股息率与股票收益：基于中国股市经验证据的研究

摘要

本文检验了中国股市股息率与股票收益之间的关系，通过研究依照股息率大小划分的五个投资组合，发现高股息率的股票拥有较高的风险调整收益，除一月外，其它各月股息率与股票收益之间的正相关性都很明显；公司规模的大小并不影响其股息率与股票收益之间的正相关关系；公司价值并非决定股息率效应的关键因素。%This paper examined the relation between dividend rate and stock returns in the China stock market .For five portfolios ranked by the dividend rate , we find that stocks with higher dividend rate earn higher risk -adjusted returns . Interestingly , the positive relation between dividend rate and stock returns is common in all months except January in the China stock market, and is observed in both large -firm and small-firm stocks.The corporate value is not the key fac-tors determining dividend rate effect .