Dividend-Driven Trading Strategies: Evidence from the Warsaw Stock Exchange |
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Authors: | Janusz Brzeszczyński Jerzy Gajdka |
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Institution: | (1) Department of Accountancy and Finance, Heriot-Watt University, Riccarton Campus, Edinburgh, EH14 4AS, United Kingdom;(2) Department of Capital Market, University of Łódź, Rewolucji 1905 r. nr 41, 90-214 Łódź, Poland |
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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.
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Keywords: | Dividend yield growth Emerging market Investment strategy Portfolio analysis Stock market |
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