Abstract
The objective of the present research is to investigate whether the investment strategies based on: a) the systematic risk of a company, b) the dividend yield of a company, and c) the momentum of a stock as it is measured by the price performance over the previous calendar year, can produce above market returns. The sample consisted of all listed companies that operate within the leisure industry on a European level from 2009 to 2019. The results showed that investors in the leisure industry companies: a) are compensated for assuming low systematic risk (low beta portfolios) against to high systematic risk (high beta portfolios), b) must choose portfolios consisting of stocks with high dividend yield stocks rather than portfolios consisting of low dividend yield stocks, and c) are better off by choosing stocks that had a positive momentum in the previous year than stocks that had a low price performance in the previous year
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