我国公司红利政策与股市波动

本文从实证的角度分析了中国上市公司的年度红利公告对股价及交易量的影响。我们发现 ,不论是首次分红还是一般的年度分红 ,现金股利所引起的股价异常收益显著小于股票股利和混合股利 (即现金和红股 )。此外 ,现金股利作为首次分红支付方式不受市场欢迎 ,其异常收益显著为负值。为了保证实证结果的纯净性 ,本文还进行了干扰排斥性检验 ,排除了除息除权日的溢出效应、大宗交易所引起的股价偏差及红利公告期间风险要素增加的影响。此研究回答了我国证券市场建立以来公司红利政策与市场价格及交易额的相关关系问题。

The Firm's Dividend Policy and Stock Market Fluctuation in China

This paper examines the price and volume reactions to stock and cash dividend announcements in China's emerging equity market. The empirical results indicate that contrary to practice in mature markets, stock dividend has stronger impact than cash dividend. Furthermore, initiation, as an extremely visible change in dividend policy, causes no significant increase of stock price and trading volume compared with subsequent non\|initiation announcement, regardless of cash, stock share, or mixed dividend. These findings are robust as spillover of ex\|date effect and measurement bias are taken into consideration. Our basic explanation is that Chinese listed firms are seldom bound to sustained dividend policy and adjust the payout ratio randomly because of earning instability. Initiation, therefore, conveys little information about future performances of firms.