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...

Our study analyzes in detail the results of the credit risk effect by using data from the unique rating environment of Taiwanese stock markets. Even in distinct institutional settings, our empirical results reaffirm the well-known inverse relationship of returns and credit risk, which is robust...