發(fā)布時(shí)間：2018-05-30 18:46

  本文選題：股票股利 + 超額收益　； 參考：《東華大學(xué)》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(diǎn)問(wèn)題,也是重要的公司財(cái)務(wù)實(shí)踐問(wèn)題,一直備受學(xué)者的關(guān)注,是與企業(yè)投資、融資活動(dòng)相并列的企業(yè)三大財(cái)務(wù)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(bào)的一種制度安排,不同的股利政策將直接影響到市場(chǎng)中投資者投資收益、估值預(yù)期以及投資策略的轉(zhuǎn)變。 在我國(guó),股利政策中的股票股利政策一直是市場(chǎng)熱炒的題材之一。上市公司實(shí)施股票股利政策并不會(huì)改變公司現(xiàn)金流狀況以及股權(quán)結(jié)構(gòu)等,僅僅是流通股數(shù)量的增加或者說(shuō)是會(huì)計(jì)科目的調(diào)整,不會(huì)對(duì)上市公司產(chǎn)生任何實(shí)質(zhì)性的影響。但國(guó)內(nèi)外學(xué)者的研究大部分都顯示：送轉(zhuǎn)股事件在短期的確會(huì)產(chǎn)生超額收益。如何解釋這一現(xiàn)象成為理論界和實(shí)務(wù)界爭(zhēng)論的焦點(diǎn)。本文將時(shí)間跨度調(diào)整為一年,研究股票股利在長(zhǎng)期(一年期)是否會(huì)給投資者帶來(lái)超額收益。 本文基于信號(hào)傳遞理論,選取2007-2011年實(shí)施純送轉(zhuǎn)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(duì)象,選擇股利公告日為起始日,運(yùn)用多元線性回歸法和T檢驗(yàn),綜合分析從起始日開始的一年期間內(nèi),市場(chǎng)對(duì)純股票股利事件的異常反應(yīng)；隨后本文還從股票股利變動(dòng)的信息內(nèi)涵方面以研究公司管理層實(shí)施純股票股利政策的實(shí)質(zhì)動(dòng)機(jī)。本文希望通過(guò)對(duì)送轉(zhuǎn)股事件的長(zhǎng)期影響研究,能夠?yàn)橥顿Y者選取送轉(zhuǎn)題材股票提供理性的投資依據(jù),降低投資風(fēng)險(xiǎn)；為上市公司有效實(shí)施股利政策,尤其是股票股利提供有價(jià)值的理論依據(jù)；為監(jiān)管機(jī)構(gòu)如何進(jìn)一步規(guī)范上市公司的市場(chǎng)行為,保護(hù)投資者利益,提供監(jiān)管依據(jù)。 對(duì)于股票股利的長(zhǎng)期市場(chǎng)反應(yīng),本文發(fā)現(xiàn)：(1)在一年的期間內(nèi),股票股利可以帶來(lái)超額收益,主要是投資者認(rèn)為股票股利的發(fā)放意味著公司有信心將每股指標(biāo)恢復(fù)為發(fā)放前水平,因此這就釋放出了高成長(zhǎng)的信號(hào),所以受到投資者的熱烈追捧；(2)累計(jì)超額收益率與送轉(zhuǎn)股比例呈顯著的負(fù)相關(guān)關(guān)系,即送轉(zhuǎn)股比例越高,12個(gè)月的累計(jì)超額收益率越低,表明如果股本的擴(kuò)張與公司未來(lái)的成長(zhǎng)不一致,反而會(huì)阻礙公司未來(lái)的發(fā)展。 對(duì)于股票股利變動(dòng)信息內(nèi)涵的檢驗(yàn),本文結(jié)論如下：(1)調(diào)低股票股利的公司在實(shí)施股票股利當(dāng)年的凈利增長(zhǎng)率顯著小于調(diào)高股票股利的企業(yè)的凈利增長(zhǎng)率,即股票股利變動(dòng)向市場(chǎng)傳遞了關(guān)于企業(yè)未來(lái)的凈利潤(rùn)狀況的信號(hào),但僅局限在發(fā)放股票股利的當(dāng)年；(2)同時(shí)本文檢驗(yàn)了股票股利與不同年度凈利潤(rùn)增長(zhǎng)率之間的關(guān)系,發(fā)現(xiàn)兩者在當(dāng)期有顯著的正相關(guān)關(guān)系,與前一期及后一期不存在顯著相關(guān)性,再次表明管理層在作出發(fā)放股票股利決策時(shí)參考了公司未來(lái)一段時(shí)期的成長(zhǎng)狀況；(3)調(diào)高股票股利的公司的年度累計(jì)超額收益率小于調(diào)低股票股利的公司,即市場(chǎng)較歡迎調(diào)低股票股利,與前文的送轉(zhuǎn)比與長(zhǎng)期累計(jì)超額收益率負(fù)相關(guān)結(jié)論相一致。 本文的實(shí)證結(jié)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(zhǎng)信號(hào),市場(chǎng)有一定的反應(yīng),但是信號(hào)作用還有待進(jìn)一步的加強(qiáng)。最后結(jié)合本文的實(shí)證結(jié)果,對(duì)監(jiān)管層、上市公司,特別是投資者提出了切實(shí)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(xué)位授予單位】：東華大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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