股票股利的股价效应基于中国A股市场的实证研究金融学专业论文.docxVIP

i i Abstract As distribution of stock dividend is becoming more and more common in China’s A share stock market, it attracts lots of investors to speculate and it seems like stock dividends would bring abnormal returns. This paper mainly studies the abnormal returns around the announcement day of stock dividends distributed by companies listed on China’s A share market from year 2008 to 2010 and the relationship between the abnormal return and stock dividend payout ratio, cash dividend yield, earnings growth rate, returns on equity, price-to-earnings ratio and firm size. By applying event study method this paper finds that there exist significant positive abnormal returns from day -5 to the announcement of stock dividends and no significant abnormal return after the announcement of stock dividends in year 2008, 2009 and significant negative abnormal returns on the five days after the announcement in 2010. Moreover, statistical findings from regression models reveal that the abnormal returns from day -5 to the announcement day are positively correlated to the stock dividend payout ratio but have no significant relationship with the cash dividend yield, earnings growth rate, returns on equity, price-to-earnings ratio and firm size in year 2008, 2009 and 2010. Key words: Stock dividend, abnormal return, information leakage ii ii 摘 要 近年来，股票股利（高送转）在中国 A 股市场越来越常见，众多投资者也热 衷于炒作高送转题材的股票，股票股利似乎能够给投资者带来超额收益。本文主 要研究从 2008 年到 2010 年三年间在中国 A 股市场股票股利预案公告日前后股 票超额收益的变化情况，并做显著性检验。此外，本文还研究了影响预案公告日 前后超额收益的各个因素与超额收益的关系，包括股票股利率、现金股利收益率、 净利润同比增速、净资产收益率、市盈率和公司市值大小。通过事件研究的方法 本文发现在 2008、2009 和 2010 股票股利股预案公告日前五日存在显著的正超额 收益，并且在 2008 和 2009 年预案公告日后五日不存在显著的超额收益，但在 2010 年预案公告日后五日存在显著的负超额收益。通过线性回归模型，本文发 现从 2008 到 2010 年预案公告日前五日的超额收益与股票股利率存在显著的正相 关关系，但与其它影响因素并不存在显著的相关关系。 关键词：股票股利、超额收益、信息泄露 St Stock Dividends’ Impact on Stock Prices: an Empirical Study in China’s A Share Market PAGE PAGE 1 Introduction Background China’s stock market is a young and immature market characterized by poor corpor