Utilizing the data from the Shanghai and Shenzhen exchanges between the periods of 2005 to 2011, this paper explores whether trading strategies based on dividend-yield are effective in the Chinese stock market. Under market risk-adjusted, we find an abnormal return for the samples of cash and...

This study examines whether a high dividend yield is equivalent to a high return. For constructing a proposed portfolio, we use the panel data of listed companies’ dividends in six consecutive quarters, and other financial data to estimate expected current yields, which more conform to...