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Trading Strategies Based on Dividend Yield: Evidence From the Taiwan Stock Market

Year: 2010

Type: article

Abstract: This study examines whether a high dividend yield is equivalent to a high return. For constructing a proposed portfolio, we use the panel data of listed companies dividends in six consecutive quarters, and other financial data to estimate expected current yields, which more conform to firms’ profit prospective than the traditional current dividend yield. The results show that in 2003 Q1 to 2008 Q2, the performance differences between the portfolio and the benchmark portfolio are significantly positive statistically. Furthermore, the use of Sharpe ratios and Treynor indices to re-measure the performances does not change the results. In addition, when we extend our prediction period, the effectiveness of the portfolio persists for at least a quarter.

Source: RePEc: Research Papers in Economics

Authors: Ai-Chi Hsu, Szu-Hsien Lin

Institutions: National Yunlin University of Science and Technology, National Chung Cheng University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1899325489

FWCI:

Cites: 21

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Related to: 10