現金股利變動對股價的宣告效果:中國的實證分析

Abstract

本文採用2000-2004年之間所有中國A股上市公司的現金股利變動樣本，並且應用事件研究法，以探討現金股利變動的宣告效果，並同時檢驗股利傳訊假說是否可在中國的股票市場成立。實證結果指出，現金股利改變的宣告對股價有正面的影響，但是這樣的結果只部分支持了股利傳訊假說。此外我們也發現，中國不同股票市場之間的現金股利變動宣告效果並沒有重大差異；然而不同樣本期間的現金股利變動宣告效果呈現明顯的差異，這可能與兩條管理性法規的頒布與實施有密切的關聯。橫斷分析也發現，現金股利殖利率及非流通股的比率對現金股利變動的宣告效果有顯著的解釋能力。

This paper adopts the sample of cash dividend changes from all listed A-share firms in China over the period 2000 to 2004 and applies an event study in order to investigate the announcement effect of cash dividend changes and to examine simultaneously if the dividend signaling hypothesis holds in China’s stock markets. Empirical results indicate that the announcement of cash dividend changes has a positive influence on share prices, but such results only partly support the dividend signaling hypothesis. We also find that there is no great dissimilarity between the announcement effects of cash dividend changes for different stock markets in China. However, the announcement effect of cash dividend changes for different sample periods exhibits distinct differences which may have a close connection with the promulgation and execution of two administrative rules. The cross sectional analysis also shows that both cash dividend yield and the ratio of non-floating shares have explanatory power on the announcement effect of cash dividend changes.