Publicação
Investing in dividend growth stocks: analysis of portfolio performance using asset pricing models
| Resumo: | By constructing dividend growth portfolios and comparing them to replicated value and equal-weighted S&P benchmarks, we find that the portfolios outperformed long-term in terms of both alpha and Sharpe Ratio. From the asset pricing model loadings, we find that a much higher profitability factor (RMA) is observed in a dividend raise portfolio. Another portfolio, holding stocks that kept dividends either constant or at a raise, has a much higher investment factor (CMW). |
|---|---|
| Autores principais: | Berre, Martin |
| Assunto: | Dividend growth investing Factor models Dividend aristocrats Asset pricing |
| Ano: | 2021 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | By constructing dividend growth portfolios and comparing them to replicated value and equal-weighted S&P benchmarks, we find that the portfolios outperformed long-term in terms of both alpha and Sharpe Ratio. From the asset pricing model loadings, we find that a much higher profitability factor (RMA) is observed in a dividend raise portfolio. Another portfolio, holding stocks that kept dividends either constant or at a raise, has a much higher investment factor (CMW). |
|---|