账面市值比效应真的是异象吗?——基于股利支付角度的分析

Is the BM Effect Really An Anomaly?——An Analysis from the Perspective of Dividend Payout

本文以1996～2015年在沪深两市交易的A股公司为样本,分析原始股利、股利发放、增发股利三种情况对股票异常报酬率的影响;检验上市公司类型纳入账面市值比与股利支付的交互作用。结果显示,账面市值比效应并非＂金融异象＂,在企业发放股利的前提下,账面市值比效应存在且符合原有定价模型,净资产收益率与股票异常报酬率负相关。

In this paper, the A-share companies in Shanghai and Shenzhen Stock Exchanges during 1996-2015 are used as samples for the analysis of the impacts of original dividend, dividend payments, additional dividend payments on the rate of abnormal return, and the testing on the interaction between including listed companies type in the BM and divi- dend payments. The results of the paper show that the BM effect is not a financial anomaly; if the companies pay divi- dends, the BM effect exits and it is in line with the original pricing model; the ROA is negatively related to the rate of abnormal return.