我国上市公司股利信息内涵效应的实证研究

财经论丛 ›› 2019, Vol. 35 ›› Issue (9): 53-61.

我国上市公司股利信息内涵效应的实证研究

罗琦, 付世豪, 吕纤

武汉大学经济与管理学院,湖北武汉 430072

收稿日期:2018-06-06 出版日期:2019-09-10 发布日期:2019-09-17
作者简介:罗琦(1969-),男,湖北松滋人,武汉大学经济与管理学院金融系教授;付世豪(1994-),男,湖北武汉人,武汉大学经济与管理学院硕士生;吕纤(1991-),女,湖北武汉人,武汉大学经济与管理学院博士生。
基金资助:
国家自然科学基金项目(71772140)

An Empirical Study on the Information Content of Dividend in China

LUO Qi, FU Shihao, LU Qian

School of Economics and Management, Wuhan University, Wuhan 430072, China

Received:2018-06-06 Online:2019-09-10 Published:2019-09-17

摘要/Abstract

摘要： 本文考察了中国上市公司现金股利政策的信息内涵,结果表明现金股利政策的改变能够为市场提供新的信息从而引起公司股价的变动。上市公司未预期现金股利的增加会导致股利公告期间正的累计超额收益率,并且与公司的未来盈利和未来投资正相关,这说明股利政策能够向市场传递公司未来盈利和未来投资的相关信息。进一步检验发现,在现金股利增长幅度超过市场预期的上市公司中,现金股利的价值效应更大。

关键词: 股利信号, 未预期股利, 累计超额收益, 公司盈利, 公司投资

Abstract: This paper studies the information content of the dividend in China. The result shows that the change of the cash dividend policy can provide new information to the market and contribute to the change of the stock price. The unexpected increase of the cash dividend will lead to the positive cumulative abnormal return during the dividend announcement, and it is positively related to the future profit and investment, which shows that the dividend policy can transmit the information ofthe future profit and investment to the investors. Further tests show that the cash dividend has greater value effect in companies whose cash dividend growth exceeds market expectations.

Key words: Signal of Dividend, Unexpected Dividend, Cumulative Abnormal Return, Profitability, Investment

中图分类号:

F832.5
F275

罗琦, 付世豪, 吕纤. 我国上市公司股利信息内涵效应的实证研究[J]. 财经论丛, 2019, 35(9): 53-61.

LUO Qi, FU Shihao, LU Qian. An Empirical Study on the Information Content of Dividend in China[J]. , 2019, 35(9): 53-61.

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