HIGH DIVIDEND YIELD AS INVESTMENT STRATEGY: AN EMPERICAL STUDY OF THE NORDIC OMX STOCK EXCHANGES

Abstract: The aim of this thesis is to investigate whether an investment strategy, Dogs of the Dow, is applicable to the Nordic Region. The strategy uses dividend yield as a signaling effect to produce excess returns. Using the same methodology as previous research, in terms of construction and risk adjustments, we find some support for the strategy. However, we continue our research by expanding the CAPM model to account for size and value risk. We also claim that high dividend yielding stocks have a tax based disadvantage compared to other stocks. Eventually, we conclude that while the strategy produces high returns on an absolute basis we can ultimately not reject the null hypothesis of no abnormal returns. Interesting to acknowledge is that our thesis differs from previous research, taking on far more extensive risk adjustment methodology.