中国金融类上市公司股利政策公告效应研究

Announcement Effects of Dividend Policy—Evidence from Chinese Financial Listed Companies

本文使用我国25家金融类上市公司2007-2014年间的日交易数据,在事件研究法分析框架下,运用可行广义最小二乘估计法(FGLS)估计含有事前、事后虚拟变量的面板数据模型,研究我国金融类上市公司股利政策的公告效应。研究结果表明我国金融类上市公司的股利政策具有显著的事后公告效应,事前公告效应则不显著,超额交易量的公告效应强于超额收益率。超额收益率的公告效应在金融危机后有所增强,超额交易量的公告效应在金融危机后有所减弱。

This paper estimates the announcement effect of Chinese financial listed companies’ dividend policy with 25 financial listed companies’ daily data during 2007-2014. In the event study analysis framework, we build an unbalanced panel data model with pre-announcement and post-announcement dummy variables and estimate the model using feasible generalized least squares estimation method. Conclusions are as follows： Chinese financial listed company’s dividend policy has significantly post-announcement effect, while the preannouncement effect is not significant and abnormal trading volume’ announcement effect is stronger than the abnormal return rate’. The abnormal returns’ announcement effect in the wake of the financial crisis has been enhanced, the abnormal trading volume’ announcement effect in the wake of the financial crisis has weakened.