The Effect of Dividend Yield to Stocks’ Performance on Bullish and Bearish Finnish Stock Market

This study examines the relationship between dividend yield and stock return over bullish and bearish Finnish stock market by testing for alpha and beta shifts across bull and bear markets. In addition, this study examines if various factors, such as a standard deviation of dividends, firm size and profitability have an effect on the size, of the firms’ dividends and systematic risk of the stocks. We divide stocks into five portfolios on the basis of their past average dividend yields and investigate if the highest yielding portfolios outperform the lowest yielding portfolios during the different market conditions. As a result, high yielding stocks were most stable during the examination period and offered downside protection on bear markets. However, a strategy of forming portfolios with past dividend yields led to negative alphas even in bull markets. Standard deviation of dividends, firm size and profitability were found to have no effect on the size of dividends and systematic risk of the stocks.

Spec. karta Evropejskoj Rossìi. 25 (11/40) / izd. Voen. top. upravl. General'n. Štaba ; pod" redakc. Strěl'bickago.

Masštab" v" Anglìjskom" dûjmě 10 russk. verst" ili 1:420000.

Spec. karta Evropejskoj Rossìi. 40 (25/54) / [sostavlena pri Voenno-Topografičeskom" otděle Glavnago štaba v" 1865-1871 gg.] pod" redakcìej Strěl'bickago.

Masštab" v" Anglìjskom" dûjmě 10 russk. verst" ili 1:420000.