Zastosowanie modelu samoselekcji próby do opisu procesu podejmowania decyzji dywidendowych, na przykładzie spółek notowanych na GPW w Warszawie

Mieczysław Kowerski; Abel Charkiewicz; Jarosław Bielak

doi:10.56583/fs.21

Published : 2021-12-31

Vol. 14 No. 1 (2021)

The Application of the Self-Selection Model in the Description of the Dividend Decision-Making Process on the Example of the Companies Listed on the Warsaw Stock Exchange

Mieczysław Kowerski

https://orcid.org/0000-0002-2147-2037

Abel Charkiewicz

Jarosław Bielak

https://orcid.org/0000-0001-8537-8624

DOI: https://doi.org/10.56583/fs.21

Abstract

The Lintner partial adjustment model describes the relationship between the dividend paid for a given year and the income paid for that year, as well as the dividend paid for the previous year, in this way making it possible to identify the long-term dividend policy of a company. In most cases, the com panies selected for study are those that regularly pay dividends throughout the analyzed period. Since sample selection is not random, the parameter estimator of the Lintner model is inconsistent. This is the problem of the self-selection of the sample, the solution to which, in the form of a two-equation model, was proposed by Heckman. In the case of dividend policy modelling, it consists of a selection equation, which is a probit panel model of the tendency to pay, and an outcome equation, which is the Lintner model. What is of vital importance here is the relationship between the errors of both the equations, which means that there was a problem of self-selection that “solved” the model. In the present article, the possibility of using the self-selection model in the description of the dividend decision-making process is discussed on the example of the companies listed on the WSE in the years 1998–2020.

Keywords:

dividend decisions of public companies, self-selection model, probit square panel model with specific effects of the tendency to pay dividends, Lintner partial adjustment panel model, Warsaw Stock Exchange

Most read articles by the same author(s)

Mieczysław Kowerski, Abel Charkiewicz, A Panel Database of the Companies Listed on the Warsaw Stock Exchange for Financial Analysis , Facta Simonidis: Vol. 14 No. 1 (2021)

Details

References

Statistics

Authors

Download files

PDF (Język Polski)

Citation rules

Kowerski , M., Charkiewicz, A., & Bielak, J. (2021). The Application of the Self-Selection Model in the Description of the Dividend Decision-Making Process on the Example of the Companies Listed on the Warsaw Stock Exchange. Facta Simonidis, 14(1), 203–222. https://doi.org/10.56583/fs.21

Altmetric indicators

Cited by / Share

Licence

This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

References

Allen F., Bernardo A., Welch I., A theory of dividends based on tax clientele, „Journal of Finance”, 55 (2000), no. 6, s. 2499-2536.

Allen L. i in., The role of banks in dividend policy, (sierpień 2009), http://ssrn.com/abstract=1469124.

Al-Malkawi H.A.N., Factors influencing corporate dividend decision: evidence from jordanian panel data, „International Journal of Business”, 13 (2008), no. 2, s. 177–195.

Andres C. i in., Dividend policy of German firms: a panel data analysis of partial adjustment models, „Journal of Empirical Finance”, 16 (2009), no. 2, s. 175–187.

Andres Ch. i in., The Lintner model revisited: Dividends versus total payouts, “Journal of Banking & Finance” 2015, t. 55, s. 56–69.

Baker M., Wurgler J., A catering theory of dividends, „The Journal of Fi-nance”, 59 (2004), nr 3, s. 1125–1165.

Booth L., Zhou J., Market power and dividend policy: a risk-based perspective, 2008, http://ssrn.com/abstract=1296940.

Charemza W.W., Deadman D.F., Nowa ekonometria, Warszawa 1997.

Chay J.B., Suh J., Payout policy and cash-flow uncertainty, „Journal of Fi-nancial Economics”, 93 (2009), nr 1, s. 88–107.

DeAngelo H., DeAngelo L., Stulz R., Dividend policy and the earned/ contributed capital mix: a test of the life-cycle theory, „Journal of Financial Economics”, 81 (2006), nr 2, s. 227–254.

Eije H. von, Megginson W., Dividends and share repurchases in the European Union, „Journal of Financial Economics”, 89 (2008) nr 2, s. 347–374.

Fama E.F., Babiak H., Dividend policy: an empirical analysis, „Journal of the American Statistical Association”, 63 (1968), nr 324, s. 1132–1161.

Fama E.F., French K.F., Disappearing dividends: changing firm characteristics or lower propensity to pay?, „Journal of Financial Economics”, 60 (2001), nr 1, s. 3–43.

Fernau E., Hirsch S., What drives dividend smoothing? A meta regression analysis of the Lintner model, „International Review of Financial Analysis”, 61 (2019), s. 255–273.

• Ferris S.P., Jayaraman N., Sabherwal S., Catering effects in corporate dividend policy: the international evidence, „Journal of Banking and Finance”, 33 (2009), nr 9, s. 1730–1738.

• Glen J. i in., Dividend policy and behavior in emerging markets: To pay or not to pay. „IFC Discussion Paper”, 1995, nr 26.

Gruszczyński M., Modele i prognozy zmiennych jakościowych w finansach i bankowości, Warszawa 2002.

Heckman J.J., The common structure of statistical models of truncation, sample selection and limited dependent variables and a simple estimator for such models, „Annales of Economic and Social Measurement”, 5 (1976), nr 4, s. 475–492.

Hedensted J.S., Raaballe J., Dividend determinants in Denmark, „Working Paper, University of Aarhus”, 2008, http://ssrn.com/abstract=1123436.

Jacob M., Jacob M., Taxation, dividends and share repurchases: taking evidence global, 2010: http://ssrn.com/abstract=1532674.

Jeong J., Determinants of dividend smoothing in emerging market: The case of Korea, „Emerging Markets Review”, 17 (2013), s. 76–88.

Kowerski M., Bielak J., Self-selection models in determination of target dividend payout ratio of real estate domestic comapanies quoted on Warsaw Stock Exchange, „Barometr Regionalny, Analizy i Prognozy”, 16 (2018), nr 1, s. 99–112.

Kowerski M., Ekonomiczne uwarunkowania decyzji o wypłatach dywidend przez spółki publiczne, Kraków-Rzeszów-Zamość 2011.

Kowerski M. Możliwości inwestycyjne a skłonność do płacenia dywidend, „Bank i Kredyt”, 44 (2013), nr 6, s. 623–646.

Kowerski M., Strategia wypłat dywidend niezależnych od zysku za ostatni rok obrotowy. Przykład Grupy Żywiec S.A., „Annales Universitatis Mariae Curie-Skłodowska”, Sectio H – Oeconomia”, 52 (2018), nr 3, s. 61–72.

Leary M.T., Michaely R., Determinants of dividends smoothing: empirical evidence, „The Review of Financial Studies”, 24 (2011), nr 10, s. 3197–3249.

Li K., Prabhala N.R., Self-selection models in corporate finance, in: Handbook of corporate finance: empirical corporate finance, ed. B.E. Eckbo, vol. 1, chapter 2, New York-Amsterdam 2007, s. 37–86.

Lintner J., Distribution of Incomes of Corporation Among Dividends, Retained Earnings and Taxes, „American Economic Review”, 46 (1956) nr 2, s. 97–113.

Mrzygłód U. i in., Wygładzanie dywidend na wschodzących rynkach akcji, Gdańsk 2020.

Nowak S. i in., Greedy state? The effect of the government shareholder on the dividend payout ratio and smoothing levels, „International Journal of Contemporary Management”, 16 (2017), nr 4, s. 119–143.

Salas J.M., Chahyadi C.S., Is there a lower propensity to pay dividends? A decomposition of dividend payers, 2006, http://ssrn.com/abstract=635781.