Chinese Stock Screen Using Dividend Payout, Market Value, and Amplitude

Summary

This document describes a Chinese equity screen combining daily price amplitude above 1, circulating market value above 10 billion yuan, and a 2019 dividend ratio above 25%. It presents amplitude as a rough sign of trading activity, market value as a size filter, and the dividend threshold as an indicator of past distributions. The screen is intended to identify larger companies with substantial dividends and active trading.

The article recommends adding valuation and profitability measures, such as price-to-earnings, price-to-book, and return on equity, and comparing dividend payouts with industry peers. It also warns that dividend ratios alone may miss weak growth or underlying business performance. No backtest, performance evidence, or detailed definition of the dividend ratio is supplied. The accompanying code example does not fully implement the stated screen, so the described criteria should be treated as a proposed filter rather than a verified strategy.

Key ideas

• The screen requires amplitude above 1, circulating market value above 10 billion yuan, and a 2019 dividend ratio above 25%.
• Amplitude is presented as a proxy for trading activity, while market value serves as a company-size filter.
• The article suggests adding valuation and profitability measures and comparing dividend payouts within industries.
• It cautions that dividend history alone does not establish growth prospects or overall business quality.
• The document provides no performance test validating the screen.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.