首次现金股利信号传递效应的实证研究

发布时间：2018-08-01 14:55

【摘要】：股利政策是企业财务的核心问题之一,不仅关系到投资者的利益,而且是关系到企业自身进行经营管理和投融资的重要问题,也是长期以来财务管理领域学者讨论的热点话题。我国证券市场经过二十多年的发展,已经达到一定规模,证券市场在一定程度上能有效发挥其功能。现金分红是上市公司股利分配的重要形式,也是投资者实现投资回报的最重要的途径。由于我国上市公司缺乏稳定持续的现金分红,使得资本市场上投机氛围浓厚,不利于资本市场的发展。因而,为了引导投资者建立长期的价值投资理念,稳定资本市场,上市公司制定持续、透明、清晰的现金分红政策是很有必要的。为了这一目标,我国从2001年开始制定了一系列的法律法规及指引,表明了我国对现金分红的高度关注,体现出现金分红对资本市场发展具有重要作用。同时,信号理论是股利理论的主要代表理论之一,前人的研究表明信号理论适用于我国资本市场,但我国学者对于信号理论的研究结论存在不一致性。由于现金股利涉及到公司现金流量的流出,对公司的正常经营、投资决策和融资决策都有重要影响,因此,本文主要研究现金股利。而首次股利由于没有以前股利分配的影响,因而能排除更多其他因素的影响,进而更单纯地研究股利政策。而我国以首次现金股利为研究对象的论文比较少,因此,本文以首次现金股利为研究对象来研究股利的信号理论是有一定价值的。本文将理论与实证研究相结合,验证了我国首次现金股利信号传递效应。首先,本文对股利相关理论进行了介绍,并总结股利信号传递理论的基础理论,为本文的研究做好了理论基础准备。然后,本文对我国现金分红的整体状况进行了描述性分析,以了解我国现金分红的整体情况以及存在的问题,为后面的实证研究做好了铺垫,并在一定程度上对于分析实证研究的结果具有辅助作用。在此基础上,我们进行了实证研究,采用事件研究法和多元回归分析法,对首次现金股利政策信号传递效应进行实证检验和分析,并对股权分置改革前后的首次现金股利政策的信号传递效应进行对比分析,另外,本文对累计超额收益率为正和负的两组样本进行了对比,分析导致CAR存在正负两种情况的原因。最后,本文得出结论,并根据文章的研究得到了几点启示。研究结论表明：(1)我国现金分红具有现金分红公司比例低、分红水平低、分红不连续、超派现、不同行业的分红存在差异等特点。(2)我国首次现金分红公告的市场反应总体是显著的,表明我国首次现金股利存在信号传递效应。股权分置改革前后首次现金公告产生的累计超额收益率存在显著差异,股改分置改革后的累计超额收益率更显著,表明股权分置改革后首次现金股利存在信号传递效应更强了。(3)多元回归结果表明股息率、每股经营现金流、资产负债率、公告前20天的累计超额收益率和机构投资者比例都与首次现金股利市场反应强度显著正向相关,而净资产收益率、账面市值比、流通A股比例、第一大股东持股比例、规模的回归系数与我们的预期不一致。另外,通过对CAR大于0和小于0两组样本进行比较,本文发现CAR为正或为负,不仅与市场预期相关,也与公司自身的特征因素有关。
[Abstract]:Dividend policy is one of the core issues of enterprise finance. It is not only related to the interests of investors, but also an important issue related to the management and investment and financing of the enterprise itself. It is also a hot topic discussed by scholars in the field of financial management for a long time. After more than 20 years' development, China's securities market has reached a certain scale. The cash dividend is an important form of the dividend distribution of the listed companies. It is also the most important way for the investors to realize the return on investment. Because of the lack of stable and continuous cash dividends, the listed companies in China have made the capital market dense and not conducive to the development of the capital market. In order to guide the investors to establish a long-term value investment concept and stabilize the capital market, it is necessary for the listed companies to formulate a continuous, transparent and clear cash dividend policy. In order to achieve this goal, China has formulated a series of laws and regulations and guidelines from 2001, which shows the high attention to cash dividends in our country and the embodiment of cash. Dividends have an important role in the development of capital market. At the same time, the signal theory is one of the main representative theories of the dividend theory. The previous research shows that the signal theory is applicable to the capital market of our country, but the conclusion of the research on the signal theory is inconsistent with the scholars in our country. There is an important impact on the normal operation of the company, the investment decision and the financing decision. Therefore, this paper mainly studies the cash dividend. The first dividend, due to the absence of the influence of the previous dividend distribution, can eliminate the influence of more other factors and then study the dividend policy more simply. Therefore, it is valuable to study the dividend signaling theory based on the first cash dividend.
This paper, combining theory with empirical research, validates the signal transfer effect of the first cash dividend in China. Firstly, this paper introduces the theory of dividend related, and summarizes the basic theory of the theory of dividend signal transmission, and makes a theoretical basis for the study of this paper. Then, this paper makes a sketch of the overall situation of cash dividends in China. In order to understand the overall situation of the cash dividend and the existing problems in China, it has done a good job for the latter empirical research, and to a certain extent it has an auxiliary role in the analysis of the results of the empirical study. On this basis, we have carried out an empirical study on the first cash share, using the case study method and the multiple regression analysis method. The signal transmission effect of the profit policy is tested and analyzed, and the signal transmission effect of the first cash dividend policy before and after the split share reform is compared and analyzed. In addition, this paper compares the two groups of samples with positive and negative cumulative excess returns, and analyzes the reasons for the existence of two positive and negative cases in CAR. Finally, the paper gets the conclusion. According to the research of the article, some inspirations are obtained. The conclusions are as follows: (1) China's cash dividend has the characteristics of low proportion of cash dividends, low dividend level, discontinuous dividend, discontinuity, the difference of dividends in different industries. (2) the overall market reaction of the first cash dividend announcement in China is significant, indicating the first of our country. There is a signalling effect on the sub cash dividend. There is a significant difference in the cumulative excess yield generated by the first cash announcement before and after the split share reform. The cumulative excess return after the reform is more significant, indicating that the first cash dividend has a stronger signal transfer effect after the split share reform. (3) the multiple regression results show the dividend. Rate, operating cash flow per share, asset liability ratio, the cumulative excess rate of return and the proportion of institutional investors in the first 20 days of the announcement are significantly positively correlated with the initial cash dividend market reaction intensity, while the net assets yield, the book value ratio, the proportion of the A shares in circulation, the proportion of the first large shareholders, and the regression coefficient of the scale are not consistent with our expectations. In addition, by comparing CAR more than 0 and less than 0 groups, this paper finds that CAR is positive or negative, which is not only related to market expectations, but also related to the characteristics of the company itself.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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