An investigation of the information content of the financial policies of chinas listed companies 2

TABLES

Table 1-1
Number of Listed Companies (1993-2004)
Source: China Securities and Futures Statistical Yearbook, edited by CSRC
1
(2005).

Year

Total SHSE SZSE
A-shares
Only
A & H shares A & B shares
B-shares
Only
1993 183 106 77
1994 291 171 120 227 6 54 4
1995 323 188 135 242 11 58 12
1996 530 293 237 431 14 69 16
1997 745 383 362 627 17 76 25
1998 851 438 413 727 18 80 26
1999 949 484 465 822 19 82 26
2000 1088 572 516 955 19 86 28
2001 1160 646 514 1025 23 88 24
2002 1224 715 509 1085 28 87 24
2003 1287 780 507 1146 30 87 24
2004 1377 837 540 1236 31 86 24

Table 1-2
Features of All A-share Firms (1993-2004)
Notes: Total Shares and Negotiable Shares are measured in 100 million shares; market
capitalization is measured in 100 million Yuan; Trading Volume is measured in million
shares. Source: China Securities and Futures Statistical Yearbook, edited by CSRC (2005)
.
Year
Number
of
Stocks
Total
Shares
Negotiable
shares
Negotiable
market
capitalization
Total Market
Capitalization
Total
Turnover
Trading
Volume
1993 177 300.18 57.13 683.03 3318.67 3522.55 20916.5
1994 287 592.63 144.4 813.87 3516.03 8003.08 98802.4
1995 311 704.08 178.98 790.94 3310.57 3958.58 68106.57
1996 514 1025.23 267.14 2514.01 9488.55 21052.29 246492.9
1997 720 1646.13 443.24 4856.08 17154.19 30295.21 247129.9
1998 825 2203.96 607.01 5550.02 19299.29 12347.72 209250.1
1999 921 2757.88 810.45 7937.46 26167.62 31049.55 280974.7

2000 1010 3439.6 1078.33 155524.2 47455.75 60278.67 455802.1
2001 1130 4650.45 1315.21 13344.9 42245.56 33242.04 246340.7
2002 1199 5283.64 1508.43 11718.75 37526.56 27142.04 285949.2
2003 1261 5808.31 1717.93 12305.92 41520.48 31269.96 399228.05
2004 1353 6595.83 1996.65 10998.47 36309.35 41576.19 507290.76

1
CSRC refers to China Securities and Regulatory Commission.

137
Table 1-3
China’s Stock Market in the National Economy
Notes: The figures of GDP, Central Revenue, and the Amount of Stamp Duty are measured in
100 million Yuan.
Source: China Securities and Futures Statistical Yearbook, edited by CSRC (2005)

As percentage of GDP Stamp Duty
Year GDP
Market
Capitalization (%)
Negotiable Market
Capitalization (%)
Central
Revenue
Amount
Percentage
(%)
1992 26638.1 3.93 - - - -
1993 34634.4 10.2 - 957.5 22 2.3
1994 46759.4 7.89 2.06 2906.5 48.77 1.68

1995 58478.1 5.94 1.6 3256.6 26.38 0.81
1996 67884.6 14.5 4.22 3661.1 127.99 3.5
1997 74772.4 23.44 6.96 4226.9 25.76 5.93
1998 79552.8 24.52 7.22 4885 225.75 4.62
1999 82054 31.82 9.87 5797.7 248.07 4.28
2000 89404 53.79 17.99 7584.33 485.89 6.41
2001 95933 45.37 15.08 8582.74 291.44 3.4
2002 102398 37.43 12.19 11020 111.95 1.02
2003 116694 36.38 11.29 11865 128.35 1.08
2004 136515 27.14 8.56 - 169.08 -

138
Table 2-1
Share Structure of All Listed Firms (1992-2004)
Notes: The figures are the number of shares as a percentage of outstanding shares,
which are computed through data from China Securities and Futures Statistical
Yearbook (2005).
Non-tradable Shares Tradable Shares
Year
State-
owned
shares
Legal
Person's
Shares
Others Total A-shares B-shares H-shares Total
1992 42.10% 26.60% 1.20% 70.00% 15.90% 14.90% 0.00% 30.80%
1993 49.10% 20.70% 2.50% 72.20% 15.80% 6.40% 5.60% 27.80%
1994 43.30% 22.50% 1.10% 67.00% 21.00% 6.10% 6.00% 33.00%
1995 38.70% 24.60% 1.10% 64.50% 21.20% 6.70% 7.70% 35.50%

1996 35.40% 27.20% 2.20% 64.80% 21.90% 6.40% 6.90% 35.20%
1997 31.50% 30.60% 3.20% 65.30% 22.80% 6.00% 5.70% 34.60%
1998 34.30% 28.30% 3.30% 65.90% 24.10% 5.30% 4.70% 34.10%
1999 36.10% 26.60% 2.30% 65.00% 26.30% 4.60% 4.00% 35.00%
2000 38.90% 23.80% 1.60% 64.30% 28.40% 4.00% 3.30% 35.70%
2001 46.20% 18.30% 0.80% 65.30% 25.30% 3.10% 6.40% 34.70%
2002 47.20% 17.30% 0.80% 65.30% 25.70% 2.90% 6.10% 34.70%
2003 47.39% 16.63% 0.71% 64.72% 26.67% 2.73% 5.87% 35.28%
2004 46.78% 16.40% 0.77% 63.95% 27.87% 2.76% 5.42% 36.05%
Average 41.31% 23.04% 1.66% 66.02% 23.30% 5.53% 5.21% 34.03%

Table 2-2
Ownership Structure of Listed Companies (1993-2001)
Notes: In this table, the firms are divided into different groups according to their ownership
structure. The percentage figures are the proportion of firms that dominated by different type
of ownership, which are computed through data from the website
www.cninfo.com.cn.

YEAR Number of Firms
Dominated by
State-owned
Shares
Dominated by
Legal Person’s
Shares
Dominated by A-
shares
Dominated by
Non-negotiable
Shares

1993 173 52.02% 34.68% 12.72% 89.02%
1994 285 47.37% 31.93% 20.70% 84.56%
1995 321 45.17% 30.22% 24.30% 83.49%
1996 523 46.08% 35.37% 17.97% 88.34%
1997 726 50.83% 31.68% 17.08% 90.22%
1998 838 51.79% 31.74% 15.99% 90.10%
1999 918 49.78% 31.81% 17.97% 88.78%
2000 1037 48.79% 29.12% 21.89% 83.99%
2001 1082 48.15% 27.63% 24.12% 81.79%
AVERAGE 48.89% 31.58% 19.19% 86.70%

139
Table 2-3
Ownership concentration in terms of a single shareholder
Notes: Figures are rearranged based on data from He (1998).
Percentage of Shares owned by the
Largest Shareholder
Number of Firms Percentage of Firms
Cumulative
Percentage
90-100 0 0.00% 0.00%
80-90 3 0.60% 0.60%
70-80 35 6.60% 7.20%
60-70 80 15.10% 22.30%
50-60 85 16.00% 38.30%
40-50 97 18.30% 56.60%
30-40 95 17.90% 74.50%
20-30 90 17.00% 91.50%
10-20 37 7.00% 98.50%
0-10 8 1.50% 100.00%

Table 2-4
Overall Performance of Listed Companies (1992-2004)
Source: China Securities and Futures Statistical Yearbook, edited by CSRC (2005)
Year Debt Ratio (%)
Net Asset
Per Share (Yuan)
ROE (%) EPS (Yuan)
1992 65.01 2.44 14.28 0.35
1993 48.76 2.43 14.68 0.36
1994 50.8 2.39 13.15 0.31
1995 54.41 2.31 10.78 0.24
1996 53.72 2.41 9.59 0.23
1997 50.06 2.47 9.69 0.24
1998 49.49 2.48 7.45 0.19
1999 52.57 2.48 8.23 0.20
2000 53.49 2.69 7.63 0.20
2001 55.65 2.49 5.35 0.13
2002 64.75 2.49 5.65 0.14
2003 67.99 2.39 7.37 0.19
2004 69.65 2.71 9.12 0.25



Table 2-5
Losing Firms in China’s Stock Market (1995-2003)
Source:
/>

Year 1995 1996 1997 1998 1999 2000 2001 2002 2003
Num 17 31 40 85 81 96 151 175 159
Percent 5.1 5.4 5.4 10 8.6 8.7 13.1 14.45 12.51



140
Table 2-6
Changes of Capital Structure of Listed Companies (1992-2002)
Table (A) presents the change in the amount for each type of shares over 1992 to 2002. The
figures are calculated and rearranged based on the data from China Securities and Futures
Statistical Yearbook (2003). The unit is 10,000 Yuan. Table (B) presents the proportion of the
change of each type of shares to the changes of total capital over 1992-2002.

(A)
Seasoned
Equity Issue
Type of shares
end of
1992
IPO
Stock
dividend
Rights
Issue
Public
Issue
Other
changes
end of

2002
State-owned Shares 29 2228.32 396.98 47.71 9.72 63.55 2774.78
Sponsor's Legal Person's Shares 9.05 509.33 253.55 24.1 2.38 -111.49 686.45
Foreign Legal Person's Shares 2.8 30.84 21.85 1.9 0.36 -4.49 53.26
Private Placement of Legal Person's shares 6.49 127.03 114.79 13.37 -0.16 20.61 282.13
Staff Shares 0.85 82.91 26.92 7.17 0.44 -103.56 14.73
Others 0 76.25 11.89 23.46 5.33 -89.59 27.33
A shares 0 605.8 445.01 179.27 64.47 204.01 1509.49
B shares 10.93 63.05 43.89 5.72 32.98 11.32 167.21
H shares 10.25 347.87 0 0 10.5 1.71 360.08
Total Shares 68.87 4071.4 1314.86 302.71 126.01 -7.94 5875.45


(B)
Seasoned Equity
Issues
Type of Shares
Total
Changes
IPO
Stock
Dividend
Rights
Issues
Public
Issues
Total
Others
State-owned Shares 2746.28 81.1% 14.5% 1.7% 0.4% 2.1% 2.3%
Sponsor's Legal Person's Shares 677.87 75.1% 37.4% 3.6% 0.4% 3.9% -16.4%

Foreign Legal Person's Shares 50.46 61.1% 43.3% 3.8% 0.7% 4.5% -8.9%
Private Placement of Legal Person's shares 275.64 46.1% 41.6% 4.9% -0.1% 4.8% 7.5%
Staff Shares 13.88 597.3% 193.9% 51.7% 3.2% 54.8% -746.1%
Others 27.33 279.0% 43.5% 85.8% 19.5% 105.3% -327.8%
A shares 1498.56 40.4% 29.7% 12.0% 4.3% 16.3% 13.6%
B shares 156.96 40.2% 28.0% 3.6% 21.0% 24.7% 7.2%
H shares 360.08 96.6% 0.0% 0.0% 2.9% 2.9% 0.5%
Total 5807.05 70.11% 22.64% 5.21% 2.17% 7.38% -0.14%



141
Table 2-7
A summary of A-share Firms Issuing New Shares (1994-2003)
Notes: The figures are calculated through data from
www.cninfo.com.cn.

Seasoned Equity Issues Rights issues Public Issues
YEAR
Number
Proportion to
total firms
Number
Proportion to
Equity Issuing
Firms
Number
Proportion to
Equity Issuing
firms

1994 65 22.65% 65 100.00%
1995 69 22.19% 69 100.00%
1996 48 9.34% 48 100.00%
1997 118 16.39% 116 98.31% 2 1.69%
1998 159 19.27% 154 96.86% 5 3.14%
1999 126 13.65% 122 96.83% 4 3.17%
2000 200 18.87% 181 90.50% 19 9.50%
2001 97 8.54% 84 86.60% 13 13.40%
2002 50 4.17% 20 40.00% 30 60.00%
2003 42 3.45% 25 59.52% 17 40.48%
Total 974 13.85% 887 86.86% 90 18.77%



Table 2-8
A summary of A-share Firms Paying Dividend (1994-2003)
Notes: The figures are calculated through data from
www.cninfo.com.cn.

Firms paying dividend Paying cash dividend Paying Stock dividend
YEAR
Total
Firms
Number
Proportion
to total
firms
Number
proportion
to dividend

paying
firms
Number
Proportion
to dividend
paying
firms
1994 287 209 72.82% 130 62.20% 160 76.56%
1995 311 265 85.21% 208 78.49% 149 56.23%
1996 514 295 57.39% 194 65.76% 176 59.66%
1997 720 397 55.14% 179 45.09% 262 65.99%
1998 825 398 48.24% 230 57.79% 207 52.01%
1999 923 402 43.55% 268 66.67% 181 45.02%
2000 1060 378 35.66% 316 83.60% 107 28.31%
2001 1136 766 67.43% 748 97.65% 121 15.80%
2002 1200 712 59.33% 695 97.61% 89 12.50%
2003 1216 642 52.80% 632 98.44% 69 10.75%
Total 8192 4464 57.76% 3600 75.33% 1521 42.28%


142
Table 2-9
Turnover Ratios of China’s Stock Market and Major World Markets
Notes: The turnover ratios of Shenzhen Securities Exchange (SZSE) or Shanghai Securities
Exchange (SHSE), is defined as the ratio of the number of trading volume to the number of
negotiable shares, and is collected from China Securities and Futures Statistical Yearbook
(2005); the turnover ratios of the three major markets are collected from China Securities and
Futures Statistical Yearbook, edited by CSRC (1999).

Turnover Ratio

Year
SZSE SHSE New York London Tokyo
1992 - - 47.00 43.00 20.00
1993 - - 53.00 81.00 26.00
1994 583.83 1134.63 53.00 77.00 25.00
1995 254.52 528.72 58.99 77.70 26.77
1996 1350.35 913.43 51.98 58.30 26.91
1997 817.43 701.81 65.70 44.00 32.90
1998 406.56 453.63 69.87 47.03 34.12
1999 424.52 471.46
2000 509.10 492.87
2001 227.89 269.33
2002 198.79 214.00
2003 214.18 250.75
2004 288.29 288.71
Average 479.59 519.94 57.08 61.15 27.39


143
Table 2-10
Number of A-share Investors (1990-2001)
Notes: The data are collected from Shenzhen Stock Exchange Fact Book 2001 and Shanghai
Securities Exchange Statistical Yearbook 2002. The number of investors is measured at the
end of each year in unit of 10, 000.

Shenzhen Securities Exchange Shanghai Securities Exchange
Year
Total Individual Institution
Proportion of
Individual

Investors
Total Individual Institution
Proportion of
Individual
Investors
1990 1.06 1.06 0.00 100.00%
1991 25.69 25.63 0.06 99.77%
1992 105.05 104.91 0.14 99.87%
1993 353.28 352.22 1.05 99.70%
1994 483.00 480.72 2.27 99.53% 573.00 571.00 2.00 99.65%
1995 555.04 551.90 3.14 99.43% 682.50 680.00 2.50 99.63%
1996 1089.58 1085.30 4.27 99.61% 1203.30 1200.00 3.30 99.73%
1997 1609.78 1601.88 7.90 99.51% 1706.77 1702.19 4.59 99.73%
1998 1901.09 1892.47 8.62 99.55% 1991.61 1986.05 5.56 99.72%
1999 2189.52 2178.81 10.72 99.51% 2272.23 2264.67 7.56 99.67%
2000 2830.39 2816.47 13.92 99.51% 2943.32 2931.20 12.12 99.59%
2001 3165.22 3149.76 15.46 99.51% 3326.93 3311.07 15.87 99.52%

144
Table 4-1-1
Sample Description of Cash Dividend Events (1994-2003)
Notes: The figures were calculated based on the data from
www.cninfo.com.cn. SZSE
denotes Shenzhen Securities Exchange and SHSE denotes Shanghai Securities Exchange;
Stdev denotes the standard deviation of cash dividend per share; and Obs denotes the
observations of cash dividend events. The unit of cash dividend per share is Yuan.

YEAR Mean Median Max Min Stdev Obs
1994 0.146 0.100 1.200 0.018 0.093 130
1995 0.186 0.150 1.300 0.014 0.127 208

1996 0.165 0.150 0.720 0.010 0.085 194
1997 0.163 0.130 1.000 0.010 0.069 179
1998 0.178 0.150 0.740 0.010 0.078 230
1999 0.177 0.150 1.250 0.010 0.090 268
2000 0.156 0.120 0.800 0.010 0.075 316
2001 0.133 0.100 0.700 0.010 0.085 748
2002 0.118 0.100 0.660 0.002 0.086 695
2003 0.133 0.100 0.600 0.004 0.091 632
SHSE 0.143 0.100 1.300 0.002 0.085 2071
SZSE 0.148 0.100 1.250 0.010 0.092 1529
All 0.145 0.100 1.300 0.002 0.088 3600


Table 4-1-2
Sample Description of Pure Cash Dividend Events (1994-2003)
Notes: The figures were calculated based on the data from
www.cninfo.com.cn. SZSE
denotes Shenzhen Securities Exchange and SHSE denotes Shanghai Securities Exchange;
Stdev denotes the standard deviation of cash dividend per share; and Obs denotes the
observations of cash dividend events. The unit of cash dividend per share is Yuan.

YEAR Mean Median Max Min Stdev Obs.
1994 0.139 0.150 0.230 0.050 0.051 17
1995 0.211 0.195 1.300 0.033 0.170 72
1996 0.164 0.160 0.600 0.010 0.097 77
1997 0.159 0.128 1.000 0.010 0.125 91
1998 0.184 0.160 0.740 0.010 0.124 145
1999 0.193 0.190 1.250 0.010 0.135 175
2000 0.171 0.150 0.800 0.010 0.106 220
2001 0.135 0.100 0.600 0.020 0.089 526

2002 0.120 0.100 0.660 0.002 0.089 523
2003 0.132 0.100 0.520 0.004 0.094 483
SHSE 0.145 0.120 1.300 0.002 0.101 1412
SZSE 0.148 0.100 1.250 0.010 0.114 917
All 0.146 0.110 1.300 0.002 0.106 2329

145
Table 4-1-3
Expected Results of Regression Models of Cash Dividends
Notes: CAR2 is the cumulative abnormal returns over days [0, +1]; CSH_GW is the current
annual growth of cash dividend; PS_CSH is the cash dividend per share; FUT_GWNII is the
annual growth of net income after the announcement; FUT_EPS is the earnings per share
after the announcement; FUT_CFASS is the ratio of net cash flow from operation to the total
assets; MTB is the market-to-book ratio before the announcement, which is computed as the
market value of the equity divided plus the total liabilities, divided by the total assets.


Predicted Relationship with
the Dependent Variable
Hypothesis Explanatory Factors Explanatory Variables
CAR2 CSH_GW PS_CSH
4
Change of
Cash Dividend
CSH_GW Positive
5 Size of Distribution PS_CSH Positive
6 Growth of Expected Earnings FUT_GWNII

Positive

7 Expected Earnings FUT_EPS Positive
8 Expected Cash Flow FUT_CFASS Positive
9 and 10 Growth Prospect MTB Negative Negative

146
Table 4-2-1
Sample Description of Stock Dividend Events (1994-2003)
Notes: The figures were calculated based on the data from
www.cninfo.com.cn. SZSE
denotes Shenzhen Securities Exchange and SHSE denotes Shanghai Securities Exchange;
Stdev denotes the standard deviation of cash dividend per share; and Obs denotes the
observations of cash dividend events.
The unit is number of stocks.

YEAR Mean Median Max Min Stdev Obs
1994 0.336 0.200 3.000 0.100 0.360 160
1995 0.207 0.200 0.900 0.050 0.149 149
1996 0.207 0.200 1.000 0.009 0.162 176
1997 0.264 0.200 1.000 0.012 0.184 262
1998 0.261 0.200 1.000 0.050 0.174 207
1999 0.250 0.200 0.800 0.050 0.132 181
2000 0.240 0.200 0.800 0.060 0.134 107
2001 0.220 0.200 1.000 0.044 0.137 121
2002 0.155 0.100 0.600 0.016 0.099 89
2003 0.213 0.200 0.800 0.017 0.139 69
SHSE 0.243 0.200 3.000 0.012 0.206 828
SZSE 0.244 0.200 1.000 0.009 0.173 693
All 0.244 0.200 3.000 0.009 0.192 1521

Table 4-2-2
Sample Description of Pure Stock Dividend Events (1994-2003)
Notes: The figures were calculated based on the data from www.cninfo.com.cn. SZSE denotes
Shenzhen Securities Exchange and SHSE denotes Shanghai Securities Exchange; Stdev denotes
the standard deviation of cash dividend per share; and Obs denotes the observations of cash
dividend events. The unit is number of stocks.
YEAR Mean Median Max Min Stdev Obs
1994 0.352 0.300 0.800 0.100 0.174 43
1995 0.220 0.200 0.700 0.100 0.155 37
1996 0.223 0.200 1.000 0.030 0.177 54
1997 0.276 0.200 1.000 0.012 0.195 85
1998 0.347 0.300 1.000 0.100 0.234 63
1999 0.302 0.283 0.800 0.100 0.153 34
2000 0.357 0.300 0.800 0.100 0.180 21
2001 0.213 0.225 0.300 0.100 0.103 4
2002 0.169 0.100 0.500 0.100 0.139 8
2003 0.300 0.300 0.300 0.300 NA 1
SHSE 0.290 0.200 1.000 0.012 0.188 196
SZSE 0.286 0.200 1.000 0.050 0.200 154
All 0.288 0.200 1.000 0.012 0.193 350

147
Table 4-2-3
Expected Results of Regression Models of Stock Distributions
Notes: CAR2 is cumulative abnormal returns of days [0, +1]; PS_STK is the stock dividend
per share; PS_TRS is the transferred capital stock per share; FUT_EPS is the earnings per
share after the announcement; CSHBEF is a dummy which is equal to one if the firm paid
cash in the previous year and zero otherwise; MTB is the market-to-book ratio before the
announcement, which is computed as the market value of the equity divided by the book
value of the equity; CSHAFT is a dummy which is equal to one if cash dividend was paid

within one year after the announcement and zero otherwise; PEVT is the share price 10 day
prior to the announcement; EPS is earnings per share before the announcement; and LGKRV
is the amount of capital reserve before the announcement measured in natural logarithm.


Predicted Relationship
with the Dependent Variable
Hypothesis Factors Explanatory Variables
CAR2 PS_STK PS_TRS
1 Size of Distribution
PS_STK
or
PS_TRS
Positive
2
Expected
Future Earnings
FUT_EPS Positive Positive
3
Dummy=1 if pay
cash dividend before
CSHBEF Negative
4 Growth Prospect MTB Positive
5
Dummy=1 if pay
cash dividend after
CSHAFT Positive
6
Price prior to
the announcement

PEVT Positive Positive
7 Current Earnings EPS Positive Positive
8 Capital Reserve LGKRV

Positive


148
Table 4-3-1
Sample Description of Transfer Capital Stocks Events (1994-2003)
Notes: The figures were calculated based on the data from www.cninfo.com.cn. SZSE denotes
Shenzhen Securities Exchange and SHSE denotes Shanghai Securities Exchange; Stdev denotes
the standard deviation of cash dividend per share; and Obs denotes the observations of cash
dividend events. The unit is number of stocks.

YEAR Mean Median Max Min Stdev Obs
1994 0.252 0.200 1.000 0.040 0.226 29
1995 0.245 0.135 1.000 0.030 0.339 7
1996 0.421 0.300 1.000 0.037 0.284 61
1997 0.389 0.300 1.000 0.010 0.258 223
1998 0.339 0.300 1.000 0.026 0.217 183
1999 0.352 0.300 1.000 0.050 0.199 186
2000 0.430 0.400 1.000 0.020 0.249 139
2001 0.425 0.400 1.000 0.044 0.226 159
2002 0.372 0.300 1.000 0.050 0.240 125
2003 0.422 0.350 1.000 0.050 0.266 128
SHSE 0.365 0.300 1.000 0.020 0.234 705
SZSE 0.410 0.350 1.000 0.010 0.249 535
All 0.385 0.300 1.000 0.010 0.242 1240

Table 4-3-2
Sample Description of Pure Transferred capital stocks Events (1994-2003)
Notes: The figures were calculated based on the data from www.cninfo.com.cn. SZSE denotes
Shenzhen Securities Exchange and SHSE denotes Shanghai Securities Exchange; Stdev denotes
the standard deviation of cash dividend per share; and Obs denotes the observations of cash
dividend events. The unit is number of stocks.
YEAR Mean Median Max Min Stdev Obs
1994 0.600 0.600 1.000 0.200 0.566 2
1995 1.000 1.000 1.000 1.000 NA 1
1996 0.510 0.400 1.000 0.200 0.294 25
1997 0.565 0.500 1.000 0.150 0.241 59
1998 0.468 0.500 1.000 0.100 0.278 37
1999 0.432 0.400 1.000 0.100 0.236 35
2000 0.487 0.500 1.000 0.100 0.266 46
2001 0.529 0.500 1.000 0.100 0.250 31
2002 0.457 0.500 1.000 0.100 0.243 27
2003 0.414 0.350 1.000 0.100 0.260 36
SHSE 0.471 0.500 1.000 0.100 0.261 162
SZSE 0.514 0.500 1.000 0.100 0.262 137
All 0.491 0.500 1.000 0.100 0.262 299

149
Table 4-4-1
Sample Description of Pure Rights Issue Events (1994-2003)
Notes: The figures are calculated through the data from
www.cninfo.com.cn. Allocation ratio is
the number of rights per share; SZSE denotes Shenzhen Securities Exchange and SHSE denotes
Shanghai Securities Exchange; Average denotes the average stock dividend per share in Yuan;
Stdev denotes standard deviation of the distribution size; and Obs denotes the observations of

Transfer Capital Stocks events.

Allocation Ratio (Number of rights per share)
YEAR Mean Median Max Min Stdev. Obs
1994 0.415 0.300 1.000 0.150 0.271 25
1995 0.251 0.272 0.300 0.150 0.055 34
1996 0.276 0.265 0.800 0.179 0.097 36
1997 0.250 0.250 0.800 0.130 0.094 98
1998 0.259 0.250 0.800 0.100 0.098 141
1999 0.266 0.300 0.600 0.126 0.073 118
2000 0.287 0.300 0.800 0.139 0.098 170
2001 0.292 0.300 0.800 0.150 0.068 79
2002 0.318 0.300 0.700 0.208 0.108 15
2003 0.290 0.300 0.300 0.188 0.028 24
SHSE 0.278 0.300 1.000 0.111 0.105 406
SZSE 0.275 0.300 1.000 0.100 0.101 334
All 0.277 0.300 1.000 0.100 0.103 740


Subscription Price (Yuan per share)
YEAR Mean Median Max Min Stdev. Obs
1994 3.732 3.500 5.800 2.220 0.938 25
1995 3.631 3.250 7.350 2.200 1.191 34
1996 4.090 3.900 6.980 2.050 1.229 36
1997 5.708 5.000 14.000 2.000 2.141 98
1998 7.695 7.200 22.000 2.500 2.905 141
1999 8.331 8.000 20.000 3.300 2.981 118
2000 10.418 9.850 26.000 4.000 3.847 170
2001 11.294 11.000 25.000 1.650 4.000 79
2002 9.433 8.000 17.700 6.020 3.130 15

2003 7.715 7.195 14.090 4.770 2.394 24
SHSE 7.944 7.050 26.000 1.650 3.861 406
SZSE 8.251 8.000 25.000 2.000 3.806 334
All 8.083 7.590 26.000 1.650 3.837 740

150
Table 4-4-2
Expected Results of Regression Models of Rights Issues
Notes: SIZE is defined as the dollar value of new equity raised under the rights issue divided
by the market value of the firm 10 day prior to the rights issue announcement date;
OFFPRICE is defined as the subscription price of rights issue price divided by the stock price
10 day prior to the issue announcement; MTB is defined as the market value of equity plus
book value of debt, divided by book value of total assets; RUNUP is defined as the
cumulative market return over the 60 days prior to the offering announcement day; MRUNUP
and defined as the cumulative market return over the 60 days prior to the offering
announcement day; SDVR is computed as the standard deviation of residual returns over the
60 days preceding the offering announcement.


Predicted Relationship
with the Dependent Variable
Hypothesis Factors Explanatory Variables
CAR2
1 Size of Rights Issue OFFSIZE Negative
2
The Relative
Subscription Price
OFFPRICE Negative
3 Growth Prospect MTB Positive
4

Preannouncement
Price Runup
RUNUP Negative
5
Preannouncement
Market Index Runup
MRUNUP Positive
6 Return Variance SDVR Positive


151
Table 5-1-1
Announcement Effect of Cash Dividend Events (1994-2003)
Notes: n is number of observations; t, u or v denotes any single day within the event window
[-10, +10], and t=0 is the announcement day; CAR and AR denote the cumulative abnormal
return and the abnormal return, and both are measured in percentage points; t-AR and t-CAR
are t statistics for AR and CAR respectively; *, ** or *** indicates the significance level at
5%, 1% or 0.1%.


OLS Model

(n= 2329)
t AR(t) t-AR CAR(-10, t)
-10 -0.08 (-0.97) -0.08
-9 -0.05 (-0.60) -0.12
-8 0.07 ( 0.89) -0.05
-7 -0.02 (-0.19) -0.07
-6 0.00 (-0.02) -0.07
-5 0.03 ( 0.40) -0.04

-4 0.02 ( 0.21) -0.02
-3 0.02 ( 0.24) 0.00
-2 0.01 ( 0.08) 0.00
-1 0.05 ( 0.63) 0.05
0 0.09 ( 1.14) 0.14
1 0.09 ( 1.10) 0.23
2 0.06 ( 0.80) 0.29
3 -0.03 (-0.41) 0.26
4 -0.35*** (-4.43) -0.09
5 -0.25** (-3.21) -0.34
6 -0.11 (-1.38) -0.45
7 0.00 ( 0.01) -0.45
8 0.03 ( 0.44) -0.41
9 -0.02 (-0.27) -0.43
10 -0.01 (-0.12) -0.44
[u, v] CAR[u, v] t-CAR
[-1, 0] 0.14** ( 2.72)
( 0, 1) 0.17*** ( 3.44)
[-1, +1] 0.22*** ( 3.59)
[-2, +2] 0.29*** ( 3.64)


152
Table 5-1-2
Announcement Effect of Cash Dividend Changes (1994-2003)
Notes: This table presents the announcement effect of change in the cash dividend per share
based on the OLS model; n is number of observations; t, u or v denotes any single day within
the event window [-10, +10], and t=0 is the announcement day; CAR and AR denote the
cumulative abnormal return and the abnormal return, and both are measured in percentage
points; t-AR and t-CAR are t statistics for AR and CAR respectively; *, ** or *** indicates

the significance level at 5%, 1% or 0.1%.

Increases No change Decreases

(n= 450) (n= 326) (n= 506)
t AR(t) t-AR CAR(-10, t) AR(t) t-AR CAR(-10, t) AR(t) t-AR CAR(-10, t)
-10 0.00 ( 0.00) 0.00 -0.04 (-0.47) -0.04 0.02 ( 0.33) 0.02
-9 -0.06 (-0.74) -0.06 0.04 ( 0.43) 0.00 -0.10 (-1.31) -0.07
-8 0.09 ( 1.11) 0.03 0.02 ( 0.28) 0.02 0.10 ( 1.34) 0.03
-7 0.06 ( 0.79) 0.09 0.03 ( 0.36) 0.05 -0.16* (-2.22) -0.14
-6 -0.08 (-1.00) 0.01 -0.07 (-0.85) -0.02 0.00 (-0.04) -0.14
-5 0.02 ( 0.28) 0.03 -0.04 (-0.52) -0.07 -0.04 (-0.52) -0.18
-4 0.05 ( 0.63) 0.08 -0.09 (-1.01) -0.15 0.00 (-0.06) -0.18
-3 -0.08 (-0.99) 0.01 -0.17* (-1.97) -0.32 0.00 ( 0.01) -0.18
-2 -0.06 (-0.79) -0.06 0.06 ( 0.74) -0.26 0.08 ( 1.10) -0.10
-1 -0.01 (-0.19) -0.07 0.04 ( 0.43) -0.22 0.01 ( 0.12) -0.09
0 0.03 ( 0.41) -0.04 -0.02 (-0.21) -0.24 0.12 ( 1.66) 0.03
1 0.00 ( 0.03) -0.04 0.10 ( 1.19) -0.14 0.11 ( 1.46) 0.14
2 0.03 ( 0.40) -0.01 0.03 ( 0.37) -0.11 0.08 ( 1.11) 0.22
3 0.09 ( 1.12) 0.08 0.04 ( 0.49) -0.06 -0.15* (-2.07) 0.07
4 -0.56*** (-7.11) -0.47 -0.52*** (-6.01) -0.58 -0.17* (-2.29) -0.10
5 -0.31*** (-3.90) -0.78 -0.21* (-2.42) -0.79 -0.16* (-2.21) -0.27
6 -0.18* (-2.32) -0.96 -0.08 (-0.94) -0.87 -0.01 (-0.07) -0.27
7 -0.01 (-0.08) -0.97 -0.04 (-0.43) -0.91 0.10 ( 1.32) -0.17
8 0.02 ( 0.28) -0.95 0.17* ( 2.03) -0.73 0.11 ( 1.49) -0.06
9 -0.09 (-1.16) -1.04 0.00 ( 0.03) -0.73 0.13 ( 1.71) 0.06
10 0.03 ( 0.40) -1.01 -0.18* (-2.14) -0.91 0.09 ( 1.15) 0.15
[u, v] CAR[u, v] t-CAR CAR[u, v] t-CAR CAR[u, v] t-CAR
[-1, 0] 0.02 ( 0.16) 0.02 ( 0.16) 0.13 ( 1.26)
[0, +1] 0.03 ( 0.31) 0.08 ( 0.70) 0.23* ( 2.20)

[-1, +1] 0.02 ( 0.15) 0.12 ( 0.82) 0.24 ( 1.87)
[-2, +2] -0.01 (-0.06) 0.22 ( 1.13) 0.40* ( 2.43)




153
Table 5-1-3
Announcement Effect of Cash Dividend Initiations and Resumptions (1994-2003)
Notes: The results are based on the OLS market model of events studies; Initiation means that
this is the first time that the company pays cash dividend; Resumption means that the
company pays cash dividend after at least one year’s discontinuity; n is number of
observations; t, u or v denotes any single day within the event window [-10, +10], and t=0 is
the announcement day; CAR and AR denote the cumulative abnormal return and the abnormal
return, and both are measured in percentage points; t-AR and t-CAR are t statistics for AR and
CAR respectively; *, ** or *** indicates the significance level at 5%, 1% or 0.1%.


Initiations Resumptions

(n= 645) (n= 353)
t AR(t) t-AR CAR(-10, t) AR(t) t-AR CAR(-10, t)
-10 -0.17* (-2.31) -0.17 -0.16 (-1.62) -0.16
-9 -0.07 (-0.94) -0.23 -0.02 (-0.23) -0.18
-8 0.09 ( 1.29) -0.14 0.05 ( 0.52) -0.13
-7 0.03 ( 0.44) -0.11 -0.04 (-0.39) -0.17
-6 0.02 ( 0.32) -0.09 0.08 ( 0.83) -0.09
-5 0.17* ( 2.30) 0.08 -0.01 (-0.06) -0.09
-4 0.02 ( 0.26) 0.10 0.04 ( 0.38) -0.05
-3 0.17* ( 2.35) 0.27 0.06 ( 0.59) 0.00

-2 -0.03 (-0.44) 0.23 0.10 ( 1.00) 0.10
-1 0.11 ( 1.48) 0.34 0.03 ( 0.33) 0.13
0 0.09 ( 1.22) 0.43 0.21* ( 2.15) 0.34
1 0.13 ( 1.82) 0.56 0.07 ( 0.77) 0.41
2 0.11 ( 1.50) 0.67 0.05 ( 0.56) 0.46
3 -0.05 (-0.76) 0.61 -0.09 (-0.91) 0.38
4 -0.18* (-2.54) 0.43 -0.40*** (-4.16) -0.02
5 -0.27*** (-3.72) 0.16 -0.39*** (-4.10) -0.42
6 -0.15* (-2.06) 0.01 -0.14 (-1.42) -0.56
7 0.07 ( 1.03) 0.09 -0.10 (-1.05) -0.66
8 -0.01 (-0.13) 0.08 0.00 ( 0.03) -0.65
9 -0.14* (-2.00) -0.07 0.02 ( 0.20) -0.63
10 -0.01 (-0.15) -0.08 -0.07 (-0.73) -0.70
[u, v] CAR[u, v] t-CAR CAR[u, v] t-CAR
[-1, 0] 0.19 ( 1.91) 0.24 ( 1.75)
[0, +1] 0.22* ( 2.15) 0.28* ( 2.06)
[-1, +1] 0.32** ( 2.61) 0.31 ( 1.87)
[-2, +2] 0.40* ( 2.49) 0.46* ( 2.15)

154
Table 5-1-4
Announcement Effect of Cash Dividends by Year
Notes: The results presented in this table are based on the OLS model; n is number of
observations; n is number of observations; t, u or v denotes any single day within the event
window [-10, +10], and t=0 is the announcement day; AR denote the abnormal return, and is
measured in percentage points;*, **, or *** indicates the significance level at 5%, 1%, or
0.1%.


1994 1995 1996 1997 1998 1999 2000 2001 2002 2003

(n= 17) (n= 72) (n= 77) (n= 91) (n= 145) (n= 175) (n= 220) (n= 526) (n= 523) (n= 483)
t AR(t)
-10 -0.22 -0.43 0.38 0.15 0.02 -0.15 0.00 0.01 -0.17** -0.16**
-9 -0.10 -0.18 -0.69** -0.03 0.10 0.04 -0.24 0.01 0.02 -0.04
-8 0.32 -0.10 0.22 0.42 0.04 0.09 0.14 0.08 0.01 0.02
-7 -0.58 0.13 -0.07 0.04 0.00 0.09 -0.05 -0.07 -0.05 0.06
-6 0.80 0.18 -0.12 -0.11 0.21 0.01 -0.11 0.12 -0.11 -0.05
-5 0.06 -0.61* -0.18 0.32 0.31 0.34* 0.04 -0.02 -0.07 0.07
-4 -0.05 0.42 0.16 -0.37 -0.23 -0.03 0.16 -0.06 0.03 0.11
-3 -0.05 0.53* -0.07 -0.46 0.08 0.00 0.03 0.06 -0.03 0.04
-2 -0.72 -0.28 -0.26 -0.04 0.12 0.19 0.24 0.00 -0.06 -0.01
-1 1.48* 0.25 0.48* -0.06 0.20 -0.10 0.20 0.00 -0.05 0.01
0 0.36 -0.06 -0.29 0.05 -0.19 0.04 0.20 0.11 0.10 0.18**
1 -0.05 0.60* 0.29 0.26 0.06 0.27 0.18 -0.05 -0.01 0.10
2 -1.45 0.03 0.05 -0.19 0.20 0.23 0.06 0.14* -0.06 0.12*
3 -0.35 -0.58* 0.08 -0.31 -0.06 -0.42** -0.01 0.17** -0.07 0.05
4 0.44 -1.21*** -0.46* -0.28 -0.48** -0.27 -0.24 0.15* -0.38*** -0.76***
5 0.73 0.12 -0.68** -0.01 -0.33 -0.56*** -0.07 -0.44*** -0.27*** -0.03
6 -0.22 -0.07 0.06 -0.36 -0.34 -0.18 -0.13 -0.10 -0.18** 0.08
7 -1.31 -0.67** 0.11 0.13 0.28 -0.04 -0.03 0.05 -0.06 0.06
8 -0.53 -0.26 0.21 0.51 0.06 0.23 -0.04 -0.03 -0.01 0.05
9 -0.19 -0.35 0.38 0.09 0.08 -0.46** 0.01 0.03 -0.04 0.02
10 -0.18 0.38 0.03 0.17 -0.12 0.04 -0.06 -0.11 -0.02 0.06
[u, v] CAR[u, v]
[-1, 0] 1.83 0.20 0.19 -0.01 0.01 -0.06 0.40 0.12 0.05 0.19*
[0, +1] 0.30 0.54 0.00 0.31 -0.13 0.32 0.38 0.07 0.09 0.28**
[-1, +1] 1.78 0.80 0.48 0.25 0.07 0.22 0.58* 0.07 0.04 0.29**
[-2, +2] -0.39 0.55 0.27 0.02 0.40 0.64 0.88* 0.20 -0.08 0.41**

155
Table 5-1-5
Announcement Effect of Cash Dividends by Period
Notes: The results presented in this table are based on the OLS model; n is number of
observations; t, u or v denotes any single day within the event window [-10, +10], and t=0 is
the announcement day; CAR and AR denote the cumulative abnormal return and the abnormal
return, and both are measured in percentage points; t-AR and t-CAR are t statistics for AR and
CAR respectively; *, **, or *** indicates the significance level at 5%, 1%, or 0.1%.


1994-1999 2000-2003

(n= 577) (n= 1752)
t AR(t) t-AR CAR(-10, t) AR(t) t-AR CAR(-10, t)
-10 -0.03 (-0.28) -0.03 -0.09* (-2.50) -0.09
-9 -0.08 (-0.92) -0.11 -0.03 (-0.92) -0.13
-8 0.13 ( 1.41) 0.02 0.05 ( 1.34) -0.08
-7 0.02 ( 0.22) 0.04 -0.03 (-0.73) -0.10
-6 0.07 ( 0.78) 0.11 -0.03 (-0.68) -0.13
-5 0.14 ( 1.48) 0.25 0.00 (-0.09) -0.13
-4 -0.05 (-0.59) 0.19 0.04 ( 1.06) -0.09
-3 0.00 ( 0.03) 0.20 0.02 ( 0.64) -0.07
-2 -0.01 (-0.08) 0.19 0.01 ( 0.28) -0.06
-1 0.15 ( 1.63) 0.34 0.02 ( 0.43) -0.04
0 -0.06 (-0.66) 0.28 0.14*** ( 3.74) 0.09
1 0.25** ( 2.74) 0.53 0.03 ( 0.84) 0.13
2 0.06 ( 0.63) 0.59 0.06 ( 1.73) 0.19
3 -0.26** (-2.86) 0.32 0.04 ( 1.17) 0.23
4 -0.45*** (-4.89) -0.12 -0.31*** (-8.42) -0.08
5 -0.31*** (-3.40) -0.43 -0.23*** (-6.21) -0.31

6 -0.20* (-2.22) -0.64 -0.08* (-2.07) -0.38
7 -0.03 (-0.34) -0.67 0.01 ( 0.29) -0.37
8 0.14 ( 1.58) -0.52 0.00 (-0.04) -0.38
9 -0.10 (-1.15) -0.63 0.01 ( 0.18) -0.37
10 0.06 ( 0.62) -0.57 -0.03 (-0.84) -0.40
[u, v] CAR[u, v] t-CAR CAR[u, v] t-CAR
[-1, 0] 0.09 ( 0.69) 0.15** ( 2.95)
[0, +1] 0.19 ( 1.47) 0.17** ( 3.24)
[-1, +1] 0.34* ( 2.14) 0.19** ( 2.89)
[-2, +2] 0.39 ( 1.91) 0.26** ( 3.14)

156
Table 5-1-6
Statistical Description of Explanatory Variables in Regression Models of Cash Dividends
Notes: CSH_GW is the current annual growth of cash dividend; PS_CSH is the cash dividend
per share; GWNII is the annual growth of net income before the announcement; FUT_GWNII
is the annual growth of net income after the announcement; EPS is the earnings per share
before the announcement; FUT_EPS is the earnings per share after the announcement;
CFASS is the ratio of net cash flow from operation to the total assets before the
announcement; FUT_CFASS is the ratio of net cash flow from operation to the total assets
after the announcement; MTB is the market-to-book ratio at year end before the
announcement, which is computed as the market value of the equity divided by the book
value of equity; LGMV is measured as the logarithm of market capitalization at year end
before the announcement.


Mean Median Maximum Minimum Std. Dev. Observations
CSH_GW 0.15 0.00 12.16 -0.98 1.01 1282
PS_CSH 0.15 0.11 1.30 0.00 0.11 2329
GWNII 0.22 0.02 56.79 -7.64 2.27 1758

FUTGWNII -0.13 0.00 38.60 -28.45 1.82 2179
EPS 0.27 0.24 1.73 -2.28 0.17 2235
FUTEPS 0.24 0.23 1.80 -1.86 0.23 2311
CFASS 0.06 0.06 0.45 -0.46 0.08 1866
FUTCFASS 0.05 0.06 0.45 -0.46 0.08 2058
MTB 11.55 10.38 68.91 1.94 5.98 2215
LGMV 21.72 21.68 25.05 19.28 0.79 2230


157
Table 5-1-7
Cross-sectional Regressions of Cumulative Abnormal Return of Cash Dividends
Notes: CAR2 is the dependent variable which is the cumulative abnormal return of days [0,
+1]; CSH_GW is the current annual growth of cash dividend; PS_CSH is the cash dividend
per share; MTB is the market-to-book ratio at year end before the announcement, which is
computed as the market value of the equity divided by the book value of equity; LGMV is
measured as the logarithm of market capitalization at year end before the announcement;
PD00 is a dummy which is equal to one if the event occurred during 2000-2003 and zero
otherwise; CSH_00 is the multiplication of PS_CSH and PD00; MTB_00 is the multiplication
of MTB and PD00; CSHGW_00 is the multiplication of CSHGW and PD00; *, **, or ***
indicates the significance level at 5%, 1% or 0.1%.


CAR2 1 2 3 4 5 6 7
C 0.0012 0.0028 -0.0002 0.0036** -0.0058 -0.0110 -0.0141
( 0.0006) ( 0.0015) ( 0.0009) ( 0.0011) ( 0.0143) ( 0.0147) ( 0.0156)
CSH_GW 0.0001 0.0021
( 0.0006) ( 0.0012)
PS_CSH 0.0136** 0.0161** 0.0346***
( 0.0048) ( 0.0050) ( 0.0090)

MTB -0.0002* -0.0002** -0.0005*
( 0.0001) ( 0.0001) ( 0.0002)
LGMV 0.0003 0.0006 0.0007
( 0.0007) ( 0.0007) ( 0.0007)
PD00 -0.0020 0.0029
( 0.0017) ( 0.0028)
CSH_00 -0.0266*
( 0.0111)
MTB_00 0.0003
( 0.0003)
CSHGW_00 -0.0028
( 0.0014)
ADJ R-square -0.0008 0.0027 0.003 0.001 0.000 0.006 0.007
F-STAT 0.03 2.17* 7.97*** 3.91** 0.28 5.09*** 3.59***
OBS 1282 1282 2329 2215 2230 2215 2215


158
Table 5-1-8
Cross-sectional Regressions of Percentage Change in Cash Dividend Distribution Size
Notes: The dependent variable is CSH_GW is the percentage change in cash dividend
distribution size; FUT_GWNII is the annual growth of net income after the announcement;
GWNII is the annual growth of net income before the announcement; PD00 is a dummy
which is equal to one if the event occurred during 2000-2003 and zero otherwise; GWNII_00
is the multiplication of GWNII and PD00; *, **, or *** indicates the significance level at 5%,
1% or 0.1%.



CSH_GW 1 2 3 4 5 6 7

C 0.1083*** 0.1353*** 0.2947*** 0.1096*** 0.2720*** 0.2722*** 0.2806***
( 0.0269) ( 0.0284) ( 0.0656) ( 0.0270) ( 0.0725) ( 0.0724) ( 0.0721)
GWNII 0.1639*** 0.3432* 0.3427* 0.1635***
( 0.0309) ( 0.1466) ( 0.1465) ( 0.0308)
FUTGWNII 0.0124 0.0108
( 0.0152) ( 0.0140)
PD00 -0.1818* -0.1901* -0.1913* -0.2000*
( 0.0725) ( 0.0781) ( 0.0780) ( 0.0777)
GWNII_00 0.1541*** -0.1885 -0.1874
( 0.0316) ( 0.1500) ( 0.1498)
ADJ R-square -0.0003 0.0041 0.0190 0.0274 0.0274 0.0277 0.0273
F-STAT 0.66 6.28** 23.74*** 9.27*** 9.27*** 12.18*** 17.48***
OBS 1250 1282 1177 1175 1175 1177 1177




159
Table 5-1-9
Cross-sectional Regressions of Cash Dividend Distribution Size
Notes: The dependent variable PS_CSH, which is the cash dividend per share; EPS is the
earnings per share before the announcement; FUT_EPS is the earnings per share after the
announcement; CFASS is the ratio of net cash flow from operation to the total assets before
the announcement; FUT_CFASS is the ratio of net cash flow from operation to the total assets
after the announcement; MTB is the market-to-book ratio at year end before the
announcement, which is computed as the market value of the equity divided by the book
value of equity; PD00 is a dummy which is equal to one if the event occurred during 2000-
2003 and zero otherwise; EPS_00 is the multiplication of EPS and PD00; FUTEPS_00 is the
multiplication of FUTEPS and PD00; CFASS_00 is the multiplication of CFASS and PD00;
FUTCFASS_00 is the multiplication of FUTCFASS and PD00; *, **, or *** indicates the

significance level at 5%, 1% or 0.1%.


PS_CSH 1 2 3 4 5 6 7
C 0.0450*** 0.0927*** 0.1292*** 0.1315*** 0.1052*** 0.0357*** 0.0229
( 0.0034) ( 0.0029) ( 0.0028) ( 0.0027) ( 0.0048) ( 0.0051) ( 0.0126)
EPS 0.3797*** 0.2789*** 0.4561***
( 0.0108) ( 0.0153) ( 0.0473)
FUTEPS 0.2207*** 0.0548*** 0.0498
( 0.0087) ( 0.0109) ( 0.0421)
CFASS 0.1928*** 0.0331 -0.1936
( 0.0297) ( 0.0264) ( 0.1007)
FUTCFASS 0.2099*** 0.1041*** 0.3500***
( 0.0290) ( 0.0271) ( 0.0899)
MTB 0.0036*** 0.0008* 0.0011***
( 0.0004) ( 0.0003) ( 0.0003)
PD00 0.0120
( 0.0133)
EPS_00 -0.2110***
( 0.0492)
FUTEPS_00 0.0054
( 0.0435)
CFASS_00 0.2585*
( 0.1043)
FUTCFASS_00 -0.2589**
( 0.0940)
ADJ R-square 0.36 0.22 0.02 0.02 0.04 0.34 0.37
F-STAT 1243.37*** 650.37*** 42.02*** 52.57*** 92.12*** 189.18*** 109.54***
OBS 2235 2311 1866 2058 2215 1840 1840

160
Table 5-2-1
Announcement Effect of Stock Dividends (1994-2003)
Notes: The table presents the announcement effect of Stock dividends by applying the three
popular models; n is number of observations; t, u or v denotes any single day within the event
window [-10, +10], and t=0 is the announcement day; CAR and AR denote the cumulative
abnormal return and the abnormal return, and both are measured in percentage points; t-AR
and t-CAR are t statistics for AR and CAR respectively; *, ** or *** indicates the
significance level at 5%, 1% or 0.1%.


OLS Model

(n= 350)
t AR(t) t-AR CAR(-10, t)
-10 -0.02 (-0.20) -0.02
-9 0.21** ( 2.71) 0.20
-8 -0.08 (-1.06) 0.11
-7 0.11 ( 1.41) 0.22
-6 -0.13 (-1.64) 0.09
-5 0.34*** ( 4.38) 0.44
-4 0.00 ( 0.05) 0.44
-3 -0.09 (-1.13) 0.35
-2 0.05 ( 0.58) 0.40
-1 0.16* ( 2.10) 0.56
0 1.15*** ( 14.72) 1.71
1 0.38*** ( 4.84) 2.09
2 0.24** ( 3.03) 2.32
3 -0.15* (-1.99) 2.17
4 -0.52*** (-6.62) 1.65

5 -0.28*** (-3.58) 1.37
6 -0.03 (-0.34) 1.35
7 -0.39*** (-5.06) 0.95
8 0.10 ( 1.26) 1.05
9 -0.23** (-2.93) 0.82
10 -0.06 (-0.77) 0.76
[u, v] CAR[u, v] t-CAR
[-1, 0] 1.31*** ( 7.41)
[0, +1] 1.53*** ( 8.62)
[-1, +1] 1.69*** ( 7.80)
[-2, +2] 1.97*** ( 7.05)

161