中国上市公司股利政策变化的原因分析:时间序列的视角

Causal Analysis on Dividend Policy Changes of Chinese Listed Companies: A Time Series Perspective

以1993～2012年沪深两市的上市公司为样本，从时间序列的视角系统分析中国上市公司股利政策变化的原因。研究发现，和美国20世纪后半叶的情形相反，中国上市公司的股利支付倾向呈现出不断增强的趋势，但在各年度间的波动较大；股票流动性理论、风险理论、生命周期理论和迎合理论对这种股利支付倾向的变化均有一定的解释力，其中生命周期理论的解释力最强，风险理论次之，股票流动性理论再次之，且前一期的股利支付溢价能够在一定程度上解释股利支付倾向的变化；使用Fama—MacBeth方法的回归结果表明，股利支付虚拟变量与异质性风险变量显著负相关，与系统性风险变量、保留盈余占比变量显著正相关，与股票流动性变量的相关性不显著。通过研究有利于加深对中国上市公司股利政策及其变化趋势的理解。

By using a sample of listed companies from Shanghai and Shenzhen Stock Market from 1993 to 2012, the paper explores the determinants of the dividend policy and its changing characteristics in China. Firstly, the changing characteristics of the propensity to pay dividend in China are different from that in the USA. The propensity to pay dividend is increasing but its differences between different years are very large. Secondly, the theories of stock market liquidity, risk,life -cycle, and catering can account for the changing characteristics of the propensity to pay dividend. The theory of life-cycle has the strongest explanatory power, the theory of risk takes the second place, the theory of stock market liquidity takes the third place, and the prior dividend premium can account for the changing charac- teristics partly. Finally, by using the Fama and MacBeth （ 1973 ） regression method, the paper finds that the coefficient of idiosyncratic risk variable is significantly negative, the coefficient of systematic risk variable and retained earnings variable are significantly positive, and the coefficient of stock liquidity variable is insignificant in explaining the dividend payment dummy variable. The paper will help us to have a deeper understanding about the dividend policy in china＇ s listed companies.