Znaczenie stopy dywidendy w optymalizacji portfela akcji na rynku Europy Środkowo-Wschodniej

• Autorzy: Adam Zaremba , Przemysław Konieczka

Warianty tytułu

The Role of Dividend Yields in Portfolio Optimization: Evidence from the CEE Markets

• Języki publikacji: PL

Abstrakty

Artykuł zawiera analizę zależności stóp zwrotu na rynkach akcji Europy Środkowej i Wschodniej od stopy dywidendy. Badanie opiera się na notowaniach miesięcznych 1153 spółek z 11 państw latach 2002-2014. Wykorzystane zostały metody sortowania, analizy regresji, testy przesunięcia granicy efektywnej oraz testy relacji monotonicznej. Wyniki można podsumować następująco. Po pierwsze, spółki o wysokiej stopie dywidendy przynoszą istotnie wyższe stopy zwrotu, nawet po skorygowaniu o ryzyko rynkowe oraz efekty wskaźnika wartości księgowej do rynkowej, kapitalizacji i momentum. Obserwację tę wspierają dowody na relację monotoniczną: im wyższe stopy dywidendy, tym wyższe stopy zwrotu. Po drugie, portfele zbudowane według wysokości stopy dywidendy pozwalają przesunąć granicę efektywną inwestora giełdowego, nawet przy założeniu braku normalności rozkładu stóp zwrotu. Po trzecie, ponadprzeciętne stopy zwrotu są charakterystyczne dla portfeli budowanych na bazie historycznych wartości dywidend, jednak nie na bazie wartości prognozowanych. Po czwarte wreszcie, powiązanie pomiędzy dywidendami i stopami zwrotu jest charakterystyczne dla dużych i średnich spółek giełdowych, a nie dla małych. (abstrakt oryginalny)

EN

In this paper we investigate cross-sectional patterns of rates of return related to dividend yield in the CEE stock market. We examine a broad sample of 1153 companies from 11 countries for years 2002-2014. We use sorting procedures, cross-sectional tests, and mean-variance spanning analysis, and tests of monotonic relation. The principal findings are as follows. First, the high dividend stocks overperform, even after applying the classical three- and four factor models. Second, the abnormal returns are typical only for stock sorted on past dividend yields, and not on forecasted dividend yields. Finally, the alphas on dividend-based portfolios are characteristic largely only for big- and midcaps. We find very weak evidence for the dividend premium across the micro- and small stocks. (original abstract)

Słowa kluczowe

PL

Dywidenda; Stopa zwrotu; Portfel inwestycyjny; Rynek akcji

EN

Dividend; Rate of return; Investment portfolio; Equity market

• Czasopismo: Ekonomista
• Rocznik: 2015
• Numer: nr 6
• Strony: 857--877

Twórcy

autor

Adam Zaremba

• Uniwersytet Ekonomiczny w Poznaniu

autor

Przemysław Konieczka

• Szkoła Główna Handlowa w Warszawie, doktorant

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