我国上市公司股票股利与长期股票价格相关性研究

发布时间：2018-05-30 18:46

本文选题：股票股利 + 超额收益　；参考：《东华大学》2014年硕士论文

【摘要】：股利政策不仅是公司金融理论研究的热点问题,也是重要的公司财务实践问题,一直备受学者的关注,是与企业投资、融资活动相并列的企业三大财务决策之一。股利政策是确保公司的资金提供者收回其合理投资回报的一种制度安排,不同的股利政策将直接影响到市场中投资者投资收益、估值预期以及投资策略的转变。在我国,股利政策中的股票股利政策一直是市场热炒的题材之一。上市公司实施股票股利政策并不会改变公司现金流状况以及股权结构等,仅仅是流通股数量的增加或者说是会计科目的调整,不会对上市公司产生任何实质性的影响。但国内外学者的研究大部分都显示：送转股事件在短期的确会产生超额收益。如何解释这一现象成为理论界和实务界争论的焦点。本文将时间跨度调整为一年,研究股票股利在长期(一年期)是否会给投资者带来超额收益。本文基于信号传递理论,选取2007-2011年实施纯送转股事件(排除现金股利和混合股利造成的影响)的上市公司为研究对象,选择股利公告日为起始日,运用多元线性回归法和T检验,综合分析从起始日开始的一年期间内,市场对纯股票股利事件的异常反应；随后本文还从股票股利变动的信息内涵方面以研究公司管理层实施纯股票股利政策的实质动机。本文希望通过对送转股事件的长期影响研究,能够为投资者选取送转题材股票提供理性的投资依据,降低投资风险；为上市公司有效实施股利政策,尤其是股票股利提供有价值的理论依据；为监管机构如何进一步规范上市公司的市场行为,保护投资者利益,提供监管依据。对于股票股利的长期市场反应,本文发现：(1)在一年的期间内,股票股利可以带来超额收益,主要是投资者认为股票股利的发放意味着公司有信心将每股指标恢复为发放前水平,因此这就释放出了高成长的信号,所以受到投资者的热烈追捧；(2)累计超额收益率与送转股比例呈显著的负相关关系,即送转股比例越高,12个月的累计超额收益率越低,表明如果股本的扩张与公司未来的成长不一致,反而会阻碍公司未来的发展。对于股票股利变动信息内涵的检验,本文结论如下：(1)调低股票股利的公司在实施股票股利当年的净利增长率显著小于调高股票股利的企业的净利增长率,即股票股利变动向市场传递了关于企业未来的净利润状况的信号,但仅局限在发放股票股利的当年；(2)同时本文检验了股票股利与不同年度净利润增长率之间的关系,发现两者在当期有显著的正相关关系,与前一期及后一期不存在显著相关性,再次表明管理层在作出发放股票股利决策时参考了公司未来一段时期的成长状况；(3)调高股票股利的公司的年度累计超额收益率小于调低股票股利的公司,即市场较欢迎调低股票股利,与前文的送转比与长期累计超额收益率负相关结论相一致。本文的实证结果表明,在全流通的背景下,股票股利政策传递出了一些成长信号,市场有一定的反应,但是信号作用还有待进一步的加强。最后结合本文的实证结果,对监管层、上市公司,特别是投资者提出了切实的建议与意见。
[Abstract]:Dividend policy is not only a hot issue in the research of the financial theory of the company, but also an important issue of the financial practice of the company. It has always been the concern of the scholars. It is one of the three major financial decisions which are tied up with the investment and financing activities of the company. Different dividend policies will directly affect investors' investment return, valuation expectation and investment strategy transformation.
In our country, stock dividend policy in dividend policy has always been one of the hot topics in the market. The implementation of stock dividend policy of listed companies does not change the cash flow status and ownership structure of the company. It is only the increase in the quantity of the circulation stock or the adjustment of the accounting subject, but it will not have any substantial influence on the listed company. Most of the scholars at home and abroad have shown that the transfer of equity events will produce excess returns in the short term. How to explain this phenomenon has become the focus of the debate between the theoretical and practical circles. This paper adjusts the time span to one year to study whether stock dividends will bring excess returns to investors in the long term (one year period).
Based on the theory of signal transmission, this paper selects the listed companies of 2007-2011 years to carry out the stock transfer events (excluding the effects of cash dividends and mixed dividends) as the research object, choosing the dividend announcement day as the starting day, using the multiple linear regression method and T test, to analyze the market for the pure stock dividend during the first year from the beginning of the day. After the study of the long-term impact of the stock transfer events, this paper hopes to provide investors with the rational investment basis and reduce the investment risk through the study of the long-term impact of the transfer of shares. It provides a valuable theoretical basis for the effective implementation of the dividend policy of the listed companies, especially the stock dividend, and provides a regulatory basis for the regulatory agencies to further standardize the market behavior of the listed companies and protect the interests of investors.
For the long-term market reaction of stock dividend, this paper finds that: (1) over a year, stock dividends can bring excess returns. The main reason is that the investors think the issuance of stock dividends means that the company has confidence to restore the per share index to the level before the issue, so it releases the high growth signal, so it is warmly received by the investor. (2) there is a significant negative correlation between the cumulative excess return and the proportion of transfer shares, the higher the ratio of transfer to equity, the lower the cumulative excess return in 12 months, indicating that if the expansion of equity is not consistent with the future growth of the company, it will hinder the future development of the company.
The conclusion is as follows: (1) the net profit growth rate of the companies with stock dividends in the year of stock dividends is significantly less than the net profit growth rate of the enterprises with high stock dividends, that is, the change of stock dividends to the market signals the future net profit status of the enterprise, but only limited to the market. In the year of issuing stock dividends; (2) at the same time, this paper examines the relationship between stock dividends and the annual net profit growth rate of different years, and finds that there is a significant positive correlation between the two in the current period, and there is no significant correlation with the previous and the latter one. Again, it is shown that management is a reference to the future of the company in making stock dividend decisions. The growth situation in the period of period; (3) the annual cumulative excess return rate of the company with high stock dividend is less than the company that lowers the stock dividend, that is, the market is more welcome to lower the stock dividend, which is consistent with the conclusion of the negative correlation between the transfer ratio of the previous article and the long-term cumulative excess return.
The empirical results show that the stock dividend policy has some growth signals in the context of full circulation, and the market has a certain reaction, but the role of the signal still needs to be further strengthened. Finally, the empirical results of this paper have put forward practical suggestions and suggestions for the regulatory, listed companies, especially investors.
【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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