Abstract

http://ssrn.com/abstract=2051101
 
 

References (9)



 
 

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Enhancing the Investment Performance of Yield-Based Strategies


Wesley R. Gray


Drexel University - LeBow College of Business; Empiritrage; TurnkeyAnalyst.com

Jack Vogel


Drexel University

May 4, 2012


Abstract:     
High dividend yield stocks do not reliably earn above-average risk-adjusted returns. More complete measures of shareholder yield, which account for net share repurchases, perform better. We explore the use of net-debt paydown as a way to further enhance shareholder yield. The addition of net-debt paydown enhances risk-adjusted returns and creates a shareholder yield metric that is more robust over time. We also explore the technique of separating yield metrics by payout percentage as a way to enhance return predictability. We find some evidence that using payout percentage within a yield category can systematically improve portfolio performance.

Number of Pages in PDF File: 18

Keywords: Dividends, Share Repurchases, Share buy-backs, net-debt paydown, shareholder yield

JEL Classification: G10, G12, G14

working papers series


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Date posted: May 5, 2012 ; Last revised: August 8, 2012

Suggested Citation

Gray, Wesley R. and Vogel, Jack, Enhancing the Investment Performance of Yield-Based Strategies (May 4, 2012). Available at SSRN: http://ssrn.com/abstract=2051101 or http://dx.doi.org/10.2139/ssrn.2051101

Contact Information

Wesley R. Gray (Contact Author)
Drexel University - LeBow College of Business ( email )
3141 Chestnut St
Philadelphia, PA 19104
United States
Empiritrage ( email )
213 Foxcroft Road
Broomall, PA 19008
United States
7732304727 (Phone)
HOME PAGE: http://www.empiritrage.com
TurnkeyAnalyst.com ( email )
213 Foxcroft Road
Broomall, PA 19008
United States
Jack Vogel
Drexel University ( email )
LeBow College of Business
Philadelphia, PA 19104
United States
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