股票股利与公积金转增的长期超额收益研究

Research on Long-term Abnormal Return Following Stock Dividend and Transfer of Reserveto Common Share

中文关键词:  股票股利  公积金转增  长期超额收益

英文关键词:stock dividend  transfer of reserve to common share  long-term abnormal return

中文摘要:

      以1995年1月1日—2008年12月31日沪深两市发放股票股利和实施公积金转增的A股上市公司为样本,研究了发放股票股利和实施公积金转增后公司股票的长期收益率变化情况。研究结果表明,发放股票股利和实施公积金转增后,公司存在长期异常超额收益且收益率为正,间接说明在弱式有效的中国资本市场上,公司管理层通过发放股票股利和实施公积金转增这一行为向市场传递了公司具有良好发展前景的积极信号。

英文摘要:

      In this paper, the focus is put on the companies listed on Shanghai Stock Exchange and Shenzhen Stock Exchange, which distribute stock dividend and transfer the reserve to common share from January 1,5 to December 31,8. The long-term event study method is adopted to calculate the abnormal returns of those companies to test the earnings of listed companies after the month of stock dividend policy announcement. The empirical results show that the earnings changing after the announcement has a significant positive stock market reaction in the long term, which indicates that there are positive abnormal returns. This shows that the distribution of stock dividend and transfer of reserve to common share is a positive sign of good prospects of the company under Chinese weak-form efficient market. 