本研究以美國上市公司為例，探討其上市公司現金股利以及股價間的非線性關係，本研究採用Gonzalez,　Terasvirta and Dijk　(2004, 2005)所發展的縱橫平滑移轉迴歸模型（Panel smooth transition regression model, PSTR），以負債比率以及股東權益報酬率為模型中的轉換變數，並分析以速動比率為額外控制變數，探討美國上市公司現金股利以及速動比率對股價的影響。本研究以S&P 500指數中16家美國上市公司中石油、天然氣以及消耗性燃料產業(Oil, Gas and Consumable Fuels)為樣本選取，資料期間為1993年至2008年共計16年之年資料，以Panel data的資料型態作為實證分析資料。根據本研究實証結果顯示，當負債比率小於31.05%時，現金股利與速動比率對股價呈現正相關，當負債比率大於31.05%時，雖較高的現金股利發放仍表示個股擁有較高的股價，但速動比率已與股價呈現負相關；當股東權益報酬率小於0.0451以及位於0.0451和0.1056區間時，股價與現金股利呈現正相關，而與速動比率呈現負相關，當股東權益報酬率大於0.1056時，現金股利仍與股價呈現正相關，而速動比率也轉而與股價呈現正相關。

The purpose of the research is to examine the nonlinear relationship between stock prices and cash dividends based on the empirical data of 16 American firms classified as the category of Oil, Gas and Consumable Fuels Industry in S&P 500 index. The interval of dataset is 16 years so that the set is formed as a 16x16 panel and the empirical activities proceed as Panel Smooth Transition derived by Gonzalez, Terasvirta and Dijk (2004, 2005). The results show that there are only two regimes on the nonlinear relationship between stock price, cash dividend and quick ratis by the threshold parameter of debt ratio. Stock prices are positive relevant to cash dividends wherever the threshold parameter locates on but to quick ratio only when debt ratio exceeds 31.05%, negative relevant to quick ratio otherwise though. In the other case, we use returns on asset as the threshold parameter to detect the nonlinear relationship between the same endogenous and extraneous variables. The output represents that there exists two thresholds. Cash dividends are positive relevant to stock prices globally, especially on the second regime. On the other hand, when ROA is under 0.0451 or between 0.0451 and 0.1056, quick ratio is negative relevant to stock price. Moreover, quick ratio represents positive effect on stock price under the situation of ROA exceeds 0.1056.

目錄
第一章	前言	1
第一節	研究背景與動機	1
第二節	研究目的	3
第三節	研究架構與流程	4
第二章	文獻回顧	6
第三章	研究方法	13
第一節	縱橫單根檢定	13
第二節	縱橫平滑移轉模型	17
第三節	縱橫平滑移轉迴歸模型設定	21
第四章	實證結果與分析	25
第一節	變數選定與資料來源	25
第二節	實證資料縱橫單根檢定	27
第三節	縱橫平滑移轉模型實證結果	29
第五章	結論	40
第一節	研究結論	40
第二節	研究建議	43
參考文獻	44
圖表目錄
(圖1-1) 研究流程圖	5
(圖一) 縱橫平滑移轉函數圖形(m=1)	19
(圖二) 縱橫平滑移轉函數圖形(m>1)	20
(圖三) 以負債比率為股價門檻變數	33
(圖四) 以總資產報酬率為股價門檻變數( =0.0451)	39
(圖五) 以總資產報酬率為股價門檻變數( =0.1056)	39
(表4-1) 各資料變數敘述統計量	27
(表4-2) 各變數縱橫單根檢定實證結果	28
(表4-3) 負債比率對股價線性檢定	29
(表4-4) 負債比率為股價門檻變數模型的轉換區間個數檢定	30
(表4-5) 負債比率為股價門檻變數模型中各估計參數結果	30
(表4-6) 負債比率對模型中各控制變數的影響	31
(表4-7) 總資產報酬率對股價線性檢定	34
(表4-8) 總資產報酬率為股價門檻變數模型的轉換區間個數檢定-1	35
(表4-9) 總資產報酬率為股價門檻變數模型的轉換區間個數檢定-2	35
(表4-10) 總資產報酬率為股價門檻變數模型中各估計參數結果	36
(表4-11) 總資產報酬率對模型中各控制變數的影響	37

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