“高送转”的债券市场反应——基于信号传递理论的实证
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摘要
基于信号传递理论,以2008年1月1日至2016年12月31日发布送转公告并曾发行过公司债的A股上市公司为样本,运用广义倾向得分匹配法(GPS)检验了"高送转"的债券市场反应。研究结果表明,股票送转公告向债券市场传递利好消息,引起债券市场的正向反应;当送转比例达到50%(高送转)时,送转比例越高,债券市场的正向反应越强烈。进一步根据债券期限和信用等级对样本进行分组检验后发现,中短期债券对"高送转"的反应更积极,而不同信用等级债券对"高送转"的反应没有明显差异;基于事件研究法的稳健性检验结果与广义倾向得分匹配法的结果相一致。
Based on the signal theory,this paper takes A-share listed companies that announced stock dividends and splits and issuedcorporate bonds from January1,2008 to December 31,2016 as a sample,and uses generalized trend score matching(GPS)method to test the bond market reaction to"high stock dividends and splits".The results show that stock dividends and splits announcements send good news to bond market,leading to a positive response in the bond market.When the ratio of stock dividends and splits reaches 50%(high stock dividends and splits),the higher the ratio is,the stronger the positive reaction in the bond market.After further testing the samples according to the bond maturity and credit rating,it is found that the medium and short-term bonds react more positively to"high stock dividends and splits",while the responses of different credit rating bonds to "high stock dividends and splits"do not differ significantly.The robustness test results based on the event study method are consistent with the results of the generalized tendency score matching method.
Based on the signal theory,this paper takes A-share listed companies that announced stock dividends and splits and issuedcorporate bonds from January1,2008 to December 31,2016 as a sample,and uses generalized trend score matching(GPS)method to test the bond market reaction to"high stock dividends and splits".The results show that stock dividends and splits announcements send good news to bond market,leading to a positive response in the bond market.When the ratio of stock dividends and splits reaches 50%(high stock dividends and splits),the higher the ratio is,the stronger the positive reaction in the bond market.After further testing the samples according to the bond maturity and credit rating,it is found that the medium and short-term bonds react more positively to"high stock dividends and splits",while the responses of different credit rating bonds to "high stock dividends and splits"do not differ significantly.The robustness test results based on the event study method are consistent with the results of the generalized tendency score matching method.
引文
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[2] Mcnichols M,Dravid A.Stock Dividends,Stock Splits,and Signaling[J].Journal of Finance,1990,45(3):857-879.
[3] Oranee T,Ranjan D.Intra-industry Reactions to Stock Split Announcements[J].Journal of Financial Research,2010,25(1):39-57.
[4] David T,Ginglinger E.When Cuting Dividends Is Not Bad News:The Case of Optional Stock Dividends[J].Journal of Corporate Finance,2016,40(10):174-191.
[5] Lakonisuok J,Lev B.Stock Splits and Stock Dividends:Why,Who,and When[J].Journal of Finance,1987,42(4):913-932.
[6] Al-yahyaee K H.Shareholder Wealth Effects of Stock Dividends in a Unique Environment[J].Journal of International Financial Markets Institutions&Money,2014,28(1):66-81.
[7]支晓强,胡聪慧,童盼,等.股权分置改革与上市公司股利政策——基于迎合理论的证据[J].管理世界,2014(3):139-147.
[8]易颜新,柯大钢,王平心.我国上市公司股利分配决策的调查研究分析[J].南开管理评论,2008,11(1):48-57.
[9]钱智通,孔刘柳.我国A股上市公司高送转行为的市场表现及其具体成因研究[J].南方经济,2016(12):26-42.
[10]陈珠明,史余森.高送转股票财富效应的实证研究[J].系统工程,2010,28(10):8-14.
[11]俞乔,程滢.我国公司红利政策与股市波动[J].经济研究,2001(4):32-40.
[12]江婷,纪彰波,尹金辉.创业板上市公司高送转对股票价格的影响研究——基于反事实框架的实证分析[J].价格理论与实践,2016(7):138-141.
[13]肖淑芳,喻梦颖.股权激励与股利分配——来自中国上市公司的经验证据[J].会计研究,2012(8):49-57.
[14]李海东,张韩.分红政策,财务绩效与股票收益率波动的相关性[J].大连理工大学学报(社会科学版),2017,38(2):52-58.
[15] Merton R C.On the Pricing of Corporate Debt:The Risk Structure of Interest Rates[J].Journal of Finance,1974,29(2):449-470.
[16] Tsai H J,Wu Y.Bond and Stock Market Response to Unexpected Dividend Changes[J].Journal of Empirical Finance,2015,30:1-15.
[17]赵龙凯,陆子昱,王致远.众里寻“股”千百度——股票收益率与百度搜索量关系的实证探究[J].金融研究,2013(4):183-195.
[18] Imbens G W.The Role of the Propensity Score in Estimating Dose-response Functions[J].Biometrika,2000,87(3):706-710.
[19] Hirano K,Imbens G W.The Propensity Score with Continuous Treatments[M]. New York:WileyBlackwell,2004:73-84.
[20]王静,张天西,郝东洋.发放现金股利的公司具有更高盈余质量吗?——基于信号传递理论新视角的检验[J].管理评论,2014,26(4):50-59.
[21]李心丹,俞红海,陆蓉,等.中国股票市场“高送转”现象研究[J].管理世界,2014(11):133-145.
[22] Maxwell W F,Stephens C P.The Wealth Effects of Repurchases on Bondholders[J].Journal of Finance,2003,58(2):895-919.