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The OMXS Dividend Aristocrats A multivariate regression and risk analysis

Fridström, William LU (2021) NEKH03 20202
Department of Economics
Abstract
Dividends effect on stock prices and shareholders return is a disputed subject in finance. The purpose of this thesis is to expand on the existing research both the effect of dividends in general and on stocks on the Swedish market in particular. This thesis establishes an index of stocks with 5 or more years of dividend growth for at least the last 5 years on the Swedish market, by comparing this index to the entire Swedish stock market, we see there are bigger excess returns to be earned with these types of dividend growth stocks compared to the market. Using a multivariate regression model, it is however clear that the number of accumulated years of dividend growth, although significant, has a very marginal negative effect on stock... (More)
Dividends effect on stock prices and shareholders return is a disputed subject in finance. The purpose of this thesis is to expand on the existing research both the effect of dividends in general and on stocks on the Swedish market in particular. This thesis establishes an index of stocks with 5 or more years of dividend growth for at least the last 5 years on the Swedish market, by comparing this index to the entire Swedish stock market, we see there are bigger excess returns to be earned with these types of dividend growth stocks compared to the market. Using a multivariate regression model, it is however clear that the number of accumulated years of dividend growth, although significant, has a very marginal negative effect on stock excess return. The percentage increase of dividend per share from the previous year did not have a significant effect on the stock excess return. These two findings are shown both in years were the market had a negative excess return and, in the years when the market had positive excess returns. (Less)
Popular Abstract
Dividends effect on stock prices and shareholders return is a disputed subject in finance. The purpose of this thesis is to expand on the existing research both the effect of dividends in general and on stocks on the Swedish market in particular. This thesis establishes an index of stocks with 5 or more years of dividend growth for at least the last 5 years on the Swedish market, by comparing this index to the entire Swedish stock market, we see there are bigger excess returns to be earned with these types of dividend growth stocks compared to the market. Using a multivariate regression model, it is however clear that the number of accumulated years of dividend growth, although significant, has a very marginal negative effect on stock... (More)
Dividends effect on stock prices and shareholders return is a disputed subject in finance. The purpose of this thesis is to expand on the existing research both the effect of dividends in general and on stocks on the Swedish market in particular. This thesis establishes an index of stocks with 5 or more years of dividend growth for at least the last 5 years on the Swedish market, by comparing this index to the entire Swedish stock market, we see there are bigger excess returns to be earned with these types of dividend growth stocks compared to the market. Using a multivariate regression model, it is however clear that the number of accumulated years of dividend growth, although significant, has a very marginal negative effect on stock excess return. The percentage increase of dividend per share from the previous year did not have a significant effect on the stock excess return. These two findings are shown both in years were the market had a negative excess return and, in the years when the market had positive excess returns. (Less)
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author
Fridström, William LU
supervisor
organization
course
NEKH03 20202
year
type
M2 - Bachelor Degree
subject
keywords
Dividend, OMXS, Return, Regression, Risk/Reward
language
English
id
9036398
date added to LUP
2021-03-11 12:02:08
date last changed
2021-03-11 12:02:08
@misc{9036398,
  abstract     = {Dividends effect on stock prices and shareholders return is a disputed subject in finance. The purpose of this thesis is to expand on the existing research both the effect of dividends in general and on stocks on the Swedish market in particular. This thesis establishes an index of stocks with 5 or more years of dividend growth for at least the last 5 years on the Swedish market, by comparing this index to the entire Swedish stock market, we see there are bigger excess returns to be earned with these types of dividend growth stocks compared to the market. Using a multivariate regression model, it is however clear that the number of accumulated years of dividend growth, although significant, has a very marginal negative effect on stock excess return. The percentage increase of dividend per share from the previous year did not have a significant effect on the stock excess return. These two findings are shown both in years were the market had a negative excess return and, in the years when the market had positive excess returns.},
  author       = {Fridström, William},
  keyword      = {Dividend,OMXS,Return,Regression,Risk/Reward},
  language     = {eng},
  note         = {Student Paper},
  title        = {The OMXS Dividend Aristocrats A multivariate regression and risk analysis},
  year         = {2021},
}