A Dividend Yield-based Trading Rule with Industry Data

Author: 
Date created: 
2004
Abstract: 

There is significant and ongoing debate regarding the power of dividend ratios to predict returns. Many papers statistically study the predictive ability of dividend yields using a broad market index, such as the S&P 500, both "in-sample" and "out-of-sample". Another area of study tests the economic strength of using dividend ratios as a primary input to a trading model or rule, again using a broad market index. This paper examines the robustness of tests of a dividend trading rule using disaggregated data from 12 Industry sub-indices.

Description: 
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Language: 
English
Document type: 
Thesis
Rights: 
Copyright remains with the author
File(s): 
Department: 
Bus Admin - GAWM - Simon Fraser University
Thesis type: 
Gray (Research Project)
Statistics: