流动性对送转股影响研究——基于套利风险视角  

A Study on the Influence of Turnover on Stock Dividend and Transfer of Reserve to Common Shares——From the Perspective of Arbitrage Risk

作　　者：林煜恩 王柘君 

机构地区：[1]吉林大学商学院,吉林长春130012

出　　处：《华东经济管理》2017年第1期151-159,共9页East China Economic Management

摘　　要：文章以2003年1月至2015年12月沪深A股上市公司为样本,基于套利风险的视角,首先使用事件研究法,运用现有定价模型考察了市场对于送转宣告事件的累计异常报酬率的变化情况。之后纳入流动性变量、套利风险变量及二者的交互作用项,分别构建了送股与转增的影响因素模型,检验套利风险与流动性对送股、转增的影响。结果发现:送转宣告事件对市场产生积极影响;流动性越高,送股比越小,转增比越大;套利风险越高,股票流动性强的公司送股比越高,转增比越小;公司送转股行为符合"价格幻觉"假设。Using the samples of A-share listed companies in Shanghai and Shenzhen Stock Exchange from January 2003 to December2015, this paper uses the event study method and the existing pricing model to observe the market reaction to the announcement of cumula-tive abnormal return rate of stock dividend and transfer of reserve to common shares from the perspective of arbitrage risk. Then the paperbrings into turnover and arbitrage risk variables and their interactional relationship to build dividend model and transfer of reserve to com-mon shares model respectively, and examines the impacts of turnover and arbitrage risk on the models. The result shows that： The an-nouncement has a positive effect on market; The turnover has a negative effect on the ratio of stock dividend and a positive effect on the ra-tio of transfer of reserve to common shares; The company with a high arbitrage risk and a high turnover rate has a high ratio of stock divi-dend and a low ratio of transfer of reserve to common shares; The result supports the＂price illusion＂hypothesis.

关 键 词：流动性 送股 转增股 套利风险 

分 类 号：F832.5[经济管理—金融学]