股票送转、除权日异常收益与分析师关注度

Stock Split,Ex-date Abnormal Returns and Analysts Attention

本文使用事件研究的方法,利用1999年到2009年的中国股市上市公司的股票送股、转增事件的相关数据,分析发现这些股票会由于除权日时间而获得正的异常收益,这一结果不随着不同的统计假设、送转事件是否伴随着现金红利以及按照送股与转增的比例、现金红利数量划分的子样本而改变。探究这种异常收益的来源,发现分析师关注度(下文以分析师关注度来代替)会正向显著的影响异常收益;每多一名分析师关注这支送转的股票会在除权日多带来0.2元的异常收益,并且这种关系是稳健的,进一步通过工具变量回归解决了分析师关注的内生性。

This paper discovers the existence of the ex - date abnormal returns of stock splits via event study and the da- ta from 1999 to 2009 in China stock market. The existence is robust to statistical assumptions and subsamples divided by split ratio and cash dividends amount. A further investigation is carried to explore the source of abnormal returns and I discover that the analysts attention significantly and positively affect the abnormal returns; an additional analyst coverage could bring about a 0. 2 yuan excess return in the ex - right day, and the association is robust to a wide arrange of checks. I further exploit instrumental variable estimation to solve the endegeneity of analyst attention.