Australia and New Zealand Banking Group (ASX: ANZ) shares are down 5% in five days.

Source: Google Finance

Source: Google Finance

The latest decline takes ANZ’s year-over-year share price fall to 25%. Indeed, below $24, ANZ shares are a far cry from their heady days of $35 plus in early 2015.

Is it time to buy?

If you – like me – are consistently on the search for out-of-favour dividend shares, ANZ is likely at the top of your to-do list. It is currently forecast to pay a fully franked dividend of 6.4%. Including those tax-effective franking credits, ANZ’s comparable yield pushes out to a lofty 9.1%.

Therefore, on the basis of income alone, ANZ shares have significant appeal in the record-low interest rate environment.

So what’s got the market spooked?

ANZ, like its peers, operates in a highly cyclical industry. By design, bank shares are likely to outperform during bull markets and underperform when the economy takes a turn for the worst.

In contrast to Commonwealth Bank of Australia (ASX: CBA) and Westpac Banking Corp (ASX: WBC), ANZ is heavily exposed to Asia. While the added layer of diversification can have its benefits, risks emanating from the region appear to outweigh the opportunities, at present.

Are ANZ shares dirt cheap?

When the economy is ticking along nicely, bank shares almost always trade at valuation discounts to the market. The trick for investors, therefore, is the ability to buy shares at a valuation below their cycle average. In my opinion, we are not at such a level.

So although ANZ shares are undoubtedly closer to fair value today than they were 18 months ago, the risk-adjusted return remains to the downside.

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Motley Fool Contributor Owen Raszkiewicz does not have a financial interest in any company mentioned in this article. You can follow Owen on Twitter @ASXinvest.

The Motley Fool Australia has no position in any of the stocks mentioned. We Fools may not all hold the same opinions, but we all believe that considering a diverse range of insights makes us better investors. The Motley Fool has a disclosure policy. This article contains general investment advice only (under AFSL 400691). Authorised by Bruce Jackson.