Dividend Policy under Asymmetric Information Merton H. Miller, Kevin Rock Journal of Finance, Sep,1985 G916431 簡士龍 G906422 曾智揚 G906426 許超駿
Outline of the study Introduction Section1:Announcement effects Section2:Consistent dividend and investment policy under asymmetric information Conclusion
Introduction Information asymmetric: Insider & Outsider 資訊多與寡,正確與否, Dividend policy: 股利折現 signal Dividend Future earning Stock price
Explanation Fisherian criterion:invest in real assets until the marginal internal rate of return equals the risk-adjusted rate on securities. Time inconsistent:the market’s belief that the firm is following the Fisher rule creates incentives to violate the rule. investor Real asset Financial asset IRR = R
Section1:Announcement effects Evolution of the earnings stream The firm’s decision problem The earnings announcement effect The dividend announcement effect The financing announcement effect
Evolution of the earnings stream Suppose: two-period, one-decision, no tax,uncertainty model. T=0 T=1作決策 T=2解散
Evolution of the earnings stream Define the notation: X: Firm’s earnings I: Investment D: Dividend payment: ε: random increment B: additional funds raised
The firm’s decision problem At the start of period 1,the value of the firm Subject to the firm’s budget
The firm’s decision problem The value of the shares Given on MM theory the value of the firm is independent of its dividend decision D
The earnings announcement effect Preannouncement value of the firm Postannouncemnet value
The earning announcement effect Preannouncement value of the firm Postannouncemnet value
The dividend announcement effect The difference between actual and expected net dividends Dividend announcement effect
The financing announcement effect Merely the dividend announcement effect, but sign reversed
Information Asymmetric and the Firm’s Objective Function
Valued by director and market outsider
Social welfare function Subject to F.O.C with respect to D1
The Interaction of Expectations and Decisions The directors’ valuation depends both on the publicly announced dividend, D and unannounced earning, X If X(D) is single-valued and if the market is rational
The Interaction of Expectations and Decisions F.O.C=0 S.O.C<0
The solution to the signalling equation Less than Fisherian optimum of Investment (Time inconsistency)
Dividends as Signals The cost of signaling any specified level of earnings will be higher, the lower the level of earnings actually achieved. The cost of signaling may were not bearing to avoid giving the market the false impression that earnings were not good enough to justify a dividend. The best place for empirical firms falling into adversity, not because they then start signaling, but because they stop.
Alternative Routes to Restoring Consistency Statutory proscriptions Eliminating the profit from trades by “insiders” was in fact precisely the purpose of Section 16(b) of the Securities Exchange Act. Section 16(b) requires officers, directors, and major stockholders of registered companies to turn back to the corporation any profits on purchases and sales within six months of each other. 當市場處在競爭環境,若利害相關人間的資訊係屬對稱,則無論何種規範或制度,皆會產生柏拉圖最適境界(Pareto Optinality),故關於承銷資訊揭露,似可做部分修正,使資訊更具對稱性 柏拉圖最近境界,係指社會上的任何改變均無法在不損及某些人之情況下,而有益於另一些人。 因此有了證交法的規定,內部人在六個月內有涉及內線交易必須返還所得利益,可以恢復部分的效率性,當然也得花很多的成本,但很多案子是很難勝訴的。 如何設計一個同時使最佳的投資決策以及最適的股利政策仍然有待未來的研究。
Appendix 證券交易法 (民國 91 年 06 月 12 日 修正) 第 157-1 條 左列各款之人,獲悉發行股票公司有重大影響其股票價格之消息時,在該 消息未公開前,不得對該公司之上市或在證券商營業處所買賣之股票或其 他具有股權性質之有價證券,買入或賣出: (一) 該公司之董事、監察人及經理人。 (二) 持有該公司股份超過百分之十之股東。 (三) 基於職業或控制關係獲悉消息之人。 (四) 從前三款所列之人獲悉消息者。
Appendix 違反前項規定者,應就消息未公開前其買入或賣出該證券之價格,與消息 公開後十個營業日收盤平均價格之差額限度內,對善意從事相反買賣之人 負損害賠償責任;其情節重大者,法院得依善意從事相反買賣之人之請求 ,將責任限額提高至三倍。 第一項第四款之人,對於前項損害賠償,應與第一項第一款至第三款提供 消息之人,負連帶賠償責任。但第一項第一款至第三款提供消息之人有正 當理由相信消息已公開者,不負賠償責任。 第一項所稱有重大影響其股票價格之消息,指涉及公司之財務、業務或該 證券之市場供求、公開收購,對其股票價格有重大影響,或對正當投資人 之投資決定有重要影響之消息。 第二十二條之二第三項之規定,於第一項第一款、第二款準用之;第二十 條第四項之規定,於第二項從事相反買賣之人準用之。
Conclusion Inability of the standard full information model to accommodate dividend announcement effect Future empirical research 本文在於探討公司發放股利決策對財務報表的影響,在評估的過程中,所採用的理論是經濟上的理性預期均衡理論。在此理論下,若知情投資者與不知情投資者之間不存在資訊,或存在嚴重的資訊不對稱,則知情投資者會利用其優越資訊之便,將不知情投資者的財富往自己身上移轉,所以在理性預期均衡中會產生許多無效率的均衡解。 這篇文章強調的是資訊不對稱下的股利政策,股利可以當成是未來盈餘的預測指標,也是可以利用股利折現模式決定股價的重要因素。從導出公司的盈餘模式而推出股利宣示效果,再演譯出資訊不對稱下是否有最佳的股利政策,最後探討資訊不對稱下使恢復time consistency的方法。 在資訊不對稱下,公司在決定股利時,會將大眾的預期和反映考慮進去而決定股利要發放多少,因此,若公司所宣布的股利超過一般大眾所預期的,則對股價將有正面的效應。但是若發放過多的股利,則影響了公司用於投資的金額,因為盈餘不是用來發放股利就是投資,若公司管理當局有心欺騙,則股價將會上漲,而在模式中允許即時的交易(也就是內部人可以自由交易賣出手中持股),雖然股價隨著資訊的流通和交易的進行而回復真實價值,但已經犧牲了最適的投資金額,也就是違反了Fisherian criterion(invest in real assets until the marginal internal rate of return equals the appropriately risk-adjusted rate of return on securities),也就影響了公司的價值。 資訊不對稱下的股利政策有如賽局理論般的爾虞我詐,內部人知道管理當局的股利政策會影響股價,而外部人了解內部人知道公司真正的營運狀況,外部人會想:如果發放高於預期的股利,預期公司將來的營運會更好,所以股價上漲。不然等下次你發放的股利若低於預期,我們也會跟著賣股票,使股價下跌。即使如此,內部人還是會利用優勢的資訊來獲取利益。