The Effect of Cash Dividend on the Relevance of Stock Return Volatility to Fundamental Values
基于1996-2008年中国A股数据，发现股票收益波动与公司业绩相关性弱，而现金股利发放能降低波动并增强两者关联，对理解新兴市场定价效率有参考价值。
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.