| Under the background of the publication of the new Guidelines on Information Disclosure of High Send-to-Transfer of Listed Companies(Draft for Opinions),this paper takes the dividend-sharing events of listed companies which meet the criteria of high Send-to-Transfer in China's A-share market as the research object,and studies the price elasticity of demand for Chinese A-share shares as the supply shock.In order to study the price elasticity of stock demand,we will choose a way to change the impact of stock demand or supply.Therefore,in the context of the recent announcement of the "Guidelines",the dividend-sharing event which belongs to the "high transfer" standard in the dividend policy of listed companies is regarded as a supply shock.This paper studies the demand price elasticity of Chinese A-share under the impact of the stock market performance.In this paper,the two dates of the dividend-sharing event(the announcement date of the plan and the dividenddividing day)are used as two event windows respectively.As the first event window,the announcement day of the plan studies the market effect of "high transfer" before and after the announcement day of the plan.The main method used is the counterfactual framework.Screen out the control group similar to the "high transfer" listed companies,that is,the control group similar to the target listed companies in size,risk,industry and profitability.The high transfer effect of independent branches was compared.We can clearly find that since the 17 th trading day before the announcement of the bull market,the effect of the high transfer policy on the cumulative interval return of the high transfer listed companies is very obvious.T value is always very high,p value is always very low,very significant.From the comprehensive data of the bear market,the dividend policy has become important since the 10 th trading day before the announcement of the plan,but the influence of this factor is not important from the 11 th trading day to the 17 th trading day before the plan announcement.Therefore,we can conclude that "high transfer" has a significant market effect on the announcement day of the plan,that is,the stock price continues to rise.Because there is no real implementation of dividend,we can attribute this impact to the signal transmission of dividend policy,that is,information factors.Because we want to treat it as a non-information supply shock,we also need to find out when this information function is digested by the market.We take the 9th trading day after the announcement of the plan as the benchmark time point,substituting the established panel fixed effect model,and observe that in the bull market,from the 8th trading day after the announcement of the plan,the dummy variable of dividend policy begins to change insignificantly.In the comprehensive data,from the fourth trading day after the announcement of the plan,the dummy variable of dividend policy began to change insignificantly.Therefore,we can exclude the information function of this dividend policy.Then,in Chapter 3,we use the dividend date as the second event window.Firstly,the market effect of this event window is studied.In the past literature,the market model is used to calculate abnormal returns.This paper argues that the market model can not accurately express the abnormal returns of "high transfer" companies.Because the control group in Chapter 2 can replace the company without dividend policy very well,so we use the method of sample comparison to take the difference of the return between the "high transfer" company and the control group as the abnormal rate of return.As for the analysis of dividend days,we find that there is a significant supply shock effect,which is reflected by price decline and volume growth.There is a continuous negative abnormal return between the day before and the day after the dividend date.Among them,in the bull market,the cumulative abnormal return is-3.2%,and the median is-2.75%.In the bear market,the cumulative abnormal return is-3.92%,and the median is-3.82%.At the same time,its turnover will be significantly increased in this period,compared with the stable trading period,the specific data for the bull market increased by an average of 2.43 times,the bear market increased by an average of 1.3 times.In the fourth chapter,based on the above statistics,the negative effects of supply shocks and the positive effects of liquidity improvement are taken into account.The transfer ratio and short-term abnormal trading volume are the two most important variables.At the same time,according to Merton's model,given the risk-free interest rate,the elasticity of expected return on stock supply increase is positively correlated with the variance of return,and negatively correlated with investors' awareness.This paper introduces two control variables,yield variance and investor awareness,and the dummy variable to distinguish bull and bear markets.The regression model of abnormal return rate is established.Using the data of supply shocks with high transfer ratio,we measure the price elasticity of Chinese A-share stock demand by regression,and get the empirical results of the limited price elasticity of stock demand.Among them,the price elasticity of stock demand is-49.23.That is to say,when the stock price falls by 1%,the demand will increase by 49.23%.This paper supports the demand elasticity of limited stocks and believes in the liquidity effect hypothesis.That is to say,when a stock receives a supply shock,it is not a factor of the supply curve that moves outward,thus causing the stock price to decline.The supply curve and the demand curve move outward at the same time.The two factors work together on the stock price.The rise and fall of the stock price also depend on the relative size of the two forces.Through the empirical study of this paper,the price elasticity of stock demand calculated is-49.23.At the same time,compared with the stable trading period,the volume will increase significantly,which is 2.43 times in bull market and 1.3 times in bear market.Specific data are in support of the point of view in this article.This paper has some innovations: First of all,high transfer rate has always been a popular concept in China's stock market.However,there is no literature to study the price elasticity of stock demand with dividend policy as a supply shock.Therefore,this study expands the scope of impact for empirical research on the elasticity of stock demand.Secondly,previous studies used market models to calculate abnormal returns.However,this paper argues that the abnormal return rate obtained by the compromise method is incomplete and biased.Because the highdelivery stock is often concentrated in emerging hot industries.Equity capital is often smaller and profitability is higher.Therefore,it is not convincing to say that the excess return of high-bid-forward stocks relative to the market is entirely due to the high-bid-forward effect.Therefore,this paper adopts a counter-factual framework to measure the excess return rate by comparing the samples of the control group.Finally,the price elasticity of stock demand measured in this paper is-49.23.Therefore,it also provides a more powerful evidence for the price elasticity hypothesis of limited stock demand. |
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