Huang, Chin-Sheng; You, Chun-Fan; Huang, Jiang-Chuan; … - In: Asian Economic and Financial Review 4 (2014) 11, pp. 1607-1621
Studies have shown that, under equally-weighted portfolio returns, dividend-yield strategies often exhibit anomalies in U.S. and European markets. However, Fama (1998) argued that long-term abnormal returns would disappear or shrink considerably if value-weighted returns are adopted. This study...