实物分红与现金股利的股价相关性研究

发布时间：2018-07-09 15:25

本文选题：信号传递理论 + 股利政策　；参考：《扬州大学》2014年硕士论文

【摘要】：自2013年4月3日,南方食品发布公告向股东赠送黑芝麻乳品后,九州通、中青宝、人福医药等众多上市公司纷纷效仿,甚至连五粮液和苏宁云商也加入了这个行列,一时间“实物分红”在我国证券市场引起了广泛关注,成为热议的话题。我国上市公司股利形式一般是现金股利或股票股利,财产股利和负债股利两种支付方式在我国证券市场上很罕见。本文采用何杰等学者对实物分红的定义,重点研究该行为的市场效应,将其视为一种特殊的财产股利,作为股利政策的一种特殊形式来研究其与股价的相关性。本文通过事件研究法,选取2007-2013年10家发放实物分红的上市公司的16个样本以及这10家上市公司发放现金股利的38个样本,将股利公告日作为事件发生日,对事件日及其前后各22个交易日的平均超额收益率(AAR)和累计超额收益率(CAR)加以计算分析,并对实物分红和现金股利不同股价表现进行T检验,得到了以下的结论：(1)从整体上看,实物分红和现金分红对股价都具有信号传递的作用；(2)公告日前后一个月时间,实物分红在百分之一的显著水平下累计超额收益率显著为负,现金股利在百分之十的显著水平下累计超额收益率显著为正,表明实物分红对股价有负效应,现金股利对股价有正效应,股东偏好现金分红；(3)实物分红会引起股价下跌,累计超额收益率减少,我们认为实物分红的发放虽然能吸引投资者的关注,但是投资者大多将实物分红视为一种营销手段、处理库存的方式或者噱头,对股价有负的影响；(4)相对于基本不发放现金股利和股利发放逐年减少的公司,股利稳定增长的公司和新上市的公司短期的超额收益率较高。本文通过实证研究验证实物分红与现金股利对上市公司股价的信号传递作用,从实物分红这一新的视角研究股利政策,丰富了股利政策理论,扩充了股价影响因素的理论。同时,为企业管理者制定合理的股利政策提供支持；投资者根据其所能收集到的有效信息做出投资决策,有助于投资者更好地了解上市公司的发展状况,为股东正确衡量公司价值打下基础,为投资者的理性投资提供参考；为市场监管部门完善相关法规提供建议,促进我国资本市场的不断完善。
[Abstract]:Since April 3, 2013, when Southern Food issued a notice giving shareholders black sesame dairy products, many listed companies, such as Kyushu Tong, Zhongqing Bao, Renfu Medicine and so on, have followed suit, and even Wuliangye and Su Ning cloud merchants have joined the ranks. For a time, the "real-object dividend" has aroused widespread concern in China's securities market, and has become a hot topic. The form of dividend of listed companies in our country is generally cash dividend or stock dividend. Property dividend and debt dividend are rare in Chinese stock market. In this paper, the definition of physical dividend is adopted, and the market effect of this behavior is studied, which is regarded as a special property dividend and as a special form of dividend policy to study its correlation with stock price. In this paper, 16 samples of 10 listed companies with physical dividends and 38 samples of cash dividends issued by 10 listed companies from 2007 to 2013 are selected through the event research method, and the dividend announcement day is taken as the date of occurrence of the event. The average excess return rate (AAR) and cumulative excess return rate (car) of 22 trading days before and after the event are calculated and analyzed. The conclusions are as follows: (1) on the whole, both physical dividend and cash dividend have signalling effect on stock price; (2) one month before and after the announcement date, The accumulative excess return is significantly negative at the significant level of 1%, and the accumulated excess return on cash dividend is significantly positive at the significant level of 10%, indicating that the physical dividend has a negative effect on the stock price. Cash dividends have a positive effect on stock prices, and shareholders prefer cash dividends; (3) physical dividends will cause the stock price to fall, and cumulative excess returns will decrease. We believe that the distribution of physical dividends can attract the attention of investors, However, most investors regard physical dividends as a marketing tool. The way or gimmicks of handling inventory has a negative impact on stock prices; (4) compared with companies that basically do not pay cash dividends and dividend payments, they have a negative impact on stock prices; (4) compared with companies that basically do not pay out cash dividends and dividend payments are decreasing year by year, Companies with stable dividend growth and newly listed companies have higher short-term excess returns. This paper verifies the signalling effect of physical dividend and cash dividend on the stock price of listed companies through empirical research, studies dividend policy from a new perspective of physical dividend, enriches the theory of dividend policy and expands the theory of influencing factors of stock price. At the same time, to provide support for corporate managers to formulate reasonable dividend policy, investors can make investment decisions according to the effective information they can collect, which is helpful for investors to better understand the development of listed companies. It lays the foundation for shareholders to measure the company's value correctly, provides the reference for investors' rational investment, provides suggestions for the market supervision department to perfect the relevant laws and regulations, and promotes the continuous perfection of our country's capital market.
【学位授予单位】：扬州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F832.51

【参考文献】