我国现金股利信号传递效应的实证研究

发布时间：2018-05-18 23:39

本文选题：股票市场 + 现金股利　；参考：《西南财经大学》2013年硕士论文

【摘要】：股利政策是上市公司向市场传递公司内部信息的一种途径,其中以现金股利的传递效应最显著而受到许多公司的青睐。在西方成熟的资本市场上,现金股利己经成为最主要的一种股利分配方式。但是,我国的许多上市公司并没有意识到股利分配的重要性,股利分配方式多样化和复杂化、不分配公司占多数、派现的公司比例仍然不高、股利支付率低等现象表现相当明显。为了促进我国资本市场的健康发展,证监会于2004年开始颁布了各种关于股利政策的政策法规,包括对现金股利分配的要求、加强监督管理、让上市公司树立发放股利的意识等。国内外学者以及对现金股利政策进行了非常多的研究。在国外成熟的资本市场上,现金股利分配确实具有传递效应,这已经成为共识。然而,在我国这个正在发展的资本市场中,学者们对此存在着分歧,有的学者认为现金股利政策具有传递效应,有的学者通过实证研究表明现金股利政策没有传递效应。那么,现金股利是否能够传递有用的信息给投资者是一个值得研究的课题。本文就以这个为中心试图回答一下几个具体问题：(1)现金股利分配究竟有没有信号传递效应?即是说,我国目前的现金股利分配究竟能否向市场投资者传递上市公司的真实信启、,传递了哪些信息?(2)如果股利分配没有信号传递效应,或者说传递效应很弱,那么为什么在我国股利分配不能传递信号,或者信号传递效应很弱,原因是什么?(3)如果股利分配具有信号传递效应,或者说信号传递功能强,那么为什么在我国股利分配能传递信号,原因是什么? 本文在综述了现有的股利分配政策和分配理论,以及现有相关研究文献的基础上,本章通过选取22家现金股利增加和20家现金股利减少的上市公司的现金股利分配数据作为研究对象,运用累计超额收益法对现金股利信号传递效应进行了实证研究,计算出股利分配公告日前后5个交易日的累计超额收益率并对其做了显著性检验。研究结果如下：(1)在现金股利增加组,在事件窗口内的累计超额收益率围绕零值小幅度的上下波动,但是并不显著；在现金股利减少组,事件窗口内的累计超额收益率稳定增加,并且显著不为零。总的来说,现金股利的增加不能导致股票价格的上升；现金股利的减少也不能导致股票价格的下降,反而对股票价格有正向反应。(2)增加的现金股利没有信号传递作用,这可以说明公司的管理层没有对股利政策引起重视,没有充分利用这一政策来传递有用的公司内部信息给投资者,另外,投资者并没有对现金股利增加这一信号进行有效解读,认为现金股利的分配是理所应当、毋庸置疑的,是他们投资应得的回报。(3)现金股利增加对于投资者没有吸引力,说明我国在股利方面还有缺陷,和西方成熟的股票市场相比,还有一定的差距,需要我们继续发展和完善。本文的写作基础是建立在以前国内外学者对于股利分配政策的研究基础之上的,但是,在总结前人成果的基础上进行了研究样本的创新。大部分文章选取的进行现金股利分配的公司并没有区分其利润是增加的还是减少的,本文选取上海交易市场上42家具有代表性的公司作为研究样本,这42家公司都是利润增加的,剔除利润减少的公司的原因是利润减少的公司本身不具备代表性,自身表现异常。所以本文选取的上市公司都是利润增加的,以此作为本文的研究样本。另外,文章选取最新的股利分配数据进行研究,以了解最近资本市场上的股利分配的传递效应情况。诚然,本文主要的不足之处。比如,样本数据不足。由于上证A股市场中的上市公司较多,文章限于篇幅和其他因素的影响,只选取了较有代表性的公司进行了现金股利分配的研究,且来自各个不同的行业；并且本文对于进行现金股利分配的公司只选择了利润增加的公司进行了研究,因为利润减少的公司本身就有一定的异常,以上两点可能会对实证结果有一定的影响。还比如,分配形式的限制。由于现金股利是股利分配形式中最为重要的分配形式,所以本文只对42家上市公司的现金股利分配进行了实证研究,没有与其他股利分配形式进行比较分析。
[Abstract]:Dividend policy is a way to transfer the internal information of the listed company to the market. The transfer effect of cash dividend is most significant and favored by many companies. In the mature western capital market, cash dividend has become the most important way of dividend distribution. However, many listed companies in our country have not realized it. The importance of dividend distribution, the diversification and complexity of dividend distribution, not the distribution of the majority of the company, the proportion of the listed companies is still not high, the dividend payment rate is quite obvious. In order to promote the healthy development of the capital market in China, the Securities Regulatory Commission began to promulgate various policies and regulations about dividend policy in 2004. Cash dividend distribution requirements, strengthen supervision and management, so that listed companies to set up awareness of dividend payments.
Scholars at home and abroad and the cash dividend policy have carried out a lot of research. In the mature foreign capital market, the cash dividend distribution does have the transfer effect, which has become a consensus. However, there are differences between scholars in the developing capital market of our country, and some scholars believe that the cash dividend policy has a transmission. Some scholars have shown that cash dividend policy has no transfer effect through empirical research. Then, whether cash dividends can transfer useful information to investors is a subject worthy of study. This paper tries to answer several specific questions in this paper: (1) is there any signal transfer effect of cash dividend distribution? That is, what is the fact that the current cash dividend distribution in China can transfer the true letter of the listed company to the market investor and what information is transmitted? (2) if the dividend distribution does not have signal transfer effect, or if the transfer effect is very weak, then why the dividend distribution in our country can not transmit the signal, or the signal transfer effect is very weak, the reason is that What? (3) if the dividend distribution has the signal transmission effect, or the signal transmission function is strong, then why can the dividend distribution in our country transmit the signal, what is the reason?
On the basis of a summary of the existing dividend distribution policy and distribution theory, as well as the existing related research literature, this chapter uses 22 cash dividends and 20 cash dividends to reduce the cash dividend distribution of listed companies as the research object, and uses the cumulative excess return method to carry out the transfer effect of cash dividends. The results are as follows: (1) the cumulative excess rate of return in the event window is fluctuating around the zero value in the event window, but it is not significant; in the cash dividend reduction group, the case study is done. In general, the increase of cash dividend can not lead to the increase of stock price; the decrease of cash dividend can not lead to the decline of stock price, but it has positive reaction to the stock price. (2) the increase of cash dividend has no signal transmission effect, this can be said The management of Ming company has not paid much attention to the dividend policy. It does not make full use of this policy to transfer useful internal information to investors. In addition, investors do not have an effective interpretation of the increase of cash dividend. It is considered that the distribution of cash dividends is reasonable and unquestionable, the return of their investment. (3) the increase of cash dividend is not attractive to investors, which indicates that there are still some defects in our country's dividend, compared with the mature stock market in the west, there is a certain gap between us, and we need to continue to develop and improve it.
The basis of this paper is based on the research on dividend distribution policy, but on the basis of summarizing the previous achievements, the research sample is innovating. Most of the articles selected for cash dividend distribution companies do not distinguish whether their profits are increased or reduced. There are 42 representative companies in the sea market as research samples, and the 42 companies are all profit increasing. The reason for eliminating the loss of profits is that the companies with reduced profits do not have the representativeness themselves and their own performance is abnormal. Besides, the article selects the latest dividend data to study the transmission effect of dividend distribution in the recent capital market.
It is true that the main shortcomings of this article, such as the lack of sample data, are limited by the number of Listed Companies in the Shanghai stock market and the influence of the length and other factors in the A stock market. Only a representative company is selected for the study of cash dividend distribution and from different industries; and the cash dividend distribution is carried out in this paper. The company only chooses the company that has increased profits, because the company itself has a certain abnormal profit, and the above two points may have a certain impact on the empirical results. The company's cash dividend distribution has been empirically studied, and it has not been compared with other forms of dividend distribution.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】