Market Risk, Size, Style, Momentum,and Dividends: U.S. Equities
研究了2000年至2011年美国支付股息股票与不支付股息股票的历史表现，在控制市场风险、规模、风格、动量和行业因素后，分析了股息因子的表现，并为资产管理者提供了投资组合选择启示。
This article investigates the historical performance of the dividend-paying equity universe within the U.S. from 2000 through 2011 and compares it to the universe of stocks that did not pay dividends. To isolate the performance of the dividend factor, the analysis controls for the following fundamental factors: market risk, size, style, momentum, and sector. Finally, the article highlights the portfolio selection implications of this research for asset managers. <bold>TOPICS:</bold> <ext-link>Portfolio construction</ext-link>, <ext-link>equity portfolio management</ext-link>, <ext-link>security analysis and valuation</ext-link>