Dividend Yield Strategies Research Articles

Beating the Market: Dollar-Cost Averaging with theProfitable Dividend Yield Strategy

Extensive evidence shows that lump sum investing (LSI) beats dollar-cost averaging (DCA) in most stock markets. We show that DCA investors are not doomed to inferior returns. Motivated by the clean surplus accounting model of asset pricing, we consider a DCA strategy that invests in stocks with a high gross profits-to-asset ratio and high dividend yield. Using block bootstrap simulations of long-horizon (20-year) returns, we show that this profitable dividend yield strategy significantly outperforms LSI in the market index in many dimensions.

Beating the Market: Dollar-Cost Averaging with theProfitable Dividend Yield Strategy

Beating the Market: <i>Dollar-Cost Averaging with the</i><i>Profitable Dividend Yield Strategy</i>

Dividend-Yield Strategies:A New Breed of Dogs

Dividend-yield strategies generate investor interest because they have historically offered better risk-adjusted performance. We test the performance the Dogs of the Dow (DoD) strategy, one of the most prevalent dividend-yield strategies, using Fortune’s Most Admired Companies (MAC) by comparing the performance of a top 10% dividend-yield MAC portfolio (MAC Dogs) to the returns on the Dow Jones Industrial Average (DOW), the standard DoD strategy, and two benchmarks (the overall MAC portfolio and the S&P 500 Index). We find that the MAC Dogs provide significantly higher raw returns than both the DOW and the standard DoD strategy. Moreover, the MAC Dogs provide significantly higher raw and risk-adjusted returns against our benchmarks. Our results remain robust when using either alternative dividend-yield cutoff points or alternative event windows surrounding the issue dates for Fortune . Finally, we show that the average monthly returns are higher for the MAC Dogs than for either benchmark regardless of positioning in an economic cycle. Our results contribute to the existing DoD literature by expanding the strategy beyond application to traditional indexes. Specifically, we use a unique and replicable grouping of stocks based on MAC and offer support for a link between financial and social performance.

The Long and Short of Profitable Dividend Yield Strategies

The Long and Short of Profitable Dividend Yield Strategies

Lifecycle investing with the profitable dividend yield strategy: simulations and nonparametric analysis

Lifecycle investing with the profitable dividend yield strategy: simulations and nonparametric analysis

The Long and Short of Profitable Dividend Yield Strategies

High dividend yield stocks appeal to many investors, but their value-like characteristics raise concerns about payout sustainability and firm distress risk. We address this concern by forming portfolios comprising stocks that have high gross profitability and high dividend yield. The resultant “combo” strategies inherit the defensive qualities of high yield stocks in bad times while underperforming the market portfolio only modestly in good times. Averaged across market cycles, combo strategies exhibit low volatility and high Sharpe ratios reminiscent of “good deal” investments (Cochrane and Saa-Requejo [2000]). Comprehensive evidence shows that the high returns of such combo strategies are driven by the underpricing of low-risk stocks and the same behavior forces that underlie the well-known beta anomaly. These deep-seated forces suggest that the combo approach will continue to work well in the future.

The economic significance of CDS price discovery

Between 2005 and 2009, we document evident time-varying credit risk price discovery between the equity and credit default swap (CDS) markets for 174 US non-financial investment-grade firms. We test the economic significance of a simple portfolio strategy that utilizes fluctuation in CDS spreads as a trading signal to set stock positions, conditional on the CDS price discovery status of the reference entities. We show that a conditional portfolio strategy which updates the list of CDS-influenced firms over time, yields a substantively larger realized return net of transaction cost over the unconditional strategy. Furthermore, the conditional strategy’s Sharpe ratio outperforms a series of benchmark portfolios over the same trading period, including buy-and-hold, momentum and dividend yield strategies.

A Profitable Dividend Yield Strategy for Retirement Portfolios

<h3>ABSTRACT</h3> Extending upon our previous publication (Drummond and Williams, <i>J. Chem. Inf. Model</i>. <b>2019</b>, <i>59</i>, 1634), in this work two additional computational methods are presented to model PROTAC-mediated ternary complex structures, which are then used to predict the efficacy of any accompanying protein degradation. Method 4B, an extension to one of our previous approaches, incorporates a clustering procedure uniquely suited for considering ternary complexes. Method 4B yields the highest proportion to date of crystal-like poses in modeled ternary complex ensembles, nearing 100% in two cases and always giving a hit rate of at least 10%. Techniques to further improve this performance for particularly troublesome cases are suggested and validated. This demonstrated ability to reliably reproduce known crystallographic ternary complex structures is further established through modeling of a newly released crystal structure. Moreover, for the far more common scenario where the structure of the ternary complex intermediate is unknown, the methods detailed in this work nonetheless consistently yield results that reliably follow experimental protein degradation trends, as established through seven retrospective case studies. These various case studies cover challenging yet common modeling situations, such as when the precise orientation of the PROTAC binding moiety in one (or both) of the protein pockets has not been experimentally established. Successful results are presented for one PROTAC targeting many proteins, for different possible PROTACs targeting the same protein, and even for degradation effected by an E3 ligase that has not been structurally characterized in a ternary complex. Overall, the computational modeling approaches detailed in this work should greatly facilitate PROTAC screening and design efforts, so that the many advantages of a PROTAC-based degradation approach can be effectively utilized both rapidly and at reduced cost.

Demographics and the long-horizon returns of dividend-yield strategies

► The behavioural life-cycle hypothesis predicts that old individuals prefer to consume out of dividends than capital gains. ► Therefore we hypothesise that the long-horizon returns of dividend-yield strategies should be positively related to demographic clientele variation. ► Empirical tests are performed to support our hypothesis. ► Our results are robust to the inclusion of control variables. This paper investigates the relationship between demographic changes and the long-run returns of dividend-yield investment strategies. We hypothesise that in a world where components of wealth are mentally treated as being non-fungible, the preference for high dividend-paying stocks by older investors means that the excess returns of high dividend-yielding stocks, relative to other stocks, should be positively related to demographic clientele variation. In particular, we find that, consistent with the behavioural life-cycle hypothesis, long-run returns of dividend-yield investment strategies are positively driven by changes in the proportion of the older population. Our results are robust when controlled for the Fama–French factors, inflation rate, consumption growth rate, interest rates, tax clienteles, time trend and alternative definitions of both dividend-yield strategies and demographic variation.

Dividend Yield Strategy in the British Stock Market 1994-2007

The subject of this study is the profitability of an investment strategy focused on high dividend yield stocks from the British stock market in years 1994 - 2007. We follow the study of Filbeck and Visscher (1997), who analysed this strategy for the companies listed at the London Stock Exchange (LSE) from 1984 to 1994, and construct the portfolios of Top Ten highest dividend yielding companies from the FTSE100 index, which are rebalanced annually until 2007. Our findings are also analysed in a broader context of economic significance, following the studies of McQueen, Shields and Thorley (1997) and Visscher and Filbeck (2003), by considering transaction costs and taxes. We also add the currency risk and look at the obtained results from the point of view of international investors.The results demonstrate that the portfolios composed of the high dividend yield stocks are capable of beating the market, however this has not been happening consistently in the entire analyzed sample period. Nevertheless, the average annual rate of return of the Top Ten portfolios has been over four times as high as the corresponding change of the market index. The analysis of the most important risk-adjusted measures also indicates that the dividend yield portfolios have been a profitable investment.The results presented in this study have an important implication for investors regarding their investment horizon choices. The high dividend yield portfolios in the British market proved to be a profitable investment in a longer run while their returns can vary in shorter periods.

Dividend-Yield Strategies in the Canadian Stock Market

The “Dogs of the Dow” strategy has become an increasingly popular investment strategy for unit investment trusts, resulting in superior performance for U.S.-based investors. To examine its effectiveness for Canadian investors, we applied this high-dividend-yield strategy to the Toronto 35 Index for the first 10 years of the index's existence. The 10 top-performing portfolios' higher compound returns were sufficient to compensate for taxes and transaction costs. Perhaps more important, both the Sharpe ratio, which measures excess return to total risk, and the Treynor index, which measures excess return to market risk, indicate that the strategy produced higher risk-adjusted returns than the Toronto 35. The Dogs strategy also performed well against the broader, but similar, Toronto Stock Exchange 300 Index.

Dividend yield strategies in the British stock market

One particular investment strategy, a dividend yield strategy, has been in existence for several years. This strategy consists of investing an equal dollar amount in each of the ten stocks of a market index with the highest dividend yields. With yearly rebalancing, the portfolio return in the United States over time has exceeded that of the Dow. In this paper, we find that a similar dividend yield investment strategy in Britain was not effective between March 1984 and February 1994. The portfolio returns exceeded the market returns on both unadjusted and risk adjusted bases, in only four years. The superior multiple year Top Ten portfolio performances were primarily due to the outstanding second year returns.