Abstract: This paper uses the event study method to study the influence of Large Stock Dividends(LSD) on stock price and abnormal returns at the announcement date,the implementation date,the record date and the ex-dividend date respectively. The study finds that there are significant positive abnormal returns 5 days before the announcements on LSD and the ratio of LSD is positively correlated with CAR. When other variables are controlled,“pure split” has higher abnormal returns near the dates of implementation,record and the ex-dividend.In addition,we find that small-cap stocks with better performance and low-priced stocks have significantly higher abnormal returns.

Key words: Large Stock Dividends, Heterogeneity of Financial Performance, Abnormal Returns, Insider Trading

摘要： 本文采用事件研究法研究“高送转”在预案公告日、实施方案公告日、股权登记日与除权除息日对上市公司股价的影响以及累积超额收益的影响因素。研究发现,“高送转”预案公告日前5天开始出现显著为正的异常收益率,且在预案公告日前股东超额回报(CAR)与高送转强度显著正相关;在控制其他变量的情况下,“纯转增”型高送转在实施方案公告日、股权登记日、除权除息日附近具有更高的超额回报率。此外,业绩较好的小盘股、低价股超额回报率更高。

关键词: 高送转, 财务业绩异质性, 超额回报率, 内幕交易