Dividend-Yield Strategies in the Canadian Stock Market

Visscher, Sue L.; Filbeck, Greg

doi:10.2469/faj.v59.n1.2506

Cited by 34 publications

(24 citation statements)

References 36 publications

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“…5, October 2017 the risk/return combination of the portfolios. Following Visscher and Filbeck [12], this research implements five-year rolling-periods from 1996 to 2016 to confirm the previous results. A rolling five-year window portfolio performance analysis can help the research determine the actual holding period performance as long-term investors tend to "roll over" dividend payments to subsequent investment periods to earn to compounded rates of investment (and reinvestment).…”

Section: International Journal Of Trade Economics and Finance Vol supporting

confidence: 66%

“…Visscher and Filbeck [12] illustrate that the ten highest dividend yielding stocks in the Toronto 35 Index produce higher risk-adjusted returns than both the Toronto 35 and the broader Toronto Stock Exchange (TSE) 300 Index. Chong and Luk [13] study the strategy using the Hang Seng Index data and find that the top dividend-yielding stocks outperform the entire index group.…”

Section: Relevant Literaturementioning

confidence: 99%

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Investment Performance of the "Dogs of the Dow” Strategies: Latest Evidence

Lin¹

2017

IJTEF

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Abstract-The purpose of this research is to examine the risk-adjusted investment performance of three versions of the 'Dogs of the Dow' or 'DOD' strategies, relative to that of the broader Dow Jones Industrial Average (DJIA). Specifically, the research explores the traditional DOD portfolio (Dow-10), the Dow-5 and the 'Small Dogs of the Dow' (Small Dogs). An empirical analysis utilizing the Sharpe ratio is used to investigate the relative investment performance of the DOD variants. Over the period 1996-2016, the three DOD portfolios outperform the DJIA, in terms of, raw annual returns, total sample period returns, risk-adjusted annual returns, risk-adjusted rolling period returns and Sharpe ratios. The study concludes that the DOD strategies provide superior risk-adjusted returns than the DJIA Index and that the dividend-driven/contrarian methods may deliver enhanced returns, compared with the buy-and-hold of Dow-30 Index.Index Terms-Dividend investing, dogs of the dow, investment performance, sharpe ratio.

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Section: International Journal Of Trade Economics and Finance Vol supporting

confidence: 66%

Section: Relevant Literaturementioning

confidence: 99%

Investment Performance of the "Dogs of the Dow” Strategies: Latest Evidence

Lin¹

2017

IJTEF

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“…More importantly, the study showed that the Dogs of the Dow strategy produced significantly higher risk adjusted return than the Toronto35 and TSE300 (Toronto Stock Exchange 300) indices and the reported excess return were also high enough to compensate for the higher taxes and transaction costs [7].…”

Section: B Studies On Other Marketsmentioning

confidence: 93%

“…Reference [5] examined the Dogs of the Dow strategy in the British stock market. The authors simulated UK data from 1985 to 1994 and applied the Dogs of the Dow strategy to stocks included in the FTSE100 (Financial Times-Stock Exchange 100) index.…”

Section: B Studies On Other Marketsmentioning

confidence: 99%

An Empirical Analysis of the Dog of the Dow Strategy for the Taiwan Stock Market

Yan¹,

Shen²,

Qiu³

et al. 2015

JOEBM

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Abstract-The Dog of the Dow investment strategy consists of buying the ten highest-dividend-yielding stocks in the Dow Jones Industrial Average in the American stock market and rebalancing the portfolio annually. The strategy is recognized as an effective method for portfolio selection in a lot of stock markets. In this study we apply the strategy to the Taiwan stock market (we name it Taiwan DoD strategy) and analyze its performance based on data from 2003 to 2012.We propose here to buy the ten highest-dividend-yielding stocks in the Taiwan 50 Index and rebalance the portfolio annually. We conducted a simulation and found that the Taiwan DoD strategy always had a higher accumulated return than the Taiwan 50 Index. We also compared the risk-adjusted returns and investigate the performance of portfolios with less number of stocks. Simulation results show that the Taiwan DoD strategy is effective.Index Terms-Dogs of the Dow strategy, investment strategy, portfolio selection, the Taiwan stock market, TAIEX, Taiwan 50 Index.

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“…Existing financial literature presents rich empirical evidence about the profitability of dividend-driven trading strategies from many well established markets (Aharony and Swary 1980;Charest 1978;Filbeck and Visscher 1997;Kothari and Shanken 1997;Petit 1972;Visscher and Filbeck 2003). However, little is known about the role of dividends in the new emerging stock markets, especially those in Central and Eastern European countries.…”

Section: Introductionmentioning

confidence: 99%

Dividend-Driven Trading Strategies: Evidence from the Warsaw Stock Exchange

Brzeszczyński

Gajdka

2007

Int Adv Econ Res

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This study presents an analysis of dividend-driven trading strategies based on dividend yield growth effects in the Polish stock market in the years 1994–2004. Results indicate that the dividend yield growth portfolios were capable of beating the market in the entire sample period. Their performance, however, was not consistent over time and the highest returns were obtained during final years. Empirical findings based on the analysis of different types of portfolios demonstrate the importance of dividends as a source of significant fundamental information items from stock market companies. At the same time, they show that a dividend investment strategy for the Polish stock market is most successful when the selection of stocks for the dividend yield growth portfolios is subject to further restrictions, most notably concerning company size. Copyright International Atlantic Economic Society 2007Dividend yield growth, Emerging market, Investment strategy, Portfolio analysis, Stock market, G15,

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Dividend-Yield Strategies in the Canadian Stock Market

Cited by 34 publications

References 36 publications

Investment Performance of the "Dogs of the Dow” Strategies: Latest Evidence

Investment Performance of the "Dogs of the Dow” Strategies: Latest Evidence

An Empirical Analysis of the Dog of the Dow Strategy for the Taiwan Stock Market

Dividend-Driven Trading Strategies: Evidence from the Warsaw Stock Exchange

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