OPPORTUNITIES TO IMPROVE THE PORTFOLIO PERFORMANCE BASED ON DIVIDEND STRATEGIES AND EQUITY HOME BIAS

Valentin Milinov and Tsvetan Pavlov ()
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Tsvetan Pavlov: D. A. Tsenov Academy of Economics

Economic Archive, 2016, issue 2, 6

Abstract: The article examines the equity home bias puzzle and the "Dogs of the Dow" dividend strategy under conditions of the Bulgarian capital market. It was found out that local investors hold 74.1% of their portfolios in domestic stocks, although ICAPM suggests weight of 0.007%, and the "Dogs of the Dow" strategy generates annual risk-adjusted hyper-profitability of 11.18%. Following the dividend strategy, combined with good international diversification provides good opportunities to improve portfolio performance.

Keywords: market efficiency; international diversification; equity home bias; dividend puzzle; the "Dogs of the Dow" strategy (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:dat:earchi:y:2016:i:2:p:6

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