强制现金股利政策及其经济后果

强制现金股利政策及其经济后果重庆大学硕士学位论文（学术学位）学生姓名：黄霞指导教师：陆静教授专业：金融学学科门类：经济学重庆大学经济与工商管理学院二O一四年四月MandatoryCashDividendPolicyanditsEconomicConsequencesAThesisSubmittedtoChongqingUniversityInPartialFulfillmentoftheRequirementfortheMaster’sDegreeofEconomicsByHuangXiaSupervisedbyProf.LuJingSpecialty：FinanceCollegeofEconomicsandBusinessAdministrationChongqingUniversityApril2014中文摘要I摘要针对上市公司现金股利分配普遍偏低，连续性及稳定性不足的现象，出于引导证券市场健康发展，增强其长期信心及保护中小投资者权益的目的，有关监管部门自2000年底开始出台了一系列强制现金股利政策以促使上市公司建立良好的现金股利分配机制。本文重点针对2008年10月9日证监会发布《关于修改上市公司现金分红若干规定的决定》这一事件，利用短期事件研究法考察市场对强制现金股利政策颁布期间的市场反应。同时，利用事件后2009年至2011年的月度收益交易数据开展购买—持有异常收益（BuyandHoldAbnormalReturn）长期事件研究，并对三年36个月的月收益率数据进行单因素方差分析及多元回归分析。最后，在稳健性检验中，本文使用LOGISTIC回归对上市企业的现金股利分配意愿进行了分析验证，并建立多元回归模型验证强制现金股利政策对企业的现金股利分配水平及政策颁布前后有不同现金股利分配行为的企业的市场价值的影响。通过多种实证方法的研究分析，本文认为证券监管下的强制现金股利政策对上市公司的派现行为有显著影响，明显增强了上市公司现金股利分配意愿，但对其分派水平的影响并不那么显著。可能基于我国资本市场的弱有效性及其年轻性、投资者的投机心理、上市公司特殊的股权结构等各方面原因，无论是投资者还是上市公司均对现金股利分配作壁上观，表现为短期市场负面反应、连续现金股利分配上市公司数量少且其企业价值相较无分红企业并无显著提升。这样看来，监管目标并未很好地实现。可见，培育一个健康的资本市场仍需长时间的努力。关键词：强制现金股利政策，事件研究法，BHAR，LOGISTIC回归重庆大学硕士学位论文II英文摘要IIIABSTRACTOnourcapitalmarket,cashdividendsoflistedcompaniesisgenerallylow,lackofcontinuityandstability.Forguidingthehealthydevelopmentofthesecuritiesmarketandthepurposeofprotectingsmallinvestors,theregulatoryauthoritiesintroducedaseriesofpoliciestopromotethelistedcompaniespayingmandatorydividendtoestablishagoodcashbonusmechanismsincetheendof2000.OnOctober9,2008theCommissionissuedtheDecisiononAmendingSomeProvisionsofcashdividendsoflistedcompanies.Inthispaper,weuseeventstudyinvestigatedtheshort-termmarketreactiontothemandatorydividendpolicyduringthepromulgation.Meanwhile,weusethemonthlytransactions’returnofsamplelistedcompaniesthatcarryoutdividendscontinuouslyandpseudocompanieswhichhadnevercarriedoutdividendsduring2009till2011tocalculatetheBuyandHoldAbnormalReturn.Andthen,weusethe36monthsandthreeyearsofmonthlyreturnsdatatodotheANOVAanalysisandmultivariateregression.Finally,intherobustnesstest,weuseLOGISTICregressionanalysisandestablishmultipleregressionmodeltotestifyhowthemandatorydividendpolicyaffectthebehaviorsandthemarketvalueoflistedcompanies.Throughavarietyofempiricalresearchandanalysismethods,wedrawaconclusionthatmandatorycashdividendpolicyundersecuritiesregulationhasasignificantimpactonlistedcompaniestocarryoutcashdividends,buttheimpactonthelevelofcashdividendsisnotsoobviously.Wethinkthereasonsmaybelieinthespeculationofinvestors,thespecialownershipstructure,sotheperformanceofshort-termmarketreactionisnegativeandthevaluebetweensamplecompaniesandpseudocompaniesisnotclearlysignificant.MaybethemostimportantreasonisthattheuniqueinstitutionalandeconomicenvironmentofChina.Thus,theregulatoryobjectivesarenotwellrealized.Tobuiltahealthycapitalmarketstillneedslong-termeffort.KeyWords:MandatoryCashDividendPolicy,EventStudyMethod,BHAR,LOGISTICRegression重庆大学硕士学位论文IV目录V目录中文摘要..........................................................................................................................................I英文摘要.......................................................................................................................................III1引言.........................................................................................................................................11.1研究背景..................................................................................................................................11.2研究目的和意义......................................................................................................................21.3研究思路及方法......................................................................................................................31.4研究贡献..................................................................................................................................32文献综述...................................................................................................................................52.1证券监管理论综述..................................................................................................................52.1.1市场失灵...........................................................................................................................52.1.2公共利益理论...................................................................................................................62.1.3监管俘虏论.......................................................................................................................72.1.4监管经济论.......................................................................................................................72.2股利政策理论综述..................................................................................................................82.2.1传统股利政策理论...........................................................................................................82.2.2现代股利政策理论...........................................................................................................93理论分析与研究假设.......................