投资者情绪、股利政策与公司价值研究

基于行为金融学背景对股利政策的信号传递作用进行的研究发现,在不同的投资者情绪条件下,股利政策信号传递的效应存在差异。在股市上涨时期,不同股利政策对投资者的投资决策的影响几乎没有显著差异;在股市下跌时期,现金股利成为投资者获得收益的主要来源,因此发放现金股利的公司受到市场追捧。因此,上市公司股利政策制定不仅要考虑自身情况,还需要考虑市场情绪。     

上市公司超能力派现信号效应实证研究

上市公司超能力派现已引起了广泛的关注,然而这一现象可能导致的市场反应却不为人们所了解。作者以深、沪两市2005年实行超能力派现上市公司为研究对象,根据股利公告日前后股价的变动资料,采取累计超额收益率进行实证研究,以此来分析市场对超能力派现的反应。实证研究结果表明,超能力派现对公司的股价具有负的信号传递作用。     

上市银行现金股利实证研究

本文以沪深两市上市的14家商业银行为研究对象,基于中小投资者保护的角度来分析我国上市商业银行现金股利问题,并选取2006-2010年年报披露的数据进行实证分析。研究结果表明:净资产收益率、股权融资增加额对数都与现金股利支付率负相关。上市银行高收益低回报、重融资轻回报两大问题严重。     

Long-term stock performance following extraordinary and special cash dividends

Using essentially all declared extraordinary and special cash dividends between 1926 and 2001 which are not preceded or followed by the same for a period of three years, we find no robust post-declaration long-term abnormal stock returns, even in sub-samples defined by the special dividend yield, the bang-for-the-buck, the declaration-period abnormal return, the sub-sampling period or the stock market condition at declaration. Only event firms in the smallest CRSP market capitalization quintile display significant positive abnormal returns during the first-year following the declaration. However, these latter are not robust across sub-sampling periods. Overall, there is no compelling evidence that investors under- or over-react to extraordinary or special cash dividends.     

Valuation and Forecasting Roles of Dividends of Indonesian Listed Firms

We study the role of dividends in valuation and in forecasting future earnings in a low‐protection environment with highly concentrated ownership that is expected to yield low earnings quality. Using a sample of 372 distinct Indonesian firms listed on the IDX during the period 1995 to 2012 we show that dividends are reliably positively priced by the capital market, violating thus the dividend displacement theorem. This result persists even after controlling for some typical factors that affect firm value (capital structure, risk) and the effect of factors not separately identified, but priced by the Indonesian capital market (other information). Dividends replace accounting earnings entirely in valuation. Dividends are positively correlated to future earnings over and above current accounting earnings and other accounting and market variables. Both findings show that dividends play a central role on the Indonesian capital market. Finally, we show evidence consistent with the view that earnings management of Indonesian firms after 2002 is contractually efficient rather than opportunistic.     

Capital market reactions to earnings announcements: empirical evidence on the difference in the information content of IAS-based earnings and EC-Directives-based earnings

Listing on a foreign stock exchange and the aim to attract international investors usually forces European quoted companies to adapt information supplied in financial statements to different information needs of international investors. Because of the dominance of the American stock market, this adaptation raises especially the question whether Anglo-American-oriented accounting standards (for instance IAS — International Accounting Standards) convey a higher information content for investors than continental-Europe-oriented accounting standards (for instance EC-Directives). The study examines the information content of earnings announcements, i.e. abnormal returns resulting from un-expected earnings, for a sample of Swiss quoted companies which have changed the accounting standard used for presenting Swiss GAAP consolidated financial statements to either EC-Directives or IAS and can therefore contribute to this discussion. The results of the study suggest that IAS-based earnings announce-ments convey a statistically significant higher information content than earnings announcements based on the Swiss GAAP if a variance-approach is used. For investors in the Swiss capital market, the switch from Swiss GAAP to IAS has therefore increased the information content of financial statements. But comparing IAS-based and EC-Directives-based earnings announcements, the results suggest that for investors IAS-based earnings do not possess a statistically significant higher information content than EC-Directives-based earnings. This result has been achieved despite the fact that for Swiss financial analysts financial statements based on IAS convey a significant higher information content than financial statements based on EC-Directives. Avoiding problems in specifying a model for unexpected earnings by standardizing the mean of the abnormal returns of each event window to a positive value does not lead to a different conclusion if the variance approach is used.     

真实盈余管理与现金股利政策——来自中国上市公司的经验证据

本文利用2007～2011年7402个沪深A股上市公司样本,实证检验了上市公司真实盈余管理与现金股利政策间的关系,研究发现,真实盈余管理与现金股利分配倾向及现金股利分配力度间存在显著负相关关系,即真实盈余管理程度越高的上市公司,现金股利分配倾向就越低,而且分配的每股现金股利值也越低。进一步研究发现,真实盈余管理与现金股利政策间的负相关关系主要是由正向真实盈余管理的上市公司造成的。     

卖空管制放松与上市公司现金股利：促进还是抑制？

基于2006—2020年中国A股上市公司的数据,验证卖空管制放松对上市公司现金股利分配的影响。研究发现,相比于不可卖空的公司,可卖空公司在被列入卖空标的后,其现金股利分配意愿、分配规模与分配平稳性均显著提升。机制检验发现,卖空管制放松对现金股利分配的促进在代理问题严重、投资机会少的公司中更显著,这支持了代理成本机制;同时,在信号传递能力强、信号传递需求大的公司中,卖空管制放松对现金股利分配的促进更显著,这支持了信号传递机制。进一步分析发现,现金股利分配能力不足的公司在应对卖空压力时并未使用“高送转”作为替代。而对于我国资本市场中广泛存在的达标式分配,卖空管制放松能够产生抑制作用,且抑制作用体现在没有再融资需求的公司中。研究表明,卖空管制放松促进了上市公司现金股利分配,卖空机制能够为我国资本市场中的现金股利监管提供市场化路径。     

上市公司股利政策的特点、成因及对策

股利政策是上市公司将税后收益在股东所得股利和留存收益之间进行的合理配置的策略,会对公司的股票市价和公司的市场形象产生巨大的影响。本文主要根据上市公司股利政策分配方案,全面客观地对我国的股票市场进行分析,并为公司今后制定出合理的股利分配政策提出参考意见。     

On the financial characteristics of firms that initiated new dividends during a period of economic recession and financial market turmoil

The initiation of new dividends and increases in dividend payout ratios occur infrequently because once initiated it would be expected by most investors that the new dividends will be maintained. Dividend announcements are said to have informational content concerning the value of the firm, and financial signaling theory would lead investors to conclude that the initiation of new dividends is an indication that the firm expects increased cash flows in the future. Thus, unless the initiation is identified beforehand as a special dividend resulting from unanticipated cash inflows, it is difficult to reverse the action without having an adverse effect on the value of the firm. In periods of economic recession and financial turmoil most firms conserve cash and the initiation of new dividends or increases in the dividend payout ratio in such periods are extraordinary and noteworthy. The purpose of this study is to provide a financial analysis of those firms described by Value Line as having initiated or increased the dividend payout ratio in the most recent period of economic recession and financial market turmoil. Specifically, the analysis will test for significant differences in the financial profiles of those firms that initiated new dividends in such a period, and companies selected at random but from the same industries. A unique financial profile is established for the dividend initiating firms, and it is suggested that the profile may be used to identify firms that will initiate new dividends in future periods of economic downturn. As in previous studies of this nature Multiple Discriminant Analysis is used.     

Stock-market reaction to growth-induced dividend cuts: Are investors myopic?

This paper focuses on shareholder reaction to growth-motivated dividend cuts and omissions. The results reveal that although growth announcements mitigate the capital loss induced by dividend decreases, the stockmarket response to growth-oriented dividend cuts is still strongly negative. However, the capital loss suffered by investors is significantly reduced when dividend cuts are accompanied with stock dividends. Two potential explanations of the results are explored: (1) shareholders find the immediate benefits of stock dividends more attractive than the potentially higher future rewards of investment opportunities; and (2) shareholders overreact to dividend announcements. Analysis of the performance of the firms for two years following the dividend cut indicates weak support for the overreaction hypothesis.     

Loan Loss Provisions by Banks in Hong Kong, Malaysia and Singapore

This paper studies loan loss disclosures by banks in Hong Kong, Malaysia, and Singapore for the period 1993 through 2000. We find that unexpected loan loss provisions are positively related to bank stock returns and future cash flows. This indicates that Asian bank managers increase loan loss provisions to signal favorable cash flow prospects, and bank investors bid bank stock prices up when unexpected provisions are positive. These results are consistent with those obtained by Wahlen (1994) for US banks. We also examine the impact of the Asian financial crisis of 1997 on the loan loss variables. The results indicate that the association between the unexpected loan loss provisions and bank stock returns and future cash flows was significantly lower in the crisis years, relative to the non‐crisis period. Evidently, discretionary loan loss provisions had no signaling value during the crisis. This suggests that macroeconomic uncertainty influenced the strategic behavior of Asian bank managers and investors.     

Information content of unexpected dividends under a semi-mandatory dividend policy: An empirical study of China

We examine the information content of unexpected dividend changes under China’s unique semi-mandatory dividend policy, which requires firms to pay a minimum amount of cash dividends before they can undertake seasoned equity offerings (SEO). The cumulative abnormal returns (CARs) are significantly positive in response to unexpected dividend increase for non-SEO firms, but they are not significantly different from zero for SEO firms. For non-SEO firms, there is a significant positive relation between future earnings and unexpected dividend increases, but the relation is not significant for SEO firms. However, when considering additional refinancing costs for SEO firms caused by the mandatory dividend policy, higher dividend payments are associated with lower future earnings. Overall, our findings are consistent with both the dividend signaling theory and the negative effects of SEOs on a firm’s value.     

The Value Relevance of Earnings and Cash Flows: Empirical Evidence for Japan

The Japanese equity market is one of the largest in the world. In recent years, fund managers worldwide have substantially increased their exposure to the Japanese capital markets. In spite of the Japanese capital market's rapid growth and its increasing importance in the international financial world, there has been limited empirical evidence linking security returns to earnings and cash flows. This study extends the growing empirical literature on the association of earnings and cash flows with security returns by using a Japanese dataset consisting of 6,662 firm-year observations for the period 1984–93. We hypothesize that (i) earnings and cash flows are jointly associated with stock returns, and (ii) the association between cash flows (earnings) and security returns increases (decreases) when earnings are transitory. This study provides empirical evidence (i) that cash flows (earnings) have information content beyond earnings (cash flows) in explaining security returns, and (ii) that cash flows (earnings) play a more (less) important role in the marketplace when earnings are transitory. Moreover, results show that the explanatory power of our Japanese models is similar to the evidence provided in prior US studies, indicating that Japanese investors utilize earnings and cash flows in their pricing of equities as their US counterparts.     

现金股利政策信号传递研究

现金股利的逐步攀升与稳定是2000年以来资本市场出现的新情况,上市公司的这一行为标示了股利政策的变化。本文的研究表明:股利政策由股票股利逐渐演变为现金股利是制度演进的结果,在不成熟的资本市场条件下,由于投资者不具有现金股利对公司价值的较强信念,现金股利不能够成为传递价值信息的信号,当资本市场参与各方在发展过程中的行动,逐渐使得市场对于股利政策所体现出来的公司价值具有较强的信念时,现金股利就可以成为公司有效表达私人信息的工具。     

上市公司股利分配理性化引导

本文认为,我国上市公司股利不分配股利的公司居多,且分配股利的以股票股利为主,现金股利的支付水平极低。这种非理性化股利政策对我国上市公司、投资者和资本市场均造成了极为不利的影响。为此,迫切需要尽快将上市公司的股利分配引导到理性状态。     

The Information Content of Earnings Components: Evidence from the Chinese Stock Market

China's listed firms report substantial non-operating revenues and expenses. We argue that these non-core earnings should have different properties and different valuation implications than operating or core earnings. Furthermore, the different types of firm ownership may have differential impacts on the information content of earnings components. Based on data from 1996 to 2008, we find that core earnings are more persistent than non-core earnings. Because of this, core earnings have a greater association with contemporaneous stock returns. However, the stock market does not fully incorporate all the information in earnings; we find that core earnings are undervalued and non-core earnings are overvalued. This effect is much reduced for privately controlled listed firms. We develop an investment trading strategy to exploit these market inefficiencies.     

Liquidity provisions by individual investor trading prior to dividend announcements: Evidence from Taiwan

This paper investigates the role of liquidity provisions played by individual investors prior to dividend announcements in Taiwan. We first document a positive relationship between aggregate individual trading before dividend announcements and abnormal stock returns in the one month after the events. We find that this positive relationship varies with liquidity. We then decompose the abnormal returns following the event into information and liquidity provision components. The information component is not significant at all, but the liquidity component is positively significant, which shows that it is individual investors’ provisions of liquidity to institutional investors prior to dividend announcements that drives the positive relationship between pre-event individual trading and post-event returns.     

Stock price reactions to stock dividend announcements: A case from a sluggish economic period

The 2007 financial crisis and the Great Recession that followed resulted in a loss of confidence among investors, and regaining their full trust and confidence has been a challenge for companies. Although economic growth has been volatile throughout the postwar World War II period, recent growth (2008–2015) has been remarkably weaker than in the previous low-growth period (1974–1995). The 2006–2015 period is often characterized by sluggish economic growth. This study investigates stock price reactions to stock dividend announcements, 30 days before and after the announcement dates, of publicly traded companies in the period 2006–2012. We use an event study methodology for 460 events and daily stock price data for companies in the CRSP historical data set. The study shows a significant reaction in stock prices around the event date. On average, stock prices reacted positively to stock dividend announcements. However, compared to previous findings of abnormal returns (5.9%), results from this study show small abnormal returns (about 1.81%) attributable to stock dividend announcements that are cumulative of the announcement day and up to 3-day post-announcement days. Our estimates are even lower than the 2.01% stock price reaction obtained in the 1987–1996 period.     

公司治理与现金股利分配倾向——来自中国上市公司的经验证据

本文以2002～2008年沪深A股765家上市公司为样本,实证检验公司治理结构对现金股利分配倾向的影响.结果发现:股权集中、国有控股、董事会规模大、高管薪酬高和选择四大会计师事务所的上市公司倾向分配现金股利,流通股比例高和独立董事规模大的公司不倾向分配现金股利,董事会领导权结构的影响不显著.同时,公司治理好的公司发放现金股利的倾向大,而公司治理差的公司的倾向小.进一步发现,中国上市公司具备发放现金股利的能力,却"不想"派现.