股票市场只是实体经济主旋律的一个插曲吗?——基于现金股利决策的市场学习效应研究

Is the Stock Market a Sideshow of Real Economy?——A Study Based on Market Learning Effect in Cash Dividend Policy

本文探讨管理者是否在现金股利决策中倾听市场声音,进行市场学习。OLS和多项式模型结果均说明管理者依据股票超额收益率调整现金股利;且股价信息含量越高,管理者越有可能在决策中参考股价信息。控制管理者自有信息和分析师信息,并考虑误定价影响后,市场学习假说仍有解释力度。市场学习效应在管理层过度自信程度较低、管理层持股比例较高的企业以及市场化水平较低的地区更为明显。进一步研究表明,市场学习行为能改善企业绩效。

This paper studies whether managers listen to the market when making decisions on cash dividend.Results from OLS model and Multi-logit model show that managers rely on the private information incorporated in the stock price to adjust cash dividend,and this effect increases with the price informativeness.The findings above are robust to alternative measure of stock price informativeness.Besides,the conclusion holds when managers’own information and analysts’information is controlled.Moreover,after considering the mispricing effect,the learning hypothesis still has incremental explaining power.The learning from market effect is more significant in companies with lower managerial overconfidence,companies with higher management stock-holdings and areas with lower marketization.Further research shows that the leaning effect will improve the performance.