A股上市公司股利政策的市场效应研究

发布时间：2018-10-20 09:40

【摘要】：股利政策是将上市公司提取公积金后的净利润在股利支付和内部留存之间进行分配的财务决策。作为三大财务决策之一,股利政策不仅仅是公司筹资、投资活动的延续,影响上市公司的未来发展,同时作为公司经营状况及发展战略的反映和折射,还会产生一定的市场效应,具体表现在股票价格的波动。股利是投资者投资股票的主要收益,股利政策是否合理与投资者利益息息相关,更是与我国资本市场的发展和完善密切关联。自上世纪五十年代以来,国内外学者对股利政策进行了大量理论和实证研究,主要集中在股利政策对股票价格是否产生影响的争论上,但均未取得一致观点,“股利之谜”悬而未决。我国股票市场成立二十多年来不断发展壮大,走完了发达国家百年历程,至今已成为全球第二大股市。但与西方成熟的证券市场相比,仍存在许多亟待解决的问题,表现出明显的中国特色。近年来,国内上市公司股利分配现状仍表现出股利政策复杂多样、多种股利分配形式并存的特点,但现金股利逐渐成为最主要支付形式。股利支付率低,股利政策太过随意,缺乏稳定性,不分配的上市公司比例仍占较大比重。与成熟市场相比,国内上市公司实行的股利政策不仅表现为内容的不同,不同股利政策的市场效应也表现出明显的差异。多数学者的研究都认为股利政策会对股价产生影响,但受证券市场环境及样本选取方法的影响,不同时期的学者得到了不同的研究结论,因此有必要对新时期市场环境下股利政策的市场效应做进一步研究。本文以公布2011年度股利分配预案的沪深两市A股主板上市公司为样本,采用事件研究法研究股利政策对股票价格的影响。股利政策的不同主要体现在股利支付方式和股利支付水平的不同,本文分别按股利支付方式和股利支付率对样本进行分组,以预案公告日为事件日,以公告日前后15日为事件窗口并进一步细分为小窗口,通过统计不同样本组在事件窗口期发生的累计超额收益分析不同分配方式及不同支付水平对股票价格的影响。实证结果表明,不同股利政策在股利公告日引起了不同方向的过度的市场反应,并在随后的短时间内回归理性。股票股利和混合股利均对股利公告表现出明显的正反应,而现金股利和不分配方案均表现出明显的负反应；对不同支付率的现金股利的研究发现,随着股利支付率的提高,投资者对现金股利的态度也逐渐改善,由负反应变为正反应。最后,本文根据股利分配现状的研究和实证研究结果,分别从监管者、上市公司和投资者三个方面提出了相应的政策建议,以期对我国证券市场的发展有所裨益。
[Abstract]:Dividend policy is a financial decision to distribute the net profit of a listed company after withdrawal of provident fund between dividend payment and internal retention. As one of the three major financial decisions, dividend policy is not only the continuation of corporate financing and investment activities, which affects the future development of listed companies, but also the reflection and refraction of the company's operating status and development strategy. Also can produce certain market effect, the concrete performance is in the stock price fluctuation. Dividend is the main income for investors to invest in stocks. Whether the dividend policy is reasonable or not is closely related to the development and improvement of our country's capital market. Since the 1950s, scholars at home and abroad have carried out a large number of theoretical and empirical studies on dividend policy, mainly focusing on the debate on whether dividend policy has an impact on stock prices, but has not reached a consensus view. The riddle of dividend is in the air. The stock market of our country has been developing continuously for more than 20 years, and it has become the second largest stock market in the world. However, compared with the mature securities market in the West, there are still many problems to be solved, showing obvious Chinese characteristics. In recent years, the status quo of dividend distribution of listed companies in China still shows the characteristics of complex dividend policy and multiple forms of dividend distribution, but cash dividend gradually becomes the most important form of payment. The dividend payment rate is low, the dividend policy is too arbitrary and lacks stability, and the proportion of undistributed listed companies still accounts for a large proportion. Compared with the mature market, the dividend policy implemented by the domestic listed companies is not only different in content, but also different in the market effect of different dividend policies. Most scholars believe that dividend policy will have an impact on stock prices, but influenced by the stock market environment and sample selection methods, scholars in different periods have obtained different conclusions. Therefore, it is necessary to further study the market effect of dividend policy in the new market environment. Based on the listed companies listed on the main board of Shanghai and Shenzhen stock markets in 2011, the influence of dividend policy on stock price is studied by using event study method. The difference of dividend policy is mainly reflected in the difference of dividend payment method and dividend payment level. In this paper, the sample is grouped according to dividend payment mode and dividend payment rate, and the day of announcement of the plan is taken as the event day. Taking 15 days before and after the announcement day as the event window and further subdividing it into small windows, the influence of different distribution methods and different payment levels on the stock price is analyzed by counting the cumulative excess returns of different sample groups in the event window period. The empirical results show that different dividend policies cause excessive market reaction in different directions on dividend announcement day and return to rationality in a short period of time. Both stock dividend and mixed dividend have a significant positive reaction to dividend announcement, while cash dividend and undistributed scheme have obvious negative reaction. The study of cash dividend with different payment rate shows that, with the increase of dividend payment rate, Investors' attitude towards cash dividends is also gradually improving, from negative reaction to positive reaction. Finally, according to the current situation of dividend distribution and the results of empirical research, this paper puts forward corresponding policy recommendations from three aspects of regulators, listed companies and investors, in order to benefit the development of China's securities market.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F276.6

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