Fig. 1: The density function for the time-series return spreads on tertile portfolios (All stocks). For each of regression 1, 4 and 5,Table 2, stocks are allocated to tertile portfolios using regression predicted values. The predicted values for month are computed using the explanatory variables for month and t t the average slopes from our Fama-Macbeth (FM) regressions. The density function of the spreads between the time-series returns on the top and bottom portfolios is constructed for All stocks. Reg-4 is regression 4 from Table 2, which uses the natural log of market cap (ME) and the natural log of the book to market ratio (BM), operating profitability (OP) and investment (INV) as independent variables. Reg-5 is regression 5 from Table 2, which uses and the maximum-dividend-to-market ratio (MDM) as independent variables. ME Fig. 2: The cumulative returns to and MDM, HML, RMW CMA. The plot the cumulative returns to and which represent mimicking portfolios for the MDM, HML, RMW CMA, ratio (MDM), book-to-market ratio (BM), operating profitability (OP) and investment (INV) factors, and are constructed using 2×3 sorts covering July 1963 to December 2013.
Fig. 1: The density function for the time-series return spreads on tertile portfolios (All stocks). For each of regression 1, 4 and 5,Table 2, stocks are allocated to tertile portfolios using regression predicted values. The predicted values for month t are computed using the explanatory variables for month t and the average slopes from our Fama-Macbeth (FM) regressions. The density function of the spreads between the time-series returns on the top and bottom portfolios is constructed for All stocks. Reg-4 is regression 4 from Table 2, which uses the natural log of market cap (ME) and the natural log of the book to market ratio (BM), operating profitability (OP) and investment (INV) as independent variables. Reg-5 is regression 5 from Table 2, which uses ME and the maximum-dividend-to-market ratio (MDM) as independent variables. Fig. 2: The cumulative returns to MDM, HML, RMW and CMA. The plot the cumulative returns to MDM, HML, RMW and CMA, which represent mimicking portfolios for the ratio (MDM), book-to-market ratio (BM), operating profitability (OP) and investment (INV) factors, and are constructed using 2×3 sorts covering July 1963 to December 2013.
UWA-Value-investing-with-maximum-dividend-to-market-ratio.docx