Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market
Utilizing the data from the Shanghai and Shenzhen exchanges between the periods of 2005 to 2011, this paper explores whether trading strategies based on dividend-yield are effective in the Chinese stock market. Under market risk-adjusted, we find an abnormal return for the samples of cash and dual...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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EconJournals
2014-03-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/762 |
| _version_ | 1797920907997478912 |
|---|---|
| author | Chin-Sheng Huang Chun-Fan You Hueh-Chen Lin |
| author_facet | Chin-Sheng Huang Chun-Fan You Hueh-Chen Lin |
| author_sort | Chin-Sheng Huang |
| collection | DOAJ |
| description |
Utilizing the data from the Shanghai and Shenzhen exchanges between the periods of 2005 to 2011, this paper explores whether trading strategies based on dividend-yield are effective in the Chinese stock market. Under market risk-adjusted, we find an abnormal return for the samples of cash and dual dividend-yield. However, dual dividend-yield samples only significantly display abnormal returns in the three-factor model. Finally, incorporating the price momentum into the three-factor model the abnormal returns still appear in the dual-dividend-yield samples. When the sample is further divided into high- and low-moment periods, the evidence indicates that abnormal returns mainly stem from the low-moment subsample. Therefore, we conclude that the sources of dividend yields anomaly cannot be fully explained by market, size, value, and momentum factors. Moreover, the abnormal returns can become even stronger during the low-moment period.
Keywords: dividend yield; trading strategies.
JEL Classifications: G11; G12
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| first_indexed | 2024-04-10T14:08:24Z |
| format | Article |
| id | doaj.art-177c57ebf0ad45239caf9b81dd0c7f23 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T14:08:24Z |
| publishDate | 2014-03-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-177c57ebf0ad45239caf9b81dd0c7f232023-02-15T16:09:50ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382014-03-0142Dividend-Yield Trading Strategies: Evidence from the Chinese Stock MarketChin-Sheng Huang0Chun-Fan You1Hueh-Chen Lin2National Yunlin University of Science & Technology, Yunlin, Taiwan.TransWorld University, Yunlin, TaiwanNational Yunlin University of Science & Technology, Yunlin, Taiwan. Utilizing the data from the Shanghai and Shenzhen exchanges between the periods of 2005 to 2011, this paper explores whether trading strategies based on dividend-yield are effective in the Chinese stock market. Under market risk-adjusted, we find an abnormal return for the samples of cash and dual dividend-yield. However, dual dividend-yield samples only significantly display abnormal returns in the three-factor model. Finally, incorporating the price momentum into the three-factor model the abnormal returns still appear in the dual-dividend-yield samples. When the sample is further divided into high- and low-moment periods, the evidence indicates that abnormal returns mainly stem from the low-moment subsample. Therefore, we conclude that the sources of dividend yields anomaly cannot be fully explained by market, size, value, and momentum factors. Moreover, the abnormal returns can become even stronger during the low-moment period. Keywords: dividend yield; trading strategies. JEL Classifications: G11; G12 http://mail.econjournals.com/index.php/ijefi/article/view/762 |
| spellingShingle | Chin-Sheng Huang Chun-Fan You Hueh-Chen Lin Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market International Journal of Economics and Financial Issues |
| title | Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market |
| title_full | Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market |
| title_fullStr | Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market |
| title_full_unstemmed | Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market |
| title_short | Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market |
| title_sort | dividend yield trading strategies evidence from the chinese stock market |
| url | http://mail.econjournals.com/index.php/ijefi/article/view/762 |
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