Equity Carry on Hang Seng Constituents

Carry, in Koijen, Moskowitz, Pedersen, and Vrugt, is the return you earn if prices do not move. For a stock that object is the dividend yield, not a valuation ratio and not momentum. This page builds that yield from cash dividends paid over the trailing twelve months, divided by the price at the start of the window, on a fixed Hang Seng large-cap panel.

The trade is cross-sectional. Each month the book is long the top third of trailing carry and short the bottom third, with equal weights inside each leg and the two legs scaled to plus and minus one half. It is the equity-carry sleeve of a multi-asset carry study, restricted to names that actually trade in Hong Kong dollars on HKEX.

Dividends are the Yahoo Finance cash-dividend series, summed inside each calendar month and stored in data/exchange-prices/hongkong/dividends.csv. The signal known at the open of month $t$ uses dividends through month $t-1$:

$$c_{i,t-1}=\frac{{\sum }_{k=1}^{12}{D}_{i,t-k}}{P_{i,t-1}}$$

Names with less than six months of the dividend window are left out of that month's rank. Realised return is the adjusted-close total return, which already reinvests dividends, so the sort is on the yield and the payoff is the total return of the high-yield names minus the low-yield names. Using the total return on both legs avoids crediting the high-yield book twice.

Turnover is the L1 distance of the weight vector. One-way cost is 15 bps, which is a rough allowance for Hong Kong stamp duty on the long leg and for the spread on the short leg. It is not the statutory stamp schedule.

Wealth is compounded monthly, net of the turnover haircut, against the equal-weight of the names that were eligible that month. The test is Newey–West on the carry book's own mean, not on its gap to the index. A zero mean here means the long-short yield sort did not pay, even if both legs went up with the Hang Seng.

Special dividends and spin-offs land in the Yahoo dividend series with the ordinary dividend. A one-off payment can push a name into the long leg for a year.

Several names are also listed in Shanghai or New York. This study uses the Hong Kong line only. The premium is not a statement about the A-share of the same company.

Yahoo Finance adjusted closes are not a point-in-time index membership file. The constituent lists are a liquid large-cap panel, fixed in the repository, not the official index as it stood on each rebalance date.

The risk-free rate is set to zero in every Sharpe ratio. A local bill rate would lower the ratios and would not, by itself, change a long-short spread.

Costs are a flat one-way haircut on weight turnover. They do not include borrow fees, lot-size rules, auction imbalance, stamp duty, or the Shanghai and Hong Kong short-sale bans that bind a live short book.

This is a research record. It is not a recommendation to trade the sleeve.