The Dividend Premium in the CEE Stock Market

Przemysław Konieczka , Adam Zaremba

Abstract

We investigate cross-sectional patterns related to dividends in the CEE stock market. We investigate a broad sample of 1153 companies from 11 countries in years 2002-2014. We use sorting and tests based on cross-sectional regression, and apply tests of monotonic relation. The principal findings are as follows. The high dividend stocks perform markedly better on a risk-adjusted basis, even after applying the classical three- and four factor models. This observation is supplemented with the evidence of monotonic relation: the higher dividend yields, the higher mean returns. However, the abnormal returns related to dividend yields are characteristic largely only for big- and midcaps. We find very weak evidence for the dividend premium across the micro stocks
Author Przemysław Konieczka - Szkoła Główna Handlowa w Warszawie (SGH), MNiSW [80]
Przemysław Konieczka,,
-
, Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesProcedia Economics and Finance, ISSN , e-ISSN 2212-5671, (0 pkt)
Issue year2015
Vol32
Pages42-49
Publication size in sheets0.5
ConferenceEmerging Markets Queries in Finance and Business 2014 (EMQFB 2014), 21-10-2014 - 25-10-2014, Bucharest, Rumunia
Keywords in Englishdividend yields cross-section of stock returns portfolio optimization CEE stock market
DOIDOI:10.1016/S2212-5671(15)01362-3
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 0.0, 10-01-2020, ArticleFromJournal
Ministerial score (2013-2016) = 5.0, 10-01-2020, ArticleFromJournal
Publication indicators WoS Citations = 0
Citation count*1 (2020-09-10)
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