Research On The High-to-transfer Market Effect Characteristics And Its Influencing Factors Of Small And Medium-Sized Board Stock

Dividend policy,as one of the most classical research subjects of modern finance,has always been a hot issue in the academic circles at home and abroad,and it is also one of the key issues that the securities regulatory authorities of China pay close attention to.At present,China's A-share listed companies pay dividends mainly in three forms: cash dividends,stock dividends and transfer of reserve to common shares.This paper focuses on the study on stock dividend and transfer of reserve to common shares,which are referred to as the transfer of shares.Some scholars mainly study the dividend policy of listed companies and " high stock dividend " phenomenon from the overall perspective of A-share market,but there are only a small number of separated studies on small and medium-sized board listed companies' "high stock dividend" behavior.In fact,dividend distribution is a hot topic since small and medium-sized plate has been launched.As China's capital markets is in continuous reform and the policy attaches importance to dividend distribution,dividend distribution condition has been improved,especially in small and medium-sized listed companies.In order to attract more investors,the amount of dividend is huge,therefore the abnormal returns of small and medium-sized plate is worth studying.This paper focuses on the market effect and its influencing factors of high-to-transfer market on the small and medium-sized stock plan announcement day.On the basis of predecessor,this paper first uses the event research method to study the market effect on the small and medium-sized plate stock plan announcement day from three sub-perspectives.The first is comparative analysis of small and medium-sized plate stock,GEM shares and motherboard stock to study the existence of high transfer effect and the differences among them.The second is to classify small and medium-sized plate stocks by the number of transfer shares: the first type is super high transfer shares,that is the transfer of every 10 shares is more than 10 shares;the second type is high transfer shares,that is the transfer of every 10 shares is more than 5 shares,but less or equal to 10 shares;the third type is low transfer shares,that is the transfer of every 10 shares is more than 0 shares,but less or equal to 5 shares;the fourth type is no transfer share,that is the transfer of every 10 shares is 0 shares;and study the different overcharge circumstances of the four types.The third is to classify small and medium-sized plate stocks according to different sample industries to study the distribution of excess returns of different sample industries.The results show that the three plates can produce significant excess returns on plan announcement day from the perspective of average overbooking and accumulative overcharging,among which the earnings of small and medium-sized plate and GEM are significantly larger than that of the main board;shares carrying out ultra-high transfer and high transfer(-10,10),obtains a positive cumulative return rate on the(-10,10)window period and obtains a positive return rate on the some sub-window period,while the stocks without the transfer plan did not get a significant positive cumulative excess returns in all total and sub-window periods;shares with high transfer program obtained higher cumulative excess return rate in the total window period than shares of other types of transfer,especially in the sub-window(0,10).The influence of the transfer event on the excess returns of different sample industries of the small and medium-sized plate is same,and the influence is limited and short-lived.There is a big difference between the influences of the transfer event on the excess returns of different sample industries,the overcharging of the emerging industries is significantly larger than that of the traditional industries.Then on the basis of the relevant dividend policy,this paper uses multiple linear regression model to analyze the impact of the fundamentals,technical,capital structure,and event factors on the high transfer behavior.The sample presented in this paper are small and medium-sized plate shares of announced annual transfer plans of 2011-2015(Excluding the announcement without transfer),randomly selecting 60 shares carried out high transfer in turn,excluding transfer shares suspended on company plans announcement day,which are 300 in total.The conclusion is that the higher the turnover rate is on the transfer plan announcement day,the higher the excess rate of return will be.The higher the stock price is,the higher the excess return rate will be.The higher the ratio of the cash dividend is,the higher excess return rate will be.The excess return ratio of the stock transferred is inversely proportional to the proportion of the transfer;The higher per-share capital surplus is,the higher the excess rate of return will be;price illusion theory,the optimal price theory,and dividend caterpillar theory are not suitable for small and medium-sized plate market.Through the stepwise multiple linear regression model,it is found that the most important factors influencing the excess return are per share capital reserve and the turnover ratio.The influence of factors such as the proportion of institutional holdings,the growth of operating profit,the total share capital of the company,and the undistributed profit per share are minimal.Therefore,it is likely to be profitable for small and medium investors arrange ahead listed companies that have large capital reserve and high turnover rate are,and are likely to carry super high transfer.However," All the hustle and bustle in the world is only for money and interest.".Sometimes,stocks produce short-term excess returns,but it will soon disappear.If investors chase high return,they are likely to be trapped losses.Reasonable dividend scheme should be established to against that administration and supervision authorities of listed companies cooperate with market makers to hype market value to damage the interests of investors,which brings negative excess returns in long turn and will undermine the company's living environment.Thus,regulators should pay more attention to the performance of listed companies and investors in the transfer events,strengthen the supervision during the event,and attach great importance to and crack down stock price abnormal changes and other cases that may involve insider trading situation.