Screening Chinese Stocks by Turnover, Recent Returns, and Dividend Payout

Summary

The post proposes a Chinese equity screen using turnover between 3% and 12%, a positive return over ten days below 35%, and a dividend payout ratio above 25% for 2019. It says to select stocks before 10 a.m. and presents the dividend filter as a way to include a profitability-related criterion. The post also suggests adding measures such as earnings growth or return on equity, or using machine learning to refine the selection.

It warns that pre-market information and broad market moves may affect selections, and that a dividend requirement can exclude promising firms that do not pay dividends. The included sample code references a particular data service and contains filters whose dates and calculations do not clearly implement the stated ten-day return and 2019 payout rules. No backtest, portfolio construction method, transaction cost analysis, or performance evidence is supplied, so the proposed screen should be treated as an unvalidated selection heuristic.

Key ideas

• The proposed screen combines turnover, recent price performance, and a historical dividend payout threshold.
• The post suggests running the selection before 10 a.m.
• A dividend requirement may exclude potentially attractive non-dividend-paying companies.
• Additional financial measures could supplement the screen, but no tested improvement is shown.
• The sample code does not clearly match all stated screening conditions, and the post provides no performance evidence.

Tags

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