创业板上市公司高送转对股票价格的影响研究——基于反事实框架的实证分析

发布时间：2018-01-19 00:00

本文关键词： 创业板高送转信号传递理论流动性理论反事实框架股票价格收益率　出处：《价格理论与实践》2016年07期 　论文类型：期刊论文

【摘要】：高送转一直是中国股票市场中的热门概念。为探究高送转对股票价格的真实影响,本文借鉴随机干预实验思想,从反事实框架出发,筛选出高送转股票的对照组,分离出高送转效应。本文利用创业板2013-2015年的数据,通过事件研究法,构建面板固定效应模型进行分析。研究发现:在高送转公告之前,高送转股票短期内具有更高收益;在高送转公告之后,短期内高送转股票与对照组在收益率上并无显著差异;而在中长期,相较于对照组股票,高送转股票具有更高的收益率。在此基础上,通过单因素方差分析方法,证实了高送转确实向市场传递了公司未来盈利的信号,高送转效应并非完全源于非理性炒作,具有其价值基础。
[Abstract]:In order to explore the real influence of high transfer on stock price, this paper draws lessons from the idea of random intervention experiment and proceeds from the counterfactual framework. In this paper, we use the data of gem from 2013 to 2015, and use the method of event research. It is found that: before the announcement of high transmission, the high transmission stock has higher returns in the short term; After the announcement, there is no significant difference in the return rate between the stock and the control group in the short term. In the medium and long term, compared with the control stock, the high transfer stock has a higher yield. On this basis, the single factor variance analysis method is used. It is proved that the high transmission turn really sends the signal of the company's future profit to the market, and the high transmission effect does not completely originate from the irrational speculation, and has its value foundation.
【作者单位】：中国农业大学经济管理学院;
【分类号】：F832.51
【正文快照】： 我国上市公司常见的分红手段是送红股和公积金转增股本,在创业板上市公司中,这一现象尤为普遍。关于送转股行为,Miller和Modigliani(1961)的股利政策无关论认为,在不改变投资决策、市场完美的情况下,股利政策与企业价值无关。然而,针对中国股票市场,高送转概念格外受到人们追

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