The Practice of Dividend-Yield Strategies in the Greater China Region

Chin-Sheng Huang, Chun-Fan You, Jiang-Chuan Huang and Su-Wen Kuo

Asian Economic and Financial Review, 2014, vol. 4, issue 11, 1607-1621

Abstract: Studies have shown that, under equally-weighted portfolio returns, dividend-yield strategies often exhibit anomalies in U.S. and European markets. However, Fama (1998) argued that long-term abnormal returns would disappear or shrink considerably if value-weighted returns are adopted. This study is the first to use an equally-weighted measure to show that this phenomenon is prevalent in the broad Chinese markets, covering China, Hong Kong, and Taiwan. While adopting the three-factor model and value-weighted measure, the differences between the returns of dividend yield portfolio and the market index still remain significantly positive. Further, the results remain largely unchanged after accounting for market liquidity. This phenomenon occurs during the two-year period immediately following dividend-announcements and gradually disappears in subsequent years.

Keywords: Dividend yield; Trading strategies; Three-factor model; The greater China region. (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
https://archive.aessweb.com/index.php/5002/article/view/1293/1829 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asi:aeafrj:v:4:y:2014:i:11:p:1607-1621:id:1293

Access Statistics for this article

More articles in Asian Economic and Financial Review from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().