEC的股東為什麼會對公司停止支付紅利做出如此激進的反映呢?

  然而,米勒(Millerl986)卻將這些攻擊蔑視為“天大的玩笑”。的確,在20世紀80年代行為金融學形成的初期,其理論體系遠未完善,各種“軟肋”和“硬傷”成為主流金融學攻擊的靶子。很少有人意識到其日後會對金融學理論產生深遠的影響。

行為金融學與紅利之謎

  行為金融學獨特的分析框架很好地解釋了紅利之謎。ShefrinStatman基於Kahneman阿莫斯·特沃斯基Amos Tversky)(1979)的期望理論建立了一個嶄新的分析框架。期望理論認為,投資者習慣於在潛意識中將其資產組合放入不同的意識賬戶(mentalaccounts)。一些賬戶的資產是用來養老的,一些賬戶的資產可以偶爾賭一把,一些賬戶的資產是用來接受高等教育的,還有一些賬戶的資產是為度假準備的,如此等等。馬柯維茲試圖說服投資者考慮不同意識賬戶之間的協方差而將其看成一個投資組合,但投資者似乎並不買賬。他們仍然習慣於將資產劃分為應對資產價格下跌的意識賬戶(持有現金和債券)和應對資產價格上漲的意識賬戶(持有股票期權以及其它未定權益)。而投資者對這兩類賬戶的風險偏好特性是馬柯維茲協方差的所不能解釋的(前者表現為極度的風險厭惡,而後者表現為極度的風險偏好)。CEC股票價格的下降屬於資本意識賬戶的損失,而停止支付紅利則是紅利意識賬戶的損失。兩個賬戶中同等數額的美元對投資者而言並不相同。

  馬柯維茲(Markowitz)指出,將資產劃入不同的意識賬戶忽略了不同資產之間的協方差,會使投資組合位於資產組合理論導出的有效前沿的下方。但Thaler和Shefrin(1981)針鋒相對地指出,現實生活中受情緒等行為意識影響的投資者並非主流金融學框架下的完全理性人。他們不具有完美的自控能力,容易趨於各種誘惑。將資產劃入不同的意識賬戶的做法實際上更有利於投資者提高自控能力。至於馬柯維茲的有效前沿只是一種現實生活中永遠無法達到的理想狀態罷了。

  制定行動規則是一種很好的自控方式。正如對於沉迷於酒精的人來說“最多喝到第一次摔倒”是一種很好的自控標準一樣,“消費紅利、絕不動用資本利得”是消費欲望強烈的投資者的自控標準。那些認為停止紅利支付會使其喪失收入來源的CEC的小股東們實際上是在忠實地執行絕不動用資本利得的自控規則。這些人將持有CEC的股票放到了獲得穩定收入來源的收入意識賬戶。他們擔心,一旦開始自製紅利(賣股票),就會像酒鬼碰到酒一樣一發不可收拾,最終失去一切。

  對於遵循行為金融的投資者而言,自製紅利還有另一個不足之處——它開啟了遺憾之門(doortoregret)。KahnemanTversky(1982)將遺憾(Regret)定義為投資者發現不同的選擇本能得到更好的結果時的痛苦感覺。設想一個投資者用分紅所得的1000美元購買了一臺電視機,另一個投資者用賣掉股票所得的1000美元購買了一臺同樣型號的電視機。KahnemanTversky問道:當股票價格上升時,這兩個投資者會感到同樣遺憾嗎?遺憾總是和責任相連的,而責任來源於選擇。買賣股票是一種重大的抉擇,自然可能導致重大的遺憾。而等待分紅是一種不必選擇的選擇,自然遺憾較少。

紅利之謎相關英文資料

  The dividend puzzle Jan 9th 2003 From The Economist print edition Is it time to revive the popularity of dividends—and are tax cuts the way to do it? UNTIL recently there was much talk of the impending death of dividends. But a confluence of events has conspired of late to make bosses and investors think again. Stockmarkets have sagged, making investors notice the minimal amounts of cash they were earning from their shares. Investors have grown more sceptical about accounting profits in the wake of Enron and WorldCom and now wonder if evidence of profitability in the form of a dividend cheque might help them to sleep more easily. Some big firms have piled up so much cash that it seems to burn a hole in their pockets. Even George Bush is trying to boost the popularity of dividends, by proposing to scrap income-taxes on them. The now passing unfashionability of dividends was always most pronounced in America, where over the past 20 years technology firms have seized on the idea that their growth opportunities were so glorious that paying a dividend would indicate weakness, telling investors that they could not find profitable ways to use the money. As a result, maturing technology firms have come to own large cash piles: Microsoft has $40 billion, Cisco $10 billion and Dell $4 billion, for example. One of Europe's cash hoarders is Nokia, with over euro8 billion ($8.3 billion). The way dividends are taxed can have wide-ranging consequences for how a firm is run To be fair, not all of the decline in the popularity of dividends reflected a fall in payouts by firms to shareholders. In the past decade, there was also a sharp increase in firms returning surplus cash to shareholders by buying back their shares, instead of through dividends. The declining role of dividends was encouraged by the theories of academics, many of whom instructed today's top managers in business school. One Nobel-prize-winning theory suggested that whether or not a firm paid a dividend should make no difference to the value of a firm to investors. According to this “irrelevance theory”, every share's value is based on the future cashflows from a company; it does not matter one whit whether those cashflows are paid out in dividends or kept as cash on hand by the firm. Shareholders receive the value of those cashflows either way—through dividends if paid, through a higher share price if not. Many bosses concluded that if they did not have to pay a dividend, why do so? Admittedly, not all academics agreed that dividends were irrelevant, either in theory or in practice—but such quibbles were largely ignored so long as shareholders were reaping capital gains in the bull market for shares. For instance, it had long been observed that a firm's share price tended to fall if a firm cut its dividend. More recently, some technology firms have seen their shares suffer when they have announced a plan to pay dividends. To explain this breach of irrelevance theory, academics have made several suggestions. Perhaps dividends send a signal to investors: not paying one means that you have great growth opportunities; starting to pay, that your opportunities are declining; cutting an existing dividend, serious financial troubles. Anyway the bubble in American share prices in the 1990s has led some academics to ask if the markets can be relied upon to think rationally about anything, including dividends. But in the real world there remains one overwhelming reason why dividend policy is not irrelevant: tax. The way dividends are taxed can have wide-ranging consequences for how a firm is run. In particular, it can influence whether a firm finances itself primarily through equity or debt, and how it chooses to return profits to its shareholders. The tax factor Taxes may largely explain the growing popularity of share buybacks compared with dividends in recent years. Buybacks are, in theory, just another way to return cash to shareholders, by buying up shares on the open market and retiring them. The reduction in the number of shares outstanding means that profits are spread over a smaller base of shares, which should lift share prices for investors who do not sell them back to the firm. The firm may be indifferent between dividends and buybacks as a means of distributing profits, but many investors are not. In America and many other countries, dividends received by investors are taxed at a higher rate than capital gains, such as those created by share repurchases. In most countries, tax rules allow firms to treat interest payments on debt as a tax-deductible expense, whereas cash payments to equity holders in the form of dividends or share repurchases come out of after-tax income. All else being equal, therefore, the tax system typically makes debt a cheaper source of finance for a firm, at the margin, than equity. As bosses caught on to debt's tax advantages, borrowing soared in the 1980s and 1990s—though some firms got carried away, took on too much debt and went bust. This was particularly true during the leveraged-buy-out (LBO) craze of the late 1980s. In recent years, governments almost everywhere have become increasingly concerned about the impact of taxation on companies. By and large, they have favoured tax reforms that are intended to boost business activity, such as cutting marginal tax rates—though in practice their reforms have often had unpredictable results. For example, in 1997 Britain ended all tax exemptions for dividends, ostensibly to encourage reinvestment of profits by firms—precisely the opposite of Mr Bush's current plan—but there is no evidence that it achieved this aim, according to the Institute for Fiscal Studies in London. Some possible consequences of Mr Bush's plan, if it is implemented, include above all making it more attractive for savers to invest in shares relative to other financial instruments. Although this may have unintended bad consequences for other capital raisers—notably municipalities, which have relied on a tax exemption on interest payments for their appeal—the jump in the supply of equity capital should reduce the relative cost advantage to firms of using debt rather than equity. Removing the tax disadvantage of paying dividends may force managers to find other plausible excuses for holding on to cash—or else to pay it out. This may make it harder for them to squander cash on ill-advised ventures such as, say, Microsoft's costly move into cable television. If it becomes the norm for most firms to pay out a large chunk of their profits as dividends, companies posting fake results might not get away with it for as long. Yet the Bush plan does not go far enough in removing tax as a force in the corporate boardroom. A better solution would be to make dividends a tax-deductible expense for companies, just like interest payments, so as to establish full tax-neutrality between debt and equity. An even bolder way to end the distortions caused to firms' behaviour by tax might be to scrap corporate tax altogether. That need not, as critics suggest, mean that corporate profits go untaxed. Rather, they could be taxed when the profits are received by shareholders who own the firm, whether as dividends (which would no longer need to be tax-exempt for investors, as Mr Bush now intends) or as capital gains. Alas, judging by the political storm over Mr Bush's dividend plan, voters are not yet ready for such boldness.

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