| 我国上市公司股利政策信息效应的实证分析 |
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| 引用本文： | 宿淑玲.我国上市公司股利政策信息效应的实证分析[J].山东财政学院学报,2011(6):74-80. |
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| 作者姓名： | 宿淑玲 |
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| 作者单位： | [1]山东大学经济学院,山东济南250100;[2]山东财经大学金融学院,山东济南250014 |
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| 基金项目： | 2008山东省社科规划项目“我国上市公司股权结构与股利政策关系研究”，2009山东省软科学研究计划项目“基于最终所有权结构视角的上市公司股利政策研究” |
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| 摘 要： | 采用事件研究法，选择2009年和2010年年度股利分配预案公告作为信息事件，用股票交易的高频数据考察股利公告前后市场信息不对称的变化，Wileoxon秩和检验结果表明，我国当前的股利政策具有一定的信息内涵，派现公司和未派现公司、低派现公司与高派现公司，股利公告后对于信息不对称水平的影响存在显著不同；一元回归分析表明，股利支付率较高的公司，股利政策能够显著地降低股票交易中的信息不对称水平，改善公司股票交易的信息环境。
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| 关 键 词： | 股利政策 信息效应 市场微观结构 信息不对称 |
An Empirical Study on the Information Effect of Dividend Policy on Chinese Stock Markets |
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| SU Shu-ling.An Empirical Study on the Information Effect of Dividend Policy on Chinese Stock Markets[J].Journal of Shandong Finance Institute,2011(6):74-80. |
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| Authors: | SU Shu-ling |
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| Institution: | SU Shu-ling1,2(1.School of Economics,Shandong University,Jinan 250100,China; 2.School of Finance,Shandong University of Finance and Economics,Jinan 250014,China) |
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| Abstract: | Taking the annul dividend distribution announcements of the listed companies of 2009 and 2010 as the event and using high frequency trading data to investigate the changes of information asymmetry subsequent to corporate dividend announcements, the Wilcoxon Rank -sum Test indicates that the corporation dividend policy in our country is informative currently and there are quite different levels of information asymmetry among dividend - payers and non - dividend payers, corporations with high dividend and low dividend before and after the dividend announcement. The results of further Simple Linear Regression indicate that dividend announcement can markedly reduce the level of information asymmetry and improve the information environment for corporations to buy and sell stocks. |
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| Keywords: | dividend policy information effect market microstructure information asymmetry |
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