股利平滑能发挥“市场稳定器”的作用吗
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摘要
基于2004—2016年间沪深A股上市公司的数据,实证检验了股利平滑对中国资本市场稳定的影响。研究发现,股利平滑对稳定资本市场有积极的作用,其中的作用机理是股利平滑具有信号效应及能缓解代理问题。进一步研究发现,股利平滑能显著降低上市公司股价崩盘风险及股票错误定价。研究结论对有关部门实施上市公司股利分配监管具有一定启示。
Based on the data of A-share listed companies in Shanghai and Shenzhen stock exchanges from 2004 to 2016, this paper conducts an empirical test of the impact of dividend smoothing on the stability of China's capital market. The findings show that dividend smoothing has a positive effect on stabilizing the capital market, of which the mechanism of action is that dividend smoothing has a signal effect and can alleviate the agency problem. Further research reveals that dividend smoothing can significantly reduce the risk of stock price collapse and stock mispricing of listed companies. The conclusions of the study have certain implications for the relevant departments to implement the regulation on dividend distribution of listed companies.
Based on the data of A-share listed companies in Shanghai and Shenzhen stock exchanges from 2004 to 2016, this paper conducts an empirical test of the impact of dividend smoothing on the stability of China's capital market. The findings show that dividend smoothing has a positive effect on stabilizing the capital market, of which the mechanism of action is that dividend smoothing has a signal effect and can alleviate the agency problem. Further research reveals that dividend smoothing can significantly reduce the risk of stock price collapse and stock mispricing of listed companies. The conclusions of the study have certain implications for the relevant departments to implement the regulation on dividend distribution of listed companies.
引文
[1]Lintner J..Distributions of Incomes of Corporations among Dividends,Retained Earnings,and Taxes[J].The American Economic Review,1956,46(2):97-113.
[2]Allen F.,Bernardo A.E.,Welch I..A Theory of Dividends Based on Tax Clienteles[J].Journal of Finance,2000,55(6):2499-2536.
[3]Guttman I.,Kadan O.,Kandel E..Dividend Stickiness and Strategic Pooling[J].Review of Financial Studies,2010,23(12):4455-4495.
[4]Gwilym O.A.,Morgan G.,Thomas S..Dividend Stability,Dividend Yield and Stock Returns:UK Evidence[J].Journal of Business Finance&Accounting,2000,27(3&4):261-281.
[5]Leary M.T.,Michaely R..Determinants of Dividend Smoothing:Empirical Evidence[J].Review of Financial Studies,2011,24(10):3197-3249.
[6]Michaely R.,Roberts M.R..Corporate Dividend Policies:Lessons from Private Firms[J].Review of Financial Studies,2012,25(3):711-746.
[7]Dewenter K.L.,Warther V.A..Dividends,Asymmetric Information,and Agency Conflicts:Evidence from a Comparison of the Dividend Policies of Japanese and U.S.Firms[J].Journal of Finance,1998,53(3):879-904.
[8]Aivazian V.A.,Booth L.,Cleary S..Dividend Smoothing and Debt Ratings[J].Journal of Financial&Quantitative Analysis,2006,41(2):439-453.
[9]Chemmanur T.J.,He J.,Hu G..Is Dividend Smoothing Universal?[J].Journal of Corporate Finance,2010,16(4):413-430.
[10]Lambrecht B.M.,Myers S.C..A Lintner Model of Payout and Managerial Rents[J].The Journal of Finance,2012,67(5):1761-1810.
[11]John K.,Williams J.Dividends,Dilution,and Taxes:A Signaling Equilibrium[J].Journal of Finance,1985,40(4):1053-1070.
[12]王珊珊,邓路,王化成.股市周期、公司特征与现金股利公告的信号传递效应[J].当代财经,2010,(5):117-124.
[13]Jensen M.C.,Meckling W.H..Theory of the Firm:Managerial Behavior,Agency Costs and Ownership Structure[J].Journal of Financial Economics,1976,3(4):305-360.
[14]Knyazeva A.,Knyazeva D..Dividend Smoothing:An Agency Explanation and New Evidence[J].Social Science Electronic Publishing,2014.
[15]Tresl J.,Brockman P.,Unlu E..Dividend Smoothing and Firm Valuation[R].Social Science Electronic Publishing,2016.
[16]Garfinkel J.A.,Sokobin J..Volume,Opinion Divergence,and Returns:A Study of Post-Earnings Announcement Drift[J].Journal of Accounting Research,2006,44(1):85-112.
[17]何佳,何基报,王霞,翟伟丽.机构投资者一定能够稳定股市吗?---来自中国的经验证据[J].管理世界,2007,(8):35-42.
[18]叶康涛,曹丰,王化成.内部控制信息披露能够降低股价崩盘风险吗?[J].金融研究,2015,(2):192-206.
[19]曹越,宋瑞霞,吴昊旻.产品市场势力、企业避税与股价信息含量[J].江西财经大学学报,2017,(1):28-47.
[20]Doukas J.A.,Chansog K.,Christos P..Arbitrage Risk and Stock Mispricing[J].Journal of Financial and Quantitative Analysis,2010,45(4):28-43.
[21]许年行,江轩宇,伊志宏,徐信忠.分析师利益冲突、乐观偏差与股价崩盘风险[J].经济研究,2012,(7):127-140.
[22]魏明海,岳勇坚,雷倩华.盈余质量与交易成本[J].会计研究,2013,(3):36-42.
[23]邵帅,吕长江.实际控制人直接持股可以提升公司价值吗?---来自中国民营上市公司的证据[J].管理世界,2015,(5):134-146.
[24]罗进辉,黄泽悦,朱军.独立董事地理距离对公司代理成本的影响[J].中国工业经济,2017,(8):101-120.
[25]陈名芹,刘星,辛清泉.上市公司现金股利不平稳影响投资者行为偏好吗?[J].经济研究,2017,(6):90-104.
(1)参考叶康涛等(2015)、许年行等(2012)的研究,此处的回归方程中控制了股票年换手率(Turnover_yea)r、股票周收益率标准差(Sd_ret_week)。[18,21]
(1)2008年10月证监会出台了半强制分红政策,规定再融资上市公司“最近3年以现金方式累计分配的利润不少于最近3年实现的年均可分配利润的30%”。
[2]Allen F.,Bernardo A.E.,Welch I..A Theory of Dividends Based on Tax Clienteles[J].Journal of Finance,2000,55(6):2499-2536.
[3]Guttman I.,Kadan O.,Kandel E..Dividend Stickiness and Strategic Pooling[J].Review of Financial Studies,2010,23(12):4455-4495.
[4]Gwilym O.A.,Morgan G.,Thomas S..Dividend Stability,Dividend Yield and Stock Returns:UK Evidence[J].Journal of Business Finance&Accounting,2000,27(3&4):261-281.
[5]Leary M.T.,Michaely R..Determinants of Dividend Smoothing:Empirical Evidence[J].Review of Financial Studies,2011,24(10):3197-3249.
[6]Michaely R.,Roberts M.R..Corporate Dividend Policies:Lessons from Private Firms[J].Review of Financial Studies,2012,25(3):711-746.
[7]Dewenter K.L.,Warther V.A..Dividends,Asymmetric Information,and Agency Conflicts:Evidence from a Comparison of the Dividend Policies of Japanese and U.S.Firms[J].Journal of Finance,1998,53(3):879-904.
[8]Aivazian V.A.,Booth L.,Cleary S..Dividend Smoothing and Debt Ratings[J].Journal of Financial&Quantitative Analysis,2006,41(2):439-453.
[9]Chemmanur T.J.,He J.,Hu G..Is Dividend Smoothing Universal?[J].Journal of Corporate Finance,2010,16(4):413-430.
[10]Lambrecht B.M.,Myers S.C..A Lintner Model of Payout and Managerial Rents[J].The Journal of Finance,2012,67(5):1761-1810.
[11]John K.,Williams J.Dividends,Dilution,and Taxes:A Signaling Equilibrium[J].Journal of Finance,1985,40(4):1053-1070.
[12]王珊珊,邓路,王化成.股市周期、公司特征与现金股利公告的信号传递效应[J].当代财经,2010,(5):117-124.
[13]Jensen M.C.,Meckling W.H..Theory of the Firm:Managerial Behavior,Agency Costs and Ownership Structure[J].Journal of Financial Economics,1976,3(4):305-360.
[14]Knyazeva A.,Knyazeva D..Dividend Smoothing:An Agency Explanation and New Evidence[J].Social Science Electronic Publishing,2014.
[15]Tresl J.,Brockman P.,Unlu E..Dividend Smoothing and Firm Valuation[R].Social Science Electronic Publishing,2016.
[16]Garfinkel J.A.,Sokobin J..Volume,Opinion Divergence,and Returns:A Study of Post-Earnings Announcement Drift[J].Journal of Accounting Research,2006,44(1):85-112.
[17]何佳,何基报,王霞,翟伟丽.机构投资者一定能够稳定股市吗?---来自中国的经验证据[J].管理世界,2007,(8):35-42.
[18]叶康涛,曹丰,王化成.内部控制信息披露能够降低股价崩盘风险吗?[J].金融研究,2015,(2):192-206.
[19]曹越,宋瑞霞,吴昊旻.产品市场势力、企业避税与股价信息含量[J].江西财经大学学报,2017,(1):28-47.
[20]Doukas J.A.,Chansog K.,Christos P..Arbitrage Risk and Stock Mispricing[J].Journal of Financial and Quantitative Analysis,2010,45(4):28-43.
[21]许年行,江轩宇,伊志宏,徐信忠.分析师利益冲突、乐观偏差与股价崩盘风险[J].经济研究,2012,(7):127-140.
[22]魏明海,岳勇坚,雷倩华.盈余质量与交易成本[J].会计研究,2013,(3):36-42.
[23]邵帅,吕长江.实际控制人直接持股可以提升公司价值吗?---来自中国民营上市公司的证据[J].管理世界,2015,(5):134-146.
[24]罗进辉,黄泽悦,朱军.独立董事地理距离对公司代理成本的影响[J].中国工业经济,2017,(8):101-120.
[25]陈名芹,刘星,辛清泉.上市公司现金股利不平稳影响投资者行为偏好吗?[J].经济研究,2017,(6):90-104.
(1)参考叶康涛等(2015)、许年行等(2012)的研究,此处的回归方程中控制了股票年换手率(Turnover_yea)r、股票周收益率标准差(Sd_ret_week)。[18,21]
(1)2008年10月证监会出台了半强制分红政策,规定再融资上市公司“最近3年以现金方式累计分配的利润不少于最近3年实现的年均可分配利润的30%”。