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红利之谜（Dividend Puzzle）

　　红利之谜是指私人投资者将红利和资本利得分开来对待的现象。如果对红利所征的税高于对资本利得所征的税，传统的理性投资者应该懂得公司不支付红利时，他们的收益将更高。可是在现实中，投资者却更希望公司支付红利。根据期望理论，一美元的红利和一美元的资本利得是不同的，因为投资者将它们框定为两个完全独立的心理账户，即一个受最低风险保护的红利账户和一个寻求高风险高收益的资本利得账户，股票价格的下跌是心理上资本账户的损失，而公司取消红利则是红利账户的损失，投资者一般将红利看作是保证安全的一项收入，而将资本账户视为追求高收益的账户。

　　行为金融学家们很早就声称从与分红相关的一些现象的研究中找到了当前主流金融学的“死穴”(Shefrinand Statman)。

　　1973年至1974年能源危机期间,纽约城市电力公司(ConsolidatedEdisonCompany,CEC)准备取消红利支付。在1974年该公司的股东大会上,许多中小股东为此闹事,甚至有人扬言要对公司董事会成员采取暴力举动。显然,这一事件是主流金融学所无法解释的。Shefrin和Statman(1984)尖锐地提出:按照主流金融学的分析框架,CEC的股东只会对能源危机对公司股价的影响敏感,而绝不会为公司暂停支付红利的决定如此激动。因为在主流金融学的框架下,投资者遵循米勒(Miller)和莫迪利安尼(Modigliani)套利定价理论。他们知道,在不考虑税收与交易费用的情况下,一美元的红利和一美元的资本利得并没有什么差异,他们随时可以通过卖出股票自制“红利”;而在收入税率高于资本利得税率的现实世界,减少股利支付会使股东的境况更好。那么为什么这么多股份公司还要发放红利呢?CEC的股东为什么会对公司停止支付红利做出如此激进的反映呢?

　　然而,米勒(Millerl986)却将这些攻击蔑视为“天大的玩笑”。的确,在20世纪80年代行为金融学形成的初期,其理论体系远未完善,各种“软肋”和“硬伤”成为主流金融学攻击的靶子。很少有人意识到其日后会对金融学理论产生深远的影响。

　　行为金融学独特的分析框架很好地解释了红利之谜。Shefrin和Statman基于Kahneman和阿莫斯·特沃斯基（Amos Tversky）(1979)的期望理论建立了一个崭新的分析框架。期望理论认为,投资者习惯于在潜意识中将其资产组合放入不同的意识账户(mentalaccounts)。一些账户的资产是用来养老的,一些账户的资产可以偶尔赌一把,一些账户的资产是用来接受高等教育的,还有一些账户的资产是为度假准备的,如此等等。马柯维兹试图说服投资者考虑不同意识账户之间的协方差而将其看成一个投资组合,但投资者似乎并不买账。他们仍然习惯于将资产划分为应对资产价格下跌的意识账户(持有现金和债券)和应对资产价格上涨的意识账户(持有股票、期权以及其它未定权益)。而投资者对这两类账户的风险偏好特性是马柯维兹协方差的所不能解释的(前者表现为极度的风险厌恶,而后者表现为极度的风险偏好)。CEC股票价格的下降属于资本意识账户的损失,而停止支付红利则是红利意识账户的损失。两个账户中同等数额的美元对投资者而言并不相同。

　　马柯维兹(Markowitz)指出,将资产划入不同的意识账户忽略了不同资产之间的协方差,会使投资组合位于资产组合理论导出的有效前沿的下方。但Thaler和Shefrin(1981)针锋相对地指出,现实生活中受情绪等行为意识影响的投资者并非主流金融学框架下的完全理性人。他们不具有完美的自控能力,容易趋于各种诱惑。将资产划入不同的意识账户的做法实际上更有利于投资者提高自控能力。至于马柯维兹的有效前沿只是一种现实生活中永远无法达到的理想状态罢了。

　　制定行动规则是一种很好的自控方式。正如对于沉迷于酒精的人来说“最多喝到第一次摔倒”是一种很好的自控标准一样,“消费红利、绝不动用资本利得”是消费欲望强烈的投资者的自控标准。那些认为停止红利支付会使其丧失收入来源的CEC的小股东们实际上是在忠实地执行绝不动用资本利得的自控规则。这些人将持有CEC的股票放到了获得稳定收入来源的收入意识账户。他们担心,一旦开始自制红利(卖股票),就会像酒鬼碰到酒一样一发不可收拾,最终失去一切。

　　对于遵循行为金融的投资者而言,自制红利还有另一个不足之处——它开启了遗憾之门(doortoregret)。Kahneman和Tversky(1982)将遗憾(Regret)定义为投资者发现不同的选择本能得到更好的结果时的痛苦感觉。设想一个投资者用分红所得的1000美元购买了一台电视机,另一个投资者用卖掉股票所得的1000美元购买了一台同样型号的电视机。Kahneman和Tversky问道:当股票价格上升时,这两个投资者会感到同样遗憾吗?遗憾总是和责任相连的,而责任来源于选择。买卖股票是一种重大的抉择,自然可能导致重大的遗憾。而等待分红是一种不必选择的选择,自然遗憾较少。

　　The dividend puzzle Jan 9th 2003 From The Economist print edition Is it time to revive the popularity of dividends—and are tax cuts the way to do it? UNTIL recently there was much talk of the impending death of dividends. But a confluence of events has conspired of late to make bosses and investors think again. Stockmarkets have sagged, making investors notice the minimal amounts of cash they were earning from their shares. Investors have grown more sceptical about accounting profits in the wake of Enron and WorldCom and now wonder if evidence of profitability in the form of a dividend cheque might help them to sleep more easily. Some big firms have piled up so much cash that it seems to burn a hole in their pockets. Even George Bush is trying to boost the popularity of dividends, by proposing to scrap income-taxes on them. The now passing unfashionability of dividends was always most pronounced in America, where over the past 20 years technology firms have seized on the idea that their growth opportunities were so glorious that paying a dividend would indicate weakness, telling investors that they could not find profitable ways to use the money. As a result, maturing technology firms have come to own large cash piles: Microsoft has $40 billion, Cisco $10 billion and Dell $4 billion, for example. One of Europe's cash hoarders is Nokia, with over euro8 billion ($8.3 billion). The way dividends are taxed can have wide-ranging consequences for how a firm is run To be fair, not all of the decline in the popularity of dividends reflected a fall in payouts by firms to shareholders. In the past decade, there was also a sharp increase in firms returning surplus cash to shareholders by buying back their shares, instead of through dividends. The declining role of dividends was encouraged by the theories of academics, many of whom instructed today's top managers in business school. One Nobel-prize-winning theory suggested that whether or not a firm paid a dividend should make no difference to the value of a firm to investors. According to this “irrelevance theory”, every share's value is based on the future cashflows from a company; it does not matter one whit whether those cashflows are paid out in dividends or kept as cash on hand by the firm. Shareholders receive the value of those cashflows either way—through dividends if paid, through a higher share price if not. Many bosses concluded that if they did not have to pay a dividend, why do so? Admittedly, not all academics agreed that dividends were irrelevant, either in theory or in practice—but such quibbles were largely ignored so long as shareholders were reaping capital gains in the bull market for shares. For instance, it had long been observed that a firm's share price tended to fall if a firm cut its dividend. More recently, some technology firms have seen their shares suffer when they have announced a plan to pay dividends. To explain this breach of irrelevance theory, academics have made several suggestions. Perhaps dividends send a signal to investors: not paying one means that you have great growth opportunities; starting to pay, that your opportunities are declining; cutting an existing dividend, serious financial troubles. Anyway the bubble in American share prices in the 1990s has led some academics to ask if the markets can be relied upon to think rationally about anything, including dividends. But in the real world there remains one overwhelming reason why dividend policy is not irrelevant: tax. The way dividends are taxed can have wide-ranging consequences for how a firm is run. In particular, it can influence whether a firm finances itself primarily through equity or debt, and how it chooses to return profits to its shareholders. The tax factor Taxes may largely explain the growing popularity of share buybacks compared with dividends in recent years. Buybacks are, in theory, just another way to return cash to shareholders, by buying up shares on the open market and retiring them. The reduction in the number of shares outstanding means that profits are spread over a smaller base of shares, which should lift share prices for investors who do not sell them back to the firm. The firm may be indifferent between dividends and buybacks as a means of distributing profits, but many investors are not. In America and many other countries, dividends received by investors are taxed at a higher rate than capital gains, such as those created by share repurchases. In most countries, tax rules allow firms to treat interest payments on debt as a tax-deductible expense, whereas cash payments to equity holders in the form of dividends or share repurchases come out of after-tax income. All else being equal, therefore, the tax system typically makes debt a cheaper source of finance for a firm, at the margin, than equity. As bosses caught on to debt's tax advantages, borrowing soared in the 1980s and 1990s—though some firms got carried away, took on too much debt and went bust. This was particularly true during the leveraged-buy-out (LBO) craze of the late 1980s. In recent years, governments almost everywhere have become increasingly concerned about the impact of taxation on companies. By and large, they have favoured tax reforms that are intended to boost business activity, such as cutting marginal tax rates—though in practice their reforms have often had unpredictable results. For example, in 1997 Britain ended all tax exemptions for dividends, ostensibly to encourage reinvestment of profits by firms—precisely the opposite of Mr Bush's current plan—but there is no evidence that it achieved this aim, according to the Institute for Fiscal Studies in London. Some possible consequences of Mr Bush's plan, if it is implemented, include above all making it more attractive for savers to invest in shares relative to other financial instruments. Although this may have unintended bad consequences for other capital raisers—notably municipalities, which have relied on a tax exemption on interest payments for their appeal—the jump in the supply of equity capital should reduce the relative cost advantage to firms of using debt rather than equity. Removing the tax disadvantage of paying dividends may force managers to find other plausible excuses for holding on to cash—or else to pay it out. This may make it harder for them to squander cash on ill-advised ventures such as, say, Microsoft's costly move into cable television. If it becomes the norm for most firms to pay out a large chunk of their profits as dividends, companies posting fake results might not get away with it for as long. Yet the Bush plan does not go far enough in removing tax as a force in the corporate boardroom. A better solution would be to make dividends a tax-deductible expense for companies, just like interest payments, so as to establish full tax-neutrality between debt and equity. An even bolder way to end the distortions caused to firms' behaviour by tax might be to scrap corporate tax altogether. That need not, as critics suggest, mean that corporate profits go untaxed. Rather, they could be taxed when the profits are received by shareholders who own the firm, whether as dividends (which would no longer need to be tax-exempt for investors, as Mr Bush now intends) or as capital gains. Alas, judging by the political storm over Mr Bush's dividend plan, voters are not yet ready for such boldness.