股票股利与超额投资回报

发布时间：2018-09-06 19:42

【摘要】：股利分配问题是公司理财的重要研究内容之一,其核心问题是股利分配的政策取向是否与公司的价值有关。本文首先指明了研究背景,然后对相关文献进行了系统的回顾,分成经典理论的回顾,股利政策的信号效应文献综述和股票股利和超额投资回报三个部分。其中,经典理论分信号理论和行为金融理论；第二、三部分侧重与有关股利政策信号效应和股票股利长短期超额收益的国内外文献回顾。实证部分,本文研究2007至2010四年间我国沪深股市股利政策与超额投资回报的关系,选择了股票股利作为切入点,分短期和长期进行分析。短期采用事件研究法,结果证实了股票股利的信号作用,认为股票股利行为能够带来短期的超额投资回报,并且送股比例越高,信号作用越明显。长期采用线性回归的方法,发现发放股票股利的公司在当年能够取得高于市场收益的超额收益,但是长期收益的高低与送股比例的高低没有显著相关关系。最后,文章根据实证结论对投资者投资策略做出了投资建议。
[Abstract]:Dividend distribution is one of the important research contents of corporate finance. The core problem is whether the policy orientation of dividend distribution is related to the value of the company. This paper first points out the research background, then makes a systematic review of the relevant literature, which is divided into three parts: the review of classical theory, the literature review of signal effect of dividend policy, and the stock dividend and the return on excess investment. Among them, the classical theory is divided into signal theory and behavioral finance theory. The second, third part focuses on the review of domestic and foreign literature on dividend policy signal effect and stock dividend long-term and short-term excess returns. In the empirical part, this paper studies the relationship between the dividend policy and the return on excess investment in Shanghai and Shenzhen stock markets from 2007 to 2010, and chooses stock dividend as the starting point to analyze it in the short and long term. In the short term, the event study method is used to prove the signalling effect of stock dividend. It is considered that the stock dividend behavior can bring short-term excess return on investment, and the higher the proportion of stock is, the more obvious the signal effect is. Using the method of linear regression for a long time, it is found that the company that pays stock dividend can obtain the excess return which is higher than the market return in that year, but there is no significant correlation between the long-term income and the stock sending ratio. Finally, according to the empirical conclusions, the paper makes investment suggestions to investors.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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