Divi dends and Mar ket Ef fi ciency: A Multi- Index
Arbitrage In vestment Strat egy*
By Robert A. Kun kel, Uni versity of Wis consin Osh kosh, Col lege of Busi ness Ad ministra -
tion, Osh kosh, WI 54901; Mi chael C. Ehr hardt, Department of Fi nance, Sto kely Man age -
ment Cen ter, Uni versity of Ten nessee, Knox ville, TN 37996- 0540; and Gregory A.
Kuhlemeyer, University of North Colo rado, De partment of Fi nance, Col lege of Busi ness
Administration, Gree ley, CO 80639
Ab stract
This pa per em ploys both a multi- index model and lin ear pro gramming to cre ate a short and
long port folio of se curities that have iden tical ex- post risk lev els. While the two port fo lios
have iden tical ex- post risk, the long port fo lio is com posed of stocks with high divi dend
yields and the short port fo lio is com posed of stocks with low divi dend yields. By short ing
the low divi dend yield port fo lio and pur chasing the high divi dend yield port folio, we cre ate
a zero......

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Title: Dividends And Mar Ket Ef Ficiency
Approximate Word Count: 2531
Approximate Pages: 11 (250 words per double-spaced page)

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