Dividend-Driven Trading Strategies: Evidence from the Warsaw Stock Exchange

Abstract

This study presents an analysis of dividend-driven trading strategies based on dividend yield growth effects in the Polish stock market in the years 1994–2004. Results indicate that the dividend yield growth portfolios were capable of beating the market in the entire sample period. Their performance, however, was not consistent over time and the highest returns were obtained during final years. Empirical findings based on the analysis of different types of portfolios demonstrate the importance of dividends as a source of significant fundamental information items from stock market companies. At the same time, they show that a dividend investment strategy for the Polish stock market is most successful when the selection of stocks for the dividend yield growth portfolios is subject to further restrictions, most notably concerning company size. Copyright International Atlantic Economic Society 2007Dividend yield growth, Emerging market, Investment strategy, Portfolio analysis, Stock market, G15,

Market anomalies on the equity market in Poland – the survey of empirical studies

“…Liczba badań nad reakcją inwestorów na informacje o dywidendach dotyczące spółek notowanych na GPW jest dość znaczna i skupia się na różnych etapach tego procesu, takich jak ogłaszanie zapowiedzi dywidendy, zmiana wielkości dywidendy, wypłata dywidendy czy zmiana polityki dywidendy (por. Brzeszczyński, Gajdka, 2007, 2009Czapiewski, Kubiak, 2016, 2017Czekaj, 2014;Czerwonka, 2010a;Gurgul, 2006;Pieloch-Babiarz, 2016;Perepeczo, 2013;Słoński, Zawadzki, 2011, 2012Tuzimek, 2012).…”

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