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《Research on the Generalized Virtual Economy》 2016-01
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Announcement Effects of Dividend Policy—Evidence from Chinese Financial Listed Companies

SUN Ou;LIU Zhi-xin;YANG Hai-jun;LI Lin;School of Economics and Management,Beihang University;  
This paper estimates the announcement effect of Chinese financial listed companies' dividend policy with 25 financial listed companies' daily data during 2007-2014. In the event study analysis framework, we build an unbalanced panel data model with pre-announcement and post-announcement dummy variables and estimate the model using feasible generalized least squares estimation method. Conclusions are as follows: Chinese financial listed company's dividend policy has significantly post-announcement effect, while the preannouncement effect is not significant and abnormal trading volume' announcement effect is stronger than the abnormal return rate'. The abnormal returns' announcement effect in the wake of the financial crisis has been enhanced, the abnormal trading volume' announcement effect in the wake of the financial crisis has weakened.
【Fund】: 国家自然科学基金(NO.71171010)
【CateGory Index】: F275;F832.51
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