The evaluation of the effectiveness of high-dividend strategies in Asia-Pacific Economic Cooperation economies

Abstract

Investment strategies related to the use of high-dividend shares have been known for more than 30 years. Despite this, they remain relevant today. A large number of studies on this topic are devoted to studying the effectiveness of high-dividend strategies within one market, and cross-country studies evaluate a small number of markets. The aim of this paper is to evaluate the effectiveness of high-dividend strategies in the markets of all APEC economies, with the exception of Brunei and Papua New Guinea. The time horizon of the study is from 2002 to the present. We applied well-known modifications of the classic high-dividend strategy and modifications developed by the authors. We test hypotheses regarding the influence of various factors, such as the number of shares in a portfolio, the month of portfolio formation,classifying the economy as developed or developing, and the return on high-dividend portfolios. We also test the hypothesis that the significance of the high-dividend anomaly exists in various markets, but decreases over time. The results show different levels of effectiveness of high-dividend strategies and the different impact of the factors on the markets of developed and developing APEC economies. We found that high-dividend strategies are generally more effective in emerging markets, but in case of market growth, high-dividend strategies increase their abnormal returns only in developed markets. At the same time, the authors conclude that the number of shares in a high-dividend portfolio directly affects the result of its work. The results have theoretical and practical value, and can be applied in compiling a real investment portfolio.