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The Value of Dividends: The effect of dividend exposure on stock returns
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2019 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper aims to examine if firms listed on Nasdaq Stockholm with dividend exposure yield higher risk-adjusted returns than firms without dividend exposure. Using a data set consisting of observations between 2000-2017 we test the difference in mean risk-adjusted return, measured by the Sharpe ratio, between securities with different levels of dividend exposure. We divide our sample into portfolios, categorized in the first stage independently of investment style, size and book-to-market ratio, and in the second stage on dividend exposure, that are regrouped annually. We measure the performance in terms of the geometric mean monthly returns, the risk as standard deviation of returns and the risk-adjusted performance measured with the Sharpe ratio. Following our empirical study, we find indications of a value effect in the Swedish capital market and draw upon three main conclusions. First, for all but one portfolio, the risk decreases with an increased degree of dividend exposure. Second, securities with high-dividend exposure tend to yield higher risk-adjusted returns relative to securities with no-dividend exposure. Third, the effect of dividend exposure on risk-adjusted performance appears to be most significant on mid firms and growth firms

Place, publisher, year, edition, pages
2019.
Keywords [en]
Dividend investing, Value effect, Size effect, Risk-adjusted performance, Dividend yield, Stock returns
National Category
Business Administration
Identifiers
URN: urn:nbn:se:uu:diva-389411OAI: oai:DiVA.org:uu-389411DiVA, id: diva2:1337089
Educational program
Freestanding course
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Available from: 2019-07-11 Created: 2019-07-11 Last updated: 2019-07-11Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf