The Efficiency of the Investment Strategy "Dogs of Dow" in Emerging Capital Markets

The aim of this study was to conduct analysis of the efficiency of the Dogs of Dow investment strategy in emerging capital markets of Vietnam, Thailand, Indonesia, China, Taiwan and Brazil. For each market, the profitability of portfolios with high dividend yields was calculated, as well as the market index values from 2010 to 2018. In addition, there were considered different months of portfolio formation with high dividend yields stocks such as April, July, October and January. The yields of highly diversified portfolios were assessed using Student's t-test and CAPM model. Further, in order to test the investment strategy for efficiency, the Sharpe ratio was calculated for portfolios. According to the results of the study, the following findings were obtained in emerging markets. The yield of the investment strategy exceeded the market yield. Moreover, excess returns were positive, therefore indicating the effectiveness of a high dividend strategy. The results of the study may be used by institutional investors, conservative long-term investors and portfolio managers.