股票股利的股价效应基于中国A股市场的实证研究-金融学专业论文.docxVIP

Stock Dividends’ Impact on Stock Prices: An Empirical Study in China’s A Share Market By Li Wei Under the Supervision of Professor Chang, Charles Submitted in Partial Fulfillment of the Requirements For the Degree of Master In Finance Shanghai Advanced Institute of Finance Shanghai Jiaotong University May 2012 Contents HYPERLINK \l _bookmark0 Abstract (English) i HYPERLINK \l _bookmark1 Abstract (Chinese) ii HYPERLINK \l _bookmark2 Introduction 1 HYPERLINK \l _bookmark3 Background 1 HYPERLINK \l _bookmark4 Literature review 3 HYPERLINK \l _bookmark5 Overseas studies 4 HYPERLINK \l _bookmark6 Domestic studies 5 HYPERLINK \l _bookmark7 Basic ideas and innovation 7 HYPERLINK \l _bookmark8 Empirical study of stock dividends’ effect 8 HYPERLINK \l _bookmark9 Description of stock dividends in China 8 HYPERLINK \l _bookmark10 Event study model analysis 9 HYPERLINK \l _bookmark11 Event definition and sample selection 9 HYPERLINK \l _bookmark12 Time windows determining 10 HYPERLINK \l _bookmark13 Calculation of abnormal return 10 HYPERLINK \l _bookmark14 Accumulation and test of abnormal return 11 HYPERLINK \l _bookmark15 Model results and interpretation 12 HYPERLINK \l _bookmark16 Model results and interpretation for grouped samples 19 HYPERLINK \l _bookmark17 Regression model analysis 26 HYPERLINK \l _bookmark18 Regression model setup 26 HYPERLINK \l _bookmark19 Data screening 28 HYPERLINK \l _bookmark20 Model results and interpretation 29 HYPERLINK \l _bookmark21 Conclusion of the regression analysis 33 HYPERLINK \l _bookmark22 Conclusion 35 HYPERLINK \l _bookmark23 Bibliography 37 HYPERLINK \l _bookmark24 Appendix 39 HYPERLINK \l _bookmark25 Acknowledgements 44 i i Abstract As distribution of stock dividend is becoming more and more common in China’s A share stock market, it attracts lots of investors to speculate and it seems like stock dividends would bring abnormal returns. This paper mainly studies the abnormal returns around t