股票送转、异常收益和管理层持股比例

Stock dividend,Abnormal Return and Managers' Share Ratio

中国股市的股票送股、转增(以下简称"送转")往往能够带来异常收益,本文使用事件研究的方法和1999年到2010年的股票送转相关的数据,在同、异方差的假设、按照送转比例和现金红利比例划分不同子样本以及考虑到信息提前泄露而重新定义事件日的情况下,一致的发现了异常收益①的存在,而现金红利会减少送转事件带来的异常收益。本文进一步探究这种异常收益的来源,发现管理层的持股比例会正向显著地影响异常收益,并且这种影响在一系列稳健性检验下依然存在。本文还使用了工具变量,因此克服了可能存在的管理层持股比例的内生性问题。

The split announcements of stocks in China often bring abnormal returns, and this paper finds the existence of abnor- mal returns via event study and the data from 1999 to 2010. The existence is robustness to different statistical assumptions, sub- samples divided by split ratio and cash dividends as well as redefining the event day concerning the potential leakage of information. A further investigation is carried to explore the source of abnormal returns and I discover that the managers＇ share holding ratio significantly and positively affect the abnormal returns, and the association is robust to different checks, and I employ instrument variable estimation to resolve the potential endogeneity of managers＇ share holding ratio.