Net Payout Yield
✓ aliveNetPayoutYieldValue· Accounting data
Dividends (dvc) plus purchase of common and preferred stock (prstkc) minus sale of common and preferred stock (sstk), divided by market value of equity lagged 6 months. Exclude if NetPayoutYield is 0, financial firm based on SIC code, ceq <= 0, or less than 2 years in CRSP
IS Sharpe (1953–2006)
0.523
+7.3% p.a.
OOS Sharpe (2007–2024)
0.892
+17.0% p.a.
Sharpe decay
-70.6%
(IS − OOS) / |IS|
IS vol
14.0%
annualized
Cumulative return (last 40 years, monthly)
+12136%1984-012024-12
Publication details
AuthorsBoudoukh et al.
PaperBoudoukh et al. (2007)
JournalJournal of Finance
Publication year2007
Original sample1984–2003
IS T-statistic2.83
More Value anomalies
Predicted div yield next month+1.42Operating Cash flows to price+0.68Book to market using December ME+0.68Book-to-market and accruals+0.65Sales-to-price+0.64Efficient frontier index+0.49
See all Value anomalies →