Detail publikace

Dividends and Index Returns: Theories and Empirical Study

FOJTŮ, K. ŠKAPA, S.

Originální název

Dividends and Index Returns: Theories and Empirical Study

Typ

článek ve sborníku ve WoS nebo Scopus

Jazyk

angličtina

Originální abstrakt

The objective of this paper is to carry out a critical analysis of dividends and their role for investors. It describes theories on which the traditional economic approach relies, as well as theories considered to be a part of behavioral finance. The paper further focuses on stock indexes, such as MSCI World High Dividend Yield Index, SG Global Quality Income Index and STOXX Global 100 Select Dividend Index. All the stock index returns are quarterly net returns converted into euro. The paper follows developments in said indexes from 1Q 2002 till 4Q 2018. Statistical data compiled shows that all stock indexes are asymmetrical, with a high value, which fact has a significant impact on risk quantification, i.e., the way in which it is measured. STOXX Global 100 Selected Dividend displayed the lowest value. Further, differences were detected between the median and average values, for all the indexes examined. Once again, STOXX Global 100 Selected Dividend displayed the biggest difference: median values were founds to be nearly twice the average values. This also has an impact on the quantification of returns. To establish the dependency between the individual indexes, a Spearman rank correlation was employed, and showed a significant dependency between the individual indexes. These findings and relatively short time series made us use a computationally-intensive method (bootstrap) and robust statistics to quantify the return and risk of stock indexes. A long-term investment into dividend shares can be said to bring investors a higher appreciation, at a lower risk, than investing into shares covering the entire market. However, it should be noted that the survey period lasted for more than 15 years and therefore, in shorter cycles or shorter periods, dividend equities may fall back in return.

Klíčová slova

behavioral economics, stocks, dividends, dividend theories, stock indexes

Autoři

FOJTŮ, K.; ŠKAPA, S.

Vydáno

11. 4. 2019

Místo

Granada, Spain

ISBN

978-0-9998551-2-6

Kniha

Education Excellence and Innovation Management through Vision 2020

Strany od

3529

Strany do

3539

Strany počet

11

BibTex

@inproceedings{BUT157513,
  author="Kateřina {Fojtů} and Stanislav {Škapa}",
  title="Dividends and Index Returns: Theories and Empirical Study",
  booktitle="Education Excellence and Innovation Management through Vision 2020",
  year="2019",
  pages="3529--3539",
  address="Granada, Spain",
  isbn="978-0-9998551-2-6"
}