Do High Yield stocks really outperform?

• Main Authors: Yan-Lin Ya, 葉彥麟
• Other Authors: De-Wai Chou
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/72515416645713024555

碩士 === 元智大學 === 財務金融學系 === 94 === The purpose of this research is to evaluate the performance of high yield stock. The definition of high yield sample firm in this study is that total dividend yield must be above the risky-free ratio at sample period 1995 to 2004. We measure the excess returns by the monthly return of value weighted market index return using the buy-and-hold abnormal returns (BAHR) and cumulative abnormal returns (CAR) over 3, 6,9,12,24,36,48 month’s periods. We have one full sample and three sub-sample in this study. The full sample of this study is divided by firm characteristic into three categories: sub-sample by EPS, the electric industry companies, non-electric industry companies. We rank the full sample and sub-samples by dividend yield, these rankings are as follows: highest (Quartile1), high (Quartle2), low (Quartile3), lowest (Quartile4). The highest yield groups in each category have the best performance beyond holding the first one year. The best performance period of highest yield group is within holding three months. The empirical result shows that sub-sample by EPS do not get more profit on high yield stock and the dividend yield has more forecasted power in non-electric industry than in electric industry in the long run.