| Dividend policy and market response it causes have always been the focus of theoretical research, because it not only affects financing decisions and financial structure, but also has a great impact on volatility of the capital markets. Theories on the dividend policy have been further developed from the strict MM theory to theories closer to explain the stock market realities of the situation, but they still fail to explain the mystery of dividend. Unlike the phenomenon that foreign stock market values cash dividend more, companies in China tend to pay high non-cash dividends, the so-called "high stock dividend." This article focuses on the overall and specific cumulative abnormal returns during the process companies execute high stock dividend and analyzes factors affecting specific cumulative abnormal returns.This paper chooses companies that adopt high stock dividend in 2012and 2013 as sample. On the basis of a clear research purpose, we set the pre-announcement date as event day, carry out event study to calculate and analyze overall and specific cumulative abnormal returns, and recognize specific cumulative abnormal returns are quite different after the pre-announcement date; then the paper puts forward factors that may influence specific cumulative abnormal returns and test them by using multiple regression; finally proper suggestions are put forward.The main research conclusions are as follows:(1) Positive abnormal returns apparently exist before pre-announcement date, especially 5 days before pre-announcement day. (2) After pre-announcement day, AAR falls but positive overall CAR still exists. Specific cumulative abnormal returns volatile greatly. (3) information leakage exists before pre-announcement day. (4) Specific cumulative abnormal returns have positive relationships with high stock dividend, negative relationships with the proportion institutions own, the extent of information leakage and capital fund per share. |
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