Skäller hundarna högt i Sverige? En undersökning av Dogs of the Dow-strategin på den svenska aktiemarknaden

Sammanfattning: The aim of this study is to re-examine the performance of the investment strategy proposed by John Slatter in 1988 called Dogs of the Dow on the Swedish stock market. The investment strategy of picking the 10 stocks with the highest dividend yield has been a popular strategy that promises large abnormal returns. This study investigates if this promise can be kept on the Swedish stock market OMXS30 during the period 2002–2016 or whether the abnormal returns can be explained by other factors such as risk and transaction costs. Results show that the strategy can generate substantial abnormal returns both before and after adjusting for risk. However, taxes and transaction costs cover a considerable part of the abnormal returns and results are thereafter no longer significant. Furthermore, our research on the winner-loser effect cannot indicate that any abnormal returns generated before adjustments are created because of the market’s tendency of overreacting to positive and negative news. Consequently, despite the promising results in the early stages of this study, no significant evidence can be found regarding the promised large abnormal returns.