Ten years of dividend yields in Europe: 2000–2009

Autor: Inés Portillo García, Teresa Corzo Santamaría, Dolores Lagoa-Varela
Rok vydání: 2014
Předmět:
Zdroj: Journal of Asset Management. 15:83-91
ISSN: 1479-179X
1470-8272
DOI: 10.1057/jam.2014.14
Popis: Using monthly data collected during the period 2000–2009 for two samples of European and Spanish companies, we show a clear, nonlinear relationship between dividend yields (DYs) and total stock returns earned by stockholders. This relationship is an inverted, U-shaped relationship in the sense that stocks within a specific range of DY have superior returns and are the only ones with positive average returns throughout our sample period. We also find that stocks within a portfolio with superior and positive returns are the ones that bear lower risk, thus becoming the ones with best Sharpe’ ratios. The relationship between DY and risk exhibit a U-shape. Our results contradict the Miller and Modigliani (1961) irrelevance theorem and reveal the existence of suitable dividend range from the investor’s point of view while supporting the relevance of dividends as an investment tool.
Databáze: OpenAIRE
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