Stander Symposium abstract book - University of Dayton

9:00 AM to 10:30 AM
Do Dividends Matter: An empirical analysis of the impact of dividends on portfolio stock
selection, portfolio weights, and portfolio returns for S&P 500 stocks over the period
2005-2010
Presenter(s): Gregory J Castell
Advisor(s): Robert D Dean, John E Rapp
Economics and Finance - Honors Thesis
Because of a growing number of dividend-focused portfolios today, the critical issue is whether or not these types of portfolios create alpha.
Therefore, the purpose of this study is to determine if a portfolio of stocks focused on dividends can create alpha (i.e. excess returns) in both declining
and rising stock markets. Holding constant such key factors as valuation, earnings growth, and profitability, at the margin, I have assumed
the critical dividend factors in determining alpha are dividend yield, dividend growth, and dividend payout ratio. To test the hypothesis that one
or a combination of the above dividend factors can contribute to a portfolio’s alpha, I will develop a “baseline” portfolio that has these general
parameters: [1] the stocks in the portfolio will have Price to Earnings Ratios below the market, [2] their expected growth rate in earnings is greater
than the market, and [3] the return on common equity will be higher than the market. The stocks in the baseline portfolio will then be weighted
respectively by their dividend yield, dividend growth rate, and dividend payout ratio for the periods 2005-2010, allowing for yearly rebalancing.
The portfolio returns will be compared to the S&P 500 market returns over the same time periods to determine if alpha was created. I will also
calculate information ratios for the various dividend portfolios to determine risk-adjusted excess returns.
Identifying Portfolio Investment Strategies for High Quality Ranked Stocks in the Highly
Volatile Market Period 2008-2011
Presenter(s): Mary H Viertel
Advisor(s): Robert D Dean, John E Rapp
Economics and Finance - Independent Research
In highly volatile market periods, many investors tend to reduce their risk by purchasing large cap, higher quality stocks. The purpose of this study,
controlling for firm size, is to evaluate different portfolio weighting strategies based on valuation, operating efficiency, and profitability. For this
study, the analysis is on very large cap stocks called mega cap stocks. Returns for this size group will be first determined based on market cap
weightings. These returns will be considered the benchmarks against which all other returns will be measured. Within each size group, portfolio
weightings will also be constructed based on valuation, operating efficiency, and profitability measures. The particular metrics, in sequence, are
price to book, operating margins, and return on assets. Returns for each year and for the complete period will be calculated for each of these
weighting strategies and compared to the returns for the benchmark portfolio, as well as the S&P 500. Results of the analysis are forthcoming.
Identifying upside and downside performance potential for Flyer Fund Stocks in the high
volatile market period, 2007-2011.
Presenter(s): Catherine G Camerota, Jacob A Recker, Kelsey E Stroble
Advisor(s): Robert D Dean, John E Rapp
Economics and Finance - Independent Research
The purposer of this study is to determine if historical measures of upside and downside capture ratios can be used to determine the future performance
of Flyer Fund stocks. Monthly upside and downside capture ratios were calculated for 20 Flyer Fund stocks over the period 2007-2012.
Using cross sectional regression analysis, the returns for the 20 stocks in 2011 were regressed on the average upside and downside capture ratios
for each stock calculated over the 07-10 period. The results indicate that a combination upside/downside capture ratio is useful in predicting
shortterm stock performance.
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