现金股利政策动因、盈余持续性与市场反应
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摘要
“股利之谜”长期以来一直是学术界的热门话题。由于制度性缺陷以及监管制度不完善等问题,我国上市公司的股利政策表现出了与西方成熟资本市场不同的“股利之谜”。究竟如何去看待我国上市公司的股利之谜?本文基于2000年以后我国证券市场的制度背景,首先从最终控制人特征和公司治理环境层面上考察了上市公司现金股利政策的动因,然后从现金股利政策与盈余持续性关系的角度考察了派现公司的长期业绩表现,最后从股价反应上考察了证券市场投资者对待上市公司现金股利政策的态度以及现金股利信息在理解会计盈余信息含量上的作用。本文的基本结论是:
1.总体而言,上市公司现金股利政策有助于抑制最终控制人“掏空”动机,具体表现为现金股利的支付水平随最终控制人控制权比例的增加呈先减少后增加的U形变动;最终控制人两权分离程度越小,且现金流量权比例越大,派发现金股利的概率和水平越大;而且当最终控制人性质为政府时,上市公司派发现金股利的概率和水平更高。此外,上市公司所处地区的市场化进程越快、政府干预越少、法治水平越高,对中小投资者利益的保护程度越高,公司派发现金股利的概率和水平也越高。
2.总体而言,派现公司表现出了稳定增长的长期业绩,相比于未派现的公司,他们在盈余整体及其各个组成部分上,以及在净利润和营业利润的增长上均表现出更强的持续性。但是,在派发现金股利的公司中,股利支付率的大小与盈余持续性强弱并非简单线性关系,股利支付率高的公司在盈余的整体及其组成部分上并未表现出更强的盈余持续性。另外,第一大股东持股比例超过50%且派发了较大比例现金股利的公司无论在盈余整体还是盈余各个组成部分的持续性上并未表现出与其他派发现金股利公司显著的差别。
3.投资者对于上市公司的现金股利政策持积极的态度,现金股利的变动与股价变动呈显著的正相关关系,现金股利政策是有信息含量的,而且现金股利的股价反应系数要大于盈余的反应系数。另外,虽然投资者在对上市公司现金股利政策的定价中同时考虑了盈利变动的信息,但与国外成熟市场不同的是,投资者并不会根据现金股利信息来对企业未来经营业绩做出判断。而股价长期反应的研究也表明,现金股利信息能够显著增加当期盈余对未来股价回报的解释力,这表明我国证券市场存在着对于派现公司较高盈余持续性的误定价。本文的创新和学术贡献在于:
首先是利用法和金融理论的研究成果,在对上市公司现金股利分配行为的解释上引入公司治理环境的因素,从更为基础性的层面上来考察上市公司的派现行为,为理解现金股利政策提供新的证据。
其次是利用会计学上关于盈余持续性的最新研究成果,从盈余及其组成部分的持续性角度考察上市公司股利政策与会计盈余的关系,丰富了有关盈余质量的研究,并从市场对盈余持续性误定价的角度为市场不能正确认识现金股利的价值提供经验证据。
最后是利用我国上市公司股利分配信息与会计盈余信息同时公告的特点,研究了两种信息协同作用对市场反应的影响,该研究可以为我国学术界有关会计信息含量的研究提供新的思路和经验证据。
“Dividend puzzle”has been a hot academic topic for a long time. Because of the innate institutional deficiency and the imperfect supervising system, Chinese listed companies’dividend policy display a different“dividend puzzle”from the west mature capital market. Therefore, questions about Chinese listed companies’“dividend puzzle”are raised up. Based on Chinese stock market after 2000, this dissertation investigates Chinese listed companies’cash dividend motivations from the aspect of ultimate owner characteristics and corporate governance situations. Then it inspects the long-term performance of the listed company that paid cash dividend from the view of the relationship between cash dividend policy and earnings persistence. Finally, it tests the stock market reaction to cash dividend declare to investigates investors’posture on listed companies’cash dividend policy and the role of cash dividend information in understanding earnings content. The result of empirical test shows that:
1. Overall, listed companies’cash dividend policy is helpful to restrain ultimate owner’s tunneling incentives. The result of empirical test shows that the level of cash dividend manifests a U shape following the increase of ultimate owner’s control rights. And when the divergence of control and cashflow rights is small and the cashflow rights are great, listed company will pay more cash dividend. Moreover, if the nature of ultimate owner can be classified into government, the probability and the level of cash dividend payment is bigger. Besides this, if corporate governance environments, measured by government intervention, legal system effect, marketization degree, can give minority shareholders more protect, listed company will pay more cash dividend.
2. On the whole, listed companies that paid cash dividend display a stable growth in the long-run. Compared to other companies that don’t pay cash dividend, these companies’earnings and its part are more persistent. Moreover, these companies also display the stronger growth ability in the net income and operating income. But the relationship between cash dividend payout ratio and the earnings persistence is not a simple linear relation. The company with higher cash dividend payout ratio does not display stronger earnings persistence. In addition, the preference to cash dividend of the big shareholder does not significantly affect the earnings persistence.
3. Investors regard listed companies’cash dividend policy with a positive manner. The cash dividend change is positively related to the stock price. Moreover, the cash dividend response coefficient is higher than the earnings response coefficient. This result indicates the cash dividend policy has the information content. In addition, although Chinese investors consider earnings information when they price listed companies’cash dividend policy, they can’t use cash dividend information to judge companies’long-term performance, which is different from west mature capital market. Furthermore, research on stock market reaction in a long-term indicate that cash dividend information can significantly increase the power of current earnings explaining further stock return. This result imply that there is mispricing to higher earnings persistence of companies that paid cash dividend.
The main academic contributions of this dissertation are as follows:
At first, based on the theory of law and finance, this dissertation introduces the corporate governance environment factors in multivariate regressions to explain listed companies’cash dividend policy. So we can investigate it from a more basic aspect and supply a new evidence for understanding cash dividend policy.
Secondly, using fruits of research on earnings persistence, this dissertation investigates the relationship between cash dividend policy and earnings based on the persistence of earnings and its part. It enriches our studies about earnings quality. It also supplies an empirical evidence for the incorrect investor impression on cash dividend value from the aspect of earning persistence mispricing.
Finally, using a unique market setting in China where all firms release earnings and dividend information in the same announcement, this dissertation examines the corroboration effect of earnings and dividend. It can provide a clue and new evidence for our research on earnings information contents.
1.总体而言,上市公司现金股利政策有助于抑制最终控制人“掏空”动机,具体表现为现金股利的支付水平随最终控制人控制权比例的增加呈先减少后增加的U形变动;最终控制人两权分离程度越小,且现金流量权比例越大,派发现金股利的概率和水平越大;而且当最终控制人性质为政府时,上市公司派发现金股利的概率和水平更高。此外,上市公司所处地区的市场化进程越快、政府干预越少、法治水平越高,对中小投资者利益的保护程度越高,公司派发现金股利的概率和水平也越高。
2.总体而言,派现公司表现出了稳定增长的长期业绩,相比于未派现的公司,他们在盈余整体及其各个组成部分上,以及在净利润和营业利润的增长上均表现出更强的持续性。但是,在派发现金股利的公司中,股利支付率的大小与盈余持续性强弱并非简单线性关系,股利支付率高的公司在盈余的整体及其组成部分上并未表现出更强的盈余持续性。另外,第一大股东持股比例超过50%且派发了较大比例现金股利的公司无论在盈余整体还是盈余各个组成部分的持续性上并未表现出与其他派发现金股利公司显著的差别。
3.投资者对于上市公司的现金股利政策持积极的态度,现金股利的变动与股价变动呈显著的正相关关系,现金股利政策是有信息含量的,而且现金股利的股价反应系数要大于盈余的反应系数。另外,虽然投资者在对上市公司现金股利政策的定价中同时考虑了盈利变动的信息,但与国外成熟市场不同的是,投资者并不会根据现金股利信息来对企业未来经营业绩做出判断。而股价长期反应的研究也表明,现金股利信息能够显著增加当期盈余对未来股价回报的解释力,这表明我国证券市场存在着对于派现公司较高盈余持续性的误定价。本文的创新和学术贡献在于:
首先是利用法和金融理论的研究成果,在对上市公司现金股利分配行为的解释上引入公司治理环境的因素,从更为基础性的层面上来考察上市公司的派现行为,为理解现金股利政策提供新的证据。
其次是利用会计学上关于盈余持续性的最新研究成果,从盈余及其组成部分的持续性角度考察上市公司股利政策与会计盈余的关系,丰富了有关盈余质量的研究,并从市场对盈余持续性误定价的角度为市场不能正确认识现金股利的价值提供经验证据。
最后是利用我国上市公司股利分配信息与会计盈余信息同时公告的特点,研究了两种信息协同作用对市场反应的影响,该研究可以为我国学术界有关会计信息含量的研究提供新的思路和经验证据。
“Dividend puzzle”has been a hot academic topic for a long time. Because of the innate institutional deficiency and the imperfect supervising system, Chinese listed companies’dividend policy display a different“dividend puzzle”from the west mature capital market. Therefore, questions about Chinese listed companies’“dividend puzzle”are raised up. Based on Chinese stock market after 2000, this dissertation investigates Chinese listed companies’cash dividend motivations from the aspect of ultimate owner characteristics and corporate governance situations. Then it inspects the long-term performance of the listed company that paid cash dividend from the view of the relationship between cash dividend policy and earnings persistence. Finally, it tests the stock market reaction to cash dividend declare to investigates investors’posture on listed companies’cash dividend policy and the role of cash dividend information in understanding earnings content. The result of empirical test shows that:
1. Overall, listed companies’cash dividend policy is helpful to restrain ultimate owner’s tunneling incentives. The result of empirical test shows that the level of cash dividend manifests a U shape following the increase of ultimate owner’s control rights. And when the divergence of control and cashflow rights is small and the cashflow rights are great, listed company will pay more cash dividend. Moreover, if the nature of ultimate owner can be classified into government, the probability and the level of cash dividend payment is bigger. Besides this, if corporate governance environments, measured by government intervention, legal system effect, marketization degree, can give minority shareholders more protect, listed company will pay more cash dividend.
2. On the whole, listed companies that paid cash dividend display a stable growth in the long-run. Compared to other companies that don’t pay cash dividend, these companies’earnings and its part are more persistent. Moreover, these companies also display the stronger growth ability in the net income and operating income. But the relationship between cash dividend payout ratio and the earnings persistence is not a simple linear relation. The company with higher cash dividend payout ratio does not display stronger earnings persistence. In addition, the preference to cash dividend of the big shareholder does not significantly affect the earnings persistence.
3. Investors regard listed companies’cash dividend policy with a positive manner. The cash dividend change is positively related to the stock price. Moreover, the cash dividend response coefficient is higher than the earnings response coefficient. This result indicates the cash dividend policy has the information content. In addition, although Chinese investors consider earnings information when they price listed companies’cash dividend policy, they can’t use cash dividend information to judge companies’long-term performance, which is different from west mature capital market. Furthermore, research on stock market reaction in a long-term indicate that cash dividend information can significantly increase the power of current earnings explaining further stock return. This result imply that there is mispricing to higher earnings persistence of companies that paid cash dividend.
The main academic contributions of this dissertation are as follows:
At first, based on the theory of law and finance, this dissertation introduces the corporate governance environment factors in multivariate regressions to explain listed companies’cash dividend policy. So we can investigate it from a more basic aspect and supply a new evidence for understanding cash dividend policy.
Secondly, using fruits of research on earnings persistence, this dissertation investigates the relationship between cash dividend policy and earnings based on the persistence of earnings and its part. It enriches our studies about earnings quality. It also supplies an empirical evidence for the incorrect investor impression on cash dividend value from the aspect of earning persistence mispricing.
Finally, using a unique market setting in China where all firms release earnings and dividend information in the same announcement, this dissertation examines the corroboration effect of earnings and dividend. It can provide a clue and new evidence for our research on earnings information contents.
引文
① 此处转引自魏刚著,《中国上市公司股利分配问题研究》,东北财经大学出版社,2001,P17。
① 转引自:杨家新. 2002. 《公司股利政策研究》. 北京:中国财政经济出版社,P79-80。
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