本文選題：信號傳遞理論 + 股利政策��； 參考：《揚州大學(xué)》2014年碩士論文

【摘要】：自2013年4月3日,南方食品發(fā)布公告向股東贈送黑芝麻乳品后,九州通、中青寶、人福醫(yī)藥等眾多上市公司紛紛效仿,甚至連五糧液和蘇寧云商也加入了這個行列,一時間“實物分紅”在我國證券市場引起了廣泛關(guān)注,成為熱議的話題。 我國上市公司股利形式一般是現(xiàn)金股利或股票股利,財產(chǎn)股利和負債股利兩種支付方式在我國證券市場上很罕見。本文采用何杰等學(xué)者對實物分紅的定義,重點研究該行為的市場效應(yīng),將其視為一種特殊的財產(chǎn)股利,作為股利政策的一種特殊形式來研究其與股價的相關(guān)性。 本文通過事件研究法,選取2007-2013年10家發(fā)放實物分紅的上市公司的16個樣本以及這10家上市公司發(fā)放現(xiàn)金股利的38個樣本,將股利公告日作為事件發(fā)生日,對事件日及其前后各22個交易日的平均超額收益率(AAR)和累計超額收益率(CAR)加以計算分析,并對實物分紅和現(xiàn)金股利不同股價表現(xiàn)進行T檢驗,得到了以下的結(jié)論：(1)從整體上看,實物分紅和現(xiàn)金分紅對股價都具有信號傳遞的作用；(2)公告日前后一個月時間,實物分紅在百分之一的顯著水平下累計超額收益率顯著為負,現(xiàn)金股利在百分之十的顯著水平下累計超額收益率顯著為正,表明實物分紅對股價有負效應(yīng),現(xiàn)金股利對股價有正效應(yīng),股東偏好現(xiàn)金分紅；(3)實物分紅會引起股價下跌,累計超額收益率減少,我們認為實物分紅的發(fā)放雖然能吸引投資者的關(guān)注,但是投資者大多將實物分紅視為一種營銷手段、處理庫存的方式或者噱頭,對股價有負的影響；(4)相對于基本不發(fā)放現(xiàn)金股利和股利發(fā)放逐年減少的公司,股利穩(wěn)定增長的公司和新上市的公司短期的超額收益率較高。 本文通過實證研究驗證實物分紅與現(xiàn)金股利對上市公司股價的信號傳遞作用,從實物分紅這一新的視角研究股利政策,豐富了股利政策理論,擴充了股價影響因素的理論。同時,為企業(yè)管理者制定合理的股利政策提供支持；投資者根據(jù)其所能收集到的有效信息做出投資決策,有助于投資者更好地了解上市公司的發(fā)展狀況,為股東正確衡量公司價值打下基礎(chǔ),為投資者的理性投資提供參考；為市場監(jiān)管部門完善相關(guān)法規(guī)提供建議,促進我國資本市場的不斷完善。
[Abstract]:Since April 3, 2013, when Southern Food issued a notice giving shareholders black sesame dairy products, many listed companies, such as Kyushu Tong, Zhongqing Bao, Renfu Medicine and so on, have followed suit, and even Wuliangye and Su Ning cloud merchants have joined the ranks. For a time, the "real-object dividend" has aroused widespread concern in China's securities market, and has become a hot topic. The form of dividend of listed companies in our country is generally cash dividend or stock dividend. Property dividend and debt dividend are rare in Chinese stock market. In this paper, the definition of physical dividend is adopted, and the market effect of this behavior is studied, which is regarded as a special property dividend and as a special form of dividend policy to study its correlation with stock price. In this paper, 16 samples of 10 listed companies with physical dividends and 38 samples of cash dividends issued by 10 listed companies from 2007 to 2013 are selected through the event research method, and the dividend announcement day is taken as the date of occurrence of the event. The average excess return rate (AAR) and cumulative excess return rate (car) of 22 trading days before and after the event are calculated and analyzed. The conclusions are as follows: (1) on the whole, both physical dividend and cash dividend have signalling effect on stock price; (2) one month before and after the announcement date, The accumulative excess return is significantly negative at the significant level of 1%, and the accumulated excess return on cash dividend is significantly positive at the significant level of 10%, indicating that the physical dividend has a negative effect on the stock price. Cash dividends have a positive effect on stock prices, and shareholders prefer cash dividends; (3) physical dividends will cause the stock price to fall, and cumulative excess returns will decrease. We believe that the distribution of physical dividends can attract the attention of investors, However, most investors regard physical dividends as a marketing tool. The way or gimmicks of handling inventory has a negative impact on stock prices; (4) compared with companies that basically do not pay cash dividends and dividend payments, they have a negative impact on stock prices; (4) compared with companies that basically do not pay out cash dividends and dividend payments are decreasing year by year, Companies with stable dividend growth and newly listed companies have higher short-term excess returns. This paper verifies the signalling effect of physical dividend and cash dividend on the stock price of listed companies through empirical research, studies dividend policy from a new perspective of physical dividend, enriches the theory of dividend policy and expands the theory of influencing factors of stock price. At the same time, to provide support for corporate managers to formulate reasonable dividend policy, investors can make investment decisions according to the effective information they can collect, which is helpful for investors to better understand the development of listed companies. It lays the foundation for shareholders to measure the company's value correctly, provides the reference for investors' rational investment, provides suggestions for the market supervision department to perfect the relevant laws and regulations, and promotes the continuous perfection of our country's capital market.
【學(xué)位授予單位】：揚州大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F275;F832.51

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