わが国企業による株主還元策の決定要因：配当・自社株消却のインセンティブを巡る実証分析
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1 * ** No.05-J
2 No.05-J * ** * youichi.ueno@boj.or.jp ** naohiko.baba@boj.or.jp 1
3 [2004] Dewenter and Warther [1998] [2004]
4 [2004] [2000] [2001] 3
5 [2003] 6 [2003] [2004] [2005] [2002] [2003] 3 4
6 [2004] [2004] 41 5
7
8 1 S&P Bloomberg 1 1 S&P Bloomberg 7
9 1 S&P Bloomberg 1 S&P Bloomberg 8
10 disappearing 13 reappearing S&P Bloomberg Julio and Ikenberry [2004] 13 Fama and French [2001] 14 Julio and Ikenberry [2004] 15 Weisbenner [1998] 9
11 17 MM Jensen [1986]Easterbrook [1984] Modigliani and Miller [1961] 17 Black [1976] dividend puzzle Easterbrook [1984] 19 Nohel and Tarhan [1998] 10
12 pecking order Myers [1984]Myers and Majluf [1984] 20 Fama and French [2002] Julio and Ikenberry [2004] 20 11
13 Fama and French [2001] IPO IT financial distress Jagannathan et al.[2000] Microsoft Warner [1977] Weiss [1984] Altman [1984] Angrade and Kaplan [1997] 23 Lintner [1956] 12
14 catering theory 2003 IT Enron Enron 25 behavioral finance 26 Baker and Wurgler [2002a] 2001 Julio and Ikenberry [2004] 13
15 market timing 27 opportunistic Dann [1981]Vermaelen [1981]Ikenberry et al. [1995] Comment and Jarrel [1991] binary logit model 3 3 nested logit model 2 27 Baker and Wurglaer [2002b] 28 [2003]
16 * i t Dit Pit PR it 29 * * D it = Pit PRit 1 * i t PR PR * it ( k 1, L K ) it = β + β x + β x + L+ β x, i = 1, L, I, t = 1, L, T it 2 2it K Kit ( ) x kit =, β k = 0, L K k, Lintner [1956]Fama and Babiak [1968] Fama and French [2002] i t Dit 30 * ( D A D A ) D A D A = λ 3 it it it 1 it 1 it it it 1 it 1 λ Ait i t Dit Ait K = λβ 0 Pit Ait + λβ k xkit Pit Ait + ( 1 λ) Dit 1 Ait 1 + ηi + ε it 4 k= 1 ηi i εit 4 Blundell and Bond [1998] system GMM Fama and French [2002] 31 GMM Arellano and Bond [1998] 4 1 GMM Blundell and Bond [1998] 4 λ Blundell and Bond [1998] GMM 15
17 1 2 1 TPit 4 TPit Ait K = λα 0 Pit Ait + λα k xkit Pit Ait + ( 1 λ) TPit 1 Ait 1 + ηi + ε it 5 k= ( ) i t yit =1 Uit1 * ( yit = 0) Uit0 yit * yit = Uit1 Uit0 t = 1, 2L, T * yit random effects uij i µ i 33 εij * yit = u it + µ + ε i it 6 i i y * it = Uit1 Uit0 > 0 ( ) i t P y it =1 ( y 1) = P( + + ε 0) P it µ > = u it it it i t m x it ( x, x 2,, x ) it1 it K itm uit µ i N ( 0, σ µ ) 16
18 uit = β K + β β 0 β1xit1 β2xit2 mxitm xit βl i l 2 εit σ ε F ( z) exp = 1 + exp ( z) ( z) i t 1 y it = 7 1+ exp ( = ) P 0 ( β x ) it ( β xit ) ( β x ) exp P( y it = 1) = 8 1+ exp it i P ( y y, y ) ( µ ) L for j = 0, 1 exp T i σ µ i 1, i2, it = P( yit = j ) dµ i 2πσ µ t= 1 N ln L = ln P i1, i2, L, i= 1 ( y y y ) γ j 0 or 1 marginal effect it ( ) j = P j = β P [ 1 P ] γ j j j for j = 0, 1 9 xi ( ) P j P y it = j 2 ρ σ 2 σ µ 2 µ + σ 2 ε ρ 17
19 2 3 2 IIAIndependence of Irrelevant Alternatives IIA 35 ( ) ( ) i yi = 2 Ui2 y i =1 Ui1 ( yi = 0) Ui0 Uij uij εij Train [2003] 18
20 Uij = u ij + εij i i j P y = j ( y j) = P u ij + ε = max{ u + ε } P i = ik ( ) ij ik k i m x i ( x, x 2,, x ) i1 i K im uij u ij = β + β x + β x + K + β j0 j1 i1 j2 i2 jm x im β x j εi0 I εi1 ε i2 B F ( ε ) = exp[ ( ε )] i0 exp i0 [ i1 ] ϕ ( ε ) = exp ( exp( ε ϕ ) + ( ε ϕ )) F ε i1, i2 exp i2 εi0 ε i1 ε i2 εi1 ε i2 ϕ ε i1 ε i2 ϕ =1 ε i1 ε i2 ε i1 ε i2 I 1 ϕ εi1 ε i2 P ( = 0) y i = exp exp( β 0xi ) ( β x ) + [ exp( β x ϕ ) + exp( β x ϕ )] ϕ 0 i 1 i 2 i i i P ( y = j) i exp = exp ( β x ) exp( β x ϕ ) + exp( β x ϕ ) ϕ j i [ 1 i 2 i ] ( β x ) + [ exp( β x ϕ ) + exp( β x ϕ )] 0 i 1 i 2 i 1 ϕ for j = 1, 2 β 0 =
21 P ( 0) y i 1 = = 1 + [ exp( β1 xi ϕ ) + exp( β 2xi ϕ )] ϕ 10 P ( y = j) i exp = ( β x ϕ ) exp( β x ϕ ) + exp( β x ϕ ) j 1 + [ 1 i 2 i ] [ exp( ) + exp( ϕ β x ϕ β x ϕ )] i 1 i 2 i ϕ 1 for j = 1, 2 11 ϕ =1 ϕ =1 ln L N 3 = i= 1 j= 0 d ( y j) ij ln P i = dij i j 1 2 ϕ =1 t [Wald] γ j β P 0 γ = 0 = P0 Pk βk 12 xi k= 0 γ j 2 ( ϕ 1) βk exp( β k xk ϕ) Ρ 2 j β j k= 1 = = Ρ j + Ρ 2 kβk xi ϕ 0 exp( k= ϕ βk xk ϕ) k= 0 for j = 1,
22 ( ) P j P y it = j γ j β j ϕ = A BBB = ϕ =11 j = R&I = A 100% 100% 100% 100% 100% 100% 100% BBB 100% 100% 94% 100% 100% 78% 93% 100% 97% 98% 97% 100% 94% 100% 21
23 1997 A 10 BBB BBB A BBB =1 =2 =
24 R&I R&I 23
25 R&I 24
26 t 42 t t 43 t Merton [1974] 43 Rajan and Zingales [1995] 25
27 2 t t 3 t 44 Fama and French [2002] 45 26
28 TOPIX t 10 27
29 A 90 BBB 90 A BBB 28
30 R&I 29
31 QuickAMSUS % % % 356.1% 325.5% 325.5% 264.5% 234.0% 223.8% 172.9% 172.9% 162.8% 152.6% 132.3% 132.3% 132.3% 111.9% 101.7% 101.7% 91.6% 91.6% 81.4% 71.2% 71.2% 50.9% 40.7% 40.7% 40.7% 30.5% 20.2% A % BBB % % R&I
32 Sargan [1958] Arellano and Bond [1991] 2 2 GMM λ
33
34 A 11 BBB [2005] λ
35 (0.022) (0.021) *** (0.041) *** (0.038) 0.138*** (0.047) 0.127*** (0.046) *** (0.070) *** (0.059) E-03** (0.003E-03) E-03** (0.003E-03) E-03*** (0.009E-03) E-03*** (0.001E-02) 0.004** (0.002) 0.004** (0.002) *** (0.004) ** (0.003) *** (0.023) *** (0.020) *** (0.023) *** (0.021) (0.002) (0.002) *** (0.003) *** (0.003) *** (0.002) *** (0.002) *** (0.004) *** (0.004) (0.003) *** (0.005) 0.657*** λ (0.048) 0.670*** (0.048) [0.115] [0.363] ** [0.015] [0.159] 1.896* [0.058] 1.897* [0.058] *** [0.000] *** [0.000] 1 p ***1 **5 *10 t
36 * (0.052) 0.337*** (0.126) 0.004E-03 (0.009E-03) 0.010** (0.005) *** (0.043) ** (0.050) 0.292*** (0.119) 0.002E-03 (0.001E-02) 0.011*** (0.004) *** (0.042) (0.006) (0.007) *** (0.003) *** (0.003) *** (0.054) *** (0.131) E-03*** (0.001E-02) *** (0.005) ** (0.041) * (0.006) *** (0.004) *** (0.054) 0.270** (0.120) 0.005E-03 (0.001E-02) 0.016*** (0.005) *** (0.042) 0.019*** (0.007) *** (0.004) (0.011) 0.376*** 0.394*** λ (0.071) (0.067) [0.120] [0.421] *** [0.017] *** (0.009) [0.160] [0.300] [0.282] *** [0.480] [0.471] 1 p ***1 **5 *10 t
37 5 R&I R&I 36
38 37
39
40 A A BBB
41 t *** *** *** E *** *** *** E *** [0.000]*** *** *** * E *** *** E ** [0.000]*** *** ** *** ** [0.000]*** *** *** *** E *** *** * *** 0.005E *** [0.000]*** 1***1 **5 *10 p 2 t t 40
42 R&I ϕ ϕ =1 1 ϕ
43 t *** *** *** *** ϕ *** *** [0.000] *** [0.000] 1***1 **5 *10 p t 2ϕ t 1 ϕ = 42
44 t *** * * *** E E E ** ** *** *** E E E ** ϕ ** 4.030** [0.045] 6.278** [0.012] 1***1 **5 *10 p t 2ϕ t 1 ϕ = 43
45 t ** E * *** E E E ** * * ** *** E E E ϕ *** 5.417** [0.020] 8.737*** [0.003] 1***1 **5 *10 p t 2ϕ t 1 ϕ = 44
46 TOPIX 45
47 Dewenter and Warther [1998]
48
49 [2002] [2005] No.05-J-3 [2004] 16 [2004] No.04-J-15 [2004] 2003 [2003] CIRJE CIRJE-J88 [2001] [2000] Altman, E. [1984], A Further Investigation of the Bankruptcy Cost Questions, Journal of Finance, 39, pp Andrade, G., and S. Kaplan [1997], How Costly is Financial (Not Economic) Distress?: Evidence from highly Leveraged Transactions that Became Distressed, Journal of Finance, 53, pp Arellano, M., and S. Bond [1991], Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations, Review of Economic Studies, 58, pp Black, F. [1976], The Dividend Puzzle, Journal of Portfolio Management, 2, pp.5-8. Baker, M., and J. Wurgler [2002a], A Catering Theory of Dividends, Journal of Finance 59, pp Baker, M., and J. Wurgler [2002b], Market Timing and Capital Structure, Journal of Finance 62, pp
50 Blundell, R., and S. Bond [1998], Initial Conditions and Moment Restrictions in Dynamic Panel Data Models, Journal of Econometrics, 87, pp Comment, R., and G. Jarrell [1991], The Relative Signaling Power of Dutch Auction and Fixed-price Self-tender Offers and Open Market Share Repurchases, Journal of Finance, 46, pp Dann, L. [1981], The Effects of Common Stock Repurchases on Security Holder s Returns, Journal of Financial Economics, 9, pp Dewenter, L., and V. Warther [1998], Dividends, Asymmetric Information, and Agency Conflicts; Evidence from a Comparison of the Dividend Policies of Japanese and U.S. Firms, Journal of Finance, 53, pp Easterbrook, F [1984], Two Agency-Cost Explanations of Dividends, American Economic Review, 74, pp Fama, E., and H. Babiak [1968], Dividend Policy: An Empirical Analysis, Journal of the American Statistical Association, 63, pp Fama, E., and K. French [2002], Testing Trade-off and Pecking Order Predictions about Dividends and Debt, Review of Financial Studies, 15, pp Fama, E., and K. French [2001], Disappearing Dividends: Changing From Characteristics or Lower Propensity to Pay? Journal of Financial Economics, 60, pp Ikenberry, D., J. Lakonishok, and T. Vermaelen [1995], Market Underreaction to Open Market Share Repurchases, Journal of Financial Economics, 39, pp Jagannathan, M., C. Stephens, and M. Weisbach [2000], Financial Flexibility and the Choice between Dividends and Stock Repurchases, Journal of Financial Economics, 57, pp Jensen, M. [1986], Agency Costs of Free-cash-flow, Corporate Finance, and Takeovers, American Economic Review, 76, pp Julio, B., and D. Ikenberry [2004], Reappearing Dividends, Journal of Applied Corporate Finance, 16, pp Lintner, J. [1956], Distribution of Incomes of Corporations among Dividends, Retained Earnings, and Taxes, American Economic Review, 46, pp Merton, R. [1974], On the Pricing of Corporate Debt: The Risk Structure of Interest Raters, Journal of Finance, 29, pp Modigliani, F., and M. Miller [1961], Dividend Policy, Growth and the Valuation of Shares, Journal of Business 34, pp Myers, S. [1984], The Capital Structure Puzzle, Journal of Finance, 39, pp
51 Myers, S., and N. Majluf [1984], Corporate Financing and Investment Decisions When Firms have Information that Investors Do not Have, Journal of Financial Economics, 13, pp Nohel, T., and V. Tarhan [1998], Share Repurchases and Firm Performance: New Evidence on the Agency Costs of Free Cash Flow, Journal of Financial Economics, 49, pp Rajan, R. G., and L. Zingales [1995], What Do We Know About Capital Structure?: Some Evidence from International Data, Journal of Finance 50, pp Sargan, J. [1958], The Estimation of Economics Relationships using Instrumental Variables, Econometrica, 26, pp Train, K.[2003], Discrete Choice Methods with Simulation, Cambridge University Press. Vermaelen, T. [1981], Common Stock Repurchases and Market Signaling, Journal of Financial Economics, 9, pp Warner, J. B. [1977], Bankruptcy Costs: Some Evidence, Journal of Finance, 26, pp Weisbenner, S. [1998], Corporate Share Repurchases in the mid 1990s: What Role do Stock Options Play? unpublished working paper, MIT. Weiss, L. [1984], Bankruptcy Resolution: Direct Costs and Violation of Property of Claims, Journal of Financial Economics, 27, pp
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濱田弘潤 : 多角化企業の利潤分析 77 多角化企業の利潤分析 多角化ディスカウントの寡占理論による説明 * 濱田弘潤 (diversification discount) Keywords: JEL classifications: D43, L13, L22, G
濱田弘潤 : 多角化企業の利潤分析 77 多角化企業の利潤分析 多角化ディスカウントの寡占理論による説明 * 濱田弘潤 (diversification discount) Keywords: JEL classifications: D43, L13, L22, G34 950-2181 2 8050 Tel. and fax: 025-262-6538 E-mail: khamada@econ.niigata-u.ac.jp
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![2 I- I- (1) 2 I- (2) 2 I- 1 [18] I- I-. 1 I- I- Jensen [11] I- FF 3 I- FF 3 2 2.1 CAPM n ( i = 1,..., n) M t R i,t, i = 1,..., n R M,t ( ) R i,t = r i](/thumbs/39/20085570.jpg "2 I- I- (1) 2 I- (2) 2 I- 1 [18] I- I-. 1 I- I- Jensen [11] I- FF 3 I- FF 3 2 2.1 CAPM n ( i = 1,..., n) M t R i,t, i = 1,..., n R M,t ( ) R i,t = r i")
1 Idiosyncratic,, Idiosyncratic (I- ) I- 1 I- I- Jensen I- Fama-French 3 I- Fama-French 3 1 Fama-French (FF) 3 [6] (Capital Asset Pricing Model; CAPM [12, 15]) CAPM ( [2, 10, 14, 16]) [18] Idiosyncratic