An Empirical Study On The Abnormal Return Rates Of "High-Send Transfer" Stocks In A-Share Marke

Establishing a healthy well-developed and mature capital market has always been an important strategic goal of the party and the state for the development of China's capital market.In China's A stock market for nearly ten years,every year from the end of the year to the beginning of the following year,the stock of shares in the market has been highly concerned by the investors and the hot discussion of the media.Although regulators have tried to curb part of the stock transfer stock speculation since 2016,the transfer of shares is still one of the most important hot spots in the market every year.In recent years,stocks with high percentage stock dividends or transfer of reserves to shares(We will call them high stock dividend stocks for short hereinafter)?have?been?well?pursued?by?investors?in?China's?A-share market.During the period when listed companies disclose their annual reports every year,these stocks are definitely a hot topic in the stock market.Considering this,this paper aims to study the market reactions to high stock dividend and analyze which factors will affect the intensity of these market reactions.Based on the existing literature,samples of this paper consist of stocks of listed companies which announced more than 50 percentage stock dividends in A-share market during 2012-2016.And the study procedure is as follows.Firstly,abnormal returns around four key event dates are analyzed by event study method.Then,if the abnormal returns are significant,multivariate multiple regression analysis is conducted to look for main factors affecting the significant abnormal returns.Then,according to the dividend forecasting day,the dividend issuance announcement date,and the abnormal return rate response on the ex-dividend date is obvious.Based on the?“dividends?cater?to?theory",?“theory?of?signal?transmission?theory"?and?“liquidity?theory",? the corresponding variables are selected.Using the multivariate regression model,the main factors affecting the abnormal return rate were analyzed.Finally,summarizing the above analysis results,this article puts forward some suggestions for the investors to buy and sell the stock options and timing of high-transmission themes,and proposes to the supervisory level how to curb such irrational hype.Finally,based on the above analyses,some investment advices about how to choose right stocks and when to buy or sell are given by this paper to help investors get better investment returns.Roughly,high percentage stock dividends do bring significant abnormal returns in? China's? A-share market,except the ones in GEM market(growth enterprise market).The investors do have a preference for high stock dividend in Shanghai Stock market,but are down on the ones in GEM market.The abnormal returns of the stock prices begin to appear a few days before the announcement date of the dividend plan,and show again between a few days after the dividend announcement date and a few days before ex-dividend date.The cumulative average abnormal returns(CAAR)of high percentage stock dividend stock keep going down after the ex-dividend date.Study on the factors affecting the abnormal returns shows that there is a serve speculation?atmosphere?in?China's?A-share market.Investors prefer high percentage stock?dividend,?but?they?don't?care?about?how?exactly?high?the?percentage?is.Companies with bigger size gain more attention,so more investors are going to buy their stocks,then stock prices of big companies rise more.Before the ex-dividend date,?investors?in?China's?A-share market expect the stocks prices will run up on the ex-dividend date,which brings further stock prices rises.But when the date finally comes,evidence from the trend of CAAR shows that most of the sample stocks may not enjoy a rising price.Finally,through the analysis of the conclusions of the conclusions of the regulatory layer put forward some relevant suggestions,for the current transfer of stock market status,information disclosure from listed companies,the construction of relevant legal system and the guidance and education of investors,and put forward reasonable suggestions to the regulatory layer.