| After more than 30 years of development,the A-share market in China has become the second largest stock market and the largest emerging stock market in the world.However,due to various reasons such as supply and demand imbalance,structural contradictions,irrational participants,and imperfect regulatory policies,China’s stock market has always been characterized by high volatility,high speculation and retail.It has been accompanied by phenomena such as "short bull and long bear","boom and slump sharply","policy market",leading to poor overall market efficiency and stability.Stock risk,as an important part of risk management,is a key factor that leads to overall market risk and investor panic.It is crucial to identify,evaluate and prevent the stock risk,explore the influencing factors and mechanisms,and promote the healthy and stable development of the Chinese stock market.This paper analyzes stock risk from the perspective of dividend motivations and explores their impact mechanisms and transmission paths.Previous research has mostly analyzed the impact of company dividend behavior on management decisions,company performance,and market performance from the perspectives of dividend willingness,payout level,and payout changes.However,due to the comprehensive effects of internal and external factors such as policy intervention,conflicting interests,and business development,the motivations of the company’s stakeholders behind the dividend appearance are hidden.The signals that investors use to predict the development prospects and investment value of listed companies based on dividend behavior may be invalid.Therefore,the motivations driving the company’s dividend contain the company’s value and risk information.This paper establishes the concept of dividend motivation and presents the benign level of dividend motivations quantitatively.Then it examines the impact and mechanism of dividend motivations on stock risks.The paper selects Chinese A-share listed companies from 2005 to 2021 as the research sample,defines dividend motivations as various leading mechanisms that cause dividend phenomena.It also constructs measurement indicators to represent and measure the benign level of dividend motivations.In addition,it divides stock risk into idiosyncratic risk and system risk,and separately examines the impact of the benign level of dividend motivations on idiosyncratic risk and system risk,as well as the mediating role of investors’ heterogeneous beliefs.The main conclusions are as follows:Firstly,the benign level of dividend motivations can effectively reflect the investment value and risk information of the company and transmit it to external investors through signal effect.This paper constructs a measure of the benign level of dividend motivation using eight dimensions,including stability of profitability,investment opportunity,life cycle stage,shareholding of major shareholders,equity balance,executive power,institutional investor holding pressure,and media attention pressure.And through the analysis of institutional investors’ ability and motivation to identify the benign level of dividend motivations,the effectiveness of the index is tested.It is found that institutional investors can identify the benign level of dividend motivations of listed companies,and the benign level of dividend motivations is significantly positively correlated with the shareholding ratio of institutional investors.Different types of institutional investors have different motives for identifying the benign level of dividend motivations.Pressure-resistant institutional investors pay more attention to the benign level of dividend motivations,and such value investment concept will be transmitted to pressure-sensitive institutional investors through shareholding signals.Secondly,based on the logic of investor behavioral decision-making,the impact and mechanism of the benign level of dividend motivations on investors’ heterogeneous beliefs are mainly reflected in: a significant negative correlation between the benign level of dividend motivations and investors’ heterogeneous beliefs;mechanism analysis shows that gradual information flow and limited investor attention are the specific pathways through which the benign level of dividend motivations affects investors’ heterogeneous beliefs.Thirdly,the benign level of dividend motivations is negatively correlated with stock idiosyncratic risk.Investors’ heterogeneous beliefs play a significant mediating role.Further research shows that dividend instability negatively adjusts the relationship between them through the mediating mechanism.Both institutional investors and individual investors can interpret and make use of the company value information transmitted by the benign level of dividend motivations,so as to reduce the differences of opinions and reduce the stock idiosyncratic risk.Compared with the bear market,in the bull market,the benign level of dividend motivations has a more significant inhibitory effect on stock idiosyncratic risk.Fourth,the benign level of dividend motivations is negatively correlated with stock system risk.Investors’ heterogeneous beliefs play a significant mediating role.Further research shows that environmental uncertainty negatively adjusts the relationship between them through the mediating mechanism.The benign level of dividend motivations can affect the system risk through the heterogeneous beliefs of institutional investors and individual investors.No matter in the bull market or bear market,the benign level of dividend motivations is negatively correlated with stock system risk.The innovation of this paper lies in the following aspects.Firstly,it establishes the concept of dividend motivation and constructs and tests the effectiveness of the indicator of benign level of dividend motivations,providing a new research perspective for related topics.Secondly,from the perspective of behavioral finance and using the benign level of dividend motivations as a precondition,it explores the impact and mechanism of the benign level of dividend motivations on investors’ heterogeneous beliefs.Thirdly,it investigates the impact and mechanism of benign level of dividend motivations on both idiosyncratic risk and system risk,and places idiosyncratic risk and system risk in the same analytical framework,examining the important role of investors’ heterogeneous beliefs in the relationship between the benign level of dividend motivations and stock risk.The findings contribute to understand the importance of dividends and the benign level of dividend motivations for market participants in the stock market.It is helpful in guiding listed companies to establish a scientific profit distribution mechanism,strengthening shareholder return awareness,and effectively protecting investor interests.It also helps investors to rationally analyze fundamental and market information of listed companies,establish a value investment concept,and avoid blindly following trends and speculative behaviors.At the same time,it provides theoretical support and empirical evidence for regulatory authorities in optimizing the investor structure,improving the protection mechanism of investors’ rights and interests,and regulating the dividend behavior of listed companies in relevant policymaking and improvement. |
