Investment performance of high income stocks over up and down markets

Dividend yield and stability versus performance on the German stock market: a descriptive study

“…Therefore, some authors such as Litzenberger and Ramaswamy (1979) and Clinebell et al (1993) used the stock's closing price in the month preceding the dividend payment to compute the dividend yield. Blume (1980), Keim (1985), Chen et al (1990), Christie (1990), Nelson and Kim (1993), Liu (1993a, 1993b), Thomas (1998), andMcManus et al (2004) measured dividend yield as the ratio of the sum of dividends paid over the last twelve months to the stock price at the beginning of this period.…”

“…Yet, there is also no study that examines the influence of the degree of diversification on the relation between dividend yield and performance. Furthermore, except Clinebell et al (1993) and Gombola and Liu (1993b), all studies presented above analyze long-term influences of dividend yield without focussing on special market characteristics. Our paper tries to close these three gaps.…”

“…They found that the payout ratio had an important impact on the statistical significance of dividend yield in explaining return. Clinebell et al (1993) analyzed whether high-dividend paying stocks had lower systematic risk (beta coefficient) in down markets than in up markets. Using US market data from 1966 to 1989, this could not be confirmed, which means that highdividend-yield stocks did not offer a special downside risk protection as had often been suggested.…”