- Autor
- Brzeszczyński Janusz (Heriot-Watt University, Edinburgh), Gajdka Jerzy (University of Lodz, Poland)
- Tytuł
- Can the Dividend Yield Strategies Beat the Market? Evidence from the Polish Stock Market 1994-2004
- Źródło
- FindEcon Monograph Series : advances in financial market analysis, 2006, nr 1, s. 45-59, rys., tab., bibliogr. s. 58-59
- Tytuł własny numeru
- Financial markets : principles of modeling forecasting and decision-making
- Słowa kluczowe
- Giełda papierów wartościowych, Strategia inwestycyjna, Dywidenda
Stock market, Investment strategy, Dividend - Abstrakt
- Our study is aimed at the analysis of the profitability of the variant of the "Dogs of Dow" strategy for the stock market in Poland, where the investigated portfolios are based on the information about the dividend yields from the stock market companies quoted at the Warsaw Stock Exchange (WSE). Firstly, we build the portfolios of highest dividend yield stocks from the WSE and examine their performance over the period of 10 years from 1994 to 2004. Secondly, we investigate possible diversification benefits from expansion of the portfolios size by including different numbers of shares. Thirdly, we test the hypothesis that the market dividend yield and the dividend yield of the best dividend paying companies can predict the performance of the highest dividend stocks portfolios. In consequence, this study allows for answering the question if the dividend yield portfolios can beat the market. Our evidence is based on the historical monthly stocks and index returns from the Warsaw Stock Exchange in the period from 1994 to 2004. The obtained results support the hypothesis that the portfolios of high dividend yield stock outperform the WIG20 index in the entire analyzed period. (fragment of text)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu - Pełny tekst
- Pokaż
- Bibliografia
-
- Aharony J., Swary I. (1980), "Quarterly Dividends and Earnings Announcements and Stockholders' Returns: An Empirical Analysis", Journal of Finance, 24, 1-12.
- Campbell J. Y., Shiller R. (1988), "The Dividend Price Ratio and Expectations of Future Dividends and Discount Factors", Review of Financial Studies, 1, 195-228.
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- Filbeck G., Visscher S. (1997), "Dividend Yield Strategies in the British Stock Market", European Journal of Finance, 3, 277-289.
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- Kothari S. P, Shanken J. (1997), "Book-to-Market, Dividend Yield and Expected Market Returns: A Time Series Analysis", Journal of Financial Economics, 44, 169-203.
- McQueen G., Shields K., Thorley S. R. (1997), "Does the 'Dow-10 Investment Strategy' Beat the Dow Statistically and Economically?", Financial Analysts Journal, 53, 66-72.
- Petit R. R. (1972), "Dividend Announcements, Security Performance and Capital Market Efficiency", Journal of Finance, 27, 993-1007.
- Visscher S., Filbeck G. (2003), "Dividend-Yield Strategies in the Canadian Stock Market", Financial Analysts Journal, 59, 99-106.
- Wypych M. (2004), "Dywidenda jako wyznacznik rentowności inwestycji w akcje" (A Dividend as a Determinant of Investment Yield on Stocks), in: Tarczyński W. (ed.), Rynek kapitałowy, skuteczne inwestowanie, Szczecin: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego.
- Cytowane przez
- Język
- eng
