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2008年10月9日,中国证监会颁布了《关于修改上市公司现金分红若干规定的决定》,将再融资的分红要求从20%提高到30%。本文以此次政策公告为研究背景,考察市场流动性在投资者评价现金股利相关性时扮演的角色,并首次从市场流动性视角分析了半强制分红政策影响投资者财富的两条路径。实证结果表明:(1)股票的市场流动性越差,其在政策颁布时间窗口内的累计超常收益率越高;(2)政策颁布后,股票的市场流动性水平明显提升;(3)市场流动性水平提升越多的股票,其在政策颁布时间窗口内的累计超常收益率越高。
On October 9, 2008, China Securities Regulatory Commission promulgated the “Decision on Amending Some Provisions on Cash Dividend Distribution of Listed Companies”, raising the requirement for dividend refinancing from 20% to 30%. This article takes this policy announcement as a research background to examine the role of market liquidity in investors ’evaluation of the cash dividend relevance. For the first time, this paper analyzes the two paths of semi-mandatory dividend policy affecting investors’ wealth from the perspective of market liquidity. The empirical results show that: (1) the worse the liquidity of the stock market, the higher the cumulative abnormal return rate within the time frame of the policy promulgation; (2) The liquidity of the stock market significantly increases after the promulgation of the policy; (3) The higher the liquidity level of the stock, the higher the cumulative abnormal return rate within the policy promulgation window.