Beating the market through dividend yields : Dogs of the Dow in the Swedish context
This paper investigates whether the Dogs of the Dow (or “Dow Dogs”) investment strategy is applicable to the Swedish stock market during the period 1996-2015. The strategy uses dividend yield as a way to identify undervalued stocks. Likely explanations to the strategy’s performance are contrasted be...
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Uppsala universitet, Företagsekonomiska institutionen
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ndltd-UPSALLA1-oai-DiVA.org-uu-2986662016-08-05T05:06:06ZBeating the market through dividend yields : Dogs of the Dow in the Swedish contextengOlsson, DanielNecander, ArvidUppsala universitet, Företagsekonomiska institutionenUppsala universitet, Företagsekonomiska institutionen2016Dogs of the Dow strategyoverreaction hypothesisdividend investinginvestment strategyportfolio managementfinanceThis paper investigates whether the Dogs of the Dow (or “Dow Dogs”) investment strategy is applicable to the Swedish stock market during the period 1996-2015. The strategy uses dividend yield as a way to identify undervalued stocks. Likely explanations to the strategy’s performance are contrasted between the Overreaction Hypothesis from the field of behavioral finance and the Efficient Market Hypothesis (EMH) from financial economics. The paper follows the original method formed by John Slatter, but is however extended by adding adjustments for risk, transaction costs and taxes to reflect a more realistic market setting. Our empirical findings suggest that the Dow Dogs strategy barely beats the market by 0.02 Sharpe ratio unit points. The strategy’s performance may be rather unimpressive, but it is interesting to acknowledge that the portfolio performed best during the market’s worst downturns. To conclude, our results lack statistical significance and we cannot reject the null hypothesis of no abnormal returns. Student thesisinfo:eu-repo/semantics/bachelorThesistexthttp://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-298666application/pdfinfo:eu-repo/semantics/openAccess |
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Dogs of the Dow strategy overreaction hypothesis dividend investing investment strategy portfolio management finance |
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Dogs of the Dow strategy overreaction hypothesis dividend investing investment strategy portfolio management finance Olsson, Daniel Necander, Arvid Beating the market through dividend yields : Dogs of the Dow in the Swedish context |
description |
This paper investigates whether the Dogs of the Dow (or “Dow Dogs”) investment strategy is applicable to the Swedish stock market during the period 1996-2015. The strategy uses dividend yield as a way to identify undervalued stocks. Likely explanations to the strategy’s performance are contrasted between the Overreaction Hypothesis from the field of behavioral finance and the Efficient Market Hypothesis (EMH) from financial economics. The paper follows the original method formed by John Slatter, but is however extended by adding adjustments for risk, transaction costs and taxes to reflect a more realistic market setting. Our empirical findings suggest that the Dow Dogs strategy barely beats the market by 0.02 Sharpe ratio unit points. The strategy’s performance may be rather unimpressive, but it is interesting to acknowledge that the portfolio performed best during the market’s worst downturns. To conclude, our results lack statistical significance and we cannot reject the null hypothesis of no abnormal returns. |
author |
Olsson, Daniel Necander, Arvid |
author_facet |
Olsson, Daniel Necander, Arvid |
author_sort |
Olsson, Daniel |
title |
Beating the market through dividend yields : Dogs of the Dow in the Swedish context |
title_short |
Beating the market through dividend yields : Dogs of the Dow in the Swedish context |
title_full |
Beating the market through dividend yields : Dogs of the Dow in the Swedish context |
title_fullStr |
Beating the market through dividend yields : Dogs of the Dow in the Swedish context |
title_full_unstemmed |
Beating the market through dividend yields : Dogs of the Dow in the Swedish context |
title_sort |
beating the market through dividend yields : dogs of the dow in the swedish context |
publisher |
Uppsala universitet, Företagsekonomiska institutionen |
publishDate |
2016 |
url |
http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-298666 |
work_keys_str_mv |
AT olssondaniel beatingthemarketthroughdividendyieldsdogsofthedowintheswedishcontext AT necanderarvid beatingthemarketthroughdividendyieldsdogsofthedowintheswedishcontext |
_version_ |
1718374134737534976 |