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Abnormal Dividend-Yield Returns and Investment Strategy

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  • Chun-Fan You
  • Chin-Sheng Huang
  • Jiang-Chuan Huang

Abstract

Using the Fama-French three-factor model, we set out in this study to verify the existence of abnormal dividend-yield returns in the Taiwan stock markets. The results of our tracking of the sources of abnormal returns indicate that (1) investors are strongly in favor of high-dividend-yield stocks during the first half of the year; and (2) the information effect of dividend announcements may be the major source of abnormal returns. Our forecasts based on dividend-yield forecasts indeed capture most of the abnormal returns. Finally, our results are found to be robust to a wide variety of portfolio formation settings.

Suggested Citation

  • Chun-Fan You & Chin-Sheng Huang & Jiang-Chuan Huang, 2017. "Abnormal Dividend-Yield Returns and Investment Strategy," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(3), pages 544-553, March.
    • Handle: RePEc:mes:emfitr:v:53:y:2017:i:3:p:544-553
    DOI: 10.1080/1540496X.2015.1095563
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