2011  6 
  16-31



Dividend Yield, Double Signal, and Trading Strategies

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(Hung-Cheng La i)
   
  





(Yu ng-S hi Liau)

 
  
  


(Chu n- Fan Yo u)
 
  
  

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Abstract
This study aims to examine whether trading strategies based on dividend yield
are effective in stock-dividend-centric markets. Using the data in the year 2003 to
2007 for the public company in Taiwan, we construct various Top 30 portfolios by
ranking the dividend-yield. Empirical results show that portfolios with
cash-dividend-yields provide significantly higher yearly average returns than those
with stock-dividend-yield, market indexes, or the other types of dividend yields. Our
results remain unchanged even after adjusting for market risks. Finally, we also
conduct a robustness test along the lines of the financial crisis of 2008, examine the
performance of portfolios over multiple years, compare alternative definitions of
dividend yield, evaluate portfolios by varying the number of constituent firms,
changing portfolio weights, and consider the transaction cost. The results indicate
that ranking on the basis of cash-dividend-yield has already conveyed a signal of
future return in diverse dividend markets.
Keywords:

Dividend; Dividend yield; Double signal; Trading strategies.

 

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Treyno r ind ex C p DY13  a b & t
> DY16 w x C ' ( ) C < 8 h i j  b c C   ; 5 c
T DY1  "   ( 12) 6
n C  3 C l  S harp e rat io s Treyno r ind ex  k
DY126
nC  S T ) > C~ # DY12 DY1  6
$  3 C
DY12 DY1  S T ) > > 2004 [ 2007 @
k  C % @ t   k o U V 6 C\ L 3 @ U V k X 6
l u C !  3 Cc t  o CS T ) > y 3 U V k X 6
nN O V C#. z J K
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a b& 3 4 _ Y > @ 6
3

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= 11
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2005

2006

2007

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Sharpe
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index 3

DY1 2

32.67%

14.84%

9.73%

46.59%

27.78%

26.32%

0.72

8.91

DY10

29.54%

12.28%

14.36%

42.10%

19.32%

23.52%

0.76

8.52

DY11

34.08%

11.05%

12.63%

52.03%

25.85%

27.13%

0.74

7.47

DY12

36.52%

12.82%

13.13%

56.32%

25.39%

28.84%

0.77

11.28

DY13

33.86%

10.57%

5.92%

35.73%

34.02%

24.02%

0.56

6.30

DY14

29.23%

26.54%

5.86%

65.41%

18.52%

29.11%

0.76

9.18

3.85%

-2.02%

3.40%

9.73%

-2.39%

2.52%

2.55**

-0.71

2.90**

4.68***

0.87

4.06***

/
O

(DY12 DY1)
4

t-Statistic


1

    
                 
!     "#$ 
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2
DY1I 9 ) H E   W X 9 Y Z [ \ ]  Top30  "#$H E   9 4 `  / a b c + G
H E N O "DY10QDY11QDY12QDY13QDY14      ) H E   Top30D 
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N O    )  JTobins q I 9 N O 
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3
Sharpe ratios    N m  S = (di/ Sdi )"#$ di n i o     (V   9 Y ) p q r

ls t  u p
 v w Z x yz { |  z { } 60 ~ p JSdi I 9  p q r

 Y J3 4 s t  u  ( ; < 5 6   / z   " Treynor index ! ( o
4 Sharpe ratio  )      beta P (  9 Y  beta P 4 1)   4 Sharpe ratios
 Y "= > |  z {    ( ) "
4
t  P   )
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DY11 X DY12 X DY14 > 2008 @  S T ) I k -41.82% X -24.74% X

-24.90% X -41.99% X -12.08% X [ -39.96 % 6 \  C DY12 TAIEX 
@ S T ) >  ? 29.74% C 2003 ~2008  o  Q R S T )
> 3 30 x  6
^ _ ` C c S harpe rat io s X 3 Treyno r ind ex C DY12 
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2008

2007~08

2006~08

2005~08

2004~08

2003~08

Sharpe
ratios3

Treynor
index 3

TAIEX 2

-41.82%

-15.32%

-1.51%

1.59%

2.25%

7.39%

0.05

0.81

DY1

-24.74%

1.52%

16.54%

14.84%

14.84%

17.81%

0.40

6.96

DY10

-24.90%

-2.79%

12.17%

12.72%

12.63%

15.45%

0.38

6.80

DY11

-41.99%

-8.07%

11.96%

12.13%

11.91%

15.61%

0.22

3.58

DY12

-12.08%

6.66%

23.21%

20.69%

19.12%

22.02%

0.55

10.78

DY14

-39.96%

-10.72%

14.66%

12.46%

15.27%

17.60%

0.31

5.39

29.74%

21.98%

24.72%

19.10%

16.87%

14.63%

6.95***

7.63***

8.20***

6.78***

7.21***

6.15***

0.32***

0.18***

0.15***

0.11***

0.10***

0.08***


DY12 TAIEX
4

t-Statistic

CAPM P


1

    
                 
!     "#$ 
%  &    ' ( ) * +  , -  & . ) / 0  1 2  "3 4 5 6 7 8   9 : 
( ; <
5 6 7 8  
9 :   "
2
TAIEX I 9 5 6 7 8   9 : JDY1 I 9 ) H E   W X 9 Y Z [ \ ]  Top30   "#$
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H E   Top30 D  ! R ) EPS Q  QN O Q Tobins q : W
z e  4   
 10 ~  "#$N O I 9 N O  u ) z N O  u 
@ : x yJTobins q I 9 N O 
 : )  P7 M )  u "
3
Sharpe ratios    N m  S = (di/ Sdi )"#$ di n i o     (V   9 Y ) p q r

ls t  u p
 v w Z x yz { |  z { } 72 ~ p JSdi I 9  p q r

 Y J3 4 s t  u  ( ; < 5 6   / z   " Treynor index ! ( o
4 Sharpe ratio  )      beta P (  9 Y  beta P 4 1)   4 Sharpe ratios
 Y "= > |  z {    ( ) "
4
t  P   )
@ v w P g (the paired difference test) x yJ*Q**Q***! R t P 10%Q
5%Q1%  "
5
CAPM  z  SharpeLintner CAPM "#$A : Q : ! R  DY12QTAIEX  p

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"

= 13
@

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(2007) C # T ' . ' ( X h ' (
 6 C#JK S T ) Cyc A l k> ? 
v s t '  C &
' ( X 3 ' . ' (  @
6l u CI c s t u '  A B b k* M 7 8 6
L M N O U C # 2003-2008 @ o C o  A k  C &

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JK 6  ^ _ ` c \ ] ' ( ) Xoz E ' " XJ
K  w X 3 * + E   Cyv w x    ! P
&6
c ; P &CB  ' ( )* + , - #9 : 1 2 3 4 5 0 
 6? > k P ' ( ) > v S T ) C
C D   C 5 Mo rgan and Tho mas (1998)  C ] '
k ' ( ) > v S T )& 5 E ) ' ( i j 2 N
K ' ( A i  P o 6 C y 5 < 8 F
F g  C C Fama
and French (1993)  3
F g  C 3 Car hart , M.M. (1997)  F

F g  $ %  S T 3 ) > G _ q r
F 6
;

Aharo ny, J., and A. Do t an, (1994), Reg u lar Div id end Anno u ncement s
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