Мониторинг дивидендных выплат компаний развивающихся стран, выявление факторов, влияющих на выплаты и построение инвестиционных стратегий на дивидендных акциях

1. Мониторинг

2. Тестирование инвестиционных статегий

Dividend Investing Strategies in the Russian Stock Market: “Dogs of the Dow” and Portfolios Filtered by Fundamental Factors

Key Words: investment strategies based on stock market anomalies, dividend-paying stocks, “Dogs of the Dow” and "value stocks" strategies.

Our study  presents an analysis of  portfolio selection strategies based on regular cash dividend-paying stocks with high dividend yield in the Russian stock market.

Upon systematizing the results of applying dividend investing strategies in foreign markets (investment fund strategies and empirical research into “the Dogs of the Dow” strategy) a test is done on both well-known portfolio selection strategies based on the highest dividend yield stocks (top-10 and top-5) and the proposed original strategy based on selecting stocks by dividend growth rate and by net earnings growth rate filtration.

The test reveals that, in the Russian stock market, portfolios selected on the basis of dividend yield or dividend growth rate can beat the benchmarks MICEX and RTS index with high Sharpe and Sortino ratios. However, it is important to recognize that such portfolios have not demonstrate statistically significant alpha-coefficients.

Adding further restrictions - net earnings growth rate – we  come to a conclusion, that portfolios filtration significantly improves efficiency indicators of the sample portfolio in relation to the “risk/return - holding period” profile. Empirical findings based on the analysis of different types of portfolios demonstrate the importance of dividends as a source of significant fundamental information items for stock selections.

Инвестиционные стратегии на дивидендных акциях.pdf (результаты исследования на начало 2012 г.)

3. Выявление факторов, влияющих на выплаты дивидендов