股利政策对股价波动的影响研究

发布时间：2018-03-02 02:03

本文关键词： 股利政策股利支付形式股利支付连续性股利支付增长率股价波动　出处：《贵州财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文在中国证券市场逐渐走向成熟，监管部门不断加强监管的背景下，通过中外股利政策的比较和对中国股利政策特征的总结，从我国股利支付形式、股利支付连续性和股利支付增长率三个方面来研究分析中国的股利政策对股价波动的影响，分析中国证券市场有效性，，最终为投资者、上市公司管理层和监管者提供参考及依据。本文主要包含两个层次:第一层次：理论分析。主要总结和梳理了国内外的相关文献，首先对股利政策种类及其影响因素进行了概述，然后对国外的进行了文献综述，分析总结了国外上市公司股利政策现状及特点；最后对国内进行了文献综述，阐述了国内上市公司股利政策现状及特点。本文的第二个层次是数据分析，从三个方面研究股利政策对股价波动的影响。(1)不同的股利分配方式对股价波动研究；(3)股利支付连续性对股价波动的影响；(3)股利支付股利增长率对股价波动的影响。与之前有关研究股利政策的市场效应的实证文章相比，本文通过对国内外股利政策的比较，分析了我国股利政策对股票价格波动影响的研究状况。通过对我国上市公司股利政策分类及对股票价格波动影响程度比较，研究不同层次和种类股票的股利政策的市场反应；分析了股利支付连续性、稳定性和股利增长率等因素对股价波动的影响。本文的创新之处在于：(1)分析的层次和种类更加丰富，其实用性和适用性更强。(2)增加了股利支付连续性和股利增长率等因素对股价波动的影响。(3)本文的超额收益率的计算充分考虑了整体行情的多空和行业因素的影响。通过对不同股利政策支付形式、股利支付连续性、股利支付增长率三个方面研究发现:(1)股票股利对股价波动影响程度大于混合股利和现金股利，股票股利的累计超额收益率分布也更为离散，混合股利次之，现金股利累计超额收益率分布较为集中;(2)间断性股利支付对股价波动影响程度大于连续性股利支付，间断性股利支付的累计超额收益率分布比连续性股利支付更为离散;(3)递增股利支付对股价波动影响程度大于零增长性股利支付，但是明显小于股票股利和间断性股利支付，递增股利支付的累计超额收益率分布也比零增长性股利支付更为离散。本文最后在研究结果基础上，从投资者、上市公司管理层和监管者角度提供的政策建议。
[Abstract]:Under the background of the maturity of China's securities market and the constant strengthening of supervision by the regulatory authorities, through the comparison of Chinese and foreign dividend policies and the summary of the characteristics of China's dividend policy, the paper analyzes the form of dividend payment in China. In order to analyze the impact of dividend policy on stock price fluctuation, to analyze the validity of Chinese stock market, and finally to analyze the investors, in the three aspects of the continuity of dividend payment and the rate of increase of dividend payment. Listed company management and regulators to provide reference and basis. This paper mainly includes two levels: the first level: theoretical analysis. It summarizes and combs the relevant literature at home and abroad, first summarizes the types of dividend policy and its influencing factors, and then summarizes the literature abroad. This paper analyzes and summarizes the current situation and characteristics of dividend policy of foreign listed companies, and finally summarizes the domestic literature review, expounds the current situation and characteristics of dividend policy of domestic listed companies. The second level of this paper is data analysis. This paper studies the effect of dividend policy on stock price fluctuation from three aspects: (1) the effect of different dividend distribution modes on stock price fluctuation; (3) the influence of dividend payment continuity on stock price fluctuation; (3) the effect of dividend dividend growth rate on stock price fluctuation. Compared with the previous empirical research on the market effect of dividend policy, this paper compares the dividend policy at home and abroad. This paper analyzes the research situation of the influence of dividend policy on stock price fluctuation in China. By comparing the classification of dividend policy and the influence degree on stock price fluctuation, the paper studies the market reaction of dividend policy of different levels and kinds of stock. This paper analyzes the influence of dividend payment continuity, stability and dividend growth rate on stock price fluctuation. The innovation of this paper is that the level and variety of the analysis are more abundant. Its practicability and applicability are stronger. 2) it increases the influence of dividend payment continuity and dividend growth rate on stock price fluctuation.) the calculation of excess yield in this paper fully takes into account the influence of the whole market and industry factors. Through the study of different dividend policy payment forms, dividend payment continuity and dividend payment growth rate, it is found that stock dividend has more influence on stock price volatility than mixed dividend and cash dividend. The cumulative excess return distribution of stock dividend is also more discrete, the mixed dividend is the second, and the cumulative excess return distribution of cash dividend is more concentrated than that of continuous dividend payment, and the effect of intermittent dividend payment on stock price fluctuation is greater than that of continuous dividend payment. The cumulative excess return distribution of intermittent dividend payment is more discrete than that of continuous dividend payment) the effect of incremental dividend payment on stock price fluctuation is greater than zero growth dividend payment, but significantly smaller than that of stock dividend and intermittent dividend payment. The cumulative excess return distribution of incremental dividend payment is also more discrete than that of zero growth dividend payment. Finally, based on the research results, this paper provides policy recommendations from the perspective of investors, managers and regulators of listed companies.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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