基于RSLN-2模型下的股票分红探究

发布时间：2018-04-23 20:41

本文选题：区制机制转换对数正态模型 + Wilcoxon秩和检验　；参考：《华东师范大学》2013年硕士论文

【摘要】：在股票价格服从对数正态分布,波动率为常数的假设下,本文对股市建立区制机制转换对数正态模型。本文先对该模型进行理论推导,用极大似然法对其六个参数进行估计并给出贝叶斯估计的初步简略方法思考。实证中对中美两国股市应用该模型刻画,以中国上证综指和美国SP500指数为代表,考虑了两国在股市平稳期和变动期两区制机制下,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是有所差异。本文接着对我国上市公司分红的结构性问题进行进一步统计性分析描述,指出我国股市相比于其他发达市场,股指高收益率和高波动率并存的现象。本文在分析现金红利派放情况时,通过市盈率、股价现金流比率指出股价过高是导致我国股息率的偏低的重要原因,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。这也导致对经济环境依赖程度较高,使得在2008年受美国次贷金融危机影响下,股息发放稳定性普遍不强。股息稳定性的刻画是从历史分红公司占比和连续五年分红公司占比等指标说明我国虽然股息发放稳定性不如发达市场,但已经日趋良好有很大的改善。然后本文从投资者角度以平均持股期限、数量和市值三个指标,使用非参数检验方法Wilcoxon秩和检验对新老投资者在投资高分红公司、分红公司和不分红低分红公司的投资意愿上做统计性检验,指出高水平持续稳定的分红确实可以达到吸引投资者进行价值投资。文章最后简要分析我国证券市场信息系统的发展对投资者选股策略产生一定影响,这进而也影响了价值投资策略在我国股市的推广,文末附加了对中小投资者信息来源和使用情况的问卷调查。
[Abstract]:Under the assumption that the stock price is from the logarithmic normal distribution and the volatility is constant, this paper establishes a logarithmic normal model for the regional mechanism of the stock market. This paper first deduces the model theoretically, estimates its six parameters by maximum likelihood method, and gives a brief method of Bayesian estimation. This model is used to depict the stock markets of China and the United States. Taking the Shanghai Composite Index of China and the SP500 Index of the United States as the representatives, this paper considers the changes of stock index and dividend yield in the two countries under the bizonal system of stable period and changing period of stock market. Pointed out that the impact of factors on the stock market in the two countries, the results are very different. The degree of dependence of the dividend yield on the stock market as a whole is also different between the two countries. This paper then makes a further statistical analysis and description of the structural problems of dividend distribution of listed companies in China, and points out the coexistence of high yield and high volatility in China's stock market compared with other developed markets. This paper analyzes the distribution of cash dividend, points out that the high stock price is an important reason for the low dividend rate of our country through the price-earnings ratio and the cash flow ratio of the stock price. The fundamental reason for the low dividend rate and dividend rate is that the overall profitability of listed companies in China is weak. This has also led to a high degree of dependence on the economic environment, making dividend payments generally less stable in the face of the U.S. subprime financial crisis in 2008. The description of dividend stability is that the proportion of dividend companies in history and the proportion of dividend companies in five consecutive years show that although the stability of dividend distribution in China is not as stable as that in developed markets, it has been improved greatly. Then from the investor's point of view, this paper uses the non-parametric test method Wilcoxon rank sum test to analyze the new and old investors investing in high-dividend companies with three indexes: average duration, quantity and market value. Statistical tests are made on the investment intention of dividend companies and non-dividend companies. It is pointed out that a high level of sustained and stable dividends can indeed attract investors to invest in value. Finally, the paper briefly analyzes the influence of the development of stock market information system on investors' stock selection strategy, which in turn affects the promotion of value investment strategy in China's stock market. At the end of this paper, the author appends a questionnaire to the information source and usage of small and medium investors.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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