An Empirical Study Of The Wealth Effect Of "High-turns" And The Reasons For This Phenomenon China Stock Market

Dividend policy is an important area of finance research, which is one of the three pillars of the financial theory about corporate finance, the research for dividend policy has been endless. Since the1960s, the finance professor of the University of Chicago Modigliani and Miller made "irrelevant dividends "on the point of view, dividend theory has attracted the attention of economists. From the "Tax differential theory " to "A bird in the hand "then many popular theories in recent years, such as the behavioral finance theory.The economists has used a variety of means to consider the dividend policy, all aspects of the theory of dividends were been discussed, but always they failed to get the conclusion of universal significance.So Black (1976) has proposed the so-called " dividend puzzle " sigh! Especially for the stock dividend policy, it just only changes the shareholders’ equity between listed companies, but the market has given a positive response. In China, the response is purely alarmed, and the explanation for this phenomenon has been hovering between denial and negation again, but has not got a unified conclusion.Based on the previous studies, the research in methods and conclusions have been some innovations:First, the previous literatures on measurement standards for excess returns, almost all of the economists choose to refer to the market as a standard, it is ignored in certain individual stocks within the industry may get the excess return of the market to bring the mistake result. Only industry index as a measurement standard, is a more accurately measure to account the excess return. Moreover, the previous analysis of the literatures for this phenomenon come from a certain perspective. However for such a large market, from one hypothesis to comment on the overall behavior is obviously absurd. So this paper will get a major hypothesis combined with China’s actual analysis to identify the real causes of excess return.Through empirical analysis, I use the two send Conversion2012-2013fiscal year the Shanghai Stock Exchange and Shenzhen Stock Exchange is more than equal to the study of ten stocks as " High transfer " stocks, a total of341samples of data. Then,on the basis of industry classification, I confirmed the presence of" High transfer " excess return of the stock. In additional, I use the Logit model to find the" High-turns " stock excess returns were due to the presence of moving further Exploration, the result support the " Capital expansion hypothesis" and "Herding hypothesis" Overall conclusions drawn on, but did not support the " Optimal Price range hypothesis " and the "Signaling hypothesis",which explains the existence of China’s capital market’s "High-turns" stock excess returns is a very serious irrational phenomenon.