股利政策信息结构与股价行为研究

Information Structure of Dividend Policy and Stock Price Behavior

通过构建股利政策信息结构和时空两维股利信息模型,研究中国上市公司不同股利政策的信息结构、信息环境及其对波动性、市场深度和流动性等股价行为的影响。研究发现现金股利政策公告前,没有发现显著的信息性交易行为;股票股利政策公告前后,市场信息结构没有发生显著的变化;不分配利润的企业在公告前,出现了显著的由信息引起的交易行为;公司发布股利政策不仅能够传递公司价值的信息,而且公司价值信息的传递还与市场所处的信息环境密切相关,不同的信息环境、信息结构影响了信息作用于市场变量的变化路径。

By establishing the information structure of dividend policy as well as the two dimensional dividend information model with time and space,the paper studies different information structures of dividend policy for listed companies in China,the information environment,and its impact on stock price behaviors such as volatility,market depth and liquidity.The research finds that there is not significant informational trading before the cash dividend announcement;there is no significant change occurred on the market information structure both before and after the stock dividend announcement;before announcement,there is significant trading happed due to information for the companies that distribute no earnings.The stock dividend announcements can deliver valuable company information,which is closely related to informational environment.Different information environments and information structures have great impact on the way that market variables,which are affected by information,change.