Portfolios Weighted by Repurchase and Total Payout
研究了基于股票回购和总派发加权的投资组合，发现它们比传统市值加权和股息加权组合有更高的超额收益和夏普比率，回购加权组合的阿尔法为2.77%。
Portfolios weighted by fundamental measures of company size, such as assets, dividends, sales, earnings, and employees, have recently attracted a lot of attention. Pioneering research has showed that these fundamental value–weighted portfolios, especially dividend-weighted portfolios, can achieve better mean returns and better Sharpe ratios than could be attained with the traditional market value– weighted portfolio. In this article, the authors examine three portfolios weighted by the additional fundamental measures of firm size—share repurchases, total payout, and earnings retention—and find that the repurchase-weighted portfolios and total payout–weighted portfolios have higher excess returns and higher Sharpe ratios than the other fundamental value–weighted portfolios, including the dividend-weighted portfolio. The repurchase-weighted portfolio shows a positive and statistically significant alpha of 2.77% after controlling for the Fama–French factors (market, size, and book-to-market) and Carhart’s momentum variable. The total payout–weighted portfolio also has a positive and significant alpha, albeit smaller than that of the repurchase-weighted portfolio. <bold>TOPICS:</bold> <ext-link>Portfolio construction</ext-link>, <ext-link>security analysis and valuation</ext-link>