CAJ | 학술논문

本文以1996～2008年间我国沪深两市A股上市公司为样本，对股票收益率的波动与公司基本面信息的相关性进行研究。研究表明，我国上市公司股票收益率的波动与经营业绩间的相关性不强，存在收益率波动与基本面信息脱节的现象。进一步区分不同股利政策的公司，发现现金分红能够显著降低股票收益率的波动，同时稳定的现金股利政策也能够提高公司股票收益率波动与基本面信息的相关性，即连续的现金股利能够提高股票市场的效率。
본문이1996～2008년간아국호심량시A고상시공사위양본，대고표수익솔적파동여공사기본면신식적상관성진행연구。연구표명，아국상시공사고표수익솔적파동여경영업적간적상관성불강，존재수익솔파동여기본면신식탈절적현상。진일보구분불동고리정책적공사，발현현금분홍능구현저강저고표수익솔적파동，동시은정적현금고리정책야능구제고공사고표수익솔파동여기본면신식적상관성，즉련속적현금고리능구제고고표시장적효솔。
This article conducts an analysis of the relevance of the stock return volatility to the company＇s fundamental values, with a sample of the stocks listed in Shanghai and Shenzhen Stock Exchange during 1996-2008. The results show that the correlation of the stock return volatilities with business performance is not strong in the stock market of China. It reflects that China＇s stock market is still not mature and rational, and the move of the stock prices deviates from their fundamental values. Distribution of cash dividends can significantly reduce the stock return volatilities, and stable cash dividend policy can also improve the relevance of the stock return volatility to the fundamental variables.