摘要
以2008—2012年沪深两市发布现金股利变化公告的A股上市公司为研究对象，采用事件研究法实证现金股利变化的公告效应及市场反应，同时检验中国股票市场股利信号传递假说的有效性。结果表明：现金股利变化公告的市场反应明显为负，支持股利信号传递假说；现金股利增减变化的公告效应并没有明显的差异性；采用OLS法对样本数据的横截面进行回归分析，证明股利支付率、市净率和公司规模是现金股利变化公告效应的显著性影响因素。
The paper adopts the sample of cash dividend changes from all listed A - share firms in China over the period 2008 to 2012 and applies an Event Study in order to investigate the announcement effect of cash dividend changes and to examine simultaneously if the dividend signaling hypothesis holds in China＇ s stock market. Empiri- cal results find that the announcement effect of cash dividend changes has a negative influence on share prices and stock market, and such results support the dividend signaling hypothesis. We also find that there is no significant difference between the cash dividend increase and decrease announcements effect. The cross - sectional analysis al- so indicates that Dividend Payout Ratio, Price -to -Book Ratio and the Firm Size have explanatory power on the announcement effect of cash dividend changes.
出处
《经济问题》
CSSCI
北大核心
2014年第1期53-57,共5页
On Economic Problems
关键词
现金股利变化
公告效应
超额收益率
事件研究法
信号传递
cash dividend changes
announcement effect
abnormal return
event study
signaling hypothesis
