Portfolios Weighted by Repurchase and Total Payout

Posted: 21 May 2019

See all articles by Jack Clark Francis

Jack Clark Francis

Zicklin School of Business, Baruch College

Christopher Hessel

City University of New York

Jun Wang

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

Ge Zhang

Long Island University

Date Written: April 4, 2009

Abstract

This paper examines three portfolios weighted by fundamental measures of firm size: share repurchases, total payout, and earnings retention. We find that the repurchase weighted and the total payout weighted portfolios have higher excess returns and higher Sharpe ratios than the most common fundamental weighted portfolio (namely, 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 (of market, size, 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.

Keywords: Fundamental measures, firm size, share repurchases, total payout, earnings retention

Suggested Citation

Francis, Jack Clark and Hessel, Christopher and Wang, Jun and Zhang, Ge, Portfolios Weighted by Repurchase and Total Payout (April 4, 2009). Journal of Portfolio Management, Vol. 36, No. 4, 2010. Available at SSRN: https://ssrn.com/abstract=1372942 or http://dx.doi.org/10.2139/ssrn.1372942

Jack Clark Francis

Zicklin School of Business, Baruch College ( email )

One Bernard Baruch Way
New York, NY 10010
United States
646-312-3462 (Phone)

Christopher Hessel

City University of New York ( email )

17 Lexington Avenue
New York, NY 10021
United States

Jun Wang (Contact Author)

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance ( email )

17 Lexington Avenue
New York, NY 10010
United States

Ge Zhang

Long Island University ( email )

720 Northern Boulevard
Brookville, 11548-1327
United States

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