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Academic audit

Failedequity XS fundamental

Net Payout Yield Effect

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation
Gate 1
Survivorship-free
free
clean panel
Eliminated here
Gate 2
Placebo ≥ P95
P15
outranked ~30 of 200 baskets
Gate 3
Cost-aware net
RF -0.77
net-negative after costs
Failed
Worst 12-month leg (RF)-0.74
−1.00 floor0
Every strategy here — winners included — loses in its worst 12 months. Depth is honest context, not the verdict.
Rejected at the luck gate — its net ranked no better than random baskets (below the P95 skill line).

Net payout yield combines dividends and net share buybacks (repurchases minus issuance) into a single shareholder-payout measure. The paper argues this fuller measure sorts the cross-section of stocks better than dividend yield alone, buying the high-payout names and shorting the low.

What we found

Sorting stocks on net payout yield and holding the long/short spread produced no payout premium after realistic costs in our out-of-sample window. The risk-adjusted result was negative and the factor ranked at the 15th percentile against random baskets, below what random selection produced. There is no diversifying factor-leg here: the sort did not clear costs, so it is not carried forward.

How we tested it
2005–2026 test windowmodelled liquidity-aware costssurvivorship free
  • Data: survivorship-free 1077-name US common-stock panel, 2005-2026. Realistic modelled costs.
  • Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)
Source: Boudoukh, Michaely, Richardson & Roberts (2007), "On the Importance of Measuring Payout Yield", J. Finance
Read the paper ↗
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Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.