多视角下的高送转股利公告效应——基于混合模型的事件研究法

The Research on High Stock Dividend Announcement Effect from Multiple Points of View——Event Study Based on Hybrid Model

高送转行情一直是股票市场投资的热点题材。本文首次尝试在板块、行业、市值三大视角下,分别检验高送转股利公告,是否带来股票异常报酬率,提出基于线性和非线性混合模型的事件研究法来测算股票价格异常报酬率。研究发现,创业板高送转上市公司与主板及中小板相比,拥有更高的异常报酬率;非金属矿物和软件信息技术服务业的高送转上市公司,相较于其它行业异常报酬率更为突出;市值较大上市公司的高送转行情优于小盘股。本文能够对于上市公司进行市值管理以及投资者制定投资策略提供相关的参考依据。

The announcement of high stock dividends is often regarded as a good news in China＇s securities market. This article checked the announcement and studied whether the stock market existed abnormal return rate using hybrid model of event study method from three perspectives-board, industry and market value. This paper proposed an event study method under a mixed model, to calculate the normal rate of return. We found that the Second-board market had higher abnormal return;non-metallic minerals and software information technology services industry had higher abnormal return rate than others. What＇s more, it was concluded that the abnormal return rate of large scale share is better than small scale share. The paper is provides a better choice and suggestion to the value management for listed companies and investors to invest.