High Dividend Yield Research Articles

Clustering Defensive Shariah-compliant Stocks Using Financial Performance as the Indicator

Malaysian stocks, including Shariah-compliant stocks, have experienced turbulence last year. Although there are defensive stocks, the well-performing ones are not easily identified. Researchers have proposed various metrics to identify defensive stocks. However, most of the approaches require human intervention. In this study, we focus on Shariah-compliant stocks and propose to automate the labeling of stocks in terms of their financial performance via clustering. The study aims to identify the optimal clustering method to label the clusters. This was achieved by first employing k-Means, Agglomerative, and Mean Shift clustering to group similar stocks before labeling. When labeling, the criteria to distinguish well-performing defensive Shariah-compliant stocks were high dividend yield, low price-earnings ratio, low Beta value, and low price-to-book value. After labelling each stock with its financial performance (Low, Medium, High), we performed classification using Logistic Regression, k-Nearest Neighbors, Support Vector Machine, Decision Tree, and Random Forest to verify the credibility of the labels. Based on the results, the clusters created by k-Means clustering outperformed the rest in matching accuracy. Further investigation was conducted on the k-Means data set by dividing the data according to sector and classifying each sector’s data separately. Logistic Regression outperformed other classification algorithms with an accuracy of 71.5%. The findings also suggested accuracy increased when stocks were classified according to sectors. Further considerations include performing outlier analysis on the data to select well-performing stocks.

Election-day market reactions to tax proposals: Evidence from a close vote

We ask whether stock markets react to political leaders' intentions to tax shareholders immediately following their election. Our natural laboratory is the surprising outcome of the September 2021 Japanese Prime Ministerial election. Using an event study approach, we find firms that are vulnerable to a potential tax increase, such as those paying or receiving dividends, demonstrate lower stock returns compared to their counterparts. In contrast, our analysis does not show differences in stock returns between firms earning interest income and those that do not. Moreover, among high dividend yield firms, a striking contrast emerges: those with substantial individual ownership show a decline in stock returns, while those with significant foreign ownership exhibit an increase. These results highlight the targeted impact of shareholder taxation on domestic shareholders, distinguishing them from debt holders or foreign investors, right from Election Day.

Analysis of Representative Stocks in the UK Supermarket Industry

This essay provides a comprehensive analysis of three major supermarket stocks: Marks & Spencer (M&S), Sainsbury's, and Tesco. The analysis focuses on evaluating the risks, profitability, market ratios, and suitability for different types of investors. M&S exhibits the highest level of risk, while Tesco and Sainsbury's appear to be more stable. M&S is the most profitable stock, followed by Tesco and Sainsbury's. In terms of market ratios, M&S shows potential undervaluation and growth opportunities, Sainsbury's offers a high dividend yield, and both Sainsbury's and Tesco display positive momentum. The preferred stock choices for different types of investors are Sainsbury's for value investors, M&S for growth investors, Tesco for index investors, and Sainsbury's for income investors. These results are used for different investors to analyze and decide which company they will invest to earn more profit in its operation.

Stock Selection Based on Valuation, Growth, Profitability and Payout Ratio Analysis

Stock selection is one of the most popular topics among both inexperienced and sophisticated investors. However, it is always difficult to make a decision from various kinds of stocks with limited purchasing power. Therefore, this study focuses on stock selection among seven particular stocks. The selection was be based on comparisons of indices of valuation, profitability, growth, and payout. Domino’s Pizza Inc stood out from the first part of the comparison in light of its stability and constant growth. MV Oil Trust stood out from the second part of the comparison on account of its high dividend yield. Both Domino’s Pizza Inc’s and MV Oil Trust’s stocks will be the recommendations for investors. The significance of this study is to help investors understand the indices and process of stock comparison under a complicated modern stock market and to help investors with their investment decisions. These results shed light on guiding further exploration for stock selection.

Influence of dividend tax policy tied to investment horizon on stock price stability: Evidence from the 2015 dividend tax reform in China

AbstractWe examine how the dividend tax cut policy tied to the investment horizon enforced on September 8, 2015, influences stock price stability in China's A‐share market. As the new dividend tax policy waives the tax on cash dividends for investors holding a stock for more than a year, it encourages long‐term investment behavior. From 2013 to 2017, we find that stock turnover, return volatility, and turnover volatility decrease after the policy enforcement, especially for stocks with high dividend yields. This result shows that dividend tax reforms increase investors' stock investment horizons and help stabilize the market. However, our findings demonstrate that stock crash risk increases after policy enforcement. Further analysis shows that earnings management through real activities manipulation for stocks with a higher dividend yield contributes to an increase in stock crash risk. Therefore, one externality of the dividend tax cut policy tied to the investment horizon is that top managers of firms with a higher dividend yield may take advantage of investors' passive longer‐term investment behavior and engage in more earnings management. This result suggests that regulatory agencies should pay attention to top managers' earnings management behavior after enacting policies that encourage long‐term investment.

Unpredicted costly dividends and temporary short squeezes

AbstractWe argue that cash dividend is a type of arbitraging cost that short sellers tend to avoid. We find that dividend announcements lead to temporary short squeezes, causing the prices of highly shorted stocks to overshoot and fully revert over time. These stocks also experience excessive buy‐initiated trades and abnormal trading volume in response to dividend announcements. These results are driven mainly by stocks with unpredicted dividends, low lending fees, and high dividend yields. Overall, results suggest that news of a dividend distribution is magnified by short squeezes due to increased short costs and generates excessive nonfundamentals‐driven price fluctuations.

Do the Underlying Portfolios Matter? A Comparative Study of Equity-Linked Pay-at-Maturity Principal Protected Notes in Canada and the UK

This study examines the relationship between the return and the holding cost of equity-linked pay-at-maturity principal protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in the UK and Canada between 2003 and 2015. We find that: (i) the underlying portfolio’s mean return decreases the note holding cost; (ii) the underlying portfolio’s volatility increases the note return and decreases the note holding cost; (iii) investors could maximize note return and minimize holding costs by choosing EL-PAM-PPNs prudently. Investors in both countries should purchase notes with higher participation rates, where the underlying portfolio contains a higher number of stocks and lower expected volatility. UK investors should avoid callable notes and choose notes with a longer time to maturity, where payoff is determined by a single observation of the underlying portfolio’s value at maturity. Surprisingly, Canadian investors should choose callable notes and notes with a shorter time to maturity, where payoff is determined by the average of multiple observations of the underlying portfolio’s value over the life of the note. They should also look for notes that include a guaranteed positive return, and where the underlying asset has a higher dividend yield.

Impact of the ESG focus on any efficiency and fairness of the stock market

The need to ensure sustainable development of territories has led to the emergence of responsible issuers and investors. At the same time such actors’ impact on the stock indices remains understudied, which makes the studies focused on these issues relevant. The goal of this paper was to see into the impact of investors’ ESG focus on the efficiency and fairness of the stock market. The research draws on 2018-2021 data for 232 Russian firms taken from the ESG Ratingby S&P Global Sustainable and https://smart-lab.ru portal. Indicators of particular companies and the market as a whole were estimated using descriptive statistic methods and Cramer’s V-coefficient, and cluster analysis was done. The results showed that any ESG rated assets have higher dividend yield and stock price to revenues ratio (P/S multiplier), which are statistically significant, but the P/S value can be recognized as optimal both for sustainability-rated assets and the unrated ones. It is concluded that the Russian stock exchange is currently lacking any distributive justice and any responsible investors’commitment has no influence on the market efficiency. The theoretical value of the study lies in its confirming Eugene Fama’s efficient market hypothesis being applicable to responsible issuers’ stocks and in defining the indicators of the market’s distributive justice. Its scholarly importance stems from its assessing the current rate of the Russian stock exchange’s efficiency and fairness when ESG commitments are expanding among investors. The identified failures of the financial market, which managers of responsible companies and shareholders should consider in their activities, are of practical value.

Optimal Cash Ratio and Adjustment Speed Across Different Firm Characteristics

This paper seeks to use fixed effect and dynamic panel models to examine role of firm characteristics, macroeconomic variables, control of corruption and political uncertainty in explaining cash holdings of Egyptian firms over the period 2011 – 2020. We find that firm characteristics strongly explain variations in corporate cash ratios and deviations from the target ratios. However, we document no considerable role of macro variables. Egyptian firms tend to hold liquid assets as cash substitutes in managing their working capital and use debt as cash substitute in financing their operations. The findings support the prediction of main corporate finance theory and support both the precautionary and transactionary motives to hold cash. As expected, Egyptian firms tend to hold more cash during periods of high political uncertainty. After sorting according to the most influential independent variables which are tangibility and dividend yield (high and low). We find that cash holdings of the firms respond differently to both the firm specific variables and macro variables. Specifically, the high tangibility firms adjust their cash holding to the optimal level faster than the low tangibility firms while the low dividend yield firms adjust faster than the high dividend yield firms. The results of dynamic panel models indicate that Egyptian firms follow a partial adjustment policy towards the optimal cash levels, which corresponds with trade off theory.

Do ADR Firms Have Different Dividend Policies Than U.S. Firms? A Comparative Study

This paper examines and compares the dividend policies of American depository receipt (ADR) firms and U.S. firms and identifies the factors that determine these policies for both types of companies. We find that ADR firms have higher dividend yields than U.S. firms, while U.S. firms have higher stock repurchase ratios than ADR firms. Results from univariate comparisons and multivariate analysis show that the determining factors of dividend payout and stock repurchases differ between these two types of firms. This finding holds for the robustness check conducted in this study. This paper provides further evidence regarding dividend policies of ADR firms and sheds light on the differences in dividend policies between non-U.S. firm and U.S. firms.

The Influence of Dividend Yield on Sales Volume of Sharia Constituent Shares Jakarta Islamic Index 70

Stock trading is something that is observed and occupied by stock investors, especially retail investors. The large trading volume indicates that the stock is in great demand by investors. Information about stock trading volume is a signal that investors will consider in making decisions. Shareholders can decide to invest by looking at the dividend yield. Investors trying to invest funds with stocks that have high dividend yields. The purpose of this study is to determine whether the dividend yield variable has a significant effect on the stock trading volume of the constituents of the Jakarta Islamic Index 70. This research method uses descriptive quantitative method with secondary data collection in documentation. The results of this study indicate that the dividend yield has no significant effect on the trading volume of the constituent shares of JII 70. These results indicate that there are other variables that should be suspected to be influenced by other variables, especially the company's fundamental variables. Some improvements in data collection criteria also seem to need to be done for further research in order to obtain optimal results.

LEISURE INDUSTRY & INVESTMENT STRATEGIES. THE CASE OF EUROPEAN COMPANIES

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

YÜKSEK TEMETTÜ GETİRİSİ COVİD-19 ÇÖKÜŞÜ SIRASINDA FİRMA DEĞERİNİ KORUYABİLİR Mİ? TÜRK FİRMALARINDAN KANITLAR

In this study, we want to investigate whether having a high dividend yield has a catalyst effect on stock prices during the COVID-19 turmoil period. 164 manufacturing firms in Borsa Istanbul are classified as firms with high and low dividend yield according to their last five-years’ (2015-2019) averages. The analysis results show that the stock returns of firms with high dividend yield are less impacted in this COVID-19 crash. Likewise, firms with a high frequency of dividend payouts are less affected than those who do not. This study reveals that firms with high dividend yield are regarded as safe havens by investors in this crash caused by COVID-19.

On the investigation of investment style allocation under the OCIO structure: Evidence from the Korean stock market

Purpose Given the importance of style allocation strategy under the outsourced chief investment officer (OCIO) structure, the authors examine the validity of style allocation strategies in the Korean stock market. The authors find that external investment agencies can improve performance by using newly suggested investment styles such as high dividend yield and low volatility as well as traditional styles. In addition, the authors find that the style combination strategies create economically large and statistically significant returns. Finally, empirical results indicate that factor timing strategies suggested in this study can improve the reward-to-risk ratio. In sum, the empirical findings indicate that external investment agencies under the OCIO structure can improve performance using active style allocation strategies.

Mechanism for developing a dividend policy, basic algorithms

The article is devoted to the strategic block of corporate finance – the formation of the mechanism of dividend policy in the company and its role in the processes of accumulation and distribution of property. Since financial markets are characterized by high mobility and volatility, the dividend policy and the financial mechanism of corporations are constantly evolving. The article considers the main dividend practices and theories that allowed us to obtain a high dividend yield. The paper makes the main emphasis on the forms of payments, the main stages of the formation of the dividend policy, industry features affecting the dividend mechanism and the possibilities of optimization and adaptation to the existing market environment. The article offers recommendations for the stage-by-stage formation of the mechanism of dividend policy in the company in the field of retail.

Dividend month premium in the Korean stock market

The dividend month premium is the phenomenon that firms have abnormal returns in predicted dividend month. This study aims to examine the dividend month premium in the Korean stock market, using common stocks listed on the KOSPI and KOSDAQ from January 1999 to December 2016. Abnormal returns are estimated using the following asset price models: capital asset pricing model, Fama–French three-factor model and the Fama–French–Carhart four-factor model. This study finds positive abnormal returns in predicted dividend months, and even for the within-firm portfolio that buys stocks in the predicted dividend months and sells the same stocks in other months. The price impact and the subsequent reversals are greater with lower liquidity and higher dividend yield, implying that the price pressure from dividend-seeking investors affects this dividend month premium. In addition, the anomalies with the pre-declaration stock are smaller than the post-declaration stock, suggesting the necessity to improve the cash dividend policy of post-declaration for market efficiency.

The potential effect of taxes on the equity home bias in New Zealand PIEs

This paper examines the effect of taxes on the international diversification benefits available to New Zealand investors who invest in equities held through a portfolio investment entity (PIE). Historical monthly index data for 34 markets denominated in New Zealand dollars from 1993 to 2018 is used with an in-sample mean-variance optimization approach to estimate the optimal domestic asset allocation and potential benefits of international diversification. Our findings suggest that New Zealand's dividend imputation tax regime and differential taxation rates on domestic and offshore investment can account for a 7%–11% weight shift towards the New Zealand domestic market compared to the case of no taxes. Monte-Carlo simulation analysis using different return patterns also provide support for home bias in the presence of higher taxes on offshore equity investment. Overall, our results provide a partial explanation for current investor home bias in New Zealand. In contrast, without dividend imputation and differential rates, taxes would suggest a weight shift to offshore equities of between 1% and 6% due to high dividend yields in the New Zealand market.

The role of dividend yield as agency conflict determinant: case of Indonesia

This study provides evidence about how stockholders control insiders using dividend policy to prevent overinvestment. This study observes the dividend yield, market risk, profitability, and growth opportunities of 155 public firms listed on the Indonesia Stock Exchange from 2010 to 2017. The dividend yield data were split into quartiles and categorized into the following areas: 1) firms with the lowest dividend yields, 2) firms with lower dividend yields, 3) firms with higher dividend yields, and 4) firms with the highest dividend yields. This study conducts multinomial regression for testing the hypotheses. The results confirm that systematic risk has an insignificant relationship with dividend policy, and profitability has a significant relationship with dividend policy. Consistent with agency theory in supporting free cash flow theory, this study finds that the agency problem exists for firms with high dividend yields relative to firms with low dividend yields in the context of Indonesian public firms. The systematic risk has an insignificant relationship with dividend policy, of which the study sample is limited. The findings also imply that stockholders tend to control insiders in case of overinvestment. Besides, this study also finds that market risk as a systematic risk is insignificant both for firms with high and low dividend yields.

Dividend Policy and Institutional Holdings: Evidence from Australia

This paper investigates the relationship between dividend payout and institutional ownership for all Australian listed firms in the period between 2001 and 2015. In our univariate tests, we find that institutional investors, in general, prefer dividend-paying firms more than non-paying firms, and for the dividend-paying firms in our sample, institutional investors hold more shares in the firms who pay higher dividends. We further explore the causality between dividend payout and institutional ownership in our multivariate tests with our panel data. The results show an insignificant effect of institutional ownership (dividend payout) on the future dividend payout (institutional ownership) while controlling for firms’ fundamentals, that a higher dividend yield does not attract more institutional investors and that there is no catering to Australian institutional investors.

Investors and dividend yields

This paper examines investor preferences for holding stocks with different dividend yields in a low market interest rate environment. Using a unique dataset reflecting the ultimate stock ownership in publicly traded Swedish firms, we examine if different categories of investors have specific preferences for dividends and the size of the dividend yield. We find that domestic institutional investors, unlike foreign investors, have higher holdings in stocks with a high dividend yield. Using multivariate analysis, we document that stock portfolios with dividend-paying stocks outperform those with non-dividend-paying stocks. After controlling for the size of the dividend yield, we obtain mixed results involving stock performance for dividend-paying stocks and the results indicate no strong difference in the period following cuts in market interest rates.