Assessment of the efficiency of investment portfolios and the impact of macroeconomic determinants on the real rate of change of dividend payment for the 2017-2022 period

• Autorzy: Jabłoński Bartłomiej , Dorota Kika

Identyfikatory

DOI

10.29119/1641-3466.2024.197.10

• Języki publikacji: EN

Abstrakty

EN

Purpose: The aim of the paper is to assess the efficiency of investment portfolios built in the 2017-2022 period, with a particular focus on the COVID-19 pandemic, and to reveal the potential relationship between the real rate of change of dividend payment of the WIG, DAX and S&P500 companies and selected macroeconomic determinants. The analysis will be conducted in the context of the adaptive markets’ hypothesis. Design/methodology/approach: The scientific purpose of the paper is fulfilled by conducting a thorough review of the literature. Empirical data, on the other hand, was studied by quantitative analysis. The authors also employ comparative and descriptive analysis to investigate potential differences between companies listed on selected stock exchanges in terms of dividend payment frequency and rate of change in nominal and real terms. A study of the relationship between the real rate of change of dividends and the macroeconomic determinants of dividend payments was carried out by means of the Fisher equation, Pearson’s linear correlation coefficient and Spearman’s rank correlation coefficient. Findings: The assessment of the efficiency of investment portfolios in the 2017-2022 period revealed that, by choosing strong, trend-following investment portfolios, one could earn high and possibly above-average rates of return. The assumptions of the adaptive markets’ hypothesis appear to be correct in this context. Furthermore, the results of the empirical analyses demonstrate, that most companies listed on the US Stock Exchange paid dividends without interruption. In addition, in the analyzed period, the DAX companies reported the highest average real dividend growth rate. Practical implications: Enhanced knowledge in building and assessing the efficiency of investment portfolios during turbulent periods in the financial markets, in the context of the adaptive market hypothesis. Moreover, knowledge of the similarities and differences between dividend-paying companies listed on different stock exchanges is very important for investors and investment fund boards alike. Consequently, better investment decisions can be made as to where to make efficient capital investments. Social implications: In terms of the social implications of the paper, the most important one seems to be a possible change in attitude of investors towards dividend-paying companies, especially those listed on the international capital market and the acceptance of the adaptive markets’ hypothesis’ assumptions. Originality/value: This paper assesses the efficiency of investment portfolios for the 2017-2022 period against the appropriateness of considering the adaptive market hypothesis. Another new feature is the comparison of dividend-paying companies’ shares from the perspective of the real rate of change of dividends and the demonstration of the impact of macroeconomic determinants of dividend payments on the inflation-adjusted dividend payment rate of change.

Słowa kluczowe

EN

investment portfolio; rate of return; determinants of dividend payments; rate of change of dividend payment; dividend-paying company

PL

portfel inwestycyjny; stopa zwrotu; determinanty wypłaty dywidendy; stopa zmiany wypłaty dywidendy; spółka wypłacająca dywidendę

• Wydawca: Wydawnictwo Politechniki Śląskiej
• Czasopismo: Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska
• Rocznik: 2024
• Tom: z. 197
• Strony: 143--165
• Opis fizyczny: Bibliogr. 30 poz.

Twórcy

autor

Jabłoński Bartłomiej

• University of Economics in Katowice

• https://orcid.org/0000-0002-9398-017X

autor

Dorota Kika

• University of Economics in Katowice

• https://orcid.org/0000-0001-5628-4709

Bibliografia

• 1. Akan, H.W., Sweneme, Y. (2017). Macroeconomic Aggregates and Retention Ratio of Quoted Firms in Nigeria. Asian Finance & Banking Review Vol. 1, No. 1.
• 2. Ammy-Drissa, A., Garcin, M. (2020). Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. Statistical Finance, https://arxiv.org/abs/2007.10727, 26.08.2023.
• 3. Basse, T., Reddemann, S. (2011). Inflation and the Dividend Policy of US Firms. Economy watch, 6(4).
• 4. Black, F., Scholes, M. (1974). The effects of dividend yield and dividend policy on common stock prices and returns. Journal of Financial Economics, no. 1.
• 5. Brigham, E.F., Houston, J.F. (2005). Podstawy zarządzania finansami Warszawa: PWE.
• 6. Fama, E. (1970). Efficient capital market: a review of theory and empirical work. The Journal of Finance, vol. 25(2), DOI: 10.2307/2325486.
• 7. Giri, A.K., Pooja, J. (2017). The impact of macroeconomic indicators on Indian stock prices: an empirical analysis. Studies in Business and Economics no. 12(1).
• 8. Grossman, S., Stiglitz, J. (1980). On the impossibility of informationally efficient markets. The American Economic Review, vol. 70(3).
• 9. Hazlitt, H. (2007). Inflacja, wróg publiczny nr 1. Warszawa: Fijorr Publishing.
• 10. Hevia, C., Neumeyer, P.A. (2020). A perfect storm: COVID-19 in emerging economies. In: COVID-19 in Developing Economies. CEPR Press.
• 11. Jabłoński, B., Kika, D. (2023). Impact of the COVID-19 pandemic on the rates of return of selected WSE listed companies. Scientific Papers of Silesian University of Technology. Organization & Management, no. 169.
• 12. Jaworski, P. (2021). Wpływ pandemii COVID-19 na główne indeksy giełdowe na świecie. Zarządzanie Mediami, vol. 9(1), DOI: 10.4467/23540214ZM.21.010.13057.
• 13. Juza, J., Dąbrowski, B. (2021). Inwestor europejskiego rynku finansowego podczas pandemii COVID-19. Studia Ekonomiczne. Gospodarka. Społeczeństwo. Środowisko, no. 2(8).
• 14. Kahneman, D., Tversky, A. (1979). Prospect theory: an analysis of decision under risk. Econometrica, vol. 47(2).
• 15. Khan, F., Ullah, A., Muhammad, A.A., Muhammad, K.I, (2019). The Relationship between Macroeconomic Variables and the Dividend Payout Ratio of the Textile Sector Listed on Pakistan Stock Market. Sarhad Journal of Management Sciences, Vol. 4, Iss. 1.
• 16. Kim, J., Shamsuddin, A., Lim, K.-P. (2011). Stock return predictability and the adaptive markets hypothesis: evidence from century-long U.S. data. Journal of Empirical Finance, vol. 18(5), DOI: 10.1016/j.jempfin.2011.08.002.
• 17. Kołatka, M. (2020). Testing the adaptive market hypothesis on the WIG stock index: 1994-2019. Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, vol. 64(1), DOI: 10.15611/pn.2020.1.11.
• 18. Kołatka, M. (2021). Zmiana poziomu efektywności amerykańskiego rynku akcji – od kryzysu finansowego 2007-2009 do pandemii COVID-19. Optimum Economic Studies, vol. 3(105), DOI: 10.15290/OES.2021.03.105.03.
• 19. Kowerski, M. (2011). Ekonomiczne uwarunkowania decyzji o wypłatach dywidend przez spółki publiczne. Kraków/Rzeszów/Zamość: Konsorcjum Akademickie Wydawnictwo WSE w Krakowie, WSIiZ w Rzeszowie i WSZiA w Zamościu,.
• 20. Lejman-Gąska, A., Czech, K. (2021). Ocena opłacalności inwestycji w największe polskie spółki notowane na Giełdzie Papierów Wartościowych w Warszawie w czasie pandemii COVID-19. Zeszyty Naukowe Wydziału Zarządzania GWSH, no. 16, DOI: 10.53259/2021.16.11.
• 21. Lo, A. (2004). The adaptive markets hypothesis: market efficiency from evolutionary perspective. Journal of Portfolio Management, vol. 30(5), DOI: 10.3905/jpm.2004.442611.
• 22. Mensi, W., Sensoy, A., Vinh, Vo X., Kang, S.H. (2020). Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices. Resources Policy, vol. 69, DOI: 10.1016/j.resourpol.2020.101829.
• 23. Miller, M.H., Modigliani, F. (1961). Dividend Policy, Growth, and the Valuation of Shares. Journal of Business, vol. 34, no. 4.
• 24. Mnif, E., Jarboui, A., Mouakhar, K. (2020). How the cryptocurrency market has performed during COVID 19? A multifractal analysis. Finance Research Letters vol. 36, DOI: 10.1016/j.frl.2020.101647.
• 25. Modigliani, F., Cohn, R.A (1979). Inflation, Rational Valuation and the Market. Financial Analysts Journal, vol. 35, No. 2.
• 26. Muhammad, A.A., Khan, F. (2018). The Relationship between Macroeconomic Variables and the Dividend Payout Ratio of the Textile Sector Listed on Pakistan Stock Market. Sarhad Journal of Management Sciences (SJMS), vol.4, iss. 1.
• 27. Romus, M., Rizga, A., Abdillah, M.R., Zakaria, N.B. (2020). Selected Firms Environmental Variables: Macroeconomic Variables, Performance and Dividend Policy Analysis. IOP Conf. Series: Earth and Environmental Science, 469.
• 28. Skousen, M. (2011). Struktura produkcji. Giełda, kapitał, konsumpcja. Warszawa: Fijorr Publishing.
• 29. Skousen, M. (2011b). Inwestowanie w jednej lekcji. Warszawa: Fijorr Publishing Company.
• 30. Urquhart, A., Hudson, R. (2013). Efficient or adaptive markets? Evidence from major stock markets using very long run historic data. International Review of Financial Analysis, vol. 28, DOI: 10.1016/j.irfa.2013.03.005.