除息日股票价格波动——基于国际市场的对比实证分析

本文探讨了四个不同地域(美国、英国、日本和中国)的资本市场在金融危机时期,其代表性的蓝筹股在除息日的价格波动行为。实证结果发现:在除息日,对于纽约和上海交易所,股票价格的下跌量等同于红利数额并且没有证据表明超额收益和短期交易的存在;对于东京交易所,股价下跌少于股息量,恰恰相反,伦敦交易所的股票下跌量超过股息额,这表明上述两个交易所的股票在除息日前后存在着异常收益和短期套利交易行为。     

The Ex-Dividend Day Stock Price Behavior: The Case of Portugal

This paper examines the ex-dividend day behavior of stock prices in the Lisbon Stock Market over the period 1990–1998, extending on international evidence and discussing the adequacy of competing theories, considering the Portuguese institutional environment. We find that on the ex-day stock prices fall by less than the dividend, which is in line with the findings of several studies based on US and non-US data. The main contributions of this paper are: (1) the rejection of a tax explanation for the stock price drop, because it is inconsistent with the Portuguese tax regime; (2) considering the very small stock price tick and the fact that dividends are always integer multiples of tick size, the discreteness hypothesis of Bali and Hite (Journal of Financial Economics 47(2):127–159, 1998) is also ruled out as a possible explanation for ex-day price movements. We find no evidence of tax related clientele effects. We propose that ex-day price behavior may be an anomaly, reflecting a less than efficient market with low liquidity levels, price stickiness, and insipid arbitrage trading.

差异化红利税真的能抑制投机吗

差异化征收红利税是我国资本市场制度建设的新尝试。为了研究差异化红利税的政策效果,本文选取2005年6月14日-2014年8月13日期间A股市场发生的7927次纯现金分红作为样本,采用事件研究法和回归分析,发现：（1）政策实施后,除息日异常收益率显著增大,投资者对现金分红的偏好减弱,实际红利税负加重;（2）除息日前后的异常交易量显著增大;（3）股价波动率显著增大。差异化红利税政策没有起到抑制投机的作用。     

New Belgian Stock Market Returns: 1832–1914

The limited availability of high quality and computer readable data seriously impedes research in history and finance. We introduce a new monthly return series for Belgian owned equity based on Brussels Stock Market data for the period 1832–1914 as an improvement to the popular Drappier index. Over this period, our dataset includes 446,374 prices, 23,976 dividends, 371 stock and reverse splits (or other capital operations) on 2037 stocks of 1387 (foreign and Belgian) companies. Our dataset includes all shares and bonds but also high-quality information on prices, dividends, shares outstanding and market capitalization. In addition, company, country and sector information is available. We construct value weighted, price weighted and equally weighted indices as well as dividend yields. We find three important results. First, total nominal returns hover between 3.29% and 5.35% per annum, depending on how individual stocks are aggregated into the index. Second, dividend income constitutes the major part of total return and dividend distributions have a clear seasonal pattern. Third, the results highlight several drawbacks of the Drappier indices, especially an upward bias in expected equity performance.     

The impacts of dual carbon goals on asset prices in China

In this paper, we study the impacts of dual carbon goals on asset prices in China. Using the speech of President Jinping Xi on 22 September 2020 as an event in which the dual carbon goals are formally announced, we find that stocks with green concept have superior performance in the post-event window relative to non-green stocks. In particular, a portfolio that longs green stocks and shorts non-green stocks can generate an average monthly return above 3%. The official announcement of dual carbon goals not only attracts attention of investors, resulting in higher institutional ownership and trading volume for green stocks, but also improves fundamentals for green stocks in the post-event window.     

Pricing and Mispricing of Accounting Fundamentals in the Time‐Series and in the Cross Section

This study examines the extent to which parsimonious and general cross‐sectional valuation models, restricted to include only publicly available historical accounting information, explain share prices in the cross section, identify periods when market mispricing may be more pervasive, and also identify which shares within those cross sections are more likely to be mispriced. Our model simply includes historical book value, earnings, dividends, and growth, but it explains on average over 60 percent of the cross‐sectional variation in share prices in annual estimations across 1975–2011. We also examine the extent to which the residuals indicate mispricing. The quintile of stocks picked by our model as most likely underpriced outperform the quintile of stocks picked as most likely overpriced by an average of 9.9 percent over the following 12 months, after controlling for size. We also predict and find that value residuals are better predictors of future abnormal returns: (i) among firms that are not covered by analysts; (ii) among firms that face fewer accounting measurement challenges; and (iii) when we estimate value model parameters by industry/year. We also predict and find our approach works better in periods when the mapping of fundamentals into prices is weaker. This study contributes a novel and straightforward approach to map accounting fundamentals into share prices in order to identify mispricing in time‐series and in the cross section.     

Information Use and Transference among Legally Separated Share Markets—An Experimental Approach

Several countries have adopted legally separated share markets (LSSM), where local firms market separate claims to the same dividend flow to domestic and foreign investors who cannot arbitrage across LSSM. We designed a laboratory experiment to test whether the inside information in one LSSM is reflected in the prices of both markets. We find that insider information does transfer across markets. The extent of this transfer depends upon whether the location of insiders is publicly known, how close prices in the informed market get to the full information equilibrium, and how much the price variance is in this market. We also observe insiders' behavior and performance under different market conditions. Efforts by insiders to manipulate the market increase when their location is unknown to the public. On average such efforts pay off to the whole group of insiders but not to the initiator of these manipulative transactions.     

Safeguards, China, and the Price of Steel

The economic health of the US steel industry has fluctuated enormously over the last ten years. The implementation of steel safeguard tariffs in 2002 brought intense scrutiny by academics and industry observers, but little empirical work has focused on the factors that led to the industry’s dramatic reversal of fortune in the period that followed. We use a panel data set of product-level monthly price observations between 1997 and March 2005 to test the importance of the safeguards compared to other possible determinants. We find little evidence that the safeguards affected steel prices in the United States. Instead, results indicate that declining production capacity, improved macroeconomic conditions, and a falling dollar helped return prices to healthier levels. Finally, China’s demand for imported steel, which has not been included in previous empirical studies on the US steel industry, also appears to impact prices, but only after a lag of more than six months. JEL no. F13     

Stock Return Anomalies from Ending-Digit Effects Around the World

Ending-digit effects describe the presence of abnormal returns when the ending digits of stock prices are one penny below or above the zero-ending round number. Using data from 68 countries, I find abnormal positive returns when stock prices surpass the zero-ending threshold (i.e. when the ending digit is 1) but abnormal negative returns when prices drop below the same threshold (i.e. when the ending digit is 9). My findings survive alternative robustness checks. This ending-digit effect is more prominent in countries with more active innovation and better governance.     

The character and denomination of shares in the Victorian equity market1

The seminal work of J. B. Jefferys highlighted two unusual features of the Victorian equity market, namely high share denomination and uncalled capital. This article examines the extent to which publicly traded company stocks in the nineteenth century had these features. It also analyses the effect of these features on stock returns using monthly data for the London Stock Market over the period 1825–70. We find that stocks with unpaid capital earned a higher return, which is consistent with investors being rewarded for the risk of a call on their personal assets. We also find that stocks with a high share denomination earned a lower return, which is consistent with the view that this feature was conducive to superior corporate governance.     

Price and Volume Reactions to Public Information Releases: An Experimental Approach Incorporating Traders' Subjective Beliefs*

This paper examines how market prices, volume, and traders' dividend expectations respond to public information releases in laboratory markets for a long-lived financial asset. The objective is to study deviations from the symmetric information risk-neutral rational expectations (RE) benchmark, which predicts no trade in such settings. The results of a series of double-auction and call markets are reported in which traders manage a portfolio of cash and asset shares over 15 rounds of trading. A public signal regarding the value of the liquidating dividend is released every third round, and traders' subjective expectations of the liquidating dividend are elicited each round as cash-motivated forecasts. We find that, despite the public dividend signal, traders' dividend forecasts are heterogeneous. Forecasts and prices both underreact to the public signals, with prices under-reacting more than forecasts. In general, price changes are not closely associated with public signals, and there is greater excess price volatility in double auctions than in call markets. Forty-three percent of trades are inconsistent with the trader's forecasts, and inconsistent trades occur more frequently in the double-auction markets. On average, approximately 10 percent of the outstanding shares are traded in each round, and trading volume is increasing in the mean absolute forecast revision and decreasing in the contemporaneous dispersion in forecasts. These results suggest that differential processing of the public signal and/or speculative trading for short-term gain may help to explain why symmetric information RE predictions are often not supported in empirical and experimental settings. They also suggest that market reactions to public information releases may be influenced by market microstructure.     

基于信息不确定性的分割市场盈余公告后漂移研究

文章采用事件研究和面板数据研究了中国A股、H股分割市场上盈余信息不确定性对盈余公告后漂移的影响。研究表明,境内外财务报告的主要数据不存在显著差异,也就是说,中国会计准则与国际会计准则执行的结果是基本一致的;而A股、H股市场的非财务因素差距较大。研究发现,在分割市场的盈余公告后漂移中,信息不确定性起到了十分重要的作用,无论两个市场上参与人的类型如何,信息不确定性都能加剧投资者认知偏差并有效地影响PEAD。     

Auditor Reputation,Auditor Independence,and the Stock‐Market Impact of Andersen's Indictment on Its Client Firms*

In this paper, we study a broad sample of Arthur Andersen clients and investigate whether the decline in Andersen's reputation, due to its criminal indictment on March 14, 2002, adversely affected the stock market's perception of its audit quality. Because these reputa‐tional concerns are more of an issue if an auditor's independence is impaired, we investigate the relationship between the abnormal market returns for Andersen clients around the time of the indictment announcement and several fee‐based measures of auditor independence. Our results suggest that when news about Andersen's indictment was released, the market reacted negatively to Andersen clients. More importantly, we find that the indictment period abnormal return is significantly more negative when the market perceived the auditor's independence to be threatened. We also examine the abnormal returns when firms announced the dismissal of Andersen as an auditor. Consistent with the audit quality explanation, we document that when firms quickly dismissed Andersen, the announcement returns are significantly higher when firms switched to a Big 4 auditor than when they either switched to non‐Big 4 auditors or did not announce the identity of the replacement auditor. Our empirical results support the notion that auditor reputation and independence have a material impact on perceived audit quality and the credibility of audited financial statements, and that the market prices this.     

The Impact of Housing Prices on Health in the United States Before,During, and After the Great Recession

We estimate the effects of U.S. Metropolitan Statistical Area housing prices on a variety of health outcomes and health-related behaviors separately for homeowners and tenants. The constructed data set consists of information on individuals from the 2002–2012 Behavioral Risk Factor Surveillance System combined with homeownership data from the March Current Population Survey and housing prices from Freddie Mac. We estimate positive effects on homeowners' mental health when housing prices increase. We also find negative effects on tenants' health and health-related behaviors with increases in housing prices. These estimated contemporaneous effects are concentrated among low-income homeowners and tenants, and the effects for tenants are not persistent in the long run. However, the cumulative effects of an increase in housing prices on obesity become more pronounced for homeowners in the long run, resulting in worse self-reported health.     

Do Shareholders Fight for Firm Value or Market Value in Emerging Markets? The Mediating Effect of Board Structure Dynamics on Dividend Policy Decision

The paper examines the mediating effect of board structure dynamics on the relationship between dividend payout and shareholders’ wealth at the firm level and market level. Panel regression models are used by applying data from 27 listed firms in Ghana between 2010 and 2017. We find that board structure dynamics have a direct effect on shareholders’ wealth at both levels. However, the results reveal new evidence that board structure dynamics play a mediating role on the relationship between dividend policy decision and shareholders’ wealth only at the market level. We find that independent directors and CEO duality significantly reduce market value of shareholders through dividend payout decision. However, independent directors and longer CEO tenure in office mediate a positive effect on the relationship between dividend policy and shareholders’ wealth at the market level. Thus, the mediating effect of board structure dynamics, particularly independent directors and CEO tenure, are important in predicting a positive relationship between dividend policy and shareholders’ wealth at the market level than at the firm level. Therefore, regulatory bodies and investors should provide strong board structure dynamics that serve as a mediating mechanism for prudent dividend policy decisions that add value to shareholders’ wealth.     

长三角地区上市公司股利政策影响因素研究

股利政策是指上市公司税后利润向股东支付股利和企业内部留存收益之间的分配选择。对长三角地区374家上市公司2007～2009年3年的财务数据回归分析发现:当年的EPS、市价、净资产收益率、应收账款周转率、流动比率与现金股利呈正相关,上年股利支付率、资产负债率与现金股利呈负相关;市价、每股净资产与股票股利呈正相关,应收账款周转率与股票股利呈负相关。     

中国市场可转债宣告效应的实证研究

文章以我国目前在深沪两市交易的28只可转债为样本,用市场调整后的累积超额回报率来衡量发行可转债的宣告效应.通过对公告期内拟转换股票累积超额回报率的统计分析发现,公告期两天累积超额回报率CAR(-1,0)的平均值小于零,也就是说宣告发行可转债对市场有一定的负面影响,但比增发股票的负面影响要小.为研究累积超额回报率的影响因素和影响机制,以(-1,0)时间窗口内的累积超额回报率为因变量,以发行规模、发行期限、公司规模、公司成长性、公司财务杠杆为自变量建立起回归模型进行了实证研究,得出了几个较有意义的结论.     

Dividend Stickiness,Debt Covenants,and Earnings Management

Consistent with the notion that dividends are very sticky, Daniel, Denis, and Naveen ( 2008 ) report evidence that firms manage earnings upward when pre‐managed earnings are expected to fall short of dividend payments. However, we find that this evidence is not robust when controlling for firms' tendency to manage earnings upward to avoid reporting earnings declines; only firms with high leverage exhibit a statistically weak tendency to manage earnings to close deficits of pre‐managed earnings relative to dividends. We further report that the decision to cut dividends depends on whether reported earnings fall short of past dividends, but not on earnings management that eliminates a shortfall in pre‐managed earnings relative to dividend payments. Overall, our evidence suggests that firms that face dividend constraints are more likely to cut dividends than to manage earnings to avoid dividend cuts.     

Market microstructure and price discovery on the Tokyo Stock Exchange

This paper compares the price discovery processes at the opening and closing transactions for the fifty largest stocks trading on the Tokyo Stock Exchange. Open-to-open returns are found to have a greater volatility and a more negative autocorrelation pattern than close-to-close returns, similar to the pattern we found on the New York Stock Exchange. The results are consistent with pricing over-reaction at the opening and partial price-adjustment at the close. These patterns persist over time and prevail when estimated for returns conditional on the contemporaneous market effect. Our analysis of daytime and overnight returns suggest that pricing errors at the opening are corrected over the trading day. We present a new measure of volatility — the relative dispersion of stock returns around the market return — and find that it is greater at the opening, consistent with a more noisy price discovery process.     

The role of the media in a bubble

We examine the role of the news media during the British Railway Mania, arguably one of the largest financial bubbles in history. Our analysis suggests that the press responded to changes in the stock market, and its reporting of recent events may have influenced asset prices. However, we find no evidence that the sentiment of the media, or the attention which it gave to particular stocks, had any influence on exacerbating or ending the Mania. The main contribution of the media was to provide factual information which investors could use to inform their decisions.