Research On Abnormal Returns Of "High Stock Dividend" And Related Factors In The Shanghai Stock Exchange

Chinese stock market was born to shoulder the mission of solving the financing problem.As one of the important financial company policy,the stock dividend policy has always been a focus Supervision of the SFC.And in recent years, there are growing number of companie.launching "high stock dividend" program.So in this paper, we are intended to do research on the phenomenon, and try to form the corresponding strategies to help risk-averse investors, and put forward some regulatory proposals.According to the purpose of the above, this paper has established the following research:After looking up various related literature on "high stock dividend",and referring to the empirical studies of domestic and foreign scholars,we will put forward our own design. Then we will do analysis and empirical test on "high stock dividend" in The Shanghai stock market. Here we will use the Abnormal return and the cumulative abnormal returns as two indicators to measure the influence resulting in the event. Finally, this article will select suitable variable and do multiple regression empirical analysis as cross-sectional data to find out the affect on the cumulative abnormal returns of the selected window.And the results showed that for the total sample "high stock dividend" will cause positive cumulative abnormal return in two weeks before the plan announcement day. And there is negative influence on cumulative abnormal return after ex dividend date. Besides, many variables will affect the cumulative abnormal returns, including transfer program and market environment. For the sub-samples of different programs for transfer, a higher proportion of the profit distribution plan will attract more investors. For the sub-samples of different environment, cumulative abnormal returns of bull group is greater than them of the bearish group. Although there are so many factors can cause impact on companies' abnormal returns, we can find out some regular pattern.Based on the empirical results are summarized above, there are some suggestions proposed in this article and give small investors the appropriate coping strategies.