【作者】 劳兰珺； 余沿福；

【Author】 Lao Lan-jun;Yu Yan-fu;School of Management, Fudan University;

【机构】 复旦大学管理学院；

【摘要】 本文采用与已有文献不同的方法,检验我国股市中股利政策的信号传递效应。构造首次及间断较长时期后再次分配股利(现金股利、股票股利)事件公司的日历时间组合(Calendar Time Portfolio),建立Fama-French三因素模型,通过t检验法检验事件公司组合是否存在显著的异常报酬率。发现事件公司组合具有显著为正的长期(1年、3年或5年)异常报酬率。并且,分配现金股利比分配股票股利的公司长期异常报酬率更显著,同时,分配现金股利越多的公司长期异常报酬率越显著。本文的实证研究表明,与国外股市一样,在我国股市中无论是现金股利还是股票股利都具有信号传递效应,这与国内已有文献的结论存在差异。通过进一步研究发现,1996年、2000年证监会规范上市公司股利分配的政策对现金股利的信号传递效应有所削弱。更多还原

【Abstract】 We form calendar time portfolios to examine the long-term performance following dividend initiations and resumptions, both in cash and stocks, using Fama-French three factors model. We show that post announcement abnormal returns are significantly positive for value weighted calendar time portfolios. Moreover, the abnormal returns following cash dividend initiations and resumptions are more significant than which following stock dividend initiations and resumptions. So we draw the conclusion, which isdifferent from some former papers, that the signal effect of dividend policies is also existed in Chinese stock market. More significant abnormal returns following more cash dividend are also documented. But the policies of CSRC in 1996, which regulated the dividend policies of listed companies, and from 2000, forbid the listed companies to refinance if they have not paid any cash dividend for the past three years, weaken the signal effect in Chinese stock market.更多还原