2004-2005 > Academic research: refereed > Publication in refereed journalVersion of RecordPublishe

Chen, GM

Gao, N

PolyU Institutional Repository

第 31 卷 第 3 期 财经研究 Vo l 31 No 32005 年 3 月 Journal of Finance and Economics Mar 2005??????????????陈工孟1 ,高  宁2( 1 ?????????(??) ,??; 2 ???????????, ?? ?? 518034)  ?  ?:文章主要研究中国上市公司年度盈余宣告和股利宣告的信息含量?中国上市公司在宣告会计盈余的同时宣告现金股利和股票股利, 文章在检验这三类宣告信息有用性的同时,也对三者之间的相互影响进行检验?基于对 1232 个同时宣告的数据集的研究,我们发现非预期盈余(用盈余变化表示)与异常收益正相关, 这表明投资者利用盈余宣告信息来确定股票市价?股票股利则加强或减弱了盈余信号?股票股利和股票收益之间存在着较弱的相关性?现金股利和股票收益之间也没有明显的联系, 这和股利不相关理论是一致的?此外,各项的敏感性检验结果都表明, 文章的结论是稳健的?  ???:盈余; 股利;信息含量; 交互作用  ?????: F230  ?????: A ????: 10019952( 2005) 03005810  ????????????????????????????????????????????????????????????,?, Coll in( 1997)??????????????????????????; F irth( 1996)??,???????????,?????????????????????????,???????????????????????,????????????????????????????, ??????????????????????  ????????????????????????????????,???????????????????, ???????????????????????????????, ????????? 1995~1998? 1232????????????????????????????????????,???????(???????)??????????,???????????????,???????????????????????, ??????,???????????????????: 20041220????:???( 1964- ) ,?,?????,?????????(??)??,?????;?  ?( 1972- ) ,?,?????,???????????,???58??????  ??????????????????????????Aharony ?Sw ary ( 1980)?????, ???, ????????????????, ?????????????????????(??????????? 10?)?Kane? ( 1984) ??????????????????10????(???????????) , ????????????????????????????????????????,?????????????????,??????????,????????????  Kane? ( 1984) ??????????????,????????,????????????????, ????????????????????????;????,??????????????????????????Leftw ich ? Zmijew ski ( 1994)????? Kane ??????,????????????????????????, ???????????????,?????????????????????????????, ?????, ??????????????Easton ( 1991)???????????? Kane ???????Conroy ?( 2000)????, ?????????????????,??,??????????????????????????????????????  1 ????  ???????????????????????( UE)?????????( U D)?????????( U SD)?????????????????????, ????????????????? ???????:  ????? UE= ( E t- E t- 1 ) / SPd- 1 ( 1)  ??????? UD= ( Dt- Dt- 1 ) / SPd- 1 ( 2)  ??????? USD= ( SDt- SD t- 1 ) / SP d- 1 ( 3)??: E t ? Et- 1??? t ?? t- 1??????; Dt ? Dt- 1? t ?? t- 1????????; SDt ? SDt- 1? t?? t- 1????????; SPd- 1???????????????  ???????????????( CAR)????????????????????????????????????????????????????????????,??????? 280????(?????)???? 31????? 250??????????????  ?? 1: CAR= 0+ 1UE+ 2UD+ 3USD ( 3)59?????  ?: ??????????????  ?? 2: CAR= 0+ 18i= 1iUE( ECS) + 30i= 19iUD( ECS) + 42i= 31iU SD( ECS)( 5)??: CAR= ???????????????????? ; ( ECS) = ???????( E= + ?- )?????????( C= + ? 0?- )?????????( S= + ? 0?- )???????????????, ?????????????????, ??, ECS ( ECS= + + + )??? 1, ???????????????????????( ECS = + + 0) , ?? 1, ????????????????????, ?? UD ??,?? 12?????: ( ++ + ) , ( + + - ) , ( + 0+ ) , ( + 0- ) , ( + - + ) , ( + - - ) , ( - + + ) , ( -+ - ) , ( - 0+ ) , ( - 0- ) , ( - - + )? ( - - - )??? USD??, ?? 12?????: ( + + + ) , ( + + - ) , ( + 0+ ) , ( + 0- ) , ( + - + ) , ( + - - ) ,( - + + ) , ( - + - ) , ( - 0+ ) , ( - 0- ) , ( - - + )? ( - - - )???????,????????????,???????????????,????????????????  ?? 1???? 1?2 ? 3 ?????????????????????????????????? 2?????????????????????????, ?????????????????????  2 ????????  ??? 1995~ 1998??????????????? 1232? A ???????? ,??????????????????????????????????, ??????????????, ????????????????????????????????????????????????( CSMAR)????  ????????????????,????????, ?????????: ( - 7, 7) , ( - 5, 5) , ( - 2, 2)?( - 1, 1)????????( - 1, 1)?????,????????,???????????????? 1 ????????????????????????????A ????????????????????( UE)?? ?? ???????????( UD)?? 243 92 335?? 341 189 530?? 193 174 367?? 777 455 1 232  ?????????????  2 ?B ????????????????????( U E)?? ?? ???????????( USD)?? 196 71 267?? 286 254 540?? 189 146 335?? 671 471 1 142  ?????????????  2 ?60???? 2005?? 3??: 2= 84 16, p ?= 0 00? ?:  2= 141 03, p?= 0 00??? 1  ????????????????????????????C ????????????????????????? ( UE)???????UD USD ?? ?? ???? ?? 29 11 40?? ?? 60 46 106?? ?? 59 29 88?? ?? 116 30 146?? ?? 155 123 278?? ?? 66 66 132?? ?? 51 30 81?? ?? 42 71 113?? ?? 64 51 115?? 642 457 1 099  ?:???????????  2 ??:  2= 260 86, p ?= 0 00?  ? 1??????????????????????????, A ????????????????, B????????????????,C??????????????????????????? 63%???????????(?????????) , ? 37%???????????(?????????)??????????????  ? A???,??? 27%?????????? ( n= 335) , 43%????????????( n= 530) , 30%????????????????????????????,????????????????????????? 1? A ????,???????, ??????????, ?????????, ??????????  2 ?????????????????,??????????????, ?? 2 ???? 84 16, p?? 0????????????????????, ??????????????,????? 0 115(? 0 05??????????)?  ??????????(?? 1? B)????????????????????(? A)??  2 ????????????????,???????????????????????????????? 5%????????????? 0 074,?????????????????  ? 1? A?? B??????????,??????????????????????????????????????????????- 0 142, ??, ?????????????????????????,????????????- 0 237???????????,??????????????? 1%???????????????????????61?????  ?: ??????????????????,????????????, ?????????????,??????????, ???????????? C ???????????C?, ? 40??????????????????, ? 88??????????,???????, ???????????????(?? C ???)???,???????????????????????( n= 81)?????????  ????????????????????????????????????????????????????,?????, ??????????????????,??????? 0 41%; ??????????,???????- 2 90%??????? 3 31????,? 1%???????????( t= 4 30)???????????????????????????????????????? ( t ??? 5 70? 2 40)??????????, ?????,???????- 2 70%, ???????????? 0 30%???????????? 0 01??????????( t=- 8 46)????????,??????????????????????????,???????- 2 10% ;??????????, ???????- 2 90%???????? 0 80????,???????????( t=- 0 90)???????,?????????????????????( t= - 0 85)?????,????????????????, ???????????????  ??????????????????,????????????????,??????????, ?????????????????????????????????????????????????????????, ??????? 2 60% (???- 3 36%, ???-0 76%) , ????????( t= 2 58)???, ????????,???????????????????????????????????????????????????????????????, ?????????????,?????????????????????????,???????????????, ?????????????????????????, ??????????????  ??????????????????????????????????,????????????????????????????????,????????????  ???,???????????????????????????????????????????, ???????????( 777)???62???? 2005?? 3?????????????( 455)?? UD ???????, U E> 0???????? UE< 0?????????, ????? t ???? 2 61,?????????????????, ??????????( 0 21%)??????????????,??????,? U E????( 0 13% )????????????????, ??? Lef tw ich ? Zm ijew ski ( 1994)????????  ??, ????????,?????????? 0 22%?????????,??????????- 0 38%?????????????????- 0 30%??????????????????????????????  1 ????  ? 2????? 1 ????????, R2 = 0 053, F ???????????????????????????????, ???????????? UE?UD ? USD ???????, ????????????????(???????????)????????????????????? UE ?????????? U SD? 1%??????? 2  ??????????????????????????????? ?? T ?????? - 0 005  - 2 057* *UE 3 142 6 262* **UD 0 187 1 571*USD 0 749 3 746* **??? R2 0 053F- ? 20 889** *** * ?** ?* ?????????? 0 01 ?0 05?0 10,?????????????????????? UD? 1%????????????????????,??????????????????????????????? 3 ?????????????????????????????????????A. ?????????? T ?????B ??????????? T ?????C. ????????????????? T???UE (+ + + ) 9 432 4 157* * * UD ( + + + )  0 019 1 012 U SD (+ + + ) 1 135 2 080* *UE (+ + 0) 9 126 4 025* * * UD ( - + + ) 0 043 0 984 U SD (- + + ) 0 732 0 841UE (+ + - ) 3 473 2 862* * * UD ( + + 0) 0 263 1 839* * USD (+ 0+ ) 1 055 1 783* *UE (+ 0+ ) 10 365 4 928* * * UD ( - + 0) - 0 135 - 0 821 U SD (- 0+ ) 0 983 0 989UE (+ 00) 4 951 2 914* * * UD ( + + - ) 0 225 0 860 U SD (+ - + ) 1 138 2 317* *UE (+ 0- ) 4 268 2 135* * UD ( - + - ) - 0 382 - 0 769 U SD (- - + ) 0 483 1 138UE (+ - + ) 7 461 2 216* * UD ( + - + ) 0 093 0 275 U SD (+ + - ) 0 209 1 004UE (+ - 0) 6 035 2 785* * * UD ( - - + ) 0 351 1 115 U SD (- + - ) 1 983 2 443* **UE (+ - - ) 1 100 1 969* * UD ( + - 0) - 0 266 - 1 002 U SD (+ 0- ) 0 738 1 083UE (- + + ) 0 988 2 007* * UD ( - - 0) 0 149 0 864 U SD (- 0- ) 2 068 2 538* **UE (- + 0) 2 560 2 137* * UD ( + - - ) - 0 122 0 996 U SD (+ - - ) 1 186 1 20363?????  ?: ???????????????? 3  ?????????????????????????????????????A. ?????????? T ?????B ??????????? T ?????C. ????????????????? T???UE (- + - ) 5 266 3 098* * * UD ( - - - ) 0 475 2 017* * USD (- - - ) 3 142 2 689** *UE (- 0+ ) 0 738 1 849* *UE (- 00) 2 673 2 244* *UE (- 0- ) 4 975 2 843* * *UE (- - + ) 3 000 2 120* *UE (- - 0) 2 837 2 005* *UE (- - - ) 6 070 4 082* * *  ** * ?* * ?* ?????????? 0 01?0 05?0 10, ?????  ??????????????????, ??????? 2?? 3?????? 2?????????? 3?? A ??,?? UE ???????,?????????????????(???????????????)???????????????????????????????????????, U E?????????????????????,??UE ? t??????????,? U E( + 0+ )?????, UE ( + + + )????????????????, U E ( - - - )????????????????,???????????????????,??, ????????????????????????????( Easton 1992; How ,1993; Kane, 1984; Lef tw ich ? Zmijew ski, 1994)?????????????????????????, UE ( + - + )????UE ( + + - )????????????, ?????????????????????(??? 7 461)????????????????,?????????????????, ????????????????????  ?3? B??,??UD ( + + 0) ? UD ( - - - )?????, U D?????? 5%??????????????Leftw ich ? Zm ijew ski ( 1994)???,???????,???????,??????????????2?? 3?????,??????, ????????????????????,???????????????????????, ????????????????????????????????????????( 1999)??, ?????????????????????????????????, ?????????????????????????????????(?????????)??,??,????????????????2??3????Modigliani?M iller ( 1958)? M iller?Modig liani( 1961)????????????????  ? 3? C?????????( U SD)??????U SD??????,64???? 2005?? 3??????????????????????????,??????????????, USD ???????, ??????? t???????? 7???1? U SD???,? 6???????????????????????????????????????????,?????????????????????????????????????,?????????????????????(???????????????)?????????????, ??, ??????????????????????????, U SD ?????????, ????????USD??????????  ????????????????, ????????????????????????????????? ( Kaski, 1998; Craw for d ?Franz, 2001)?????????????????????????????????????????????????????????????????????????????, ??????????????????????????????????????  2 ?????  ??????????,????????????, ?? t- 1?????????( 1+ r) ( r ? t- 1 ???? t- 2?????) ?? t ????,??????????????????,????????????????,? 5??11??15????????? 3???????????,??????(?????) , ???????????????? A ?? B?????????????,??????????,???????????????  3 ??  ??????????????,????????????????????????????????????????, ???????????????????????????????????????????????????????????????????????????????????????????????????????,??????????????????????,???????????????????????????????????, ???????????,?????????????????????,??????????????  ???????,??????????????????????,?????????????????????????(?????????,?????????, ?????????) ,?????????????65?????  ?: ?????????????????????????????????????????????????????????, ???????????????: ????????????????, ?????????????????????????,?????????? ?????? 5 ??11?? 15 ????? ?????????????????????????????????????????????????:[ 1] Aharony J, I Sw ary . Quar terly dividend and earning s announcement s and stockho ldersr eturns: An empir ical analy sis[ J] Journal of F inance, 1980, ( 35) : 1~ 12[ 2] Br ow n P, F J F inn, P H ancock. 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T he cost of capital, corpo ration finance and the theo ry of investment[ J] Amer ican Economic Review , 1958, ( 48) : 261~ 297[ 13]?? ???????????????[ J] ????, 1998, ( 6) : 30~ 36(下转第 99页)66???? 2005?? 3?groups, emphasizing on the heterog eneity of interest . It analy zes the dif ferent value tendencies of China s macroeconom ic po licies in dif ferent periods,w hich are resulted from the decider s taste. Meanwhile, it also analyzes howthe st resses f rom the inter est groups in differ ent periods af fect the deciderstaste, and provides a new per spectiv e for the study on the chang ing o f Chinese economic developing st rateg y.  Key words: new po lit ical economics; heterog eneity of interest; po liticalbusiness cycle; interest g roups(责任编辑  金澜)(上接第 66页)The Interactions of Announced Earnings,Cash Dividends and Stock DividendsCHEN Gongmeng1 , GAO Ning2(1 China Ventur e Cap ital Research Ins titute( H ong K ong ) , H ong K ong , China;2 Guo Tai A n Inf ormation T echnology Co . L td. , S henz hen, 518034, China)  Abstract: T his study focuses on the information content of annual earnings and dividend announcements made by Chinese listed companies. Earnings, cash div idends, and stock div idends ar e announced concur rent ly inChina and so this allow s fo r the tests of their information usefulness and ofthe interactions among the three signals. Based on a data set of up to 1, 232announcements, w e find that unexpected earning s, pr oxied by ear ningschanges, are positiv ely related to abnormal returns, w hich show s that earnings are used by investor s in set t ing market prices. If the sign of the unexpected stock dividend( increase, decrease) is the same as the sign of the unexpected earning s, then the ear nings signal is st ronger. If the signs are opposite, the ear nings signal is w eaker. U nexpected cash dividends have lit t leimpact on the earning s signal, w hich is in consistent w ith the dividend irrelevance ar guments. Fur ther, our results are r obust acro ss a number of sensit ivity tests.  Key words: ear nings, dividends, information content , inter act ion(责任编辑  金澜)99?  ?: ?????????????????

The interactions of announced earnings, cash dividends and stock dividends

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