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

摘要

This article investigates the historical performance of the dividend-paying equity universe within the U.S. from 2000 through 2011 and compares it to the universe of stocks that did not pay dividends. To isolate the performance of the dividend factor, the analysis controls for the following fundamental factors: market risk, size, style, momentum, and sector. Finally, the article highlights the portfolio selection implications of this research for asset managers.