현금배당공시에 따른 시장반응에 대한 실증분석 - 고배당 선호 관점을 중심으로 -
An Empirical Study of Stock Price Reaction to Cash Dividend Announcements
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초록
본 연구는 유가증권시장에서 현금배당의 증가, 감소 그리고 유지공시라는 경제적 사건을, 고배당선호이론(신호전달가설, 대리인비용 감소가설 및 손안의 새 가설) 관점에서 실증 분석함으로써, 배당공시에 대한 시장의 효율성을 검정함과 동시에 현금배당공시가 주가에 미치는 영향을 확인하였다. 고배당선호이론 하에서 본 연구의 실증결과는 다음과 같다. 첫째, 일반적으로 배당정책은 기업에 실질적인 자본을 증가시키며 투자정책 측면과도 밀접한 관계가 있기 때문에 기업 가치에 상당한 영향을 미친다는 연구결과들이 주를 이루고 있다. 이와 마찬지로, 본 연구의 분석결과에서도 배당의 공시효과가 존재하는 것으로 밝혀졌으며, 배당감소 및 유지 공시에서 또한 양(+)의 초과수익률이 확인되었다. 둘째, 배당의 공시효과를 설명하는 각 가설의 적합성을 판단하기 위해서는 매출액성장률이 높은 기업, 대주주 지분율이 낮은 기업, 배당수익률이 높은 기업으로 구성된 그룹의 시장반응이 더욱 강해야 하는데, 분석결과, 전년도 배당수익률을 기준으로 네 집단으로 분류하여 누적평균 비정상수익률을 분석한 손 안의 새 가설 검정에서만 집단 간 시장반응에 뚜렷한 차이를 발견할 수 있었으며, 산업더미와 연도더미를 고려한 회귀분석결과에서도 전년도 배당수익률만이 각각의 기간별 누적초과수익률에 유의한 영향을 미치는 것을 확인하였다. 이러한 사실은 배당정책을 임하는 기업 경영진에게는 정책적 시사점을, 자본시장의 투자자들에게는 투자 수익적 측면에서 시사점을 제공하며, 배당을 통한 성장과 분대의 균형이 중요시되는 최근의 시점을 반영했다는 점에서 학문적 시사점을 제공한다고 할 수 있다.
Abstract
This study revisits the information of content of dividend announcement including recent events from 2011 to 2016 in Korean stock market. Miller and Modigliani (1961) presented an irrelevance of dividend under the assumption of a perfect market, but the actual capital market has many market imperfections. Afterwards, a number of studies had claimed that the announcement effects of dividends are existed, and various research results were presented, such as the high dividend preference theory and the low dividend preference theory. In previous studies, the effects of dividend announcement was explained by signaling theory, principal-agent theory, and firm-size theory. In this study, we not only examine the three previous hypotheses but also try to test the bird-in-the-hand hypothesis which is newly proposed from the behavior finance. Also, we further examine a firm-specific cross-section regression of cumulative abnormal returns (CARs) of different windows on different firm specific independent variables for all the announcement of dividend change. The results of this study are summarized as follows. In case of dividend announcement in Korean stock market, significant CARs was observed only in the specific year (2013) compared to the market return. For a more detailed, we divided all our sample into four groups depending on growth in sales, block-holders' ownership, firm-size and dividend yield as a proxy for signaling, principal-agent, firm-size and bird-in-the-hand hypotheses and we examined whether the cumulative excess returns differed for each group or not. As hypothesis of this study, the hypothesis that the firms with the highest sales growth rate will have stronger market reaction will not be confirmed because the positive information about the company's profits is transmitted to the investors. On the other hand, in the case of a company with a high sales growth rate, the decrease in dividends is considered to be an active investment, which is a good news. However, we can conclude that this study rejects the signaling hypothesis based on the analysis that the market response of the group with low sales growth rate is stronger. Also, the results of the Agency cost reduction hypotheses test show that there is a negative relationship between the shareholder's share-holding ratio and the share price response to dividend announcement, which is a result of partially supporting the agency cost reduction hypothesis as well as the results of some previous studies. As a result of the ‘bird in the hand’ hypothesis test, it was confirmed that the firms with higher dividend yields in the previous year showed a strong market response to the dividend disclosure and positive (+) relationship existed. This means that investors prefer immediate cash generated from dividends rather than future capital gains. Assuming that the dividend yield of the previous year is the same, it is strongly anticipated that firms with high expected dividend yields. In particular, the stronger share price response in the maintenance announcement compared to the increase and decrease in dividends indicates that investors prefer to maintain dividends over the previous year. The reason for this is considered to include the burden of tax burden and concern about negative signs of the company. Our results contradict the signaling and principal-agent hypotheses, which argue that management has an incentive to distribute information about the company's future profit to the market through dividend policy and the increase (decrease) in dividends leads to an increase in additional external borrowing, which makes the firm a strict monitoring target of the capital market and therefore plays a role in reducing agency costs. Contrastively, our results support the firm-size and bird-in-the-hand hypotheses.
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