半强制分红政策能增加投资者财富吗——基于市场流动性视角的事件研究  

Does the Semi-mandatory Dividend Policy Create Value for Investors——An Event Study from the Perspective of Market Liquidity

作　　者：李茂良[1] 李常青[1] 魏志华[2] 

机构地区：[1]厦门大学管理学院,福建厦门361005 [2]厦门大学经济学院,福建厦门361005

出　　处：《山西财经大学学报》2014年第6期49-58,共10页Journal of Shanxi University of Finance and Economics

基　　金：国家自然科学基金青年项目(71102058);国家自然科学基金面上项目(71172050);中央高校基本科研业务费项目(2011221012)的资助

摘　　要：2008年10月9日,中国证监会颁布了《关于修改上市公司现金分红若干规定的决定》,将再融资的分红要求从20%提高到30%。本文以此次政策公告为研究背景,考察市场流动性在投资者评价现金股利相关性时扮演的角色,并首次从市场流动性视角分析了半强制分红政策影响投资者财富的两条路径。实证结果表明:(1)股票的市场流动性越差,其在政策颁布时间窗口内的累计超常收益率越高;(2)政策颁布后,股票的市场流动性水平明显提升;(3)市场流动性水平提升越多的股票,其在政策颁布时间窗口内的累计超常收益率越高。On October 2008, China Security Regulation Committee announced a stipulation titled ＂Decision on Revising Some Provisions on Cash Dividend Payments of Listed Companies＂. In the context of the announcement, We investigate the role of market liquidity when investors assess the relevance of cash dividend. We also explore two ways by which the semi-mandatory dividend policy creates value for investors. The empirical results support our views and show that the cumulative abnormal return is positively associated with the illiquidity of a stock, suggesting that the policy of semi-mandatory dividend is good news for less liquid stocks, the market liquidity is improved substantially in the post-announcement period and the more the market liquidity improved, the greater the cumulative abnormal return obtained from a stock.

关 键 词：股利政策 市场流动性 半强制分红政策 市场反应 

分 类 号：F832[经济管理—金融学]