作　　者： ;

机构地区： 汕头大学

出　　处： 《经济研究》 2017年第6期90-104,共15页

摘　　要： 上市公司现金股利不平稳是我国资本市场存在的突出问题之一。但迄今，投资者是偏好还是厌恶股利不平稳的股票仍不明朗。本文首次分析和检验了公司现金股利不平稳程度对我国投资者行为偏好的影响。采用A股上市公司数据，研究发现：公司股利不平稳程度的增加与整体机构投资者持股数量的减少相关联；与非独立机构投资者（券商、保险公司、社保基金、企业年金、信托公司及财务公司）持股数量的减少相关联，且在股权分置改革完成前更加明显。此外，相比于包含“铁公鸡”和“无规律”股票在内的市场投资组合，投资者更青睐于现金股利不平稳股票投资组合，但现金股利不平稳程度并不显著影响投资者的短期财富。进一步研究发现，投资者持有一年期股利不平稳程度较低的股票投资组合比持有股利不平稳性较高的股票投资组合需要多支付4．2％的股利平稳性溢价，且股利不平稳程度显著影响了投资者的预期投资收益。 Cash dividend unsmoothing is a prominent phenomenon in the Chinese capital market, but so far little empirical evidence has shown that investors have a preference for smooth dividends and are willing to pay a premium to hold shares in China. In this paper, we address this gap by asking whether investors like unsmoothing dividends. In particular, we examine two related questions. First, we ask which types of investors have ＂driven out＂ stocks that pay unsmoothing dividends. Second, we explore whether any such investor preference has implications for firms＇ cost of equity capital. The first question helps us to understand the implications of dividend unsmoothing for the composition of a firm＇s equity holders. We find that institutional investors, especially non-independent investors （securities firms, insurance companies, social security funds, enterprise annuities, trust companies and financial companies） , are significantly more likely to sell dividend uusmoothing stocks, while retail investors are less likely to do so. This relation was more pronounced before the completion of the Split Share Structure Reform. Our findings provide evidence that the Split Share Structure Reform was helpful in improving the independence of non-independent institutions investors in the capital markets. These findings are consistent with recent research by Larkin et al. （2016） suggesting that institutional investors are particularly effective monitors. They are also consistent with the findings of Leary ＆ Michaely （2011） that firms that smooth dividends more often are those that appear to be most exposed to agency conflicts. Our evidence suggests that dividend unsmoothing ＂ drives out＂ institutions, but institutional investors do not seem to influence the smoothness of firms＇ dividends. To explore the causal effect of dividend unsmoothing on institutional investor composition, we use propensity score matching methods to alleviate the concerns. We find a set of counterfactual control groups to reduce the

关 键 词： 股利不平稳 机构投资者 投资组合 股权分置改革 股利平稳性溢价

分 类 号： [F279.246]

领　　域： []