The Dividend-Yield Strategies of China： Evidence of A-shares in Shanghai Stock Exchange

• Main Authors: Chia-tsang Yu, 余佳蒼
• Other Authors: Chin-sheng Huang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/86450592792246365605

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.