Dividend Yield and EPS Estimates Drove Performance Last WeekOctober 27, 2014
Of our 30 factors, Dividend Yield and 1-month and 3-month change in EPS estimates had the highest r-squared value to market performance last week (figure 1). Stocks with the lowest dividend yield (10th decile in figure 2) were up 4.4% last week while stocks with the highest dividend yield (1st decile in figure 2) were only up half as much.
Changing EPS estimates were also strongly correlated to market returns last week. Stocks with the highest 1-month change in EPS estimates were 4.7% higher on the weak (1st decile in figure 3). Meanwhile, it was the second decile of stocks with the highest 3-month EPS change that outperformed the most last week and were 4.3% higher on the week (figure 4). Finally, out of our 30 factors, the least correlated factor to 1-week returns was oil.