股票股利与价值重估：信号、流动性改善还是价格幻觉?

摘要笔者利用沪深交易所2005年开始推行的业绩快报制度分离上市公司盈余信息和股利分配信息，重新研究了A股股票股利的市场反应，并采用信号假设和流动性假设对其内在原因进行了探究。研究结果发现市场在已预期盈余信息的情况下，仍然对股票股利存在正面反应。与以往研究不同的是，本文发现发放股票股利的上市公司在未来二到四个季度仍能保持盈余增长，因此信号假设可以较好地解释股票股利的市场反应；而股票股利虽然能显著提高小额交易者的活跃程度，但大部分流动性指标并没有显著改善，因此流动性假设对A股不太适用。

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	朱元琪
	刘善存

关键词：股票股利信号流动性价格幻觉

Abstract： Using the preliminary earning disclosure mechanism introduced by both Shanghai Stock Exchange and Shenzhen Stock Exchange in 2005 to separate the earning information and dividend distribution information of Chinese listed firms, the authors re-examined the market responses to stock dividend announcements in A-share market and adopted signaling hypothesis and liquidity hypothesis to explore its inherent causes. The findings show that there are positive market responses to stock dividend announcements even after earning information has been expected by the market. What is different from the previous researches is that the author found that listed firms granting stock dividends can keep earning increasing in the following 2 to 4 quarters. Therefore signaling hypothesis is a reasonable explanation of the market responses to stock dividends announcements. However, though stock dividend distributions can make small trading more active, most liquidity variables do not improve significantly, which means liquidity hypothesis is not suitable to Chinese A shares

Keywords： stock dividends signaling liquidity price illusion

收稿日期 2011-02-03; 接受日期 2011-10-30;

基金资助:

国家自然科学基金项目(71071010)；全国优秀博士学位论文作者专项基金项目(200466)

作者简介: 朱元琪(1977-)，男，江苏南通人，北京航空航天大学经济管理学院博士研究生，主要从事公司金融、金融市场微观结构研究；刘善存(1964－)，男，河北枣强人，北京航空航天大学经济管理学院教授、博士生导师，主要从事金融市场微观结构研究。

引用本文:

朱元琪，刘善存.股票股利与价值重估：信号、流动性改善还是价格幻觉?[J]. 经济经纬, 2011,3: 146-151

ZHU Yuan-qi, LIU Shan-cun.Revaluation of Stock Dividends and Value: Signaling, Liquidity Improvement or Price Illusion?[J] Economic Survey, 2011,V28(3): 146-151

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2011/V28/I3/146