CAJ | 학술논문

基于股利政策的相关理论，采用我国上市公司股票交易数据，按照上市公司各自的股利政策，分别构造了股票股利和现金股利2个子样本，计算了由这2个子样本构成投资组合的综合价格指数及其收益率，进而运用 CAPM、夏普比率和詹森指数，对发放股票股利的股票是否具有超额收益开展实证研究。结果表明：2种股利政策公司的收益率和超额收益均存在显著差异；股票股利政策投资组合的超额收益显著优于现金股利投资组合；股票股利投资组合的持有期间越长，投资收益优势越明显。
기우고리정책적상관이론，채용아국상시공사고표교역수거，안조상시공사각자적고리정책，분별구조료고표고리화현금고리2개자양본，계산료유저2개자양본구성투자조합적종합개격지수급기수익솔，진이운용 CAPM、하보비솔화첨삼지수，대발방고표고리적고표시부구유초액수익개전실증연구。결과표명：2충고리정책공사적수익솔화초액수익균존재현저차이；고표고리정책투자조합적초액수익현저우우현금고리투자조합；고표고리투자조합적지유기간월장，투자수익우세월명현。
Based on the theories of dividend policy,using the stock transaction data of Chinese listed companies,we constructed stock dividend and cash dividend subsamples and calculated the composite price index and yields of the investment portfolios which constituted by the two subsamples in accord-ance with each dividend policy. Thus we did empirical research on whether stock dividend stocks have abnormal returns with the use of CAPM,Sharpe ratio and Jensen index. As a result,the yields and abnormal returns of the two companies are significantly different. The latter of the stock portfolio is significantly superior to the cash and the longer the holding periods,the more obvious the advantages.