现金股利与股票回购公告效应比较研究  

A Comparative Study on the Announcement Effect of Cash Dividends and Stock Repurchase

作　　者：王剑[1] 黄锦春[1] 

机构地区：[1]澳门科技大学行政与管理学院,澳门999078

出　　处：《商业研究》2014年第1期137-145,共9页Commercial Research

摘　　要：本文采用事件分析法,在计算异常收益的基础上分别研究了现金股利和股票回购公告的市场反应,发现在我国资本市场上二者均具有明显的公告效应,且二者的公告效应具有极大的相似性,不仅具有提前反应的现象,在研究的事件时间窗口内有相似的阶段性特征,而且市场反应的程度也无差异,这些表现说明现金股利与股票回购在我国A股市场上具有一定的替代效用。Based on the calculation of abnormal return, this paper respectively studies the market effect of cash dividends and stock repurchase announcement by use of the event - study analysis method, finding that both of the two mentioned do have the obvious announcement effect, and the announcement effect is very similar： both have antedating response phenomenon ; both share the similar stage characteristics during the event time window under the study; no difference on the level of the market reaction. All these indicate that substitution effects exist between cash dividends and stock repur- chase in the A share market of China.

关 键 词：现金股利 股票回购 公告效应 

分 类 号：F832.51[经济管理—金融学]