本文選題：股票股利 + 超額收益　； 參考：《東華大學》2014年碩士論文

【摘要】：股利政策不僅是公司金融理論研究的熱點問題,也是重要的公司財務實踐問題,一直備受學者的關注,是與企業(yè)投資、融資活動相并列的企業(yè)三大財務決策之一。股利政策是確保公司的資金提供者收回其合理投資回報的一種制度安排,不同的股利政策將直接影響到市場中投資者投資收益、估值預期以及投資策略的轉變。 在我國,股利政策中的股票股利政策一直是市場熱炒的題材之一。上市公司實施股票股利政策并不會改變公司現(xiàn)金流狀況以及股權結構等,僅僅是流通股數(shù)量的增加或者說是會計科目的調整,不會對上市公司產(chǎn)生任何實質性的影響。但國內外學者的研究大部分都顯示：送轉股事件在短期的確會產(chǎn)生超額收益。如何解釋這一現(xiàn)象成為理論界和實務界爭論的焦點。本文將時間跨度調整為一年,研究股票股利在長期(一年期)是否會給投資者帶來超額收益。 本文基于信號傳遞理論,選取2007-2011年實施純送轉股事件(排除現(xiàn)金股利和混合股利造成的影響)的上市公司為研究對象,選擇股利公告日為起始日,運用多元線性回歸法和T檢驗,綜合分析從起始日開始的一年期間內,市場對純股票股利事件的異常反應；隨后本文還從股票股利變動的信息內涵方面以研究公司管理層實施純股票股利政策的實質動機。本文希望通過對送轉股事件的長期影響研究,能夠為投資者選取送轉題材股票提供理性的投資依據(jù),降低投資風險；為上市公司有效實施股利政策,尤其是股票股利提供有價值的理論依據(jù)；為監(jiān)管機構如何進一步規(guī)范上市公司的市場行為,保護投資者利益,提供監(jiān)管依據(jù)。 對于股票股利的長期市場反應,本文發(fā)現(xiàn)：(1)在一年的期間內,股票股利可以帶來超額收益,主要是投資者認為股票股利的發(fā)放意味著公司有信心將每股指標恢復為發(fā)放前水平,因此這就釋放出了高成長的信號,所以受到投資者的熱烈追捧；(2)累計超額收益率與送轉股比例呈顯著的負相關關系,即送轉股比例越高,12個月的累計超額收益率越低,表明如果股本的擴張與公司未來的成長不一致,反而會阻礙公司未來的發(fā)展。 對于股票股利變動信息內涵的檢驗,本文結論如下：(1)調低股票股利的公司在實施股票股利當年的凈利增長率顯著小于調高股票股利的企業(yè)的凈利增長率,即股票股利變動向市場傳遞了關于企業(yè)未來的凈利潤狀況的信號,但僅局限在發(fā)放股票股利的當年；(2)同時本文檢驗了股票股利與不同年度凈利潤增長率之間的關系,發(fā)現(xiàn)兩者在當期有顯著的正相關關系,與前一期及后一期不存在顯著相關性,再次表明管理層在作出發(fā)放股票股利決策時參考了公司未來一段時期的成長狀況；(3)調高股票股利的公司的年度累計超額收益率小于調低股票股利的公司,即市場較歡迎調低股票股利,與前文的送轉比與長期累計超額收益率負相關結論相一致。 本文的實證結果表明,在全流通的背景下,股票股利政策傳遞出了一些成長信號,市場有一定的反應,但是信號作用還有待進一步的加強。最后結合本文的實證結果,對監(jiān)管層、上市公司,特別是投資者提出了切實的建議與意見。
[Abstract]:Dividend policy is not only a hot issue in the research of the financial theory of the company, but also an important issue of the financial practice of the company. It has always been the concern of the scholars. It is one of the three major financial decisions which are tied up with the investment and financing activities of the company. Different dividend policies will directly affect investors' investment return, valuation expectation and investment strategy transformation.
In our country, stock dividend policy in dividend policy has always been one of the hot topics in the market. The implementation of stock dividend policy of listed companies does not change the cash flow status and ownership structure of the company. It is only the increase in the quantity of the circulation stock or the adjustment of the accounting subject, but it will not have any substantial influence on the listed company. Most of the scholars at home and abroad have shown that the transfer of equity events will produce excess returns in the short term. How to explain this phenomenon has become the focus of the debate between the theoretical and practical circles. This paper adjusts the time span to one year to study whether stock dividends will bring excess returns to investors in the long term (one year period).
Based on the theory of signal transmission, this paper selects the listed companies of 2007-2011 years to carry out the stock transfer events (excluding the effects of cash dividends and mixed dividends) as the research object, choosing the dividend announcement day as the starting day, using the multiple linear regression method and T test, to analyze the market for the pure stock dividend during the first year from the beginning of the day. After the study of the long-term impact of the stock transfer events, this paper hopes to provide investors with the rational investment basis and reduce the investment risk through the study of the long-term impact of the transfer of shares. It provides a valuable theoretical basis for the effective implementation of the dividend policy of the listed companies, especially the stock dividend, and provides a regulatory basis for the regulatory agencies to further standardize the market behavior of the listed companies and protect the interests of investors.
For the long-term market reaction of stock dividend, this paper finds that: (1) over a year, stock dividends can bring excess returns. The main reason is that the investors think the issuance of stock dividends means that the company has confidence to restore the per share index to the level before the issue, so it releases the high growth signal, so it is warmly received by the investor. (2) there is a significant negative correlation between the cumulative excess return and the proportion of transfer shares, the higher the ratio of transfer to equity, the lower the cumulative excess return in 12 months, indicating that if the expansion of equity is not consistent with the future growth of the company, it will hinder the future development of the company.
The conclusion is as follows: (1) the net profit growth rate of the companies with stock dividends in the year of stock dividends is significantly less than the net profit growth rate of the enterprises with high stock dividends, that is, the change of stock dividends to the market signals the future net profit status of the enterprise, but only limited to the market. In the year of issuing stock dividends; (2) at the same time, this paper examines the relationship between stock dividends and the annual net profit growth rate of different years, and finds that there is a significant positive correlation between the two in the current period, and there is no significant correlation with the previous and the latter one. Again, it is shown that management is a reference to the future of the company in making stock dividend decisions. The growth situation in the period of period; (3) the annual cumulative excess return rate of the company with high stock dividend is less than the company that lowers the stock dividend, that is, the market is more welcome to lower the stock dividend, which is consistent with the conclusion of the negative correlation between the transfer ratio of the previous article and the long-term cumulative excess return.
The empirical results show that the stock dividend policy has some growth signals in the context of full circulation, and the market has a certain reaction, but the role of the signal still needs to be further strengthened. Finally, the empirical results of this paper have put forward practical suggestions and suggestions for the regulatory, listed companies, especially investors.
【學位授予單位】：東華大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1956381