A “No-Sin” Option for a High Dividend/Low Beta Strategy

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Cloutier, R. (2018). A “No-Sin” Option for a High Dividend/Low Beta Strategy. Journal of Business Management and Economics, 6(02), 32–35. https://doi.org/10.15520/jbme.v6i02.2160
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Abstract

Dividends are an important part of a stock’s total return. In a recent study, Cloutier and Xu (1) developed a high dividend/low beta strategy by exploiting documented market anomalies. However, because the strategy includes “sin stocks,†for some investors, the opportunity to invest in the strategy is not an option. In this paper, we advance that original research and present an option that combines high dividend yielding stocks with low beta stocks while excluding sin stocks. For the entire study period, from January 1, 1994 through December 31, 2016, this strategy option provided higher yield, better returns, and lower systematic risk than the S&P 500. In addition, this no sin stock strategy’s returns were statistically the same as the original high dividend/low beta strategy’s returns.

Key words: No-sin–stock trading strategy–high dividend–low beta–Sharpe Ratio– Treynor ratio

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