【作者】 姚佳；

【导师】 张小涛；

【作者基本信息】 天津大学 ， 金融（专业学位）， 2020， 硕士

【副题名】基于中国市场的实证研究

【摘要】 上市公司的股利发放政策不仅仅是企业经营过程中的一项重要的财务管理决策,也与股东的利益和企业的未来发展密切相关。随着我国资本市场的不断发展,监管当局也不断出台新的政策来规范上市公司的股利发放行为。现金股利作为一种典型的股利类型,是对企业净现金流和经营业绩的考量。监管部门颁布的“半强制”分红政策,促进了上市公司现金股利的发放,但是现金股利是否迎合了市场上投资者的意愿尚未可知,是否存在监管悖论也有待进一步研究。本文从投资者行为的角度出发,基于某大型券商2012年至2014年A股市场中个人投资者的交易账户数据,使用倾向匹配得分双重差分模型(PSM-DID),以上市公司的除权除息日作为事件日研究除权除息日前后投资者的交易行为,通过其买卖强度发现其对现金股利的态度。为了进一步研究投资者交易行为背后的驱动因素,本文采用事件研究法,对1992年至2014年期间超过10000次的年度分红事件进行研究,计算每次分红除权除息日期前后的超额收益率,以此来解释投资者异常交易行为的原因。之后,为了检验不同类型投资者是否会存在不同的偏好,本文根据投资者的年龄、投资经验和股票账户资金对投资者进行分组,对其偏好进行检验。最后依据现金股利的股息率的不同,将现金股利股票分为高股息率现金股利股票和低股息率现金股利股票,通过研究散户投资者对这两种股票的买卖行为,得出其对股息率的敏感性,进一步证实了前文的研究结果的可靠性。通过构建PSM-DID模型对投资者的交易行为进行研究,本文发现,投资者在事件日之前超额卖出股票,之后又出现小幅买入行为,且卖出强度远大于买入强度。从结果上看,投资者放弃了现金股利,这种卖出现象似乎证实现金股利并没有迎合投资者的需求。结合事件日前后超额收益率的研究结果可以看出,投资者的行为与股票收益率的走势相契合:在除权除息日之前累计平均超额收益率持续上涨,在除权除息日当天到达高点,投资者则选择这一天卖出现金股利股票,而后累计平均超额收益率大幅下降,到达股价低点,后缓慢上升,投资者则小幅买入。从这种买入行为可以看出,投资者对现金股利股票是有一定偏好的,只不过这种偏好在投资者比较资本利得和股息收益的时候被削弱了。在后续对不同类型投资者的研究中,我们发现,投资经验和账户资金是影响投资者对现金股利偏好程度的重要因素,而年龄对此则没有显著影响。在股利发放过程中,投资经验丰富的小散户具有更强的投机性,且其过往的投资经历中汲取了更多的经验,对资本市场更加熟悉,因此其更能把握市场规律,其在除权除息日之前卖出强度最大,在除权除息日之后买入强度也更强,从而获得超额的资本利得。对也股息率不同的现金股利股票,投资者对高股息率股票的发放更为敏感。综上所述,本文得出我国上市公司发放现金股利的行为一定程度上迎合了市场中散户投资者的需求,而投资者的异常交易行为则是其在心理账户中衡量之后做出选择的结果,也为市场监管提供和投资者行为的规范提供了思路。更多还原

【Abstract】 With the continuous improvement and development of China’s capital market,the regulatory authorities have constantly issued new policies to regulate the dividend payment behavior of listed companies.The dividend payment policy of listed companies is not only an important financial management decision in the process of enterprise operation,but also closely related to the sustainable development of enterprises and the vital interests of shareholders.As a type of special stock dividend,"high delivery" is widely popular in China’s market.And whether cash dividend caters to retail investors is still a puzzle to explore.Moreover,whether there is a regulatory paradox in the "semi-mandatory" dividend policy issued by the regulatory authorities remains to be studied.In this paper,we use the data from a big brokerage to conduct the model of PSM-DID to explore the behavior of investors around the ex-dividend day.And on the basis of the abnormal behavior,we can draw the conclusion about the dividend preference of retail investors.In order to further study the factors which cause the investors’ trading behaviors,we adopt the event research method to study more than10,000 annual dividend events from 1992 to 2014 and calculate the abnormal return around the ex-dividend day.And then we test heterogeneous dividend preference among different types of retail investors.We divide investors into some groups by personal characters,such as age,investment experience and asset size.At last,according to the difference of dividend yield of cash dividend,this paper divides cash dividend stock into high dividend yield stock and low dividend yield stock.By studying the trading behavior of retail investors on these two types of stocks,we can obtain the sensitivity of cash dividend yield,which also provides supplementary proof for the above research results.By constructing the PSM-DID model to study investors’ trading behavior,this paper finds that investors oversell stocks before the ex-dividend day and then buy slightly,and the selling intensity is much greater than the buying intensity.As a result,investors have abandoned cash dividends.This selling phenomenon seems to confirm that the catering theory is not suitable for Chinese market,but the catering theory is still sufficient to explain the buying phenomenon after ex-dividend day.Combining the result with the cumulative abnormal return(CAR)around ex-dividend day,we can find that the behavior of investors corresponds to the CAR: the CAR continue to raise before the ex-dividend day and then reach a top point on the event day.And the retail investors would choose to sell the cash dividend stocks.After the ex-dividend day,the CAR sharply decreases to a lowest point,when the investors choose to purchase them slightly.This buying behavior shows that investors have a certain preference for cash dividends,but this preference is weakened after comparing capital gains with dividend yields by retail investors.In the subsequent studies on different types of investors,we find that investment experience and asset size of investors are important factors affecting preference for cash dividends,while age has no significant influence on it.In the process of dividend distribution,experienced retail investors with smaller asset size are more speculative.Because they have learned from the past experience of investment,they become more familiar with the capital market.It is easier for these people to grasp the market rule.They are the biggest sellers before the ex-dividend day and the biggest purchasers later.They choose to obtain the higher capital gains rather than cash dividends after calculating in their mental accounting.As for dividend yield,as we predicted,investors are more sensitive to stocks with higher dividend yields.To sum up,this paper concludes that companies that give out cash dividend cater to retail investors to some extent,while the abnormal trading behavior of investors is the result of their choices after being measured in the mental account.Moreover,it also provides ideas for the regulation of the market and the regulation of investors’ behavior.更多还原