Studyonthe Market Reaction And Influenc Of Stock Dividend And Transfer Of Reserve To Common Stock For China A-Share Listed Firms

As one of the three major financial decisions. dividend policy has been drawing much attention of theorists and practitioners as a hotspot.Stock dividend and capitalization issue don’t change the net cash flow and capital structure, they only change the internal structure of the owners’ equity and don’t have any influence on the value of company in theory. But in fact, it won’t show like this. Listed companies’frequent behavior of stock dividend and capitalization issue and investors’preference to this definitely show the market reaction and effects of the stock dividend and capitalization issue satisfy the stockholders’ some demands. At present, domestic scholars’ researches on stock dividend and capitalization issue are relatively less. Comprehensive study on the market reaction and effects of stock dividend and capitalization issue will have much implications.Using event studies, this paper investigates the market reaction on the declaration date and ex-dividend day and discusses factors which have effects on the CARs using the comparative analysis and regression analysis. At the same time, this paper also studies the variation characteristics of stock liquidity and volatility and factors which have influences on them during the stock dividend and capitalization issue event. The results are as follow.First, the CARs of the declaration date are significant positive, while that of the ex-dividend day are significant negative. CARs are influenced by the factors including dividend and transfer proportion, stock price, movement and volatility of the revenue. It proves the speculation of stock dividend and capitalization issue that the influences of the factors on the declaration date and ex-dividend day are opposite. Second, stock dividend and capitalization issue do not cause the significant changes of liquidity before and after the event day. But the significant rise by stock dividend and transfer near the ex-dividend day indicates the explaining power of liquidity hypothesis for China stock market is limited. For the study of volatility, significant rise after the stock dividend and capitalization issue indicates the event attracts more small investors when the trading noises arise. The results also show that changes of liquidity by stock dividend and capitalization issue are affected by market movement and the proportion of them while those of volatility are only affected by the proportion.Third, the study finds that, under different movement, whether filling advantageous position or not is inconclusive and stock dividend and capitalization issue do not reduce the shareholders’wealth. In China stock market, the investors and regulators still need pay much more attention to the speculation of stock dividend and capitalization issue.