Study on the Dividend Payment Ratio Model of Listed Companies in China:Based on the FF Multi-factor Model
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.
dividend payout ratiofive-factor modelfour-factor modelsmall company effect
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