基于股票股利超额收益的实证研究  

Empirical Study on Abnormal Returns of Stock Dividend

作　　者：周健[1] 钱凯[1] 卢小广[1] 

机构地区：[1]河海大学商学院,南京211100

出　　处：《重庆理工大学学报（自然科学）》2015年第5期147-151,共5页Journal of Chongqing University of Technology：Natural Science

基　　金：中央高校基本科研业务费项目(2013B13814)

摘　　要：基于股利政策的相关理论,采用我国上市公司股票交易数据,按照上市公司各自的股利政策,分别构造了股票股利和现金股利2个子样本,计算了由这2个子样本构成投资组合的综合价格指数及其收益率,进而运用CAPM、夏普比率和詹森指数,对发放股票股利的股票是否具有超额收益开展实证研究。结果表明:2种股利政策公司的收益率和超额收益均存在显著差异;股票股利政策投资组合的超额收益显著优于现金股利投资组合;股票股利投资组合的持有期间越长,投资收益优势越明显。Based on the theories of dividend policy, using the stock transaction data of Chinese listed companies, we constructed stock dividend and cash dividend subsamples and calculated the composite price index and yields of the investment portfolios which constituted by the two subsamples in accord- ance with each dividend policy. Thus we did empirical research on whether stock dividend stocks have abnormal returns with the use of CAPM, Sharpe ratio and Jensen index. As a result, the yields and abnormal returns of the two companies are significantly different. The latter of the stock portfolio is significantly superior to the cash and the longer the holding periods, the more obvious the advantages.

关 键 词：股票股利 超额收益 夏普比率 詹森指数 

分 类 号：O21[理学—概率论与数理统计] F832.5[理学—数学]