Mikhail Galperin1, Tamara Teplova2
  • 1 Impex-Industry LLC, 6a, Soloviny passage, Moscow, 117593, Russia
  • 2 National Research University Higher School of Economics, 20 Myasnitskaya Str., Moscow, 101000, Russian Federation

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

2012. Vol. 16. No. 2. P. 205–242 [issue contents]
The article describes the basic principles of investment strategies on behavior anomalies of stocks with stable dividend payments and relatively low stock price. It displayed the theore­tical developments of strategies of «Dow Dogs» to «value stocks», as well as the results of their empirical testing on various capital markets. We presented an overview of dividend payments carried by Russian issuers of common and preferred shares that are traded on the RTS and MICEX, and the results of hypotheses testing about the investment attractiveness of strategies for constru­cting portfolios based on stocks with a systematic payment of cash dividends in the Russianmarket. It systematized the results of investment strategies for dividend shares on foreign markets (strategies of investment funds, as well as empirical studies of the attractiveness of the strategy of «Dow Dogs») and by this it tested well-known strategies of constructing of portfolioby maximum dividend yield (top 10 and top 5), and also a proposed original strategy for the shares selection by the growth rate of dividends and the filter of profits. It showed that a portfolio constructed by dividend yield or by dividend growth rate in the Russian market can beat the market (stock index) by Sharpe and Sortino indexes, VaR measure, but it does not show statistically significant results of the parametric test (alpha coefficients). The introduction of the filter of the net profit growth rate significantly improves the performance of model portfolios, taking into account the criterion of «risk – total net return – investment horizon».
Citation: Galperin M., Teplova T. (2012) Investitsionnye strategii na dividendnykh aktsiyakh rossiyskogo fondovogo rynka: «sobaki Dou» i portfeli s fil'trami po fundamental'nym pokazatelyam [Dividend Investing Strategies in the Russian Stock Market: «Dogs of the Dow» and Portfolios Filtered by Fundamental Factors]. Ekonomicheskiy zhurnal VShE, vol. 16, no 2, pp. 205-242 (in Russian)
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