A Theory of Stock Price Responses to Alternative Corporate Cash Disbursement Methods: Stock Repurchases and Dividends

This paper develops a model in which managers can signal their firms' true values by using either a dividend or a stock repurchase or both. The authors explain a number of stylized facts about these cash-disbursement mechanisms, particularly those concerning the relative magnitudes of stock price responses to dividends and repurchases. Most importantly, they explain why a stock repurchase elicits a significantly higher price response, on average, than a dividend announcement.     

Stock Price Volatility,Ordinary Dividends,and Other Cash Flows to Shareholders

This paper shows that the results of variance-bound tests depend on how cash distributions to shareholders are measured. As in prior studies, we find apparent evidence of excess volatility when a narrow definition of cash flow (dividends only) is applied. However, we are unable to reject the hypothesis of market efficiency when the cash flow measure also includes share repurchases and takeover distributions in addition to ordinary cash dividends.     

Stock Price Adjustment to the Information in Dividend Changes

This paper examines abnormal stock returns in the three years surrounding relatively large changes in dividends announced during the 1971 to 1990 period. The main results are that statistically and economically significant negative post-announcement abnormal returns of 11% and 17% over the post-announcement year are found for firms which decrease dividends and those which omit their dividends. Firms resuming and firms increasing dividends do not exhibit significant abnormal returns, on average, over the post-announcement year. The pattern of lagged price adjustment to negative dividend change information differs from that reported for 'earnings surprise' firms in important respects. While the dividend change firms do exhibit returns behavior consistent with year-to-year returns momentum, differences in prior year returns do not explain the differences in returns over the post-announcement period.     

现金股利、控制权结构与股价崩溃风险

本文研究了上市公司在具有不同实际控股股东控制权结构下,现金股利与股价崩溃风险的关系。结果表明,过度支付现金股利会显著增加上市公司的股价崩溃风险;实际控制股东控制权与现金流权的分离程度会加剧现金股利与股价崩溃风险之间的正向关系。我们认为这一现象是现金股利中所蕴含的股东治理效应在资本市场上的体现。其现实意义在于,政策监管要着力于治“本”,通过提升公司治理水平以使股利分配真正立足于保护全体股东的利益。     

股票市场的最优限幅间隔与股票价格调整速度

本基于股票价格的偏调整模型，估计了中国股市的价格调整系数，给出了股票价格信息揭示能力的直接证据。章首先确定了中国股票市场价格调整过程中的限幅间隔为13天。对沪、深两市的6只交易指数的实证结果显示，两市均需9天时间方能对新信息冲击实现充分调整。价格调整系数的研究体现了一种基于微观结构的方法、行为金融的视角，把价格形成原理和价格对信息的不完全反应特征相结合进而考察股票市场效率的研究思路，可对事件研究法作有益补充。     

A Note on Green Taxes and Double Dividends

Two highly influential articlesin the literature on green taxes and double dividends are Bovenbergand de Mooij (1994) and Goulder (1995). Goulder's primary concernis whether or not green tax reforms may increase welfare definedexclusive of environmental quality, while Bovenberg and de Mooijprimarily focus on the employment effects of such reforms. Unfortunately,Goulder misinterprets Bovenberg and de Mooij's results in takingthe sign of the uncompensated wage elasticity of labour supplyas being the decisive factor for whether or not welfare exclusiveof environmental quality rises under a green tax reform. Thiserror is pointed out and corrected in this note.     

The Market Reaction to Discontinuing Regular Stock Dividends

This paper investigates the behavior of returns to share-holders of NYSE and AMEX firms that publicly announce the discontinuance of regular stock dividends. Using event-type methodology, the results show that the average abnormal return for NYSE and AMEX firms is negative but not statistically significant on the event date. Partitioning the sample by stock-related characteristics shows that for small firms with low stock prices and low institutional ownership, management's decision to drop regular stock dividends conveys a significantly negative signal, which, in turn, causes stock prices to decline. Firms that drop a stock payment and simultaneously initiate or increase cash dividends experience a significant increase in shareholder wealth. However, firms that drop the stock dividend policy and do not begin a cash dividend policy experience a sharp decline in shareholder wealth.     

Stock Dividends,Stock Splits,and Signaling

This paper provides evidence that firms signal their private information about future earnings by their choice of split factor. Split factors are increasing in earnings forecast errors, after controlling for differences in pre-split price and firm size. Furthermore, price changes at stock dividend and split announcements are significantly correlated with split factors, holding other factors constant, and with earnings forecast errors. These correlations suggest that management's choice of split factor signals private information about future earnings and that investors revise their beliefs about firm value accordingly. The analysis also suggests, however, that announcement returns are significantly correlated with split factors after controlling for earnings forecast errors. This suggests that earnings forecast errors measure management's private information about future earnings with error, that split factors signal other valuation-relevant attributes, or that a signaling explanation is incomplete.     

Limit Order Adjustment Mechanisms and Ex-Dividend Day Stock Price Behavior

Unlike the NYSE, the Toronto Stock Exchange (TSX) does not adjust prices in the outstanding limit orders on ex-dividend days. We find that TSX ex-day stock price behavior differs from that on the NYSE in several key aspects. In each case, the TSX ex-day behavior is consistent with the lack of a limit order adjustment mechanism. Our findings confirm that market microstructure is an important factor that contributes to the observed Canadian ex-day price behavior. Our findings also resolve the puzzle of the relatively small ex-day price drop in Canada.     

Stock Splits and Stock Dividends: Why,Who, and When

This study investigates empirically why firms split their stock or distribute stock dividends and why the market reacts favorably to these distributions. The findings suggest that stock splits are mainly aimed at restoring stock prices to a “normal range.” Some support can also be found for the oft-mentioned signalling motive of stock splits. Stock dividends are altogether different from stock splits, and they appear to be a decreasing phenomenon. The clue to stock dividend distributions may lie in their perceived substitution for relatively low cash dividends.     

股票送转与管理者双重迎合

近年来我国上市公司对股票送转的热情高涨,送转比例不断攀升,上市公司如何进行股票送转决策？本文从公司内部和外部两方面探索了管理者在股票送转决策中的参照系选择以及迎合路径,结果发现:(1)公司内部可参考因素中,名义股价是管理者送转决策的参照系,送转意愿和比例跟随名义股价同向变化,为的是迎合投资者的名义价格幻觉;(2)公司外部可参考因素中,同类公司送转比例是管理者送转决策的参照系,送转意愿和比例跟随同类公司送转比例同向变化,为的是迎合投资者的参考点效应;(3)管理者的送转意愿和比例均跟随内外部参照系同向变化,而且两个参照系之间存在一定的替代效应。本文结果表明,理性管理者为了最优化股票送转决策,存在对投资者名义价格幻觉和参考点效应这两种非理性偏好的双重迎合。本文拓展了迎合理论,为参考点理论提供了新证据,较为全面地揭示了上市公司股票送转决策的机制,具有一定的监管启示。     

关于推出股票红利再投资服务的构想

红利再投资是一种特别的权益分派方式,投资者可以选择以现金还是以证券的形式来持有红利.本文列述了在中国证券市场推出红利再投资服务的好处,并提出了实现红利再投资功能的具体思路,最后对发行新股的相关法规是否适用于股票红利再投资、转股价格如何确定等问题进行了探讨.     

Price Informativeness and Investment Sensitivity to Stock Price

The article shows that two measures of the amount of privateinformation in stock price—price nonsynchronicity andprobability of informed trading (PIN)—have a strong positiveeffect on the sensitivity of corporate investment to stock price.Moreover, the effect is robust to the inclusion of controlsfor managerial information and for other information-relatedvariables. The results suggest that firm managers learn fromthe private information in stock price about their own firms’fundamentals and incorporate this information in the corporateinvestment decisions. We relate our findings to an alternativeexplanation for the investment-to-price sensitivity, namelythat it is generated by capital constraints, and show that boththe learning channel and the alternative channel contributeto this sensitivity. (JEL G14, G31)     

The Differences Between Stock Splits and Stock Dividends: Evidence on the Retained Earnings Hypothesis

Abstract:  This paper investigates stock dividends and stock splits on the Copenhagen Stock Exchange (CSE), which is of interest because several of the more recent explanations for a stock market reaction can be ruled out. The main findings are that the announcement effect of stock dividends as well as stock splits is closely related to changes in a firm's payout policy, but that the relationship differs for the two types of events. A stock dividend implies an increase in nominal share capital and hence a decrease in retained earnings. Firms announcing stock dividends finance growth entirely by debt (explaining the need for an increase in nominal share capital) and retained earnings. Basically all firms announcing a stock dividend with a split factor of less than two can also afford to increase their total cash dividends permanently, at least proportionally to the increase in share capital, leading to a significant announcement effect of 4.23%. Firms announcing a stock dividend with a split factor of two or more also increase total cash dividends permanently, but less than proportionally to the increase in share capital. This leads to an insignificant announcement effect of 0.08%. These findings support a retained earnings/signaling hypothesis. For stock splits, no separate announcement effect was found when a firm's payout policy was controlled for. This lends support to the idea that a stock split per se is a cosmetic event on the CSE and is also consistent with the fact that making a stock split on the CSE is virtually cost free.