Research On Capital Market Response To Cash Dividend Changes

With the gradually development and improvement of capital market in China, from the Shanghai stock exchange founded in 1991, stock market and bond market has grown increasingly. Until the end of 2015, there are 2829 A-share listed companies in Shanghai stock exchange and Shenzhen stock exchange, the total market value of all the companies reached 56.73 trillion yuan, and there are 592 listed companies to issue corporate bonds in the Shanghai stock exchange and Shenzhen stock exchange bond market. The capital market is in the reform and development, at the same time there are still many problems to be solved, dividend distribution policy is one of them.A large number of studies have shown that the cash dividend policy of listed companies has a significant impact on the stock market, especially stock price changes on the dividend plan announcement day. Foreign scholars have made the dividend policy research perspectives extends to the bond market, for the listed companies issued corporate bonds, due to the principal-agent conflict between creditors and the management, the conflict of interest between shareholders and creditors, the cash dividend distribution of listed companies may has certain effect on bond yields, can cause the bond market volatility. Higher ownership concentration and the dual ownership structure of tradable shares and non-tradable shares a special case of listed companies in China, in this case the capital market reaction of the cash dividends of listed companies is still needs to prove.This paper use the 2008-2015 changes in cash dividend announcement of non-financial A-share listed companies and the listed companies issued corporate bonds as research samples, to study the capital market reaction. Then use the classic method of Event Study to check out the abnormal profits caused by listed company cash dividend changes, further analyzed the cause of the influence factors of the capital market reaction. On this basis, this article also breakthrough tend to use Propensity Score Matching to match every listed companies with cash dividend change announcement to the listed companies of with cash dividend constant, thus it is concluded that the expected cash dividend changes lead to the robustness of the results of the capital market abnormal profits.The research results show that the stock market and bond market response to the cash dividend changes of listed companies is opposite. The unexpected increase in cash dividend has positive influence on the bond market, but the stock market appeared a negative response; Cash dividend reduce has brought the positive response of the stock market, bond market has fewer abnormal profits. Bond market response to cash dividend change supports information hypothesis but stock market response doesn't. At the same time this paper also found that the dividend payment rate, return on equity and company size affects the stock market cumulative abnormal returns; The percentage of cash dividend changes, the dividend payment rate and price-to-book ratio affect the bond market reaction. Based on the theory and empirical part of the research conclusion, this article put forward some policy suggestions in view of the corporate governance issues such as dividend policy of listed companies.