Dividend yield investment strategies in the South African stock market

• Main Author: Erasmus, Nelmarie
• Format: Others
• Language: en
• Published: 2013
• Subjects: Securities; Johannesburg Stock Exchange; Investment strategy
• Online Access: http://hdl.handle.net/10539/13073

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. === The subject of this study posits the profitability of an investment strategy focused on high-dividend yielding securities from the South African stock market over the period of 10 years from 2002 to 2012. The study follows an expected dividend yield model, similar to the model proposed by Hsu and Lin (2010), for the construction of a high-dividend yielding portfolio. Financial data of listed companies’ dividends and other financial information is used to estimate these expected current dividend yields by employing multiple regression analysis. It is suggested that these expected yields better reflect companies’ future profitability than traditional current dividend yields. The results of the study show that the performance differences between the portfolios based on the expected dividend yield model and the benchmark portfolios are significant; however the tests of the model suggest that the model is not a good fit for the data.