我国创业板上市公司股利公告效应实证研究

发布时间：2018-01-07 19:10

本文关键词：我国创业板上市公司股利公告效应实证研究　出处：《财会通讯》2014年30期 　论文类型：期刊论文

【摘要】：本文以截至2011年12月31日的我国创业板上市公司为对象,分析了我国创业板上市公司的股利公告效应。结果表明,就创业板整体而言,在股利公告日前后数日内存在明显的公告效应,且日平均超额收益率在股利公告日之前便出现了上升。在事件窗口期内,混合股利公告产生的超额收益比现金股利显著,且前者在整体研究区间内的波动明显大于后者。市场在股利公告日当天对于是否为高送转题材的关注要远大于股利发放的方式。在股利公告日前后数日的期间内,高分红、高送转的混合股利公告的累计超额收益率最高。而从较长期间看,无论是否为高分红、高送转题材,现金股利带来的平均超额收益要大于混合股利。
[Abstract]:In this paper, as China's GEM listed companies in December 31, 2011 as the research object, analyzes the dividend announcement effect of GEM listed companies in China. The results show that the gem on the whole, there are obvious in the announcement effect of dividend announcement before and after a few days, and the daily average abnormal return before the dividend announcement appeared rise. In the event window period, significant mixed dividend announcements generate excess returns than cash dividends, and the former in the whole range of the study the volatility is greater than that of the latter. In the market dividend announcement day for whether the gaosongzhuan theme concerned are far greater than the dividend way. During the days before the dividend announcement within the high dividend, gaosongzhuan mixed dividend announcement cumulative abnormal return rate is the highest. But from a long period, regardless of whether the high dividend, cash dividend gaosongzhuan theme, bring peace The excess return is greater than the mixed dividend.

【作者单位】：四川职业技术学院;
【分类号】：F832.51
【正文快照】： 一、引言一直以来,市场的有效性始终是金融研究的核心问题之一。传统金融学理论坚持有效市场假说。其提出者Fama(1970)认为,在有效的资本市场中,证券价格包涵了所有相关信息,同时能够对新的信息做出迅速的反映。没有人能够利用公开的信息长期地战胜市场。然而,近年来一些行为

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