股利政策稳定性对股票长期收益影响的实证研究

本文以1997—2007年中国A股市场上分红次数多于5次的股票为样本,以分红波动分组,采用日历时间回归方法研究了股利政策稳定性对股票长期收益的影响。为了更好地比较股利政策的影响,修正了Fama-French三因子模型。通过实证研究发现:分红股票相对于不分红股票存在超额收益,高股利股票较低股利股票有较高的超额收益。据此提出如下建议:监管机构应出台更为有效的政策来引导和管理上市公司进行股利分配,使股利支付趋于稳定,从而引导投资者理性投资。

Empirical Study on Influence of Stability of Dividend Policy on Long-term Returns on Stock

This paper selects the stocks which carried dividend into executionmore than 5 times during 1997-2007 in China's A-share stock market as the research samples,and constructs five portfolios according to the volatility of dividend.Then,it uses the calendar time regression method to investigate the influence of the stability on long-term returns on stock.In order to compare the impacts of dividend policies better,it proposes the amendments to Fama-French three-factor model.The empirical results show that,compa...