股票市场流动性影响上市公司现金股利政策吗——来自中国A股市场的经验证据

Does Stock Market Liquidity Shape Corporate Cash Dividend Policy? Evidence from China A-Share Markets

近年来,市场微观结构理论的发展为研究公司现金股利政策提供了新视角。本文通过研究"M M股利无关论"中关于完美市场的假设,将股票市场流动性纳入公司现金股利政策研究的分析框架,并基于中国A股市场2001—2014年2293家上市公司共计17934个公司年度观测值,系统地检验了股票市场流动性对上市公司现金股利政策的影响。研究发现,上市公司现金股利支付意愿随股票市场流动性的降低而显著增强,现金股利支付率亦随股票市场流动性的降低而显著提高。进一步分析还发现,在代理成本低和现金股利支付能力强的公司中,现金股利政策受股票市场流动性的影响更大。本文的研究结论对股票市场投资者、上市公司以及证券市场监管机构均具有重要启示。

The development of market microstructure literature in recent years provides a new perspective for us to investigate the corporate cash dividend policy. Miller and Modigliani(1961) state that firm dividend policy is irrelevant when investment decisions are given. But this proposition has a strong assumption that the stock market liquidity is perfect, which implies that no transaction costs are incurred when investors do their home–made cash dividend by selling part of their holding shares. However, in the real world, the stock market liquidity is far from being perfect and share trading is always costly, which indicates that cash dividend policy may no longer irrelevant. In addition, agency problems are pervasive throughout the world and the abilities to pay cash dividend are different in cross sectional as well as in time series. Therefore it is an interesting topic to empirically test whether firms are more likely to pay(more) cash dividend when investors have difficulty in doing 'home-made dividend' and to what extent this relationship is affected by agency cost and the ability of firm dividend payment. This paper challenges the dividend irrelevant proposition and re-examines the issue of firm cash dividend policy by taking the stock market liquidity into account. Using a sample of 2,293 public firms over the period of 2001-2014 for a total of 17,934 firm year observations, we provide the first comprehensive empirical study examining the effect of stock market liquidity on the dividend policy of listed firms in China. The empirical results indicate that firms with less liquid stocks are more likely to pay cash dividends and the payout ratios of these firms are higher too. Further analysis shows that the effects of liquidity on dividends are stronger for firms with lower agency costs and higher ability to pay dividends. These findings have important implications for investors, firm managers and regulators.