现金股利对股价影响的实证分析

Empirical Analysis of the Impact of Cash Dividends on Share Price

摘要: 根据事件研究法，以深圳交易所成分股上市公司派发2013年度现金股利为研究事件，通过计算公告日前后样本股的异常收益率的变化，实证分析股票市场对派现的反应。实证结果表明：我国股票市场未达到半强式有效，市场对现金股利的反应比较迟缓。

Abstract: According to event study method, taking the event of annual cash dividends distributed in 2013 by Shenzhen Stock Exchange Listed Company as the research event, this paper analyzes the stock market reaction to cash dividends by means of calculating the variety of sample stocks’ abnormal yield before and after the announcement day. The empirical results demonstrate that the stock market has not reached the semi-strong efficiency and the market reaction to cash dividends is relatively sluggish.