Practical Applications of Market Risk, Size, Style, Momentum, and Dividends: U.S. Equities

Abstract

The equity markets in developed countries have shown steady growth in annual dividend returns, prompting an increased demand by asset managers and investors for equity portfolios of dividend-paying stocks. This demand begs the question: Do dividend-paying companies perform differently from non-paying ones?

The answer centers on issues such as the correlation of the dividend factor with traditional risk factors, according to Francis Gupta, former Director of Index Research and Product Design at Dow Jones Indexes .

In this Practical Applications report, Gupta outlines the answer to this question in detail. It is based on Market Risk, Size, Style, Momentum, and Dividends: U.S. Equities , which was published in the Fall 2012 issue of The Journal of Portfolio Management .

Gupta tells us his research suggests the dividend-paying universe may be a subasset class that performs differently from other subasset classes.