现金股利对股价稳定机制的研究

发布时间：2018-03-14 18:27

本文选题：现金股利　切入点：股价波动　出处：《东华大学》2014年硕士论文　论文类型：学位论文

【摘要】：从我国证券市场发展的20多年历史来看,股价的剧烈波动一直是困扰中国股市运行的一个重要问题。现金股利作为股价的内生稳定机制,对于稳定股价、促进资本市场的健康运行起到了较为关键的作用。本文从现金股利的角度出发,分析了现金股利与股票价格之间的稳定路径,借助实证研究验证两者间的稳定关系。在对数据进行初步描述性统计后,分别采用面板数据的固定效应模型及Fama and MacBeth (1973)两步回归方法,并对相关数据进行单因素方差分析及协整检验,最终得到以下实证结果： (1)对2002-2012年上市公司现金股利派发情况的分组分析,证实了连续分红年数会对股价波动产生显著影响。其中,又以连续10-11年分红与分红次数少于3次的公司股价波动对比最为显著。连续10-11年分红的公司股价波动显著小于连续分红次数较少的公司。因此,本文认为描述性统计的结果支持连续分红的上市公司股价波动更小的结论。 (2)面板数据模型结果显示,上市公司当年分红情况及分红程度会影响股价的波动。特别地,上市公司当年采用现金分红的策略能显著稳定股价,而分红程度的高低虽然与股价波动负相关,但效果并不显著。此外,本文对账面市值比、杠杆率及净资产规模等指标的研究结果与理论相符。因此,根据面板数据回归结果,本文认为当年是否分红决定着股价的波动情况,而当年分红程度对股价波动影响并不显著。 (3)采用2006-2012年数据对不同股市周期下是否分红与股价波动的单变量研究,证实了在任意股市周期下,现金分红与股价波动显著负相关,且在下降市场时期,现金分红对股价波动影响更大,该比较结果在10%的显著性水平下显著。因此,根据Fama and MacBeth (1973)回归结果,本文认为不同股市周期下,现金分红情况对股价波动的影响不同,下降市场时期,现金股利分红作用更大。本文在对现金股利与股价的稳定关系进行理论和实证研究后,结合两者结论,提出了以下几点建议： (1)在改善上市公司内部分红机制方面,要完善上市公司内部治理机制,并加强对上市公司分红情况的监管。 (2)在完善半强制分红政策方面,尝试设立与股价挂钩的现金分红机制,并采用差别化的现金分红率,同时对现金分红的持续性和稳定性制定标准。 (3)在加强股市宏观环境建设方面,要完善价值投资的宏观环境,并加快利率市场化建设。
[Abstract]:Judging from the more than 20 years of the development of China's securities market, the sharp fluctuation of stock prices has always been an important problem that puzzles the operation of the Chinese stock market. As an endogenous mechanism for stabilizing stock prices, cash dividends are used to stabilize stock prices. The paper analyzes the stable path between cash dividend and stock price from the perspective of cash dividend. After the preliminary descriptive statistics, the fixed effect model of panel data and the Fama and MacBeth method are used to verify the stable relationship between them. Finally, the following empirical results are obtained by univariate ANOVA and cointegration test. 1) A grouping analysis of the cash dividend distribution of listed companies from 2002 to 2012 confirms that the number of consecutive dividend years has a significant impact on stock price volatility. The volatility of the share price of the companies with dividends for 10 to 11 consecutive years is significantly lower than that of the companies with less than three consecutive dividends. Therefore, the volatility of the stock prices of companies with dividends for 10 to 11 consecutive years is significantly lower than that of companies with less consecutive dividends. This paper holds that the results of descriptive statistics support the conclusion that the stock price of listed companies with continuous dividends fluctuates less. The results of the panel data model show that the dividend situation and the degree of dividends of listed companies will affect the volatility of stock price. In particular, the cash dividend strategy of listed companies in that year can significantly stabilize the stock price. Although the degree of dividend is negatively correlated with stock price fluctuation, the effect is not significant. In addition, the research results of book market value ratio, leverage ratio and net asset scale in this paper are consistent with theory. Therefore, according to panel data regression results, This paper argues that the current year dividend determines the volatility of the stock price, but the current dividend level does not have a significant impact on the stock price volatility. (3) A univariate study of whether dividend and stock price fluctuate in different stock market cycles from 2006 to 2012 proves that cash dividend has a significant negative correlation with stock price volatility in any stock market cycle, and it is also found that in a declining market period, cash dividend is negatively correlated with stock price volatility. The effect of cash dividend on stock price fluctuation is even greater, and the comparison results are significant at the level of 10%. Therefore, according to the regression results of Fama and MacBeth (1973), this paper concludes that the effect of cash dividend on stock price fluctuation is different under different stock market cycles. In the period of market decline, cash dividends play a more important role. After the theoretical and empirical research on the stable relationship between cash dividend and stock price, this paper puts forward the following suggestions combined with the two conclusions:. 1) in improving the internal dividend mechanism of listed companies, we should perfect the internal governance mechanism of listed companies and strengthen the supervision of the dividend distribution of listed companies. 2) in the aspect of perfecting semi-compulsory dividend policy, we try to set up a cash dividend mechanism linked to stock price, and adopt differential cash dividend ratio, at the same time, we make a standard for the persistence and stability of cash dividend. In strengthening the macro environment construction of stock market, we should perfect the macro environment of value investment and accelerate the construction of interest rate marketization.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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