碩士 / 國立雲林科技大學 / 財務金融系碩士班 / 101 / Recently, a plethora of finance literature is devoted to the investigation of dividend yield trading strategies among American and European stock markets. This research particularly employs a set of stocks sample of Shanghai A-share market during 2001-2011, and targets on the issue whether dividend-yield portfolio can generate abnormal returns. By the risk-adjusted CAPM model, we find that the significant evidence of abnormal returned appears in the highest dividend-yield group. Moreover, the dividend anomaly remains largely undisturbed even in the Fama-French three factors model.
Our further analysis reveals that the abnormal returns can be attributed to HML factor; the value risk-premium can therefore be found in the highest dividend yield group. Finally, we investigate the impacts of split-share reform of 2005 on our main results and divide the whole sample into two sub-samples, covering 2001-2005 and 2006-2011, respectively. The empirical results strongly indicate that our main findings are intact through the robustness test.
| Identifer | oai:union.ndltd.org:TW/101YUNT5304072 |
| Date | January 2013 |
| Creators | Chia-tsang Yu, 余佳蒼 |
| Contributors | Chin-sheng Huang, Chun-fan You, 黃金生, 游清芳 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 42 |
Page generated in 0.0057 seconds