股息率、机构投资者与股价崩盘风险

本文基于1999-2017年中国A股上市公司数据，研究了公司股息率水平、股息率不稳定与股价崩盘风险之间的关系.研究发现，公司股息率会影响股价崩盘风险：进行分红的公司、股息率较高的公司的股价崩盘风险较低.我们还发现，股息率会影响机构投资者的偏好，进而影响股价崩盘风险.机构投资者在公司股息率和股价崩盘风险的影响关系中同时具有正向中介效应和负向调节效应.另外，股息率不稳定会加剧股价的崩盘风险，机构持股是其影响渠道之一.本文的实证发现有助于上市公司管理层制定更加合理的股息政策，同时也为监管层制定上市公司分红引导政策提供了经验证据支持.

Dividend yield,institutional investors and stock price crash risk

Based on the listed company data of China A shares in 1999-2017, this paper systematically studies the relationship between the company's dividend yield level, dividend yield instability and stock price crash risk. We find that dividend yield will affect stock price crash risk: Paying a dividend and a higher dividend yield rate will decrease the company's stock price crash risk. We also find that dividend yield affects the stock price crash risk by influencing institutional investors' preferences. Institutional investors have both positive mediating and negative moderating effects in the relationship between the dividend yield rate and the stock price crash risk. In addition, dividend yield instability will aggravate the stock price crash risk, and the institutional investors' shareholding is one of its influence channels. The findings of this paper are helpful for the management of listed companies to make more reasonable dividend policy, and also provide empirical evidence for the regulators to make dividend guidance policy for listed companies.