Dividend Yield Strategy in the British Stock Market 1994-2007

2008 ◽  
Author(s):  
Janusz Brzeszczynski ◽  
Kathryn Archibald ◽  
Jerzy Gajdka ◽  
Joanna Brzeszczynska
Keyword(s):  
Stock Market ◽  
Dividend Yield

scholarly journals A note on value investing in the UAE stock market

2019 ◽  
Vol 1 (2) ◽  
pp. 33-38
Author(s):  
Mateusz Mikutowski ◽  
George D. Kambouris ◽  
Adam Zaremba
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
United Arab Emirates ◽  
Stock Markets ◽  
Dividend Yield ◽  
Value Investing ◽  
Value Effect ◽  
Stock Picking ◽  
Valuation Ratios

Value investing is one of the most popular stock-picking strategies employed in financial markets. We investigate its effectiveness in the United Arab Emirates. We examine the performance of 124 firms in the period from January 2004 to March 2019. We analyze portfolios from one-way sorts on several well-known valuation ratios: earnings-to-price, book-to-market, EBITDA-to-EV, and dividend yield. Our results demonstrate a powerful value effect in the UAE stock markets. The long-short strategies based on valuation ratios display high raw and risk-adjusted returns. Our results are robust to many considerations.

scholarly journals Valuation Ratios As Stock Market Predictors

2011 ◽  
Vol 19 (3) ◽  
Author(s):  
Hassan Shirvani ◽  
Barry Wilbratte
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Efficient Markets ◽  
Dividend Yield ◽  
Font Size ◽  
Future Earnings ◽  
Causality Tests ◽  
Efficient Markets Hypothesis ◽  
Valuation Ratios

<p class="MsoBlockText" style="margin: 0in 0.5in 0pt;"><span style="font-style: normal;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">Using bivariate causality tests, this paper examines price-earnings (PE) and dividend yield (DY) ratios and finds that they do not predict future stock returns but that they do predict future earnings and dividends, lending support to the efficient markets hypothesis.<span style="mso-spacerun: yes;">&nbsp; </span>(JEL: G12, G14)</span></span></span></p>

Stock-Market Equilibrium and the Dividend Yield

1996 ◽  
Vol 96 (90) ◽  
pp. 1
Author(s):  
Charles Frederick Kramer ◽  
Keyword(s):  
Stock Market ◽  
Market Equilibrium ◽  
Dividend Yield

Dividend yield strategies in the British stock market

1997 ◽  
Vol 3 (4) ◽  
pp. 277-289 ◽  
Author(s):  
Greg Filbeck ◽  
Sue Visscher
Keyword(s):  
Stock Market ◽  
Dividend Yield

scholarly journals Long-Term versus Short-Term Contingencies in Asset Allocation

2017 ◽  
Vol 52 (5) ◽  
pp. 2277-2303
Author(s):  
Mahmoud Botshekan ◽  
André Lucas
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Asset Allocation ◽  
Yield Spread ◽  
State Variables ◽  
Dividend Yield ◽  
Short Term ◽  
Out Of Sample ◽  
Sharpe Ratios

We investigate whether long-term and short-term components of typical conditioning variables in asset pricing studies, such as the dividend yield or yield spread, have different implications for optimal asset allocation. We argue that short-term components relate mostly to momentum, and long-term components relate mostly to mean-reversion effects, respectively. Therefore, they may have a different information content for investors with different horizons. We obtain improvements in terms of out-of-sample Sharpe ratios and expected utilities for decomposed state variables that directly reflect information related to the stock market, such as the dividend yield and stock market trend.

scholarly journals Does the Dogs of the Dow Theory Work at the Sectoral Level?

2020 ◽  
Vol 12 (9) ◽  
pp. 46
Author(s):  
Doh-Khul Kim ◽  
Michelle Nguyen ◽  
Kyle Arbet
Keyword(s):  
Stock Market ◽  
Technical Analysis ◽  
Trading Costs ◽  
Dividend Yield ◽  
Market Data ◽  
Average Return ◽  
Dow Jones Industrial Average ◽  
Robust Consensus

One of popular theories in technical analysis is the Dogs of the Dow (DoD) theory. According to this strategy, the average market can be outperformed using 30 firms of Dow Jones Industrial Average (DJIA) index. Since DoD was introduced, there have been numerous studies on the validity of the theory. However, only contradicting results have been found, so the research has produced no robust consensus on the theory. In addition, most of the research was performed using aggregate stock market data. The purpose of our research is to determine whether the DoD theory is valid at the sectoral level. We find that returns of top 5 highest dividend-yield firms are higher than average return of each sector. However, the additional returns of those 5 firms are not meaningful enough if we take into account tax on profits and trading costs, which does not validate the DoD theory at the sectoral level.

scholarly journals Predictibilidad del mercado accionario colombiano

2019 ◽  
pp. 117-150
Author(s):  
José Ignacio López-Gaviria
Keyword(s):  
Stock Market ◽  
Open Economy ◽  
Risk Premium ◽  
Small Open Economy ◽  
Expected Returns ◽  
Time Varying ◽  
Dividend Yield ◽  
Stock Market Returns ◽  
Credit Frictions

This paper studies historical stock market returns in Colombia and their medium- and long-term predictability with the purpose of examining whether there is a constant or time-varying risk premium and its relationship with other economic variables. With this goal in mind, the paper presents a historical price index, returns and the aggregate dividend yield of Colombia’s stock market for the 1995-2017 period, using information for the whole universe of issuers. Most of the variation in the dividend yield is explained by expected returns, which implies that the stock market has medium- and long-term cycles and the risk premium is time varying. The predictive power of the model increases if extended to include information on housing finance, the real exchange rate and returns of the S&P 500 index, suggesting that credit frictions and small open economy considerations could play a role when modelling risk premium in Colombia’s stock market.

scholarly journals Tracking errors and their determinants: Evidence from Hong Kong exchange traded funds

2016 ◽  
Author(s):  
Patrick Kuok-Kun Chu
Keyword(s):  
Hong Kong ◽  
Panel Data ◽  
Stock Market ◽  
Negative Impact ◽  
Tracking Error ◽  
Exchange Traded Funds ◽  
Dividend Yield ◽  
Tracking Errors ◽  
Expense Ratio ◽  
Trading Volumes

This paper uses panel data to find the determinants of tracking errors in exchange traded funds (ETFs) in the Hong Kong stock market. A comparison of tracking errors between physical and synthetic ETFs also indicates that the synthetic ETFs have higher tracking errors. The magnitude of tracking errors is found to be negatively related to size but positively related to dividend yield, trading volumes of funds, and market risk. However, this study also finds that expense ratio has a negative impact on tracking error, which is not consistent with previous studies, and which this paper addresses.

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