The Role of Dividend Yields in Portfolio Optimization: Evidence From the CEE Markets Cover Image

Znaczenie stopy dywidendy w optymalizacji portfela akcji na rynku Europy Środkowo-Wschodniej
The Role of Dividend Yields in Portfolio Optimization: Evidence From the CEE Markets

Author(s): Adam Zaremba, Przemysław Konieczka
Subject(s): Business Economy / Management, Regional Geography, Economic development, Transformation Period (1990 - 2010), Present Times (2010 - today)
Published by: Instytut Nauk Ekonomicznych Polskiej Akademii Nauk
Keywords: dividends; stock returns; portfolio optimization; stock market; Central-Eastern Europe;

Summary/Abstract: 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.

  • Issue Year: 2015
  • Issue No: 6
  • Page Range: 857-877
  • Page Count: 21
  • Language: Polish
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