摘要
中国股市历经20多年的发展,超越了世界多个主要股市数百年时间发展起来的规模,截至2012年1月初,以国内两大交易所内上市股票的市值计算,中国股市已跃居全球市值第三。但中国股票市场的制度设计偏向发挥股市的融资功能,忽视中小股东的投资回报。由于股市缺少相应的投资功能和优化资源的配置功能,广大中小股东的利益遭受极大的损害,严重地抑制和伤害了股市信心。提振股市信心,关键在于提高投资者的回报。投资者回报的增加一方面依赖成熟、公平的股市环境,一方面依赖实体经济的增长。若股市巨幅波动,投机炒作、追涨杀跌的气氛浓郁,那主要是因为股市缺乏激励和监督上市公司现金分红的机制,投资者只能通过股票的价差获取收益。要建立股市理性投资和长期投资的基础,体现资本市场对公司的价值评估效应,必须重视现金股息收益率对股票收益率的影响。而实体经济的增长源自上市公司业绩的上升即公司投资效率的提高,由于中小股东的搭便车行为和对控股股东监管存在的难度,将会造成宏观投资层面的结构性失衡,表现为对某些领域的过度投资和对其他领域的投资不足。现金分红会造成一部分资金的分流,成为权衡股东利益分配的重要手段,如何正确利用现金分红和投资行为的相互影响关系,保持适度的投资规模,对资本市场有深远影响。本文的研究正是基于上述两方面的内容分别展开,考虑到经济结构的变化和研究变量的内生性,本文将上市公司分为三类最终控制人控制的上市公司,基于股息收益率和股票收益率的宏观时间序列数据,运用阈值协整方法(STR)分析股息收益率对股票收益率的影响；基于三类上市公司的面板数据,运用面板数据的结构自回归模型(PSVAR)分析现金分红与投资行为的相互影响关系。
以往文献对股票收益率的研究,大多集中在条件异方差波动率理论的扩展,虽然对收益率波动统计性质的刻画已趋于完善,但只能反映市场的某些具体特征,且在对投资者的决策和监管部门政策的制定的参考作用较小。目前,国内学者对股利增长率和股息收益率两个变量的关注很少,本文运用或值协整模型对股息收益率、股票收益率及股利增长率的研究,有以下创新：(1)本文从经济数据的实际特征出发,首先检验研究变量(股息收益率、股利增长率及股票收益率)的数据的线性性与平稳性,检验结果表明,股息收益率是具有线性的一个单位根变量；股利增长率为线性的平稳变量；股票收益率为具有非线性的平稳变量；(2)以股息收益率为阈值变量,股票收益率为被解释变量的阈值协整模型参数的估计结果表明,股息收益率对股票收益率均存在显著的阈值效应,但三类上市公司表现的阈值效应差异较大,针对这种差异,分析三类上市公司治理的重点；(3)在三类上市公司的股息收益率对股利增长率的模型中,虽然存在显著的阈值效应,但股息收益率对股利增长率的影响综合为零,表明现有资本市场体制尚未对上市公司形成有效约束。
基于面板数据的结构向量自回归模型研究投资与现金分红的相关关系的创新有以下几点：(1)对现金分红与投资效率的研究,大多数文献一般运用静态单方程实证检验现金分红对投资效率的影响,且尚未考虑到现金分红的连续性和研究变量的内生性,本文从研究变量内生性的角度,运用PSVAR模型揭示了现金股利支付与投资支出的即期关系与动态影响；(2)按照其支付现金股利的频率是否大于0.5的标准,较好地区分了不同的上市公司股利支付行为所反映的现金股利与投资的变化关系的差异；(3)在一定程度扩展了股利的自由现金流假说和股利信号理论的研究,不同的最终控制人及不同的股利支付行为将深刻影响到股利的治理效应。
最后,根据上述两方面的研究结论,本文提出了相应的政策参考建议,期望中国股市早日走向成熟。
China Stock Market which takes only 20 years to develop is beyond the scales of other countries' Stock Markets which take hundreds of years. The market value of listed-companies of China leaps to the third position in the world according to the statistic data in the early January 2012.But the systems of China's Stock Market are designed to emphasize the financing function and ignore the return on investment of medium and small shareholders. Lack of function of investment and optimal allocation of resource function in China Stock Market cause the interests of medium and small shareholders are damaged, which seriously restrains and hurts the stock market confidence. To boost the market confidence, the key measure is to increase investors' returns, which depends on the mature and fair environment of stock market and the growth of solid-economic. If the stock market fluctuates more often and the air of buying on the upswing and selling on the downswing is rich, they reflect that investors can earn gains only through stock price difference because there have not the incentive and restraint mechanisms of cash dividends paid by listed-company. In order to establish the basis of rational and long-term investment in the stock market and make the stock market reflect the value of assessment of listed companies, we must attach more importance to the influence of the cash dividend yields on the expected stock returns. The growth of solid-economic discussed above is caused by the enhancing the investment efficiency, but hitchhiking behaviors of medium and small shareholders and difficulty of regulating control-shareholders will lead to investing in structural imbalance, which make the corporations invest excessive fund in some fields and invest insufficient fund in other fields. Cash dividends paid by the company will reduce the fund mastered by the control-shareholder, which can weigh the benefits between the control-shareholder and medium-small shareholders. How to correctly take advantage of the relationship between the investment and cash dividend paid and maintain the adequate scale of investment have far-reaching influence on capital market. Based on two points described above, this paper uses threshold cointegration model to analyze the stock returns influenced by the dividend yields by using the macro time series data and the panel structural vector autoregressive model to analyze the relationship between the investment and cash dividend paid by using the panel data on the three kinds of listed company according to the control-shareholders.
Previous literatures about the stock returns research mostly focus on the theory expansion of conditions heteroscedastic volatility, which depict the statistical properties of stock returns perfectly, but they only reflect the some features of market and give little help for the investors to make decision and for supervisor to make regulation. At present, the domestic scholars give little attention to dividend growth and dividend yields. The contributions of this paper which uses the threshold cointegration model to study the cash dividend yields, dividend growth and stock returns are those:(1) In order to learn about the actual feature of economic data, the paper first tests linearity and unit root of variables (cash dividend yields, dividend growth and stock returns), the results of tests show that cash dividend yields has linear unit root process, dividend growth is linear and stationary time series and stock returns has non-linear and stationary process. (2) The estimation of parameters in the threshold cointegration models that define the threshold variable as dividend yields and the explained variable as stock returns show that cash dividend yields has significant threshold effect on the stock returns, but the threshold effects perform differently in different control-shareholders kinds of listed-company. Concerned with this difference, we can find out each type of corporate governance. (3) There also exit the significant threshold effects in the threshold cointegration model of dividend growth, but the comprehensive effect of dividend yields on dividend growth is zero, which means that the existing regulations of profit distribution have no effective constraint on the listed companies.
The contributions of this paper which studies the relationship between the cash dividends and investment in the panel structural vector autoregressive model have those: (1) Static single-equation was explored to empirically test how the cash dividends impact on the efficiency of investment in the most of documents, which ignored the continuous payment of cash dividends and endogeneity of variables, this paper establishes a three-variable panel structural vector autoregressive model that reveals the current relationship and dynamic effect between the cash dividend and investment. (2) According to the standard whether the frequency of cash dividend payment is more than 0.5, this paper distinguishes the difference relationships between the cash dividend and investment. (3) This expands the research of free cash flow theory and dividend signal hypothesis to a certain extent, the type control shareholders and continuous payment of cash dividend will deeply affect the corporate governance.
Finally, summarizing the above research conclusions, the paper puts forward relevant policies.
引文
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