본 연구에서는 1983년부터 2009년까지 국내 유가증권 시장에 상장된 923개 비금융기업들을 대상으로 1998년 이후로 급증하고 있는 배당금 총액이 국내 기업들 전반에 걸친 배당성향의 증가로 인한 것인지를 분석하고, 배당이 주식수익률에 미치는 효과를 검증하였다.
실증분석 결과, Fama and French(2002)의 연구에서 제시된 횡단면 회귀분석모형을 이용하여 추정한 장기 목표배당성향은 외환위기 이전 기간에서는 평균 36% 정도였으나 외환위기 이후에는 평균 26% 정도로 매우 유의하게 감소하여 최근의 배당금 증가가 국내 기업들의 배당성향 증가로 인한 현상이 아니라는 결과를 얻었다.
다음으로 배당이 주식수익률에 미치는 효과를 검증하기 위해서 배당지급 여부 및 배당지급액 수준 그리고 배당지급액의 변화 여부 및 그 수준 등 여러 기준에 따라서 각각 포트폴리오를 구성하여 그 수익률 차이를 분석하였으나 모든 분석결과에서 배당 관련 포트폴리오들 간에 유의한 수익률 차이가 존재하지 않으며, 비유의적인 차이이기는 하나 때로는 배당을 지급하지 않거나 배당을 감소시킨 기업들의 포트폴리오 수익률이 더 높은 경우도 존재하였다. 이러한 결과는 개별 주식수익률을 종속변수로 하여 주식수익률에 영향을 미칠 수 있는 다양한 기업특성변수들을 통제한 횡단면 회귀분석 결과에서도 일관되게 나타나고 있다.
이상과 같은 결과는 결국 국내 주식시장에서 기업의 배당성향이 감소하는 가운데 배당이 미래 주식수익률에 대한 유의한 정보효과를 가지지 못함을 시사하고 있다.
This study analyze whether the rapidly increasing dividend after 1998 is a common phenomenon for all domestic firms and investigate the effect of dividend on the stock return in Korean stock market. Using the financial statement data and stock market data of 923 non-financial firms from 1983 to 2009, at first, we estimate the long term target payout ratio using cross-sectional regression model suggested by Fama and French(2002). The estimated target payout ratio was about 36% before financial crisis, on average. But it shows very significant decreasing to about 26% after financial crisis. these results indicate that the recent increases of dividend is not driven by increasing payout ratio, but driven by increasing of profitabilities of domestic firms. Next, we formed portfolios based on the several basis–whether a firm pays dividend or not, the amount of dividend which a firm pays, whether a firm increases or decreases the dividend, and the amount of the dividend changes, etc. - and analyzed the differences of returns of these portfolios. We find that there are no significant difference among the portfolio' returns and some firms which do not pay or decreases the dividends have the higher stock returns than that of dividend-paying or dividend-increasing firms. These results are consistently supported in the cross-sectional regression analysis using the individual stock returns as the dependent variable and controlling the various firm characteristics variables which can affect the stock return. The above results imply that the dividend does not have the significant information effect and the firm’s payout ratio is recently decreasing in Korean stock market
This study analyze whether the rapidly increasing dividend after 1998 is a common phenomenon for all domestic firms and investigate the effect of dividend on the stock return in Korean stock market. Using the financial statement data and stock market data of 923 non-financial firms from 1983 to 2009, at first, we estimate the long term target payout ratio using cross-sectional regression model suggested by Fama and French(2002). The estimated target payout ratio was about 36% before financial crisis, on average. But it shows very significant decreasing to about 26% after financial crisis. these results indicate that the recent increases of dividend is not driven by increasing payout ratio, but driven by increasing of profitabilities of domestic firms. Next, we formed portfolios based on the several basis–whether a firm pays dividend or not, the amount of dividend which a firm pays, whether a firm increases or decreases the dividend, and the amount of the dividend changes, etc. - and analyzed the differences of returns of these portfolios. We find that there are no significant difference among the portfolio' returns and some firms which do not pay or decreases the dividends have the higher stock returns than that of dividend-paying or dividend-increasing firms. These results are consistently supported in the cross-sectional regression analysis using the individual stock returns as the dependent variable and controlling the various firm characteristics variables which can affect the stock return. The above results imply that the dividend does not have the significant information effect and the firm’s payout ratio is recently decreasing in Korean stock market
