초록

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Abstract ▼ AI-Helper

Most of the advanced equity markets regard dividend as an important investing indicator, however, domestic market pays low attention to dividend because dividend investment is considered as the year-end capital gains. This study presents an efficient strategy for selecting portfolio by evaluating ...

Most of the advanced equity markets regard dividend as an important investing indicator, however, domestic market pays low attention to dividend because dividend investment is considered as the year-end capital gains. This study presents an efficient strategy for selecting portfolio by evaluating growth potential of a company based on dividend. Through preliminary experiments, we extract 4 categories to sort out prospective stocks and develop a scoring table including criteria and formulas used to calculate scores for each category. In order to show the effectiveness of the portfolio selected by scoring table, we constructed 3 portfolios for every 4 years (2007-2010) out of 927 listed companies in KRX and proved that our portfolios are superior to both Markowitz model and market portfolio in terms of rate of return. The main findings may be summarized as follows. First, portfolio selection strategy proposed in this study performs very well compared to Markowitz model as well as KOSPI by taking into account the quality of dividend. Second, the experiments using correlation analysis show that the fourth category that means inherent growth rate is most positive to rate of return among the 4 categories.

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