“一劳永逸”还是“饮鸩止渴”——基于上市公司高送转的研究

“Once for All” or “Quench a Thirst with Poison” ? An Empirical Study on High Stock Dividends Issued by Chinese Listed Firms

与国外公司注重现金分红不同,基于数字游戏的高送转乱象长期充斥着中国资本市场。由于高送转往往伴随着股价大幅上涨,而股价的暴涨、暴跌严重影响资本市场健康有序地发展,特别是暴跌带来的股价崩盘风险更是给投资者财富带来巨大冲击和破坏。因此,从股价崩盘风险角度探究高送转乱象可能对资本市场运作效率产生的影响具有重要意义。基于行为金融理论框架下的迎合理论,研究上市公司高送转行为与未来股价崩盘风险之间的关系,并探讨分析师关注起到的作用。在此基础上,进一步分析公司基本面、外部市场态势和投资者注意力等因素对上述关系的影响。以2006年至2015年沪深股市A股上市公司为研究对象,运用Stata软件以及独立样本t检验和双向固定效应模型进行实证检验,并采用倾向得分匹配法和Heckman两阶段法缓解潜在的内生性问题。研究结果表明,高送转不仅没有降低公司的股价崩盘风险,反而显著增加了股价在未来发生暴跌的可能。基于行为金融学分析框架,认为产生这一现象背后的机理是管理层迎合投资者非理性偏好行为的存在。在此基础上,分析师关注能够显著缓解这一关系。当公司的估值风险高、送转能力差以及市场处于牛市、投资者注意力较高时,高送转对未来股价崩盘的诱发效应更为明显,说明较差的公司基本面和较热的市场环境对高送转的未来崩盘效应起到推波助澜的作用。对比研究发现,普通送转并没有诱发公司未来股价崩盘的可能,这也从侧面印证了高送转带来的未来股价崩盘效应。研究结果表明高送转行情虽然可以短暂刺激股价上涨,但它绝不是拉升股价的良药,上市公司采用高送转提升股价并非"一劳永逸",而是"饮鸩止渴"。研究结果对于全面认识高送转在资本市场的作用以及为监管机构加强对高送转的监管提供了理论依据和经验证据,对投资者和监管机构而言均具有重要的实践意义。

While overseas finns prefer issuing cash dividends, China＇s stock market is characterized by high stock dividends （ HSD, hereafter）, which is known as the game of numbers and is always accompanied by a dramatic rise in share price. As we know, a sudden booming or collapsing of stock price will retard the healthy development of capital market, and the crash risk associated with collapsing of stock price will bring huge damage to investors＇ wealth. Therefore, it has significant implications to in- vestigate the potential effects Of HSD on future stock price crash risk, which will also further our understanding about operating efficiency of capital market. Based on the catering theory under the framework of behavioral finance theory, our paper aims to investigate whether and how corporate issuance of high stock dividends influence future stock price crash risk, and whether analysts following plays a moderating role. Furthermore, we explore whether firm fundamentals, external market environment, and investor attention have effects on the association examined above. We use A-share listed firms from year 2006 to 2015 as our research samples. STATA software, independent-sample T test and two-way fixed effect models are employed. Besides, we use Propensity Score Matching （PSM） methodology and Heckman two-stage estimation to mitigate the potential endogeneity issue. We find that HSD increases the future stock crash risk instead of suppressing it. The underlying explanation is the management catering behavior for the investors＇ irrational preference for low stock price under the analytical framework of behavioral finance. Moreover, we find that analysts following can mitigate the association between the HSD and crash risk. Additional tests show the effects are more pronounced for firms with bad firm fundamentals（ high P/E ratio, and low capacity ability）, for firms in bull stock market, and for firms with high investor attention. This suggests that bad firm fundamentals and feverish market speed up the crash effects of HSD. By comparison, we find that normal stock dividends（for every 10 shares of stock owned, less than 5 extra shares are issued） will not increase future crash risk of stock price. Even though stock price goes up subsequent to high stock dividends, our findings suggest that HSD is not an ideal way for listed firms to pull up stock price without any consequence. In other words, issuing high stock dividends is ＂to quench a thirst with poison＂ other than to solve any problem ＂once for all＂. Our paper provides theoretical and empirical evidence for the effects of HSD on capital market and the supervision of regulatory agencies on governing corporate issuance of high stock dividends, has practical implications for both investors and regulators.