從內線交易角度探究公司發放股票股利動機

Abstract

發放股票股利並沒有替公司帶來新的資金，亦未改變股東的持股比例。很多文獻深入探討了公司為何發放股票股利，並且了解市場為何普遍給予正面回應。公司發放股票股利主要動機之一為，公司未來有好的投資計劃，因此把現金留在公司作為擴張之用，並以發放股票股利向市場宣告這項利多；此外公司也可能因為面臨財務危機，傾向以發放股票股利來替代現金股利。 對於公司相同大小的股利宣告，鮮少文獻探討投資者如何去解讀公司決策的動機，並给予不同的回應。由於公司內部人士最了解公司真實的經營狀況，他們在發放股票股利前的股票買賣資訊或許會是投資者參考的指標。因此，本文探討的重點在於瞭解內線交易資訊與股票股利宣告效應之間的關係。 我們以1985年到2005年間，首次宣告發放股票股利的美國上市上櫃公司為研究對象。我們發現宣告日當天，宣告日前有異常淨賣出交易資訊的公司，超額股價報酬為負或顯著低於其他公司；宣告日前有異常淨買入交易資訊的公司，兩天累積超額股價報酬顯著高於其他公司。 結果顯示，內線交易資訊對股票股利宣告效果有顯著的解釋能力。然而，宣告日前有異常淨賣出交易資訊與沒有異常交易資訊的公司，兩天累積超額股價報酬無顯著差異，顯示投資者普遍相信股票股利透露公司有更美好前景的訊息，股票股利宣告可以減輕公司宣告日前有異常淨賣出交易資訊的負面衝擊。

Few researches examine the cross-sectional variations in the market response to stock dividend announcements. In this paper, we investigate the interaction between the announcement effect and the insider trading prior to the stock dividend initiations to better understand how investors react to the stock dividend announcements. We examine 384 stock dividend initiations initiated by NYSE, AMEX and NASDAQ firms from 1985 through 2005.We stratify the sample based on insider trading activity within a specified time, say a quarter prior to the announcement day. We find that the 1-day excess returns on the announcement day are negative and significantly lower for firms with insider selling than for the remaining firms. Moreover, the 2-day cumulative abnormal returns are positive and significantly higher for firms with insider buying than the remaining firms. This suggests that insider trading immediately prior to the announcement of stock dividend initiations has significant explanatory power. Specifically, rather than viewing insider trading and stock dividends as additive independent signals, the market views them as complementary signals. However, there is no significant difference for the 2-day cumulative abnormal returns between firms with insider selling and those with no insider trading. This implies that stock dividend announcements reduce the negative valuation effect of abnormal insider selling. Stock dividends seem to be treated on average as good news by the market.