盈余和股利信息含量的交互作用
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财经研究 2005 年 第 31 卷第 03 期, 页码：59 - 67
摘要
参考文献
摘要
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。
①原因是特别项目实质上是短暂性项目,对价值评估影响较小。用包括营业外收支的盈余重新测试,本文的结论仍然适用。
②同时也使用了5天、11天和15天的窗口。
③通常情况下股利一年只支付一次。本文用年度数据。美国和澳大利亚的研究分别用季度和半年度数据。
[1]AharonyJ,I Swary.Quarterly dividend and earnings announcements and stockholders’returns:An empirical analysis[J]Journal ofFinance,1980,(35):1~12
[2]BrownP,F J Finn,P Hancock.Dividend changes, earnings reports and share prices:SomeAustralian findings[J]AustralianJournal ofManagement,1977,(2):127~147
[3]CollinsD W,E L Maydew,I S Weiss.Changes in the value relevance of earnings andbook values over the past forty years[J]Journal ofAccounting andEconomics,1997,(24):39~67
[4]ConroyR M,K M Eades,R S Harris.A test of the relative pricing effects of dividendsand earnings:Evidence from simultaneous announcements inJapan[J]Journal ofFi nance,2000,(55):1199~1227
[5]CrawfordD,D R Franz.Stock dividends and splits:Anticipation, signaling, and mar ket response[J]Journal ofAccounting,Auditing&Finance,2001,16(2):141~166
[6]EastonS.Earnings and dividends:Is there an interaction effect?[J]Journal ofBusi nessFinance andAccounting,1991,(18):255~266
[7]FirthM Dividend changes, abnormal returns, and intra industry firm valuations[J]Journal ofFinancial andQuantitativeAnalysis,1996,(31):189~211
[8]KaneA,Y K Lee,A Marcus.Earnings and dividend announcements:Is there a cor roboration effect?[J]Journal ofFinance,1984,(39):1091~1099
[9]KoskiJ L Measurement effects and the variance of returns after stock splits and stockdividends[J]Review ofFinancialStudies,1998,(11):357~375
[10]LeftwichR,M E Zmijewski.Contemporaneous announcements of dividends and earn ings[J]Journal ofAccounting,Auditing&Finance,1994,(9):725~762
[11]Miller,M F ModiglianiDividend policy, growth, and the valuation of shares[J]Journal ofBusiness,1961,(34),411~433
[12]ModiglianiF,M Miller.The cost of capital, corporation finance and the theory of in vestment[J]AmericanEconomicReview,1958,(48):261~297
[13]魏刚我国上市公司股利分配的实证研究[J]经济研究,1998,(6):30~36
②同时也使用了5天、11天和15天的窗口。
③通常情况下股利一年只支付一次。本文用年度数据。美国和澳大利亚的研究分别用季度和半年度数据。
[1]AharonyJ,I Swary.Quarterly dividend and earnings announcements and stockholders’returns:An empirical analysis[J]Journal ofFinance,1980,(35):1~12
[2]BrownP,F J Finn,P Hancock.Dividend changes, earnings reports and share prices:SomeAustralian findings[J]AustralianJournal ofManagement,1977,(2):127~147
[3]CollinsD W,E L Maydew,I S Weiss.Changes in the value relevance of earnings andbook values over the past forty years[J]Journal ofAccounting andEconomics,1997,(24):39~67
[4]ConroyR M,K M Eades,R S Harris.A test of the relative pricing effects of dividendsand earnings:Evidence from simultaneous announcements inJapan[J]Journal ofFi nance,2000,(55):1199~1227
[5]CrawfordD,D R Franz.Stock dividends and splits:Anticipation, signaling, and mar ket response[J]Journal ofAccounting,Auditing&Finance,2001,16(2):141~166
[6]EastonS.Earnings and dividends:Is there an interaction effect?[J]Journal ofBusi nessFinance andAccounting,1991,(18):255~266
[7]FirthM Dividend changes, abnormal returns, and intra industry firm valuations[J]Journal ofFinancial andQuantitativeAnalysis,1996,(31):189~211
[8]KaneA,Y K Lee,A Marcus.Earnings and dividend announcements:Is there a cor roboration effect?[J]Journal ofFinance,1984,(39):1091~1099
[9]KoskiJ L Measurement effects and the variance of returns after stock splits and stockdividends[J]Review ofFinancialStudies,1998,(11):357~375
[10]LeftwichR,M E Zmijewski.Contemporaneous announcements of dividends and earn ings[J]Journal ofAccounting,Auditing&Finance,1994,(9):725~762
[11]Miller,M F ModiglianiDividend policy, growth, and the valuation of shares[J]Journal ofBusiness,1961,(34),411~433
[12]ModiglianiF,M Miller.The cost of capital, corporation finance and the theory of in vestment[J]AmericanEconomicReview,1958,(48):261~297
[13]魏刚我国上市公司股利分配的实证研究[J]经济研究,1998,(6):30~36
引用本文
陈工孟, 高宁. 盈余和股利信息含量的交互作用[J]. 财经研究, 2005, 31(3): 59–67.
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