上市公司送转行为研究——基于投资者认可度和市值管理的视角

Stock dividends are very popular in China's A share market and attracts a lot of attention. However, classical theories hardly account for many phenomena associated with stock dividends. This project intends to expand the study from the following two aspects: the first part, with the capital market as a starting point, aims to explore whether investor recognition plays a role in firms' decisions to pay stock dividends and the valuation effect, and further clarifies the mechanisms how stock dividends expand the investor base by advantage of the unique account transaction data and behavioral finance theories; the second part, with corporate decisions as the core, classifies the motivation of paying stock dividends into value enhancing and catering for manipulation after establishing the link between market value management and the academic literature. Moreover, within the new framework, we investigate the association between stock dividends other corporate policies such as equity sales, earnings management and so on. The innovation of this project is to provide a new theoretical perspective for the study on the puzzle of stock dividends, to reconcile the conflicts of different theories in accounting for the decision to pay stock dividends, to make up the existing literature on retail trading characteristics and their impacts on corporate decisions, and to offer a new framework to study the overall strategic implications of different corporate policies from the perspective of market value management. Meanwhile, this project also responds to the practical needs from regulatory agencies for the policy guidelines on stock dividends and market value management.

送转是A股市场十分普遍的公司行为，而且吸引了大量的关注。然而，经典理论遭遇挑战，诸多与送转相关的现象亟待解释。本课题拟从以下两方面展开研究：第一部分以资本市场为切入点，探讨投资者认可度理论对上市公司送转及其估值效应的解释力，并借助独特的投资者账户交易数据和行为金融理论，厘清送转导致投资者基数扩大的内在机制；第二部分以公司决策为核心，在对市值管理进行学理界定的基础上，将上市公司的送转动机分为估值修复和操纵迎合两类，并在这一框架下，考察送转与股权出售、盈余管理等上市公司其他政策的关系。本项目的创新之处在于为送转之谜的研究提供了新的理论视角，协调了不同理论对送转行为解释的矛盾，弥补了现有文献对散户交易特征及其对公司政策影响研究的不足，提供了从市值管理的整体战略视角研究不同公司政策间关系的新框架。同时，本课题的研究也有助于回应监管层制定与送转、市值管理相关的政策指引的现实需要。

本课题探讨了送转行为对资产价格及公司财务政策的影响。研究发现，第一，即使控制未预期盈余增长、流动性提升等因素后，送转企业在公告后依然享有10%的溢价。第二，送转后，投资者人数增加54%，而博彩型的散户的增加比例高达119%。第三，与送转相伴随的投资者结构的转变不仅解释了溢价形成机理，而且提升了公司风险分散的效率。送转之后，公司的风险承担水平显著提高，但股权成本却显著下降。第四，企业在有外部投资者参与的定向增发后送转概率显著上升，但送转企业增发折价显著低于未送转的企业。这说明送转是A股市场定向增发企业广泛使用的一种市值管理手段，送转的规模与时机是企业与外部投资者理性博弈的结果。最后，本课题还分别借助估值偏误、操纵性应计对上市公司送转动机进行了区分。整体而言，价值低估、盈余质量较好的企业更可能实施送转。但近年来，越来越多的股价未被低估、盈余质量较差的企业实施送转，可通过消除税法漏洞、扩大与送转相关的内幕交易监测范围等途径加强监管。总之，本课题不仅从投资者博彩偏好、风险分散效率角度揭示了送转引起资产价格、股权成本变化的内在机制，而且从市值管理的整体战略视角为理解公司不同政策间的关系提供一种新的认识。