주식유동성이 배당정책에 미치는 효과
The Effects of Stock Liquidity on the Firm's Dividend Policy in Korean Stock Market
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초록
본 연구에서는 1982년부터 2010년까지 유가증권시장에 상장된 885개 비금융기업을 대상으로 주식유동성이배당정책에 미치는 효과를 분석하였다. 현금배당을 지급하였으면 1의 값을 가지는 더미변수를 종속변수로 한횡단면 로지스틱 회귀분석을 실시한 결과, 거래회전율로 측정한 유동성변수가 모든 기간에 걸쳐 유의한 음의계수값을 가지고, 거래회전율이 ±1 표준편차가 변할 때 배당지급확률은 45% 정도의 변동을 보여서 주식유동성이 낮은 기업일수록 배당지급 가능성이 증가한다는 배당의 유동성가설을 지지하는 결과를 얻었다. 이러한 결과는 최근으로 올수록 그 유의성이 더 증대되고 있으며, 기업규모, 수익성, 투자기회, 부채비율과 같은 기업특성변수들을 통제한 상황에서도 일관되게 지지되는 것으로 나타났다. 주식유동성의 미래 배당지급확률에 대한예측력을 실제 배당지급기업 비율과 비교한 결과에서는 기업특성변수만을 이용하여 예측한 배당지급확률에 비해 유동성변수를 추가하여 예측한 배당지급확률이 5.48% ~ 9.38% 정도 유의하게 낮은 예측오차를 가져서 주식유동성이 중요한 배당결정요인임을 재확인하였다. 이상과 같은 본 연구의 결과는 기업특성변수들 이외에 유동성과 같은 주식시장 관련 변수도 기업의 배당정책에 영향을 미친다는 것을 보여주고 있다.
Abstract
This study investigates the effect of stock liquidity on the firm’s dividend policy in Korean stock market. Especially, I examine whether the dividend liquidity hypothesis that a firm with lower stock liquidity tend to have higher possibility for cash dividend payments is also significantly supported in Korean stock market using financial statements data and stock market data of 885 non-financial firms listed in KOSPI during 1982 ~ 2010. Firstly, I do the cross-sectional logistic regression analysis using dummy variable as a dependent variable, which have a value of one when the firm pays cash dividends to investigate that stock liquidity actually has a explanatory power to dividend decision. As a result, I find that stock liquidity variable measured by turnover ratio have significantly negative coefficients in all regression models. This result means the dividend liquidity hypothesis is also significantly supported in Korean stock market. The probability of dividend payments changes about 45% when stock liquidity variable changes as much as one standard deviation. These results are more significant after 2000 and are supported consistently when the firm-specific characteristic variables such like firm size, profitability, investment opportunity, book-to-market ratio are controlled. Secondly, I estimate the probability of future dividend payments and compare it with actual dividend payment ratio(= # of dividend-paying firms / # of total firm in a year). The probabilities of future dividend payment estimated by cross-sectional logistic regression model using only firm specific characteristics as a explanatory variable show about 23.62% of prediction errors, on average, with actual dividend payment ratio, whereas, the prediction errors of cross-sectional logistic regression model including stock liquidity variable additionally are significantly lower than former’s error about 5.48% ~ 9.38%. So, I reconfirm that the stock liquidity is important determinant for Korean firms’ dividend policy. In subsample analysis, I find that the stock liquidity can increase the power to predict future dividend payments of firms with high stock liquidity and lower probability of dividend payments. I also find that the stock liquidity has the highest explanatory power for dividend policy of firms which have continuously paid cash dividends during past 5 years.
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