【摘要】：股利政策是將上市公司提取公積金后的凈利潤在股利支付和內(nèi)部留存之間進(jìn)行分配的財(cái)務(wù)決策。作為三大財(cái)務(wù)決策之一,股利政策不僅僅是公司籌資、投資活動(dòng)的延續(xù),影響上市公司的未來發(fā)展,同時(shí)作為公司經(jīng)營狀況及發(fā)展戰(zhàn)略的反映和折射,還會(huì)產(chǎn)生一定的市場(chǎng)效應(yīng),具體表現(xiàn)在股票價(jià)格的波動(dòng)。股利是投資者投資股票的主要收益,股利政策是否合理與投資者利益息息相關(guān),更是與我國資本市場(chǎng)的發(fā)展和完善密切關(guān)聯(lián)。自上世紀(jì)五十年代以來,國內(nèi)外學(xué)者對(duì)股利政策進(jìn)行了大量理論和實(shí)證研究,主要集中在股利政策對(duì)股票價(jià)格是否產(chǎn)生影響的爭(zhēng)論上,但均未取得一致觀點(diǎn),“股利之謎”懸而未決。 我國股票市場(chǎng)成立二十多年來不斷發(fā)展壯大,走完了發(fā)達(dá)國家百年歷程,至今已成為全球第二大股市。但與西方成熟的證券市場(chǎng)相比,仍存在許多亟待解決的問題,表現(xiàn)出明顯的中國特色。近年來,國內(nèi)上市公司股利分配現(xiàn)狀仍表現(xiàn)出股利政策復(fù)雜多樣、多種股利分配形式并存的特點(diǎn),但現(xiàn)金股利逐漸成為最主要支付形式。股利支付率低,股利政策太過隨意,缺乏穩(wěn)定性,不分配的上市公司比例仍占較大比重。與成熟市場(chǎng)相比,國內(nèi)上市公司實(shí)行的股利政策不僅表現(xiàn)為內(nèi)容的不同,不同股利政策的市場(chǎng)效應(yīng)也表現(xiàn)出明顯的差異。多數(shù)學(xué)者的研究都認(rèn)為股利政策會(huì)對(duì)股價(jià)產(chǎn)生影響,但受證券市場(chǎng)環(huán)境及樣本選取方法的影響,不同時(shí)期的學(xué)者得到了不同的研究結(jié)論,因此有必要對(duì)新時(shí)期市場(chǎng)環(huán)境下股利政策的市場(chǎng)效應(yīng)做進(jìn)一步研究。 本文以公布2011年度股利分配預(yù)案的滬深兩市A股主板上市公司為樣本,采用事件研究法研究股利政策對(duì)股票價(jià)格的影響。股利政策的不同主要體現(xiàn)在股利支付方式和股利支付水平的不同,本文分別按股利支付方式和股利支付率對(duì)樣本進(jìn)行分組,以預(yù)案公告日為事件日,以公告日前后15日為事件窗口并進(jìn)一步細(xì)分為小窗口,通過統(tǒng)計(jì)不同樣本組在事件窗口期發(fā)生的累計(jì)超額收益分析不同分配方式及不同支付水平對(duì)股票價(jià)格的影響。實(shí)證結(jié)果表明,不同股利政策在股利公告日引起了不同方向的過度的市場(chǎng)反應(yīng),并在隨后的短時(shí)間內(nèi)回歸理性。股票股利和混合股利均對(duì)股利公告表現(xiàn)出明顯的正反應(yīng),而現(xiàn)金股利和不分配方案均表現(xiàn)出明顯的負(fù)反應(yīng)；對(duì)不同支付率的現(xiàn)金股利的研究發(fā)現(xiàn),隨著股利支付率的提高,投資者對(duì)現(xiàn)金股利的態(tài)度也逐漸改善,由負(fù)反應(yīng)變?yōu)檎磻?yīng)。最后,本文根據(jù)股利分配現(xiàn)狀的研究和實(shí)證研究結(jié)果,分別從監(jiān)管者、上市公司和投資者三個(gè)方面提出了相應(yīng)的政策建議,以期對(duì)我國證券市場(chǎng)的發(fā)展有所裨益。
[Abstract]:Dividend policy is a financial decision to distribute the net profit of a listed company after withdrawal of provident fund between dividend payment and internal retention. As one of the three major financial decisions, dividend policy is not only the continuation of corporate financing and investment activities, which affects the future development of listed companies, but also the reflection and refraction of the company's operating status and development strategy. Also can produce certain market effect, the concrete performance is in the stock price fluctuation. Dividend is the main income for investors to invest in stocks. Whether the dividend policy is reasonable or not is closely related to the development and improvement of our country's capital market. Since the 1950s, scholars at home and abroad have carried out a large number of theoretical and empirical studies on dividend policy, mainly focusing on the debate on whether dividend policy has an impact on stock prices, but has not reached a consensus view. The riddle of dividend is in the air. The stock market of our country has been developing continuously for more than 20 years, and it has become the second largest stock market in the world. However, compared with the mature securities market in the West, there are still many problems to be solved, showing obvious Chinese characteristics. In recent years, the status quo of dividend distribution of listed companies in China still shows the characteristics of complex dividend policy and multiple forms of dividend distribution, but cash dividend gradually becomes the most important form of payment. The dividend payment rate is low, the dividend policy is too arbitrary and lacks stability, and the proportion of undistributed listed companies still accounts for a large proportion. Compared with the mature market, the dividend policy implemented by the domestic listed companies is not only different in content, but also different in the market effect of different dividend policies. Most scholars believe that dividend policy will have an impact on stock prices, but influenced by the stock market environment and sample selection methods, scholars in different periods have obtained different conclusions. Therefore, it is necessary to further study the market effect of dividend policy in the new market environment. Based on the listed companies listed on the main board of Shanghai and Shenzhen stock markets in 2011, the influence of dividend policy on stock price is studied by using event study method. The difference of dividend policy is mainly reflected in the difference of dividend payment method and dividend payment level. In this paper, the sample is grouped according to dividend payment mode and dividend payment rate, and the day of announcement of the plan is taken as the event day. Taking 15 days before and after the announcement day as the event window and further subdividing it into small windows, the influence of different distribution methods and different payment levels on the stock price is analyzed by counting the cumulative excess returns of different sample groups in the event window period. The empirical results show that different dividend policies cause excessive market reaction in different directions on dividend announcement day and return to rationality in a short period of time. Both stock dividend and mixed dividend have a significant positive reaction to dividend announcement, while cash dividend and undistributed scheme have obvious negative reaction. The study of cash dividend with different payment rate shows that, with the increase of dividend payment rate, Investors' attitude towards cash dividends is also gradually improving, from negative reaction to positive reaction. Finally, according to the current situation of dividend distribution and the results of empirical research, this paper puts forward corresponding policy recommendations from three aspects of regulators, listed companies and investors, in order to benefit the development of China's securities market.
【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F276.6

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