摘要
投资者预期和反应滞后行为使得经典的事件研究法不能整体反应股利效应,为改善这一情况,分别以股票股利指数、现金股利指数和无股利指数的月度数据作为研究对象,对股利效应进行了数据检验,研究发现不仅2014年1月到5月股票股利指数和现金股利指数以及无股利指数的市场表现差异明显,且在11月份市场对股票股利组合存在较明显的预期反应,且强于现金组和无股利组。
The behavior of investor＇s expectation and delayed response causes that the classic Event-study methodology can＇t fully reflect the dividend＇s effect. To improve this situation, this paper takes an empirical test on the dividend＇s effect ,using three types of monthly indexes as research objects including the index of stock dividend, cash dividend and none dividend. The result is that the market behavior about the three indexes of stock dividend, cash dividend and none dividend has obviously difference in January to May. Especially, in November the stock group obsesses an apparent market reaction of expectation which is stronger than the groups of cash dividend and none-dividend.
出处
《泰州职业技术学院学报》
2015年第2期34-38,共5页
Journal of Taizhou Polytechnic College
基金
泰州职业技术学院重点课题(TZYKY-13-8
课题负责人:李敬)
关键词
预期
反应滞后
股利指数
月度平均超额收益率
expectation
delayed response
index of dividend
monthly average abnormal return
