半强式有效:新冠疫情下美国股市对派息减少公告的市场反应

Semi-Strong Form Efficiency:Market Reaction to Decreased Dividend Announcements in US Stock Exchange during Coronavirus Disease(COVID-19)Pandemic

文章以110家美国上市公司为样本,研究了派息股减少对投资者的影响,旨在探讨突发新冠疫情对美国股市的影响。基于T-test,发现了以下结果,研究得出的超额收益率与零值没有显著差异。在事件窗口(-1,0)、(-1,1)和(-20,20)上的累积超额收益为正的非显著性,并且在事件窗口(-3,3)、(-5,5)和(-10,10)上,在股息减少公告的左右为负的非显著性。在事件期间,证券所呈现的收益与预期收益没有显著性差异。股票市场对股息减少的反应不显著,表明价格的信号因素和财富转移因素对股价的影响趋于抵消。此外,由于在事件窗口期间累积超额收益接近于零,确认美国股市是半强式有效。

This paper examines the impact of a reduction in dividend-paying shares on investors in a sample of 110 USlisted companies,with the aim of exploring the impact of a sudden new crown epidemic on the US stock market.Based on the T-test,the following results were found and the excess returns derived from the study were not significantly different from the zero value.Positive non-significant cumulative excess returns over the event windows(-1,0),(-1,1)and(-20,20)and negative non-significant around dividend reduction announcements over the event windows(-3,3),(-5,5)and(-10,10).The returns presented by the securities are not significantly different from the expected returns during the event period.The non-significant stock market response to the dividend reduction suggests that the signalling and wealth transfer factors of price tend to cancel out the impact on share prices.In addition,as cumulative excess returns during the event win⁃dow are close to zero,it is confirmed that the US stock market is semi-strongly efficient.