High-Dividend Portfolios with Filters on the Financial Performance and an Optimization of Assets Weights in a Portfolio
DOI:
https://doi.org/10.2478/saeb-2018-0015Keywords:
high-dividend models, «Dogs of the Dow», portfolio investmentAbstract
This paper is dedicated to the investigation of the strategies related to the high-dividend portfolio investment. The aim of this research is to increase the high-dividend portfolio efficiency by adding some filters and optimization weights of the assets in the portfolio. In order to achieve this goal, the authors complement the classical version of the «Dogs of the Dow» strategy with financial indicators ROA and P/E with equal and optimized weights of the assets in each portfolio. Two additional parameters are also used in the process of testing: the number of stocks and the month of the annual portfolio rebalancing. Thus, the obtained models have high-quality advantages in comparison with the traditional concept of high-dividend investing, eliminating its inherent disadvantages and providing higher rates of return.
JEL Codes - G11References
Brzeszczynski, J., and Gajdka, J., 2007. Dividend-Driven Trading Strategies: Evidence from the Warsaw Stock Exchange. International Advances in Economic Research, 13(3), 285-300. doi: http://dx.doi.org/10.1007/s11294-007-9077-z
Da Silva, A. L. C., 2001. Empirical Tests of the “Dogs of the Dow” Strategy in Latin American Stock Markets. International Review of Financial Analysis, 10(2), 187-199. doi: http://dx.doi.org/10.1016/S1057-5219(01)00047-3
Domian, D. L., Louton, D. A., and Mossman, C. E., 1998. The Rise and Fall of the “Dogs of the Dow”. Financial Services Review, 7(3), 145-159. doi: http://dx.doi.org/10.1016/S1057-0810(99)00007-4
Fama, E., and French, K., 1998. Dividend Yields and Expected Stock Returns. Journal of Financial Economics, 1, 3-26.
Filbeck, G., and Visscher, S., 1997. Dividend Yield Strategies in the British Stock Market. European Journal of Finance, 3(4), 277-289. doi: http://dx.doi.org/10.1080/135184797337372
Greenblatt, J., 2006. The Little Book That Beats the Market: John Wiley & Sons, Inc.
Halperin, M. A., and Teplova, T. V., 2012. Investment strategies on dividend stocks of the Russian stock market: “The Dogs of the Dow” and portfolios with filters on fundamental indicators. Economic Journal of NRU HSE, 16(2), 205-242.
Hirschey, M., 2000. The “Dogs of the Dow” Myth. Financial Review, 35(2), 1-16. doi: http://dx.doi.org/10.1111/j.1540-6288.2000.tb01411.x
Hough, J., 2014. Ditch “Dogs of the Dow” - the Mutts Have Bad Genes, Improper Breeding and False Papers, Forbes: January Issue.
Lintner, J., 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37. doi: http://dx.doi.org/10.2307/1924119
McQueen, G., Shields, K., and Thorley, S. R., 1997. Does the 'Dow-10 Investment Strategy' Beat the Dow Statistically and Economically? Financial Analysts Journal, 53(4), 66-72. doi: http://dx.doi.org/10.2469/faj.v53.n4.2101
O'Higgins, M., and Downes, J., 1991. Beating the Dow. New York: Harper Collins.
Prather, L. J., and Webb, G. L., 2001. Window Dressing, Data Mining, Or Data Errors: A Re-examination of the Dogs of the Dow Theory. Journal of Applied Business Research, 18(2).
Qiu, M., Song, Y., and Hasama, M., 2013. Empirical Analysis of the “Dogs of the Dow” Strategy: Japanese Evidence. International Journal of Innovative Computing, Information, & Control, 9(9), 3677-3684.
Ross, S. A., 1977. The Determination of Financial Structure: The Incentive-Signaling Approach. The Bell Journal of Economics and Management Science, 8, 28-40.
Siegel, J., 2007. Stocks for the Long Run: The Definitive Guide to Financial Market Returns and Long-Term Investment Strategies (4th ed. ed.). New York: McGraw-Hill.
Slatter, J., 1988. Study of Industrial Averages Finds Stocks with High Dividends Are Big Winners. Wall Street Journal(august), 1.
Soomro, N., and Haroon, M. A., 2015. Comparison of Dog's of the Dow Strategy. Universal Journal of Management, 3(3), 127-130.
Visscher, S., and Filbeck, G., 2003. Dividend-Yield Strategies in The Canadian Stock Market. Financial Analysts Journal, 59(1), 99-106. doi: http://dx.doi.org/10.2469/faj.v59.n1.2506
Volodin, S. N., and Sorokin, I. A., 2014. The construction of high-dividend portfolios on the Russian Stock Market. Journal of Corporate Finance Management, 06(66).
Wang, C., Larsen, E. J., Fall Ainina, M., Akhbari, M. L., and Gressis, N., 2011. The "Dogs of the Dow" in China. International Journal of Business and Social Science, 2(18).
Yan, H., Song, Y., Qiu, M., and Akagi, F., 2013. An Empirical Analysis of the Dog of the Dow Strategy for the Taiwan Stock Market. Journal of Economics, Business and Management, 3(4), 435-439.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2018 SCIENTIFIC ANNALS OF ECONOMICS AND BUSINESS

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
All accepted papers are published on an Open Access basis.
The Open Access License is based on the Creative Commons license.
The non-commercial use of the article will be governed by the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License as currently displayed on https://creativecommons.org/licenses/by-nc-nd/4.0
Under the Creative Commons Attribution-NonCommercial-NoDerivatives license, the author(s) and users are free to share (copy, distribute and transmit the contribution) under the following conditions:
1. they must attribute the contribution in the manner specified by the author or licensor,
2. they may not use this contribution for commercial purposes,
3. they may not alter, transform, or build upon this work.