【作者】 张新；

【导师】 宋军；

【作者基本信息】 复旦大学 ， 金融学， 2014， 硕士

【副题名】基于分红再投资策略

【摘要】 我国证券市场自二十世纪九十年代初成立以来发展迅速,目前我国投资者开户总数已达到22,117.92万户,股票投资已成为投资者重要的理财选择。2000年以来,证监会出台了一系列政策,将股利政策列入再融资的条件,极大的增强了上市公司派发现金股利的积极性,派发现金股利的上市公司数量急剧上升,并出现了一些现金股利金额较高的公司。因此,分析股利政策对投资收益率的影响变得愈发重要。本文认为股利政策对投资收益率主要有两方面的影响：一是股份数量效应,既包括投资者收到上市公司发放的股票股利时引起的持股数量的直接增加,也包括投资者收到现金股利时进行红利再投资所引起的持股数量的增加；二是股票价格效应,即股利政策导致上市公司股票价格,或者说市场价值的变动。目前A股市场已相当接近或达到弱式有效,基于价值投资和道氏理论选股方法,即选取高股利股票长期持有将有可能使投资者获得超额收益。本文认为影响投资者收益率的因素中除上市公司本身经营情况和财务状况等客观指标外,还有很多投资者预期、投资者情绪等无法量化的因素,因此本文通过尽可能还原我国A股市场上的投资环境,模拟投资者基于分红再投资策略投资不同股利政策股票所获得的收益率差别,研究股利政策对投资收益率的影响。在此基础上,本文进一步分析了股市周期波动和不同市场问的差异对股利政策与投资收益率之间的关系的影响。本文主要研究结论如下：一,考虑分红再投资策略时,投资高股息率股票将比低股息率股票获得更高的长期收益率；二,从熊市开始构建投资组合并进行分红再投资管理,高股息率股票与低股息率股票的长期收益率之差将会更大,即股市周期波动将加剧股利政策对投资收益率的影响；三,美国股票市场中,高股息率股票的长期收益率低于低股息率股票,这主要是由于美国股票市场中存在大量保持低股利政策而成长性较高的高科技公司所致。基于此,本文建议投资者选取高股利政策公司股票,采用分红再投资的策略长期持有,从而获得股利收益和资本利得收益的双重回报。更多还原

【Abstract】 Since established in the early 1990s, China’s securities market has a rapid development. Equity investment has been one of the most important financial choices of investors. Since 2000, the China Securities Regulatory Commission has issued a series of policies, making dividend policy being one of the conditions for refinancing, which result in a sharp rise in the number of listed companies which paid cash dividends. Therefore, it’s more and more important to analyze the impact of dividend policy to investment yield.We believe that dividend policy has two main effects on the investment yield. On the one hand, stock dividend and cash dividend reinvestment increase the number of stock shares. On the other hand, dividend policy may have influence on the stock price and market value of listed companies. Now the A-share market has reach weak-form market efficiency, which means investors may get excess returns by investing on high dividend yield in long-terms, based on the Value Investment Theory and Dow Theory. We believe that there are many unquantified factors which have influence on investment yield. So we simulated the difference of investing on stocks of different stock policies based on the cash dividend reinvestment, and we believe that represents the influence of stock policy to investment yield. In addition, we analyze whether the stock market cycle fluctuations and differences between different markets have influence on the relationship between stock policy and investment yield.The main conclusions are as follows:First, long-term investment yield of investing on high dividend yield stocks is higher than that of low dividend yield stocks, based on cash dividend reinvestment strategy; Second, the difference of investment yield between high dividend yield stocks and low dividend yield stocks in bear market is higher than bull market, which means stock market cycle fluctuations do have influence on the relationship between stock policy and investment yield. Third, long-term investment yield of investing on high dividend yield stocks is lower than that of low dividend yield stocks in the U.S. stock market, because there are many listed companies which grew fast but paid little cash dividend in U.S. Based on our conclusions, we recommend investors to select stocks of high dividend yield.更多还原