题 目：Twice stock dividend effect and negative reaction on the ex-date in Chinese markets
报告人：Jiandong Li (Central University of Finance and Economics)
时 间：2010年5月25日（周二）10:00-11:30pm
地 点：伟易博新楼216课堂
摘 要：There are two types of stock dividend in the Chinese stock market. This paper examines them in the period of 1997-2008. Empirical findings indicate that stock dividend effect appears twice. Average abnormal return is 0.88% on the stock dividend proposal date and 0.35% on the stock dividend declaration date, both significantly. There is average 1.70% cumulative abnormal return over the period between two dates. The Chinese market also differs from other markets by reacting negatively around the ex-date. There are consecutive 5 days’ negative abnormal returns in the ex-date window [-2, 2]. This paper offers supportive evidence for the liquidity improvement hypothesis and signaling hypothesis, but is against the retained earnings hypothesis.
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