Bond Market Reaction to High Stock Dividends and Splits ——Empirical Evidence Based on Signal Theory

doi:10.15936/j.cnki.1008-3758.2019.01.004

Abstract

Abstract: Based on the signal theory， this paper takes A-share listed companies that announced stock dividends and splits and issuedcorporate bonds from January 1， 2008 to December 31， 2016 as a sample， and uses generalized trend score matching(GPS) method to test the bond market reaction to “high stock dividends and splits”. The results show that stock dividends and splits announcements send good news to bond market， leading to a positive response in the bond market. When the ratio of stock dividends and splits reaches 50%(high stock dividends and splits)， the higher the ratio is， the stronger the positive reaction in the bond market. After further testing the samples according to the bond maturity and credit rating， it is found that the medium and short-term bonds react more positively to “high stock dividends and splits”， while the responses of different credit rating bonds to “high stock dividends and splits” do not differ significantly. The robustness test results based on the event study method are consistent with the results of the generalized tendency score matching method.

Key words: high stock dividends and splits, bond market, signal theory, generalized tendency score matching method

CLC Number:

F830.9

SHI Jin-yan， HAN Yu-shan， GUO Si-cen. Bond Market Reaction to High Stock Dividends and Splits ——Empirical Evidence Based on Signal Theory[J]. Journal of Northeastern University(Social Science), 2019, 21(1): 20-27.

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