Research Of The Stock Returns And Corporate Investment Policy Based On The Cash Dividends

China Stock Market which takes only 20 years to develop is beyond the scales of other countries' Stock Markets which take hundreds of years. The market value of listed-companies of China leaps to the third position in the world according to the statistic data in the early January 2012.But the systems of China's Stock Market are designed to emphasize the financing function and ignore the return on investment of medium and small shareholders. Lack of function of investment and optimal allocation of resource function in China Stock Market cause the interests of medium and small shareholders are damaged, which seriously restrains and hurts the stock market confidence. To boost the market confidence, the key measure is to increase investors' returns, which depends on the mature and fair environment of stock market and the growth of solid-economic. If the stock market fluctuates more often and the air of buying on the upswing and selling on the downswing is rich, they reflect that investors can earn gains only through stock price difference because there have not the incentive and restraint mechanisms of cash dividends paid by listed-company. In order to establish the basis of rational and long-term investment in the stock market and make the stock market reflect the value of assessment of listed companies, we must attach more importance to the influence of the cash dividend yields on the expected stock returns. The growth of solid-economic discussed above is caused by the enhancing the investment efficiency, but hitchhiking behaviors of medium and small shareholders and difficulty of regulating control-shareholders will lead to investing in structural imbalance, which make the corporations invest excessive fund in some fields and invest insufficient fund in other fields. Cash dividends paid by the company will reduce the fund mastered by the control-shareholder, which can weigh the benefits between the control-shareholder and medium-small shareholders. How to correctly take advantage of the relationship between the investment and cash dividend paid and maintain the adequate scale of investment have far-reaching influence on capital market. Based on two points described above, this paper uses threshold cointegration model to analyze the stock returns influenced by the dividend yields by using the macro time series data and the panel structural vector autoregressive model to analyze the relationship between the investment and cash dividend paid by using the panel data on the three kinds of listed company according to the control-shareholders.Previous literatures about the stock returns research mostly focus on the theory expansion of conditions heteroscedastic volatility, which depict the statistical properties of stock returns perfectly, but they only reflect the some features of market and give little help for the investors to make decision and for supervisor to make regulation. At present, the domestic scholars give little attention to dividend growth and dividend yields. The contributions of this paper which uses the threshold cointegration model to study the cash dividend yields, dividend growth and stock returns are those:(1) In order to learn about the actual feature of economic data, the paper first tests linearity and unit root of variables (cash dividend yields, dividend growth and stock returns), the results of tests show that cash dividend yields has linear unit root process, dividend growth is linear and stationary time series and stock returns has non-linear and stationary process. (2) The estimation of parameters in the threshold cointegration models that define the threshold variable as dividend yields and the explained variable as stock returns show that cash dividend yields has significant threshold effect on the stock returns, but the threshold effects perform differently in different control-shareholders kinds of listed-company. Concerned with this difference, we can find out each type of corporate governance. (3) There also exit the significant threshold effects in the threshold cointegration model of dividend growth, but the comprehensive effect of dividend yields on dividend growth is zero, which means that the existing regulations of profit distribution have no effective constraint on the listed companies. The contributions of this paper which studies the relationship between the cash dividends and investment in the panel structural vector autoregressive model have those: (1) Static single-equation was explored to empirically test how the cash dividends impact on the efficiency of investment in the most of documents, which ignored the continuous payment of cash dividends and endogeneity of variables, this paper establishes a three-variable panel structural vector autoregressive model that reveals the current relationship and dynamic effect between the cash dividend and investment. (2) According to the standard whether the frequency of cash dividend payment is more than 0.5, this paper distinguishes the difference relationships between the cash dividend and investment. (3) This expands the research of free cash flow theory and dividend signal hypothesis to a certain extent, the type control shareholders and continuous payment of cash dividend will deeply affect the corporate governance.Finally, summarizing the above research conclusions, the paper puts forward relevant policies.