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

Author

Listed:
  • Adam Zaremba
  • Przemysław Konieczka

Abstract

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)

Suggested Citation

  • Adam Zaremba & Przemysław Konieczka, 2015. "Znaczenie stopy dywidendy w optymalizacji portfela akcji na rynku Europy Środkowo-Wschodniej," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 6, pages 857-877.
    • Handle: RePEc:aoq:ekonom:y:2015:i:6:p:857-877
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    References listed on IDEAS

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