摘要
采用事件研究法,以近年沪深两市实施股票送转的A股上市公司和同行业内未送转的A股上市公司为样本,考察送转公司和同行业内未送转公司在预案公告日前后的股价反应,对上市公司股票送转的行业内股价效应进行检验与分析。研究结果表明,送转公司和同行业内未送转公司的股票在预案公告日前后均出现了显著为正的超额收益,送转传递的乐观信号在同行业内发生了转移,行业内股价效应显著存在,且传染效应占主导地位。同时,对行业内股价效应影响因素的研究发现,送转公司的股价效应越明显、规模越大,送转公司与同行业内未送转公司的相似性程度越高,未送转公司的错误定价程度越高,则送转的行业内股价效应越显著。
This paper examines and analyzes the intra-industry stock price effects of stock dividend and transfer of reserve to common shares before and after the dividend announcement day by taking as samples A-shares listed com- panies which issued stock dividends and transfer of reserve to common shares and A-shares listed companies in the same industry in recent years in Shanghai and Shenzhen stock exchange market. The result shows that both sample companies＇ shareholders experience significantly positive excess returns before and after the dividend announcement day, which suggests that favorable information conveyed by stock dividends and transfer of reserve to common shares has shifted within the same industry and there is strong evidence of significant contagion dominant intra-industry stock price effect. In addition, the study on influencing factors of intra-industry stock price effects finds that intra-industry stock price effects are more significant when the stock price reactions of dividend issuing companies are more obvi- ous, when the dividend issuing companies are larger, when the degree of similarities of dividend issuing companies and non-dividend issuing companies are higher and when the degree of mispricing for non-dividend issuing companies are hi^her.
出处
《晓庄学院社会科学学报》
CSSCI
北大核心
2013年第1期114-122,共9页
Journal of Social Science of Hunan Normal University
基金
国家自然科学基金创新研究群体科学基金项目“金融创新与风险管理”(71221001)
国家软科学研究计划项目“国际金融危机的产生与传递及其对中国金融稳定和经济发展的影响”(2010GXS5B141)
教育部长江学者和创新团队发展计划项目“经济管理复杂系统中的建模、优化与决策研究”(IRT0916)
教育部人文社会科学规划青年基金项目“基于时频分析的权证与标的证券联动关系研究”(09YJC630063)
湖南省自然科学基金创新群体资助项目“经济管理复杂系统中的建模、优化与决策研究”(09JJ7002)
关键词
送股
转增
股价效应
行业内效应
stock dividend
transfer of reserve to common shares
stock price effects
intra-industry effects
