上市公司股利政策的时间效应及其内生性  

The Time Effects and Endogenous of the Dividend Policy of Listed Companies in China

作　　者：丁志国[1] 李甜[2] 赵晶[3] 

机构地区：[1]三峡大学经济与管理学院,湖北宜昌443002 [2]中央财经大学中国金融发展研究院,北京100081 [3]东北师范大学商学院,吉林长春130117

出　　处：《中国工业经济》2014年第10期122-134,共13页China Industrial Economics

基　　金：国家自然科学基金项目"跨期条件下Beta系数时变对资产定价的影响机理研究"(批准号71073067);教育部人文社会科学研究青年项目"基于主体非理性决策的创业板公司原始股东减持行为研究"(批准号14YJC631165);教育部"新世纪"优秀人才支持计划项目"金融开放条件下国际金融风险对我国资本市场的冲击机理研究"(批准号NCET-10-0434)

摘　　要：国内外已有股利政策研究文献,主要关注企业如何确定最佳股利政策以及投资者的股利偏好等问题。本文基于面板Logit和Tobit模型,选取2003—2013年中国沪深A股市场数据,实证判别股利政策随上市时间变化呈现的一般性规律及其内生性特征,并给出理论猜想解释实证检验结论的经济学内涵,即基于实证检验判别上市公司股利政策"是否"和"如何"内生时变,再基于理论猜想解释上市公司股利政策"为什么"内生时变。基于不同时间频率数据的实证结果稳健表明:中国沪深A股市场公司股利政策随上市时间变化呈现正U型曲线特征;曲线拐点大约出现在6年;即使剔除盈利能力、股权结构和代理成本等显著的影响因素后,上市公司的股利政策仍然服从上述时变规律。因此,中国上市公司股利政策存在显著的时间效应且具有内生性特征。本文理论猜想认为:上市公司股利政策的内生时变特征,源自资本市场上投资者心理账户偏好以及公司管理者上市亢奋共同作用的结果,而上市公司股利政策的时间效应及其内生性特征则是信息冲击反映周期的具体表象。The existing research literatures of dividend policy at home and abroad, mainly focus on how to determine the optimal dividend policy, investors＇ dividend preference problem and so on. Based on panel Logit model and panel Tobit model, this paper uses China＇s A-share market data from 2003 to 2013 to do empirical test on China＇s listed companies to explore the general rule and the characteristics of the endogenous of dividend policy with time. And then, based on theoretical conjectures, we explain the economics connotation of empirical conclusions, namely empirically dividend policy of listed companies ＂whether＂ and ＂how＂ to endogenous time- varying. Next, we also provide the theoretical conjecture of ＂why＂ endogenous time-varying of dividend policy of listed companies. Different time frequency data robust empirical results show that： the time-varying characteristics of dividend policy of listed companies showed a typical U-shaped curve, and profitability; Knee point appeared in about six years or so; Even with profitability, the influence factors of equity structure and agency costs significantly, the dividend policy of listed companies still obey the time-changing law. Therefore, China＇s listed companies dividend policy has significant time effects and endogenous characteristics. Theories, the author of this paper concludes that： the endogenous time-varying characteristics of dividend policy of listed companies derive from the psychology account preferences of capital market investors together with the managers＇ activated state of listed company, and the time effect of dividend policy and endogenous characteristics of listed companies are just the specific representation of information reflect cycle.

关 键 词：上市公司 股利政策 时间效应 内生性 理论猜想 

分 类 号：F830.91[经济管理—金融学]