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本文以中国A股股利分配异常收益效应为研究对象,选取东方财富网股吧超额发帖量和分析师研报数量作为投资者关注的两个代理变量,使用事件分析法检验了股利分配异常收益效应,实证分析了投资者关注对股利分配异常收益效应的影响。研究发现:股利分配异常收益效应显著;投资者关注是影响此异常收益的重要因素,具体影响程度取决于股利分配的方式;在送转(尤其是高送转)以及混合股利事件中,投资者关注显著正向地影响异常收益,但在现金红利事件中影响不显著。
This paper takes the abnormal return effect of the dividend distribution of China A-shares as the research object, selects the excessive posting amount of the shares and the number of analysts’ research reports as the two proxy variables that investors pay attention to, and uses the incident analysis method to test the abnormal return effect of dividend distribution, The empirical analysis of the impact of investor attention on the abnormal return of dividend distribution. The research shows that the abnormal return of dividend distribution is significant. Investors’ attention is an important factor that affects this abnormal return. The specific degree of influence depends on the way of dividend distribution. In the case of delivery (especially high delivery) and mixed dividend, investors Concern positively and significantly affected the abnormal return, but the effect was not significant in the cash dividend.