基于不对称信息的现金股利信号传递效应研究

发布时间：2018-04-12 15:20

本文选题：现金股利 + 信息不对称　；参考：《上海外国语大学》2017年硕士论文

【摘要】：现金股利作为上市公司回馈股东的方式传递着公司业绩的信号,但是长久以来这种信号传递的有效性一直困扰着学界。前辈学者对股利信号理论的实证研究一直是“喜忧参半”,支持与否定股利信号理论的结论各占半壁江山,股利信号传递作用存在失灵的情况。本文首先了分析了我国上市公司现金分红的现状,认为在现行分红法规日趋完善,监管日益严格的背景下,A股上市公司分红状况趋于良好,分红公司数量、占比、分红金额都在稳定上升,为研究股利信号传递打下了良好的环境基础。本文认为在不对称信息的环境中,起到信号传递作用的行为必须是清晰可辨并且具有难以模仿性的,而现金股利支付率的高低水平往往是由诸多因素共同作用的结果,传递公司业绩的信号本身存在着诸多信息不对称。单以股利支付率的高低来看公司业绩会就会导致股利信号失灵。在深入分析了现金股利本质后,本文认为要让股利起到信号传递作用必须结合股利支付“三要素”即披露时间点,股利支付率的可模仿性,公司外部融资行为一起分析。一般来说,能做到股利预披露的公司往往是对自己业绩非常有信心,想要吸引市场关注的公司。预披露降低了投资者搜索信息的成本,让市场有更多时间研究公司经营状况,进而主动降低了信息不对称,因此现金股利预披露是一个有效的传递公司经营状况良好信息的信号;本文用Bhattacharya模型描述了高现金股利的股票对股东价值带来的影响。只有业绩出色的公司能支付难以模仿的高股利。对于业绩不佳的公司来说,高股利将对公司第二年的经营造成极大的压力,成本过大。因此难以模仿的高股利也是传递公司上佳业绩的信号;对于其余的公司需要通过外部融资行为来解决现金股利中存在的信息不对称,本文认为公司保留利润主要是用于公司未来发展,外部融资可以有效解决投资者不清楚公司的未来的投资项目收益率是否大于必要收益率这个问题,所以本文创新性建立了三个“股价收益率—股利支付率模型”以表现外部融资对股利信号传递起到的作用。在实证部分,本文将选取了A股2015年上市公司作为样本,将样本分为五组:现金股利预披露组、高现金股利组、无外部融资公司中等现金股利组、无外部融资低现金股利组、有外部融资中等及低现金股利组。基于事件研究法研究了五组数据在股利宣告的事件窗口期内的股价平均超额收益率和累计超额收益率的表现。其中无外部融资低现金股利组显著存在负的超额收益率,股利预披露组、高现金股利组、有外部融资中等及低现金股利组均存在正的超额收益率,无外部融资中等现金股利组不存在明显的超额收益率,这与本文理论部分得出的结论相一致,说明结合披露时间点,股利支付率的可模仿性,公司外部融资行为的现金股利能有效起到信号传递作用。最后本文针对现金股利信号传递有效性问题从投资者、上市公司和监管层的角度提出了对策建议,认为投资者应树立现金股利甄别意识,多角度考察股利,深入思考现金股利支付“三要素”来判别股票的价值。业绩出色的上市公司应当主动预披露股利信息,吸引更多非知情投资者,降低信息不对称,提升自身价值;监管层应当重视中小股东的话语权,给予中小股东否决明显不合理的现金股利分配方案的权利,促使公司分配合理的高股利;监管层还应当加强投资项目持续监管,保障外部融资的利益,增强资金提供者的信心,让更多外部融资参与到公司投资项目中去,增强现金股利信号传递作用的有效性。
[Abstract]:The cash dividend signal as a listed company shareholders to deliver a company's performance, but the effectiveness for a long time the signal has been plagued by academic circles. An empirical study of senior scholars of dividend signal theory is "mixed", support and negative dividend signal theory conclusion each accounted for half of the country, the dividend signaling effect of failure the situation. This paper analyzed the current situation of the cash dividend of Listed Companies in China, that is becoming more and more perfect in the current dividend policy under the background of increasingly stringent regulation, A shares of Listed Companies Dividend situation tends to be good, the number of companies accounted for dividends, the dividend amount is rising, stable, and lay a good foundation for the environment study on the dividend signal. This paper argues that in the asymmetric information environment, play a role in signaling the behavior must be legible and is difficult to imitate The cash dividend payment rate level is often composed of many factors, the signal transmission performance of the company itself, there are a lot of information asymmetry. In the dividend payment rate will look at the level of performance of the company will lead to dividend signal failure. In the in-depth analysis of the nature of the cash dividend, to make the dividend signaling role of dividend payment must be combined with the "three elements" that the disclosure of the time, the dividend payment rate of replicability, together with the analysis of external financing behavior. In general, the dividend can do pre disclosure of the company is very confident of their own performance, want to attract market attention. To reduce the pre disclosure investors search for information on the cost, let the market have more time management research company, and then take the initiative to reduce the information asymmetry, the cash dividend is an effective pre disclosure Signal transmission in good company information; this paper describes the influence of the high cash dividend stocks on shareholder value by Bhattacharya model. The outstanding performance of the company can only pay high dividends to imitate. For the poor performance of the company, the high dividend will be the company's second years of operation caused great pressure, cost large signal. So the high dividend is also difficult to imitate the transfer company good performance; for the rest of the company needs to solve the information asymmetry in the cash dividend by external financing behavior, this paper argues that the company retained profits is mainly used for the future development of the company, external financing can effectively solve the investors do not know the future of the company's investment rate of return greater than the required rate of return this problem, so this paper established three "price earnings ratio - dividend payment rate model To show the external financing of dividend signaling plays a role. In the empirical part, this paper will select the A shares of Listed Companies in 2015 as samples, the samples were divided into five groups: cash dividend pre disclosure group, high cash dividend group, no external medium Finance Companies cash dividend group, no external financing low cash dividend group. External financing of medium and low cash dividend group. The event study method is studied based on the data of the five groups in the dividend declared the event window period average abnormal return and cumulative abnormal return performance. With no external financing low cash dividend was significantly negative abnormal returns, high cash dividend pre disclosure group. Dividend group, positive excess returns are external financing medium and low cash dividend group, no external financing medium cash dividend group had no obvious abnormal returns, and the theoretical part of this paper a knot The theory is consistent with the note disclosure time, the dividend payment rate of replicability, behavior of corporate external financing cash dividend can effectively play the role of signal transduction. Finally, according to the cash dividend signaling effectiveness from investors, listed companies and regulators of the angle and puts forward some countermeasures and suggestions, investors should set up cash dividend screening investigates consciousness, dividend, cash dividend payment in-depth thinking of "three elements" to determine the value of the stock. The outstanding performance of the listed companies should take the initiative to pre disclosure of dividend information, attract non informed investors more, reduce information asymmetry, enhance their own value; regulators should pay attention to the medium and small shareholders the right to speak, to give minority shareholders veto cash dividend distribution plan is obviously not reasonable rights, leading to the high dividend reasonable distribution company; regulators should also strengthen the supervision for investment projects In order to enhance the effectiveness of cash dividend signaling, we should protect the interests of external financing, enhance the confidence of fund providers, and allow more external financing to participate in company investment projects.

【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F275;F832.51

【参考文献】