收益幻想:挑战高收益股票的说法

IF 1.5 Q3 BUSINESS, FINANCE
Yin Chen, Roni Israelov
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引用次数: 0

摘要

虽然高股息的股票在历史上表现优于低股息的股票,但我们表明,这种差异可以完全由一系列众所周知的因素来解释,包括价值、质量和防御性。将股息过滤器应用于高度暴露于这些因素的策略组合会产生次优结果。为了检验纳入股息收益率是否能改善只做多因子投资组合的绩效,我们用启发式再平衡算法构建了一组偏好股息的只做多因子投资组合,并发现它们的税后净回报率低于不考虑股息的投资组合。总的来说,我们的研究结果表明,只做多的积极投资者最好直接投资于价值、质量和防御因素,而不是故意将他们的投资组合向高股息股票倾斜。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Income illusions: challenging the high yield stock narrative

Income illusions: challenging the high yield stock narrative

While stocks with high dividends have historically outperformed those with low dividends, we show that the difference can be completely explained by a set of well-known factors including value, quality and defensive. Applying a dividend filter to a portfolio of strategies having high exposure to these factors yields sub-optimal results. To test whether incorporating dividend yields can improve the performance of long-only factor portfolios, we construct a set of dividend-favored long-only factor portfolios with a heuristic rebalance algorithm and find that their after-tax net returns are lower than the dividend-agnostic counterparts. Collectively our results indicate that long-only active investors are better off loading directly on value, quality and defensive factors than purposely tilting their portfolios toward high-dividend stocks.

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来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
期刊介绍: The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics
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