A股上市公司现金股利信号传递效应的实证研究

发布时间：2018-04-10 21:59

本文选题：现金股利 + 信号传递理论　；参考：《复旦大学》2013年硕士论文

【摘要】：我国资本市场由于历史尚短,监管机制尚未成熟,上市公司治理结构尚未完善,上市公司的股利信号传递中出现了不少有别于西方成熟资本市场的现象。本文选择股利这一课题,从信号理论的角度入手进行研究。有别于以往文献,本文分两步检验,分别运用事件研究和回归模型相结合的方法,试图在阐述相关理论和模型的基础上,分析A股上市公司股利政策对股价波动和未来经营绩效的信号传递效果。本文第一部分阐述选题意义；第二部分系统论述股利信号理论的渊源以及国内外的理论和实证研究；第三章针对2007-2012年中国A股上市公司的股利政策做了描述性统计和全面的梳理；第四部分运用事件研究法,分组检验了上市公司股利信号对股价波动的影响；然后采用回归模型,考察上市公司股利发放与未来经营绩效的信号传递效果。最后,本文得出了一些研究结论,并阐明了研究的局限性。主要的研究结论是：2007-2012年间,上市公司派现所占比例呈上升趋势。公司股利增加和减少的公告会引发股价同方向的波动,但波动比例较小,分别为1.14%和-1.21%。首次发放股利的公告给股价带来的超额收益较为明显；上市公司股利发放的变化包含了公司对下一年的盈利预期变化的信息。股利的变化率与企业未来一年的净利润和净资产收益率变化呈现显著的正相关。股利减少的信号传递作用强于股利增加的信号传递作用,股利减少更能的反应公司未来一年的盈利的变化。
[Abstract]:Due to the short history of Chinese capital market, the regulatory mechanism is not mature, the governance structure of listed companies is not yet perfect, and the dividend signal transmission of listed companies is different from that of western mature capital markets.In this paper, dividend is chosen to be studied from the perspective of signal theory.Different from previous literature, this paper uses the method of event study and regression model to test, and tries to explain the relevant theories and models.This paper analyzes the signal transmission effect of dividend policy on stock price fluctuation and future operating performance of A-share listed companies.The first part of this paper describes the significance of the topic, the second part systematically discusses the origin of dividend signal theory and domestic and foreign theoretical and empirical research;The third chapter makes descriptive statistics and comprehensive analysis on dividend policy of Chinese A-share listed companies from 2007-2012. The fourth part uses event research method to test the impact of dividend signal on stock price fluctuation in listed companies in groups, and then adopts regression model.To investigate the effect of signal transmission between dividend payment and future operating performance of listed companies.Finally, this paper draws some conclusions and illustrates the limitations of the research.The main conclusion is that the proportion of cash paid out by listed companies is on the rise between 2007-2012.The announcement of a dividend increase or decrease would trigger a move in the same direction, but the volatility was smaller, at 1.14 percent and -1.21 percent, respectively.The announcement of the first dividend is more obvious than the excess return on the stock price; the changes in dividend payments by listed companies contain information about changes in earnings expectations for the next year.There is a significant positive correlation between the change rate of dividend and the change of net profit and return of net assets in the coming year.Dividend reduction is more effective in signaling than dividend increase, and dividend reduction is more likely to reflect changes in the company's earnings over the next year.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F224;F832.51

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