基于RSLN-2模型下的我国股票分红问题探究 Research on Dividend Policy of China’s Stock Market Based on RSLN-2 Model

Abstract

本文利用体制状态转移对数正态模型刻画股指与股息率，并以上证综指和S&P 500指数进行实证对比分析：在考虑了中美两国在股市平稳期和变动期两体制状态下，股指和股息率的变动情况，指出变动因素对于两国股市的影响结果截然不同，股息率对于股市整体的依赖程度在两国的证券市场也呈现明显差异。接着对我国上市公司分红的结构性问题进行探讨：指出我国股市与发达证券市场相比，具有股指高收益率和高波动率并存的现象；进一步分析现金红利的派发时，通过市盈率、股价现金流比率分析出股价过高是导致我国股息率偏低的重要原因，股息率和股息支付率两者同时偏低的根本原因在于我国上市公司整体盈利能力较弱。 This paper depicts stock index and dividend payout ratio by using regime-switching lognormal model. In practice, this model is applied to the stock market in China and United States, represented by Shanghai composite index and S&P 500 index separately. On the basis of stock index and dividend yield, we point out that the factor of variability in two countries’ stock market leads to different outcomes. The dependence of dividend yield on the whole stock market performance differs across borders in two countries’ security markets. Next, this paper makes further statistical descriptions of the cash dividend structure of the listed companies, points out that, in comparison to other developed securities markets, relative high price earnings ratio (PE) and price/cash flow ratio (P/C) coexist. When analyzing the situation of cash dividend sending, through PE and P/C, we indicate that high stock price is the important reason to the low dividend yield. However, the fundamental cause of the low PE and P/C in the meantime lies in the fact that listed companies in our country have relative weak profitability.