|
|
1、思维简介：
过去，股息收益率被认为是股票收益的有力预测指标。例如，戈登增长模型（Gordon Growth Model）用于根据未来一系列股息确定股票的“真实”价值，这些股息以贴现到当前时间的恒定速度增长。有大量文献利用股息和股息收益率的特性，以更好地理解时间序列和横截面中资产定价的基本原理。
然而，近年来，学术研究开始显示出恶化的结果。这也证实了作者Gray和Vogel在“剖析股东收益率”一书中的观点。作者们表示：“我们在一个新的数据集上证实了其他研究所发现的情况；股息收益率不再有效，但更完整的股东收益率衡量标准仍然有效。”。“股息的问题在于，股息并不是公司将多余现金分配给股东的唯一方式。如何分配现金的另一种可能性是股票回购。股票回购是一个简单的操作，公司从市场回购自己的股票。这导致现有股份的数量减少，使每一股股份在公司中所占比例更大。最近，这已经成为公司最喜欢的方式。再加上越来越多的证据表明，在过去15-20年里，股票回购已经取代了股息，这一问题显然值得学术界关注。
本文提出了一个新的组合比率，即“净支付收益率”，它结合了股息和股票回购。这导致了对未来股票表现的非常强的预测，甚至可以用于盈利的交易策略，即做多高收益率股票组合，做空低收益率股票投资组合，同时每年重新平衡这些持股。
In the past, the dividend yield was considered a strong predictor for equity returns. For example, The Gordon Growth Model used to determine the “true” value of a stock based on a future series of dividends that grow at a constant rate discounted to the present time. There is a large amount of literature exploiting the properties of dividends and dividend yields to better understand the fundamentals of asset pricing both in the time series and cross-section.
However, academic research started to show deteriorated results in recent years. This also confirms authors Gray and Vogel in the “Dissecting Shareholder Yield“. The authors state that: “We confirm on a newer dataset what other research has found; dividend yield no longer works, but more complete measures of shareholder yield hold promise.” The problem of dividends is that they are not the only way that companies are able to distribute their excess cash back to the shareholders. The other possibility of how to distribute the cash is a stock repurchase. The stock repurchase is a simple operation, where the company buys back its own shares from the marketplace. This results in a reduced number of existing shares, making each worth a greater percentage of the corporation. Recently, this has become a favorite way for firms. Adding the fact that there is growing evidence that stock repurchases have substituted dividends in the last 15-20 years, it is clear that this topic deserves attention from the academic world.
This paper suggests a new combined ratio, the “net payout yield”, combined from both dividends and stock repurchases. This results in a very strong predictor of future equity performance, which can be even used in a profitable trading strategy that goes long a portfolio of high yield stocks and short a portfolio of low yield stocks while rebalancing these holdings on an annual basis.
2、原理：
虽然在很长一段时间里，股息被认为是股票健康状况的一个强有力的预测因素，但最近的研究表明，这一点不再成立，潜在投资者必须使用另一个预测因素。在过去，高股息率表明，与返回给股东的现金流相比，股票是便宜的。当然，使用相同的逻辑但根据实际情况调整预测器是合乎逻辑的。净支出收益率提高了这一比率，因为它还考虑了其他形式的现金再分配。
研究证明，总支付收益率与收益之间的横截面关系比股息收益率与回报之间的关系更为明显。Fama MacBeth在论文中对贝塔、规模、账面市值和收益率变量的回归分析进一步证实了这一结论。在这些横截面时间序列回归中，股息收益率与回报率的相关性不显著，而支出指标与回报率之间的相关性非常显著。此外，支付收益率的动态特性没有显著变化，因此，其预测能力在不同时间段内保持不变。研究还证明，支付收益率表现出显著的样本外可预测性，而股息收益率则没有。最后但并非最不重要的是，基于这一理念的交易策略是有利可图的，并导致投资组合具有负的市场贝塔值和负的规模因子负荷，这表明这些回报不可能用标准风险度量来解释。
Although for a long time, dividends were considered to be a strong predictor for a stock’s health, the recent research shows that this does not hold anymore, and potential investor has to use another predictor. In the past, the high dividend yield showed that a stock is cheap compared to the stream of cash going back to shareholders. Naturally, it would be logical to use the same logic but adjust the predictor to the actual situation. Net payout yield enhances this ratio because it also considers alternative forms of cash redistribution.
Research proved that the cross-sectional relation between total payout yield and returns is more distinct than the relation between dividend yield and returns. This conclusion is reinforced by Fama-MacBeth regressions of returns onbeta,size,book-to-market, and yield variables in the paper. In these cross-sectional time-series regressions, dividend yields show an insignificant association with returns, whereas the payout measures exhibit highly significant associations with returns. Moreover, payout yields show no significant change in their dynamic properties, and consequently, their predictive ability remains intact across various time periods. It was also proved that payout yields exhibit significant out-of-sample predictability, whereas dividend yields do not. Last but not least, the trading strategy based on this idea is profitable and results in portfolios with negative market betas and negative loading on the size factor, suggesting that these returns are not likely to be explained by standard risk measures. |
|
发表于 2023-1-19 14:36:41