Rizzo, Antonino EmanueleBerre, Martin2021-08-192021-08-192021-01-152021-01-03http://hdl.handle.net/10362/122730By constructing dividend growth portfolios and comparing them to replicated value and equal-weighted S&P benchmarks, we find that the portfolios outperformed long-term in terms of both alpha and Sharpe Ratio. From the asset pricing model loadings, we find that a much higher profitability factor (RMA) is observed in a dividend raise portfolio. Another portfolio, holding stocks that kept dividends either constant or at a raise, has a much higher investment factor (CMW).engDividend growth investingFactor modelsDividend aristocratsAsset pricingmaster thesis202741010