迎合理论与股利政策成因的实证研究

发布时间：2018-03-20 19:28

本文选题：迎合理论　切入点：股利溢价　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：股利发放的动机一直是学术界争论的焦点之一。本文选取沪深两市的A股股票为样本对股利发放进行研究,并着重于检验在中国股票市场中的股利发放中是否存在迎合行为。本文将着重考虑两种股利发放形式,一种是现金股利方式,另一种是送转增股即股票股利。本文选取了5年作为样本期间,通过进行滚动回归来预测未来的股利支付概率,并用于进一步对迎合理论进行检验,通过实证研究发现在现金股利发放中并不存在迎合行为。本文在考虑股票股利发放动机时,从股利迎合和股价迎合两个角度进行考察,发现从股利发放角度出发时我国股票市场并不存在迎合行为,从投资者存在的非理性的低价股偏好出发,通过实证检验发现公司一般倾向于迎合投资者这种低价股偏好。此外,本文在考察周期因子的同时,首次将风险因子引入中国股市股利发放的实证研究中,通过检验发现,加入了风险因子、周期因子特征变量之后,低股价迎合理论仍然可以成立。本文从理论方面进行分析,认为可能存在的原因是在中国独特的环境中,这两项指标的衡量不一定很精准,首先是风险因子的计算涉及到CAPM模型是否适用于中国股票市场；其次就是周期因子因为我国公司普遍成立较晚而存在一定的区分度不高的问题。本文通过迎合理论的检验,提出导致中国迎合现状的主要原因有以下两方面：一是我国投资者普遍不具备长期投资意识,对股利重视程度不足,并热衷短期投资,具有非理性的价格幻觉偏好；二是我国公司法人治理结构不完善,导致持有流通股的中小投资者的股利偏好没有得到合理满足。
[Abstract]:The motivation of dividend payment has always been one of the focal points in academic circles. This paper selects A-share stocks in Shanghai and Shenzhen stock markets as samples to study dividend payment. This paper will focus on the consideration of two forms of dividend payment, one is cash dividend, and the other is cash dividend. The other is the stock dividend. This paper selects 5 years as the sample period to predict the future dividend payout probability through rolling regression, and further tests the pandering theory. Through the empirical study, we find that there is no pandering behavior in cash dividend payment. When considering the motivation of stock dividend payment, this paper investigates from two angles of dividend pandering and stock price pandering. It is found that there is no pandering behavior in China's stock market from the perspective of dividend distribution. Based on the irrational low price stock preference of investors, it is found that companies generally tend to cater to investors' low price stock preference through empirical tests. At the same time, this paper introduces the risk factor into the empirical study of dividend distribution in Chinese stock market for the first time. It is found that the risk factor and the characteristic variable of the periodic factor are added to the empirical study. The theory of low stock price pandering can still be established. This paper makes a theoretical analysis and thinks that the possible reason is that in the unique environment of China, the measurement of these two indicators is not necessarily accurate. First, the calculation of the risk factor involves whether the CAPM model is applicable to the Chinese stock market, and the second is the problem that the periodic factor has a certain degree of differentiation because of the late establishment of Chinese companies. The main reasons for China to cater to the current situation are as follows: first, Chinese investors generally do not have long-term investment awareness, pay less attention to dividends, and are keen on short-term investment, with irrational price illusion preference; Second, the corporate governance structure of our country is not perfect, which leads to the lack of reasonable satisfaction of dividend preference of small and medium-sized investors who hold tradable shares.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

【参考文献】