现金分红对股票收益率波动和基本面信息相关性的影响

The Effect of Cash Dividend on the Relevance of Stock Return Volatility to Fundamental Values

本文以1996～2008年间我国沪深两市A股上市公司为样本,对股票收益率的波动与公司基本面信息的相关性进行研究。研究表明,我国上市公司股票收益率的波动与经营业绩间的相关性不强,存在收益率波动与基本面信息脱节的现象。进一步区分不同股利政策的公司,发现现金分红能够显著降低股票收益率的波动,同时稳定的现金股利政策也能够提高公司股票收益率波动与基本面信息的相关性,即连续的现金股利能够提高股票市场的效率。

This article conducts an analysis of the relevance of the stock return volatility to the company＇s fundamental values, with a sample of the stocks listed in Shanghai and Shenzhen Stock Exchange during 1996-2008. The results show that the correlation of the stock return volatilities with business performance is not strong in the stock market of China. It reflects that China＇s stock market is still not mature and rational, and the move of the stock prices deviates from their fundamental values. Distribution of cash dividends can significantly reduce the stock return volatilities, and stable cash dividend policy can also improve the relevance of the stock return volatility to the fundamental variables.