【摘要】：股利政策是企業(yè)財務的核心問題之一,不僅關系到投資者的利益,而且是關系到企業(yè)自身進行經營管理和投融資的重要問題,也是長期以來財務管理領域學者討論的熱點話題。我國證券市場經過二十多年的發(fā)展,已經達到一定規(guī)模,證券市場在一定程度上能有效發(fā)揮其功能�，F(xiàn)金分紅是上市公司股利分配的重要形式,也是投資者實現(xiàn)投資回報的最重要的途徑。由于我國上市公司缺乏穩(wěn)定持續(xù)的現(xiàn)金分紅,使得資本市場上投機氛圍濃厚,不利于資本市場的發(fā)展。因而,為了引導投資者建立長期的價值投資理念,穩(wěn)定資本市場,上市公司制定持續(xù)、透明、清晰的現(xiàn)金分紅政策是很有必要的。為了這一目標,我國從2001年開始制定了一系列的法律法規(guī)及指引,表明了我國對現(xiàn)金分紅的高度關注,體現(xiàn)出現(xiàn)金分紅對資本市場發(fā)展具有重要作用。同時,信號理論是股利理論的主要代表理論之一,前人的研究表明信號理論適用于我國資本市場,但我國學者對于信號理論的研究結論存在不一致性。由于現(xiàn)金股利涉及到公司現(xiàn)金流量的流出,對公司的正常經營、投資決策和融資決策都有重要影響,因此,本文主要研究現(xiàn)金股利。而首次股利由于沒有以前股利分配的影響,因而能排除更多其他因素的影響,進而更單純地研究股利政策。而我國以首次現(xiàn)金股利為研究對象的論文比較少,因此,本文以首次現(xiàn)金股利為研究對象來研究股利的信號理論是有一定價值的。 本文將理論與實證研究相結合,驗證了我國首次現(xiàn)金股利信號傳遞效應。首先,本文對股利相關理論進行了介紹,并總結股利信號傳遞理論的基礎理論,為本文的研究做好了理論基礎準備。然后,本文對我國現(xiàn)金分紅的整體狀況進行了描述性分析,以了解我國現(xiàn)金分紅的整體情況以及存在的問題,為后面的實證研究做好了鋪墊,并在一定程度上對于分析實證研究的結果具有輔助作用。在此基礎上,我們進行了實證研究,采用事件研究法和多元回歸分析法,對首次現(xiàn)金股利政策信號傳遞效應進行實證檢驗和分析,并對股權分置改革前后的首次現(xiàn)金股利政策的信號傳遞效應進行對比分析,另外,本文對累計超額收益率為正和負的兩組樣本進行了對比,分析導致CAR存在正負兩種情況的原因。最后,本文得出結論,并根據(jù)文章的研究得到了幾點啟示。研究結論表明：(1)我國現(xiàn)金分紅具有現(xiàn)金分紅公司比例低、分紅水平低、分紅不連續(xù)、超派現(xiàn)、不同行業(yè)的分紅存在差異等特點。(2)我國首次現(xiàn)金分紅公告的市場反應總體是顯著的,表明我國首次現(xiàn)金股利存在信號傳遞效應。股權分置改革前后首次現(xiàn)金公告產生的累計超額收益率存在顯著差異,股改分置改革后的累計超額收益率更顯著,表明股權分置改革后首次現(xiàn)金股利存在信號傳遞效應更強了。(3)多元回歸結果表明股息率、每股經營現(xiàn)金流、資產負債率、公告前20天的累計超額收益率和機構投資者比例都與首次現(xiàn)金股利市場反應強度顯著正向相關,而凈資產收益率、賬面市值比、流通A股比例、第一大股東持股比例、規(guī)模的回歸系數(shù)與我們的預期不一致。另外,通過對CAR大于0和小于0兩組樣本進行比較,本文發(fā)現(xiàn)CAR為正或為負,不僅與市場預期相關,也與公司自身的特征因素有關。
[Abstract]:Dividend policy is one of the core issues of enterprise finance. It is not only related to the interests of investors, but also an important issue related to the management and investment and financing of the enterprise itself. It is also a hot topic discussed by scholars in the field of financial management for a long time. After more than 20 years' development, China's securities market has reached a certain scale. The cash dividend is an important form of the dividend distribution of the listed companies. It is also the most important way for the investors to realize the return on investment. Because of the lack of stable and continuous cash dividends, the listed companies in China have made the capital market dense and not conducive to the development of the capital market. In order to guide the investors to establish a long-term value investment concept and stabilize the capital market, it is necessary for the listed companies to formulate a continuous, transparent and clear cash dividend policy. In order to achieve this goal, China has formulated a series of laws and regulations and guidelines from 2001, which shows the high attention to cash dividends in our country and the embodiment of cash. Dividends have an important role in the development of capital market. At the same time, the signal theory is one of the main representative theories of the dividend theory. The previous research shows that the signal theory is applicable to the capital market of our country, but the conclusion of the research on the signal theory is inconsistent with the scholars in our country. There is an important impact on the normal operation of the company, the investment decision and the financing decision. Therefore, this paper mainly studies the cash dividend. The first dividend, due to the absence of the influence of the previous dividend distribution, can eliminate the influence of more other factors and then study the dividend policy more simply. Therefore, it is valuable to study the dividend signaling theory based on the first cash dividend.
This paper, combining theory with empirical research, validates the signal transfer effect of the first cash dividend in China. Firstly, this paper introduces the theory of dividend related, and summarizes the basic theory of the theory of dividend signal transmission, and makes a theoretical basis for the study of this paper. Then, this paper makes a sketch of the overall situation of cash dividends in China. In order to understand the overall situation of the cash dividend and the existing problems in China, it has done a good job for the latter empirical research, and to a certain extent it has an auxiliary role in the analysis of the results of the empirical study. On this basis, we have carried out an empirical study on the first cash share, using the case study method and the multiple regression analysis method. The signal transmission effect of the profit policy is tested and analyzed, and the signal transmission effect of the first cash dividend policy before and after the split share reform is compared and analyzed. In addition, this paper compares the two groups of samples with positive and negative cumulative excess returns, and analyzes the reasons for the existence of two positive and negative cases in CAR. Finally, the paper gets the conclusion. According to the research of the article, some inspirations are obtained. The conclusions are as follows: (1) China's cash dividend has the characteristics of low proportion of cash dividends, low dividend level, discontinuous dividend, discontinuity, the difference of dividends in different industries. (2) the overall market reaction of the first cash dividend announcement in China is significant, indicating the first of our country. There is a signalling effect on the sub cash dividend. There is a significant difference in the cumulative excess yield generated by the first cash announcement before and after the split share reform. The cumulative excess return after the reform is more significant, indicating that the first cash dividend has a stronger signal transfer effect after the split share reform. (3) the multiple regression results show the dividend. Rate, operating cash flow per share, asset liability ratio, the cumulative excess rate of return and the proportion of institutional investors in the first 20 days of the announcement are significantly positively correlated with the initial cash dividend market reaction intensity, while the net assets yield, the book value ratio, the proportion of the A shares in circulation, the proportion of the first large shareholders, and the regression coefficient of the scale are not consistent with our expectations. In addition, by comparing CAR more than 0 and less than 0 groups, this paper finds that CAR is positive or negative, which is not only related to market expectations, but also related to the characteristics of the company itself.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F275

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