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
Related Articles
- EP ID EP2102
- DOI -
- Views 378
- Downloads 29
DETERMINANTS OF CHILDREN’S HEALTH FOR HUMAN CAPITAL ACCUMULATION: EMPIRICAL ANALYSIS
In this paper we study the determinants of children health resources for human capital accumulation on a sample of children living in Cameroon. Data are from Demographic and Health Survey (DHS-III). We find that using or...
DEPRECIATION RATE OF R&D CAPITAL: PANEL DATA ANALYSIS OF LISTED FIRMS IN JAPANESE R&D-INTENSIVE INDUSTRIES
Research and development (R&D) capital is thought to be at the core of technological progress. To measure the effect of R&D capital correctly, the knowledge of its depreciation rate is required. However, few studies have...
PERCEIVED LOAN RISK AND EX POST DEFAULT OUTCOME: ARE THE BANKS’ LOAN SCREENING CRITERIA EFFICIENT?
Prospective borrowers from commercial banks are usually made to pass through stringent lending procedure. The screening procedure is intended to forestall likely default intents and reduce credit risks. Banks, through th...
INVESTIGATING FRAUDS IN GOVERMENT ACCOUNTING
The main purpose of creative accounting practices is to show financial indicators and tables of businesses different from and generally better than the originals. Although such deceptive practices are mostly performed by...
DOWRY SYSTEM IN PAKISTAN
This research paper argues on the evil of dowry system and its impact on Pakistani civilization. The objectives of this research were to substantiate the effect, favoritism and involvement of people in Dowry system. This...