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原文:

Dividendpayouts:

EvidencefromU.S.bankholdingcompaniesinthecontextofthefinancialcrisis

JoséFilipeAbreu,MohamedAzzimGulamhussen

Abstract

Westudydividendpayoutsof462U.S.bankholdingcompaniesbeforeandduringthe2007–09financialcrisis.FamaandFrench（2001）characteristics（size,profitabilityandgrowthopportunities）explaindividendpayoutsbeforeandduringthefinancialcrisis.Theagencycosthypothesisexplainsdividendpayoutsbeforeandduring（morepronouncedly）thefinancialcrisis.Thesignalinghypothesisexplainsdividendpayoutsduringthefinancialcrisis.Regulatorypressurewasineffectiveinlimitingdividendpayoutsbyundercapitalizedbanksbeforethefinancialcrisis.Ourfindingshaveimplicationsforcorporatefinanceandgovernancetheories,andalsofortheregulatoryreformsthatarebeingdiscussedamongpolicymakers.

1.Introduction

Researchersapplycorporatefinanceandgovernancetheoriestofinancialfirmsonthegroundsoftheinherentinterplayofinterestsofawidersetofstakeholders（depositorsandregulators,aswellasshareholdersandmanagers）,whichmaketheiragencyandgovernanceproblemsmorecomplex,andtherelevanceoffinancialfirmsforthegoodfunctioningandsoundnessofmodernfinancialsystems（see,amongothers,AndersonandCampbell,2004;Brooketal.,2000）.Thefinancialcrisishasfurtherenhancedtheinterestintheapplicationofcorporatefinanceandgovernancetheoriesduetotheuniquemacroeconomiccontextandtheregulatoryshiftwhichisbelievedtohavehitfinancialfirmsthemost（see,forexample,Erkensetal.,2012）.Wecontributetothisemergingstrandintheliteraturebystudyingbanks'dividendpayoutdecisionsbeforeandduringthefinancialcrisis.Oftheseveralcorporatefinanceandgovernanceissuesthatareattractingtheattentionofscholars,dividendpolicyisreceivingsignificantattention,particularlyfromregulatorsandinvestors.TherecentproposalstoincreaseoversightofthedividendpayoutsbytheFederalReserveBoard（FRB,2011）andtheBaselCommitteeonBankingSupervision（BCBS,2011）pointtowardstheincreasingregulatoryrelevanceofbanks'dividendpayoutpolicy.Forcingbankstoplowbacktheirearningsmayhoweverhavetheunintendedconsequenceofreducingtheirabilitytobothsignaltheirfuturegrowthprospectstosuppliersofdebtandequity,andreduceagencyconflictsoftheirmanagerswithdispersedshareholders.Ourpapershedscriticallightonthetensionbetweenthedividendpayoutdecisions（beforeand）duringthefinancialcrisisbyexplicitlyconsideringthemajorregulatoryshiftsthatoccurredduringthisperiod.

Dividendpolicyinthecontextoffinancialfirmshasbeenaddressedtosomeextentpreviously.WesummarizethemainstudiesinTable1.Forexample,FilbeckandMullineaux（1993）,Collinsetal.（1994）andBoldinandLeggett（1995）testthesignalinghypothesisandtheevidencelargelyindicatesthatdividendsareusedasasignalingmechanismbybanks.Thesestudiesdonotaccountfortheinfluenceofregulatorypressure.AnexceptionthoughisTheisandDutta（2009）whointheirstudyontheinfluenceoftheinsideownershipondividendpayoutcontrolforthelevelofcapitalizationofbanks.WeextendthesestudiesbyconsideringtheFamaandFrench（2001）characteristicsofdividendpayers,andtheagencycosthypothesisalongsidethepreviouslytestedsignalinghypothesis.

Table1

Selectedliteratureonthedeterminantsofdividends.

ThistablesynthesizesselectedliteratureonthedeterminantsofdividendsforU.S.bankholdingcompanies.

Wetestfourhypothesesinthepresentstudy:

（i）theapplicabilityofFamaandFrench's（2001）characteristicsofdividendpayers（size,profitabilityandgrowthopportunities）;（ii）thesignalinghypothesis,whichstatesthatdividendsareusedasanindicatoroffutureprospects;（iii）theagencycosthypothesis,whichstatesthatdividendscounterbalancetheincreasedneedformonitoringassociatedwithindependentbanks;and（iv）theregulatorypressurehypothesis,whichstatesthatundercapitalizedbankstendtoretainearningsratherthanpaydividends.Theanalysiscoverstwodistinctmacroeconomicenvironments:

beforeandduringthefinancialcrisis.Thesampleincludes462U.S.bankholdingcompaniesandcontains435observationsmadebeforethefinancialcrisis（i.e.,from2004to2006）and441observationsmadeduringthefinancialcrisis（i.e.,from2007to2009）,foratotalof876observations.FocusingontheU.S.providesalargedataset,whilerestrictingthesampletobankholdingcompaniesreducestheproblemsassociatedwithunobservedheterogeneity.

3.Sample,variablesanddescriptivestatistics

Wecollectedfirm-leveldatafromBankscopeforU.S.listedbankholdingcompanieswithminimumtotalassetsof100millionUSD,whichyielded462institutions.Banksthatenteredbankruptcyduringthefinancialcrisiswerenotconsidered.Oursamplespanstwodistinctmacroeconomicenvironments:

theperiodbeforethefinancialcrisis,from2004to2006（435observations）,andtheperiodduringthefinancialcrisis,from2007to2009（441observations）.Thefinalsampleisanunbalancedpanelwithatotalof876observations.

Weusedthedividendpayout（dividendpayout）asthedependentvariableandconstructeditbyaveragingthedividend-to-totalassetratioforeachreferenceperiod.Weusedtotalassetstoscaledividendstoensurethattheresultswerenotdrivenbystockpriceandearningvolatilityassociatedwiththefinancialcrisis.Wefocusonthecharacteristicsofregulardividendpayoutsratherthanonthepredictionofthenextyear'sdividend.Therefore,weuseanaveragingperiodthatislongerthanoneyear.Weoptathree-yearaveragingperiodfortwomainreasons.First,thischoiceavoidstheimpactofthe2003taxcutondividendpayoutsintheU.S.（see,amongothers,Brownetal.,2007）.Second,athree-yearperiodcoversthetimespanoftheentirefinancialcrisis（2007to2009）.

Thesignalinghypothesisstatesthatbankswithpositivefuturegrowthopportunities（expectedgrowth）areexpectedtopayouthigherdividendstosignaltheirbanks'prospectsandincreasetheirpotentialtoattractdebtandequityfinancingwhenrequired;thereforeapositiverelationshipbetweenexpectedgrowthanddividendpayoutisexpected.Conversely,justlikehistoricalgrowth,bankswithpositivefuturegrowthopportunities（expectedgrowth）willplowbacktheirearningstoavoidcostlydebtandequityfinancing;thereforeanegativerelationshipisexpectedbetweenexpectedgrowthanddividendpayout.Thus,therelationshipbetweenexpectedgrowthanddividendpayoutcanbepositiveornegative.Wemeasuredexpectedgrowththroughtheratioofmarket-to-bookvalueofequityattheendoftheobservationperiod.Thesignalinghypothesiscannotberejectedifthecoefficientassociatedwithexpectedgrowthispositiveandstatisticallysignificant.

Theagencycosthypothesisstatesthatdividendscounterbalancetheincreasedneedformonitoringassociatedwithbankswithdispersedshareholders.Ahighdegreeofindependenceisassociatedwithsevereconflictsofinterestbetweenshareholdersandmanagers,whichexacerbatetheagencycostsandtheconsequentneedfortightermonitoring;thereforeapositiverelationshipisexpectedbetweenindependenceanddividendpayouts.WeusedthecommonlydeployedIndependenceIndicator（independence）developedbyBankscopetocapturetheeffectofagencycosts.Thisindicatorclassifiesthedegreeofindependenceoffirmsfromtheirshareholders.Basedonthedatafortheendoftheperiodunderanalysis,thedummyindependenceassumesavalueofunityforthemostindependentbanksandzeroforalltheothers（bankswithblockshareholders）.Theagencycosthypothesiscannotberejectedifthecoefficientassociatedwithindependenceispositiveandstatisticallysignificant.

Sincebanksareregulated,andmajorregulatoryshiftsoccurredduringourreferenceperiod2004–09,itisnecessarytocontrolfortheirinfluenceinourmodel.Thedegreeofregulatorypressureshouldcapturethedifferencesinthedividendpayoutsacrossdistinctdegreesofcapitalizationandriskappetites.Theassumptionisthatbankswith（risk-weighted）capitalratiosbeloworclosetotheminimumrequirementswillbesubjecttoclosermonitoringbytheirsupervisors（seeSection1）.Previousstudiescapturedtheeffectofregulatorypressurebydeployingtheratioofequitytototalassets.However,becauseregulatorscloselyfollowtheregulatorydefinitionofcapital,wemeasuredregulatorypressure（capitalization）astheaverageofthetier1leverageratio（tier1capitaltoassets）duringthereferenceperiod.Lowerleverage（i.e.,highervaluesforcapitalization）signalsstrongerfinancialhealthandisexpectedtobeassociatedwithhigherdividendpayouts.Therefore,apositiverelationshipisexpectedbetweencapitalizationanddividendpayout.

Additionally,weincludedadummyvariableforregulatorypressurebasedonthecapitalcategoriesoftheFederalDepositInsuranceCorporationImprovementAct（FDICIA）.14Section131oftheFDICIAestablishesasystemofpromptcorrectiveactions

derivedfromaclassificationsystemthatdividesbanksintofivecategories:

“wellcapitalized”,“adequatelycapitalized”,“undercapitalized”,“substantiallyundercapitalized”and“criticallyundercapitalized.”Banksareclassifiedaccordingtothresholdsusingrisk-basedcapitalandleverageratiosasthebasis.Themajorityofthebanksinoursamplewereclassifiedas“wellcapitalized”.Weconsiderthatregulatorsincreasetheirpressureonbankswhenbanksareapproachingtheminimumlevelsofcapitalandnotonlywhenthose