Screening Chinese Stocks by Volatility, Dividend Payout, and ROE

Summary

This stock screen combines three filters: an amplitude threshold, a dividend payout ratio above 25% for 2019, and return on equity above 15% for five consecutive years. The accompanying discussion treats the payout ratio and sustained ROE as signs of shareholder distributions and profitability, while amplitude serves as a price activity measure. It also sketches indicator formulas and a Python example that checks ROE history and applies additional valuation and size filters.

The document gives no performance results or evidence that the screen predicts future returns. Its rationale is qualitative, and the example implementation does not fully reproduce every stated condition: it omits the specified dividend and amplitude checks while adding market value, price-to-book, and price-to-earnings limits. The author flags market, industry, and company-specific risks, and suggests adding technical or fundamental factors or using a weighted multifactor approach. Any use would require checking data definitions, timing, and historical out-of-sample performance.

Key ideas

• The screen selects stocks using amplitude, a 2019 dividend payout threshold, and five years of high ROE.
• The document presents sustained ROE as a profitability filter and dividend payout as a shareholder-return consideration.
• Its sample code adds valuation and size filters but does not implement all three headline conditions.
• The article provides no backtest results, and its qualitative rationale does not establish predictive value.

Tags

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