An Empirical Study On The Relationship Between Dividend Distribution And Stock Returns Of Listed Companies In China

Since the establishment of the Shanghai Stock Exchange in December 1990,China's stock market has made tremendous achievements after nearly 30 years of development,providing an important channel for listed companies to accumulate and transfer capital.Listed companies raise stocks through the stock market to raise capital for the company,and the stock market provides a place for the circulation of stocks.The development of a healthy and prosperous stock market is of great significance for accelerating the improvement of the modern market system,broadening the investment and financing channels for enterprises and residents,optimizing resource allocation,and promoting economic transformation and upgrading.The China Securities Regulatory Commission has always attached great importance to the issue of dividend distribution of listed companies,and has introduced many policies to promote listed companies to establish and improve their dividend mechanism.This includes the "Decision on Amending Certain Provisions on Cash Dividends of Listed Companies" issued by the China Securities Regulatory Commission in October 2008.The“Guidelines for the Supervision of Listed Companies No.3-Cash Dividends of Listed Companies" issued in November 2013,urged the listed companies to regulate And improve the internal decision-making mechanism of profit distribution,and enhance the transparency of dividends.In August 2015,the China Securities Regulatory Commission,the Ministry of Finance and other departments jointly issued the "Notice on Encouraging Listed Companies to Merger and Reorganize,Cash Dividends and Repurchase Shares" to encourage dividends.The company implemented mid-term dividends and increased the frequency of dividends.In the Chinese stock market,investors have always seemed to be more keen on"selling" stocks.In theory,if the capital market is effective,after the news of dividend distribution is announced,the impact on the company's value will immediately be reflected in its own stock price changes.However,there are often some non-market performances in the Chinese market,which have hindered the further improvement of China's stock market to some extent.For example,when investing in stock market trading,investors will pay close attention to the announcement of dividend distribution in the high-sending category,buy stocks of listed companies that are about to be distributed dividends,or stocks that have just been terminated,in order to obtain excess returns,so-called High transfer effect and fill-in effect.Are these stocks really more profitable than other stocks that are not allocated or have a lower distribution ratio?In order to test whether there is such an effect in China's stock market,this paper uses the event research method to study the difference between the different ways of dividend distribution of listed companies in China and the relationship between the degree and the stock price.Incident research is often used to assess theimpact of changes in asset prices or changes in trading volume after an event has occurred.This paper takes the dividend distribution events of Chinese stock market listed companies from April 2009 to December 2017 as the research object,and studies the three distribution forms of cash dividend,stock dividend and mixed dividend,and the influence of distribution degree on stock price changes.The distribution plan announcement and the dividend distribution implementation announcement are two major events,setting up an event window and an estimation window.By establishing a market model and a five-factor model,the excess returns in the event window are calculated,and the cumulative average excess of different types of dividend distribution is calculated.The rate of return CAR carries out a hypothesis test,which leads to the following conclusions:First,cash dividends and stock dividends have significant positive excess returns in the time window around the announcement date of the dividend distribution plan.Market investors regard the dividend distribution plan announcement at this time as good news.Second,stock dividends have significant positive excess returns in the time window around the announcement date of dividend distribution,and market investors regard the implementation of dividend distribution at this time as good news.The cash dividends did not have significant excess returns in the time window around the announcement date of the dividend distribution implementation.Market investors regarded the announcement of dividend distribution at this time as neutral news.Third,the cumulative average excess return rate of the mixed dividend on the announcement date of the dividend distribution plan is significantly positive,and there is no significant positive excess return on the announcement date of the dividend distribution.Fourth,cash dividends are distributed more,and stock dividends with higher transfer ratios are more favored by investors.There is a significant positive cumulative excess return rate in the event window.Based on the above conclusions,some suggestions for improving the dividend distribution policy of listed companies in China are proposed here.First,policy makers need to continue to improve relevant laws and regulations to effectively protect the interests of small and medium shareholders.Second,strengthen supervision of listed companies and strengthen information disclosure;once again,promote listed companies to improve corporate governance environment,establish internal supervision mechanisms;and finally,encourage listing The company implements a stable dividend distribution policy and establishes a good corporate image.When selecting a dividend policy,a listed company must not only be based on the long-term development of the company,but also take into account the actual interests of shareholders.