华中科技大学硕士学位论文民营上市公司现金股利信号传递效应实证研究姓名:崔吉勇申请学位级别:硕士专业:企业管理指导教师:夏新平20061031I2003();;;IIAbstractAccordingDividendSignalTheory,acompanymayusedividendstothereleaseofinformationtoinvestorsthecompany'sprofitability,reducingtheinformationasymmetrybetweeninvestorsandmanagers,sothatpricesreflecttruevalue.Previousstudieshavealsofoundthatthedividendcancutcostsandeasetheagencyproblembetweenshareholdersandmanagers.Inparticular,thecashdividendhasbeenbecomethemainformofdividenddistributionoflistedcompanies,andsymbolicallocation,viciousfactionnowbecometheissuehasbeenthefocusofattentionofall.ThefocusofthispaperistoresearchthesignaleffectswhichinfluenceNon-stateownedlistedcompanies’dividendpolicythoroughly.Aimingatthewidespreadviewthatsecurityauthoritiesshouldinterinterferencethedividendspolicyoflistedcompanies,thispaperanalyzedthepresentstudyonthemarketreactiontothedividendspolicyoflistedcompanies.Expellingtheinterferenceofsomedata,weuseregressionmethodtostudytheSignaleffectofcashdividendpolicyofChineseNon-stateownedlistedcompanies.Theresearchofthispapershows:Cashdividendisaresultofthesystemgradualprogressthatthepolicyofthedividendisdevelopedintograduallybystockdividend.Undertheunripecapitalmarketcondition,becausetheinvestordoesnothavedividendrelativelystrongfaithtocompanyvalueofcashdividends,cashbecomeandtransmitvaluethesignalsofinformationandparticipateineachsideactioninthecourseofdevelopingascapitalmarketbydividend,agradualonemakemarketembodycompanyvaluethatcomeouthavetodividendpolicy,cashdividendcanbecomethetooloftheeffectiveexpressionprivateinformationofthecompany.Keywords:cashdividend;corporatevalue;signaleffect;non-stateownedlistedcompany111.12M&M()1.21.2.1()1)1990()3(2001)2)?41.2.21)20006%2)1.3512M&M3456(1-1)61-1722.1(Dividend)M&M(IncompletesMarket)(AsymmetricInformation)(2-1)1956Rose1979BhattacharyaRose8Bhattacharya2-1-1961(Miller,M.H.)(Modigliani,F.)2.2M&MM&M(Miller,M.H.)(Modigliani,F)19611)(PerfectCapitalMarket)92)(RationalBehavior)3)(PerfectCertainty)M&M()tpρ()()()()tptptptd−++=1ρ(2.1)()tdt()tpt()1+tp1+tt()()()ρ+++=11tptdtp(2.2)(2.2)t()tn()()()()()()ρ++∗+==∗11tptntDtVtptn(2.3)()tDt()tVt()tX()()11+∗+tptm()1+tmt()tD()tI10()()()()()[]tDtXtItptm−−=+∗+11(2.4)(2.4)(2.3)()()()()()()[]{}tntmtptItXtV++∗++−+=1111ρ(2.5)()()()[]tntmtp++∗+111+t()1+tV()()()()[]111++−+=tVtItXtVρ(2.6)1+t()1+tV()()()()[]211111+++−++=+tVtItXtVρ(2.7)()1+tV()tV+∞→t()[]()()[]()∞=−+=∑∞=+,,2,1,011001…ttItXVttρ(2.8)M&MM&MM&MM&MM&M11M&MM&M()()M&M2.102.102.32.3.1MM12(AdverseSelection)(MoralHazard)2.3.213(Kasanen)()1433.1M&MPettit(1972)Cherest(1978)()Aharony&Swary(1980)11Asquith&Mullins(1983)15Fama,Fisher,JensenandRoll(1969)3-13-11Bhattacharya(1979)2Aharony&Swary(1980)3Asquith&Mullins(1983)5John&Williams(1985)6Miller&Rock(1985),7Pettit19858Ambarish,John&Williams(1987)9John&Long(1991)10Conroy200011DanBernhardt,AlanDouglas&FionaRobertson200212UpinderS.DhillonaKartikRamanbGabrielG.Ramírezc2004163.23-21)(1998)199719971997(2001)19951995-1998)CARCARCAREPSEPSCAREPSCAR17(2001)(InformationContamination)(2001)EPS(2001)(2001)2)1998199586A)23)(2000)1998ROE(2001)19922000(SpillOverEffect)18))B19971999))M&M)19)(2002)CAR3-2203-21997NA(-20,+20)1998(-5,+5)1998(-20,+20)2000ROE(-3,0)2001(-1,+1)2002(-5,+5)2144.14.1.141199220021083.8197IPO7136(MBO)63120614-1IPO()()MBO()()(AB)(%)19921001531.89199320031831.64199442092913.09199500093232.7919961040235303.4319979120447455.9119985220718518.341999922210494910.96200018232146108813.42200112101169116014.5720022151197122416.09711206197122416.09224.1.21)19415164.854%11872)1216887%3)234.1.31)2)24(4-2)4-21999200020013.4592.233.9464.816.73.065.713.1110.4()8.724.2314.4810.4419.884.6814.595.3499.5779.716.9177.5154.649822.7136.731.9350.9()61.422.3210.6177.5284.227.39231.469.30.1050.1110.310.020.0980.6170.020.080.5040.0640.0920.4680.30.07612.290.0070.0631.0270.030.050.130.040.050.0570.070.0360.7640.0390.0490.080.0290.0420.1070.0130.0330.1960.060.010.270.130.020.220.1100.240.1150.0260.2580.2030.0362.6060.1470.040.5050.260.240.160.290.280.160.320.30.280.2340.2190.1740.2320.2090.1870.2430.2230.1923.312.931.714.663.952.823.32.592.67Q2.4962.2031.3263.5333.1171.9222.6022.1941.637254.24.2.1200O1)200019964-34-3(A)199619971998199920002001200220032004()48468879489310301109118012471298()445642710819935970101611021124()170218266308700704633615698()105154199249540574515445554(%)23.624.028.030.457.859.250.740.449.3(%)21.722.425.127.952.451.843.635.742.71996-19992000200157.8%59.2%52.4%51.8%200219981999200020002)4-426199620042320004921.9%0.4%44-4(A)199619971998199920002001200220032004484688794893103011091180124712981051541992495405745154455542325494156358358302313316326212423523021749265384157171592432581116512224174817827923)199410%19969%199936%2001336%19961999200110%6%0-6%4)1996A274-590.1620%0.134-5(A)/1996199719981999200020012002200320040.160.190.20.170.140.130.130.140.140.130.160.180.150.10.10.10.10.10.010.010.0190.010.010.010.0040.0050.010.5211.250.80.60.660.520.91.20.010.0210.020.0120.0090.0090.0090.0110.0144.2.226199820014444185210655681-34-64-6200210(N)N11