【摘要】：針對(duì)學(xué)術(shù)界關(guān)心的話題“股利的信號(hào)傳遞效應(yīng)”,本文從信息內(nèi)涵這一角度出發(fā),針對(duì)“上市公司的送轉(zhuǎn)股行為是否包含公司未來業(yè)績(jī)信息”進(jìn)行了實(shí)證研究,結(jié)果發(fā)現(xiàn)公司的送轉(zhuǎn)股行為沒有傳遞關(guān)于公司未來業(yè)績(jī)向好的信息。但是這無法解釋學(xué)者們普遍觀察到的送轉(zhuǎn)股這一事件前后“股價(jià)有顯著為正的超額收益率”這一現(xiàn)象。與以往針對(duì)短期超額收益率的研究不同,本文針對(duì)送轉(zhuǎn)股公司的長(zhǎng)期超額收益率進(jìn)行了實(shí)證檢驗(yàn),結(jié)果觀察到了顯著為負(fù)的長(zhǎng)期超額收益率。這和其他學(xué)者觀察到的送轉(zhuǎn)股事件前后顯著為正的累積超額回報(bào)率結(jié)合起來,可以表明公司股價(jià),在送轉(zhuǎn)時(shí)的短期內(nèi)顯著上升,而在之后的較長(zhǎng)時(shí)間內(nèi)緩慢下降,送轉(zhuǎn)股事件本身沒有傳遞公司未來業(yè)績(jī)信息。 在研究方法上,以行業(yè)分布和盈利能力為主要依據(jù),選擇了一組與送轉(zhuǎn)股公司盈利能力最接近的公司作為參考系和比較基準(zhǔn)。具體地,在研究送轉(zhuǎn)股公司的經(jīng)營(yíng)業(yè)績(jī)時(shí),以息稅前營(yíng)業(yè)利潤(rùn)率作為研究指標(biāo),考察送轉(zhuǎn)股公司和對(duì)照組公司的盈利能力在實(shí)施送轉(zhuǎn)后四年內(nèi)的對(duì)比情況。在考察長(zhǎng)期市場(chǎng)業(yè)績(jī)時(shí),以Fama-French三因素模型為基礎(chǔ),從市場(chǎng)角度、規(guī)模角度和價(jià)值角度這三個(gè)方面對(duì)風(fēng)險(xiǎn)進(jìn)行控制,并結(jié)合零投資組合考察送轉(zhuǎn)公司的長(zhǎng)期超額收益率。
[Abstract]:Aiming at the topic of "signal transfer effect of dividend", this paper, from the perspective of information connotation, makes an empirical study on whether the transfer behavior of listed companies includes the company's future performance information. The results show that the company's transfer behavior does not convey good information about the company's future performance. But this does not explain the widely observed phenomenon of "significantly positive excess returns on stock prices" before and after the event. Different from previous studies on short term excess return, this paper makes an empirical test on the long term excess return of the transferable company. The results show that the long term excess return is significantly negative. This, combined with the significantly positive cumulative excess returns observed by other scholars before and after the stock transfer incident, indicates that the share price of the company rose significantly in the short term during the transfer period, but declined slowly over a longer period of time. The event itself does not convey the company's future performance information. On the basis of industry distribution and profitability, a group of companies that are closest to the profitability of the company are selected as reference system and comparison benchmark. Specifically, when studying the operating performance of the transfer companies, the profit margin before interest and tax is taken as the research index to investigate the comparative situation of the profitability of the transfer companies and the control companies within four years after the implementation of the transfer. In the study of long-term market performance, based on the Fama-French three-factor model, the risk is controlled from the market angle, the scale angle and the value angle, and the long-term excess rate of return of the transferred company is investigated in combination with the zero portfolio.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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