股票市场只是实体经济主旋律的一个插曲吗?——基于现金股利决策的市场学习效应研究  

Is the Stock Market a Sideshow of Real Economy?——A Study Based on Market Learning Effect in Cash Dividend Policy

作　　者：周卉 谭跃[2] Zhou Hui;Tan Yue

机构地区：[1]北京师范大学国际商务与管理研究中心 [2]暨南大学管理学院

出　　处：《投资研究》2020年第8期4-24,共21页Review of Investment Studies

基　　金：广东省哲学社科“十三五规划”学科共建项目(GD17XYJ35);广东高校省级重点平台和重大科研项目之青年创新人才类项目(2016WQNCX170);北京师范大学珠海分校教师科研能力促进计划。

摘　　要：本文探讨管理者是否在现金股利决策中倾听市场声音,进行市场学习。OLS和多项式模型结果均说明管理者依据股票超额收益率调整现金股利;且股价信息含量越高,管理者越有可能在决策中参考股价信息。控制管理者自有信息和分析师信息,并考虑误定价影响后,市场学习假说仍有解释力度。市场学习效应在管理层过度自信程度较低、管理层持股比例较高的企业以及市场化水平较低的地区更为明显。进一步研究表明,市场学习行为能改善企业绩效。This paper studies whether managers listen to the market when making decisions on cash dividend.Results from OLS model and Multi-logit model show that managers rely on the private information incorporated in the stock price to adjust cash dividend,and this effect increases with the price informativeness.The findings above are robust to alternative measure of stock price informativeness.Besides,the conclusion holds when managers’own information and analysts’information is controlled.Moreover,after considering the mispricing effect,the learning hypothesis still has incremental explaining power.The learning from market effect is more significant in companies with lower managerial overconfidence,companies with higher management stock-holdings and areas with lower marketization.Further research shows that the leaning effect will improve the performance.

关 键 词：现金股利 股价信号 市场学习 股价信息含量 

分 类 号：F832.51[经济管理—金融学] F275