我国上市公司股利支付率模型的研究——基于FF多因子模型  

Study on the Dividend Payment Ratio Model of Listed Companies in China: Based on the FF Multi- factor Model

作　　者：赵建辉 ZHAO Jianhui(Chinese Academy of Fiscal Sciences,Beijing 100142,China)

机构地区：[1]中国财政科学研究院,北京100142

出　　处：《金融理论与教学》2024年第1期70-82,99,共14页Financial Theory and Teaching

摘　　要：Fama-French三因子模型及五因子模型在中国股票市场适用性一直是众多学者研究的热点之一,将FF多因子模型改造为研究股利支付率的多因子模型,既是一种创新也是一种挑战。以1993年至2022年沪深上市公司为样本,基于Fama-French多因子模型原理,从投资组合股利支付率三因子模型入手,构造股利支付率多因子模型分析框架,并考察修正后的多因子模型对于我国上市公司股利支付率的解释能力。实证研究后发现,市场因子是影响我国上市公司投资组合股利支付率的核心因子,我国上市公司投资组合股利支付率的“小公司效应”显著,五因子模型比三因子模型解释能力更强,但五因子模型中投资因子成为“冗余”因子,剔除投资因子的不含常数项的四因子模型基本可以解释全部股利支付率。The applicability of Fama–French three-factor model and five-factor model in China’s stock market has always been one of the research focuses of many scholars. It is both an innovation and a challenge to transform FF multi-factor model into a multi-factor model for studying dividend payout ratio. Taking listed companies in Shanghai and Shenzhen from 1993 to 2022 as samples, based on the principle of the Fama-French multi-factor model, starting from the three-factor model of investment portfolio dividend payout ratio, this paper constructs a multi-factor model analysis framework for dividend payout ratio, and examines the explanatory power of the modified multi-factor model for dividend payout ratio of listed companies in China. After empirical research, it was found that market factors are the core factors affecting the investment portfolio dividend payout ratio of listed companies in China. The “small company effect” of the investment portfolio dividend payout ratio of listed companies in China is significant, and the five-factor model has stronger explanatory power than the three-factor model. However, in the five-factor model, the investment factor becomes a “redundant” factor, and the four-factor model without constant terms can basically explain all dividend payout ratios.

关 键 词：股利支付率 五因子模型 四因子模型 小公司效应 

分 类 号：F275[经济管理—企业管理] F832.51[经济管理—国民经济]