THE PRACTICE OF DIVIDEND-YIELD STRATEGIES IN THE GREATER CHINA REGION
Journal Title: Asian Economic and Financial Review - Year 2014, Vol 4, Issue 11
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.
Authors and Affiliations
Chin-Sheng Huang| Department of Finance, National Yunlin University of Science and Technology, Taiwan, Chun-Fan You| Department of Finance, Trans World University, Taiwan, Jiang-Chuan Huang| Department of Finance, Trans World University, Taiwan, Su-Wen Kuo| Department of Finance, Ling Tung University of Science and Technology, Taiwan
Keywords
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