本研究首先以逐步迴歸方法篩選出解釋股利的重要變數，研究資料係取自Robert J. Shiller個人網站，為美國股票交易市場中公開上市公司1871-2003年之股利和盈餘年實質資料，共計132筆，以Eviews及GAUSS軟體操作而得出實證結果。

首先，以單根檢定檢視各別變數之定態性及其整合階次，由向量自我迴歸模型選擇適當的落階期數，再利用共整合檢定、誤差修正模型及結構性轉變模型，分析變數間長期均衡關係與短期動態調整過程，並試圖解釋美國股票交易市場公司股利政策行為之不對稱性。

實證結果方面，說明變數的定義、衡量方式、選樣標準與資料來源，並列示各項實證結果，以進行比較分析。最後的結論與建議，則是彙整本研究之重要結論，說明研究限制，並對後續研究提出建議。

Employing three alternative measures of ability to pay, we find support for the Lintner hypothesis that firms pursue a long-run target payout ratio and also that current earnings better explain long-run dividends than cash flows or stock prices. The evidence further indicates that corporations adjust dividends with a ratchet effect, raising them more readily than they lower them. 

More specifically, when dividends are below target levels, firms move toward equilibrium by increasing them, but when dividends are above target levels, firms approach equilibrium by restricting dividend increases as earnings rise.

目　錄
第壹章	緒論	1
第一節	研究動機	1
第二節  　研究目的	3
第三節	研究架構	4
第二章	文獻回顧	6
第一節	與股利政策相關之文獻	6
第二節	與研究方法相關之文獻	8
第三章  　研究資料與研究方法	11
第一節	單根檢定	13
第二節	多變數共整合檢定	17
第三節  　誤差修正模型	21
第四節  　多重結構性轉變模型	23
第肆章　 資料來源與實證結果分析	27
第一節	模型建立與變數說明	27
第二節	單根檢定	32
第三節　  多重變數共整合檢定	35
第四節  　誤差修正模型-以線性模型表示	39
第五節 　　誤差修正模型-以多重結構性轉變模型表示	41
第伍章　　結論與建議	49
參考文獻	51
圖  表  目  錄
圖目錄
【圖1-2-1】本論文之研究架構與流程……………………………………….5
【圖4-1-1】股利資料1870-2003年時間序列趨勢圖……………………………………31
【圖4-1-2】盈餘資料1870-2003年時間序列趨勢圖……………………………………31
【圖4-2-1】股利時間序列資料一階差分後分配………………………………………33
【圖4-2-2】盈餘時間序列資料一階差分後分配………………………………………33
【圖4-5-1】股利時間序列趨勢圖………………………………………………………43

表目錄
【表4-1-1】美國地區公司股利、盈餘之基本敘述統計………………………………30
【表4-2-1】股利及盈餘時間序列資料之單根檢定法…………………………………32
【表4-3-1】非限定共整合係數…………………………………………………………36
【表4-3-1】顯著水準5%下，各種型態模型的共整合數量……………………………37
【表4-3-3】共整合係數表………………………………………………………………38
【表4-4-1】最小平方法下之誤差修正係數……………………………………………40
【表4-5-1】結構性轉變模型檢定結果…………………………………………………42
【表4-5-2】結構性轉變模型估計結果…………………………………………………48

參考文獻

一、國內文獻

郭瓊珠 (1989)，現金股利情報內容之實證研究，中國文化大學企業管理研究所碩士論文。

謝劍平 (2002)，財務管理-新觀念與本土化，頁548-595。
劉孟賢 (1983)，美國證券市場發展的概況，證券暨期貨管理雜誌，頁41-42。

二、國外文獻

Aharony, J. and Swary, I. (1980), “Quarterly dividends and earnings announcements and stockholders’ returns: An empirical analysis.” Journal of Finance 35, 1-12.

Bai, J. and Perron, P. (1998), “Estimating and testing linear models with multiple structural breaks.” Econometrica 66, 47-78.

Bai, J. and Perron, P. (2001), “Multiple structural change models: A simulation analysis.” Manuscript, Department of Economics, Boston University.

Bai, J. and Perron, P. (2003), “Computation and analysis of multiple structural change models.” Journal of Applied Econometrics 18, 1-22.

Box, G. E. P. and Jenkins, G. M. (1970), Time series analysis: forecasting and control, Holden Day: San Francisco. 

Brittain, J. A. (1966), Corporate dividend policy, washington：Brookings Institute.

Dickey, D. A. and Fuller, W. A. (1979), “Distribution of the estimators for autoregressive time series with a unit root.” Journal of the American Statistical Association 74, 427-431.

Dickey, D. A. and Fuller, W. A. (1981), “Likelihood ratio statistic for autoregressive time series with a unit root.” Econometrica 49, 1057-1072.

Duesenberry, J. S. (1948), Income-consumption relations and their implications, Income, Employment and Public Policy, New York: W. W. Norton & Company. 

Enders, W. (1995), Applied econometric time series, New York, John Wiley and Sons, Inc.

Engle, R. F. and Granger, C. W. J. (1987), “Co-integration and error correction: Representation, estimation, and testing.” Econometrica 55, 251-276.

Fama, E. F. and Babiak, H. (1968), “Dividend policy: An empirical analysis.” Journal of the American Statistical Association 63, 1132-1161.

Fuller, W. (1976), Introduction to statistical time Series, New York：Wiley.

Gonzalo, J. (1994), “Five alternative methods of estimating long-run equilibrium relationships.” Journal of Econometrics 60, 203-233.

Johansen, S. (1988), “Statistical analysis of cointegrating factors.” Journal of Economic Dynamics and Control 12, 231-254.

Johansen, S. (1991), “Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models.” Econometrica 59, 1551-1580.

Johansen, S. and Juselius, K. (1990), “Maximum likelihood estimation and inference on cointegration with applications to the demand for money.” Oxford Bulletin of Economics and Statistics 52, 169-210.

Keynes, J. M. (1936), The general theory of employment, interest and money, London, Macmillan. 

Kormendi, R. and Zarowin, P. (1996), “Dividend policy and permanence of earnings.” Review of Accounting Studies 1, 141-160.

Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. (1992), “Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we the economic time series have a unit root ?” Journal of Econometrics 54, 159-178.

Lee, J. (2000), “The robustness of Okun’s Law: Evidence from OECD countries.” Journal of Macroeconomics 22, 331-356.

Lintner, J. (1956), “Distribution of incomes of corporations among dividends, retained earnings, and taxes.” American Economic Review 46, 91-113.

MacKinnon, J. G. (1996), “Numerical distribution functions for unit root and cointegration tests.” Journal of Applied Econometrics 11, 601-18.

MacKinnon J. G., Haug, A. and Michelis, L. (1999), “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration.” Journal of Applied Econometrics 14, 563-577. 

Marsh, T. A. and Robert C. M. (1987), “Dividend behavior for the aggregate stock market.” Journal of Business 60, 1-40.
	
 
Ng, S. and Perron, P. (1997), “Estimation and inference in nearly unbalanced nearly cointegrated systems.” Journal of Econometrics 79, 53-81.

Otero, J., Smith, J. and Giulietti, M. (2004) “Testing for seasonal unit roots in heterogeneous panels.” Warwich Economic Research Papers 695.

Phillips, P. C. B. and Perron, P. (1988), “Testing for a unit root in time series regression.” Biometrika 75, 335-346.

Shirvani, H. and Wilbratte, B. (1997), “ An empirical investigation of asymmetric behavior in corporate dividend policy.” Economic Inquiry 35, 847-857. 

Smith, C. W. and Warner, J. (1979), “On financial contracting：An analysis of bond covenants.” Journal of Financial Economics 7, 117-161.

Smith, C. J. and Watts R. L. (1992), “The investment opportunity set and corporate financing, dividend and compensation polices.” Journal of Financial Economics 32, 263-292.

Weygandt, J. J., Kieso, D. E. and Kimmel, P. D. (2002), Accounting principle, 6th edition, New York: John Wiley and Sons, Inc.