Investing in dividend growth stocks: analysis of portfolio performance using asset pricing models

Detalhes bibliográficos
Autor(a) principal: Berre, Martin
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/122730
Resumo: By constructing dividend growth portfolios and comparing them to replicated value and equal-weighted S&P benchmarks, we find that the portfolios outperformed long-term in terms of both alpha and Sharpe Ratio. From the asset pricing model loadings, we find that a much higher profitability factor (RMA) is observed in a dividend raise portfolio. Another portfolio, holding stocks that kept dividends either constant or at a raise, has a much higher investment factor (CMW).
id RCAP_36ff9afad2bf7a541b822aca4252dbdb
oai_identifier_str oai:run.unl.pt:10362/122730
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Investing in dividend growth stocks: analysis of portfolio performance using asset pricing modelsDividend growth investingFactor modelsDividend aristocratsAsset pricingDomínio/Área Científica::Ciências Sociais::Economia e GestãoBy constructing dividend growth portfolios and comparing them to replicated value and equal-weighted S&P benchmarks, we find that the portfolios outperformed long-term in terms of both alpha and Sharpe Ratio. From the asset pricing model loadings, we find that a much higher profitability factor (RMA) is observed in a dividend raise portfolio. Another portfolio, holding stocks that kept dividends either constant or at a raise, has a much higher investment factor (CMW).Rizzo, EmanueleRUNBerre, Martin2021-08-19T10:36:02Z2021-01-152021-01-032021-01-15T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/122730TID:202741010enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:04:16Zoai:run.unl.pt:10362/122730Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:44:50.280922Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Investing in dividend growth stocks: analysis of portfolio performance using asset pricing models
title Investing in dividend growth stocks: analysis of portfolio performance using asset pricing models
spellingShingle Investing in dividend growth stocks: analysis of portfolio performance using asset pricing models
Berre, Martin
Dividend growth investing
Factor models
Dividend aristocrats
Asset pricing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Investing in dividend growth stocks: analysis of portfolio performance using asset pricing models
title_full Investing in dividend growth stocks: analysis of portfolio performance using asset pricing models
title_fullStr Investing in dividend growth stocks: analysis of portfolio performance using asset pricing models
title_full_unstemmed Investing in dividend growth stocks: analysis of portfolio performance using asset pricing models
title_sort Investing in dividend growth stocks: analysis of portfolio performance using asset pricing models
author Berre, Martin
author_facet Berre, Martin
author_role author
dc.contributor.none.fl_str_mv Rizzo, Emanuele
RUN
dc.contributor.author.fl_str_mv Berre, Martin
dc.subject.por.fl_str_mv Dividend growth investing
Factor models
Dividend aristocrats
Asset pricing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Dividend growth investing
Factor models
Dividend aristocrats
Asset pricing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description By constructing dividend growth portfolios and comparing them to replicated value and equal-weighted S&P benchmarks, we find that the portfolios outperformed long-term in terms of both alpha and Sharpe Ratio. From the asset pricing model loadings, we find that a much higher profitability factor (RMA) is observed in a dividend raise portfolio. Another portfolio, holding stocks that kept dividends either constant or at a raise, has a much higher investment factor (CMW).
publishDate 2021
dc.date.none.fl_str_mv 2021-08-19T10:36:02Z
2021-01-15
2021-01-03
2021-01-15T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/122730
TID:202741010
url http://hdl.handle.net/10362/122730
identifier_str_mv TID:202741010
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799138055094796288

Registros relacionados