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

摘要

Asset managers are demanding dividend-yield indexes for the equities market, and dividend-paying stocks may be emerging as a subasset class of the US equities market with its own unique performance profile. Even after controlling for traditional risk factors, a passive portfolio composed of dividend-paying stocks outperforms a portfolio composed of non-dividend-paying stocks.