策略实操系列（二十三）：A股总股东回报的来源解析

Core Insights - The report introduces a new method for decomposing shareholder returns in the A-share market, addressing the mismatch issues of traditional methods by segmenting the market index into smaller intervals and analyzing components such as dividends, earnings, valuations, and residuals [7][8]. A-share Market Analysis - From July 2011 to December 2024, the logarithmic total return of the CSI All Index shows that the largest contribution comes from logarithmic earnings changes, accounting for 74.2% [8]. - In specific sub-intervals, particularly from July 2011 to June 2015, December 2018 to December 2021, and June 2024 to December 2024, the contribution of logarithmic valuation changes was significant, reaching 73.6%, 97.1%, and 105% respectively [8]. Financial and Real Estate Sector - In the fifth sub-interval, the logarithmic total return for the financial and real estate sector was 25.2%, with logarithmic valuation changes contributing 18.7%, representing 74.2% of the total return [14]. - The contributions from logarithmic dividends and earnings changes were relatively small, at 3.62% and 3.12% respectively [14]. Communication Services Sector - The first sub-interval for the communication sector recorded a logarithmic total return of 117%, with valuation changes contributing 97.6%, accounting for 83.6% of the total return [20]. - In the fourth sub-interval, the logarithmic total return was -2.33%, primarily driven by a -8.98% change in earnings [23]. Utility Sector - The utility sector's logarithmic total return was 104% in the first sub-interval, with earnings changes contributing 80.6% [26]. - In the fourth sub-interval, the total return was 6.24%, with earnings changes contributing 44.5% [27]. Overall Market Comparison - Across the entire sample period, the logarithmic total return for the CSI All Index was 55.7%, with contributions from logarithmic earnings changes, valuation changes, dividends, and residuals being 74.2%, 38.0%, 37.7%, and -49.9% respectively [287]. - The highest logarithmic dividend rates were observed in the energy and financial real estate sectors, while the lowest were in the information technology sector [288].