DivYield
Dividend Yield — Litzenberger and Ramaswamy 1979
Shareholder Yield
Quick facts
| Factor ID | DivYield |
| Display name | Dividend Yield |
| Family | Predictor |
| Category | Shareholder Yield |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Litzenberger and Ramaswamy 1979 |
| Source tables | daily_basic |
| Required fields | dv_ratio |
| PIT required | no |
| Coverage | 2010-01-07 – 2026-05-15 · 613,508 rows · 89.6% of panel |
Formula
dv_ratio / 100
Dividend yield from Tushare daily_basic converted from percent to decimal.
China adaptation
Uses Tushare daily_basic dv_ratio as a bootstrap proxy before event-date dividend tables are wired.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 196 |
| Monthly mean | 0.0743% |
| Monthly std | 3.1158% |
| Annualized Sharpe | 0.08 |
| t-stat (simple) | 0.33 |
| Hit rate (months > 0) | 48.5% |
| Last 12M compounded | -17.97% |
| Cumulative wealth (start = 1) | 1.051 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -3.87% | 1.232 | 4902 |
| 2025-06 | +0.63% | 1.240 | 4905 |
| 2025-07 | -1.77% | 1.218 | 4900 |
| 2025-08 | +0.47% | 1.223 | 4901 |
| 2025-09 | -0.12% | 1.222 | 4897 |
| 2025-10 | -3.21% | 1.183 | 4843 |
| 2025-11 | +1.29% | 1.198 | 4827 |
| 2025-12 | +0.06% | 1.199 | 4822 |
| 2026-01 | -1.43% | 1.181 | 3543 |
| 2026-02 | +5.72% | 1.249 | 3542 |
| 2026-03 | -9.89% | 1.125 | 3542 |
| 2026-04 | -6.60% | 1.051 | 3540 |
Known data issues
Current implementation uses vendor ratio not reconstructed trailing cash dividends.
Notes
China dividend event timing still needs stricter PIT treatment.
See also: Shareholder Yield family, Factor library, Factor returns.