Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: This study investigates the relationship between dividends and stock returns on the
Johannesburg Stock Exchange (JSE). In this mini study project a regression model is used to
investigate the relationship between dividend yield portfolios and stock returns. Each of these
dividend yield portfolios are further subdivided into dividend stability portfolios which
together with a regression model are used to investigate the relationship between dividend
stability and stock returns on the JSE.
It follows from this study that there is a non-linear relationship between the risk-adjusted
returns and dividend yields. A significant finding of this study is the fact that there is an
inverse linear relationship between the dividend yield and average stock returns for dividend
paying portfolios on the JSE. Investors on the JSE appear to place a premium on capital gains
as opposed to dividends.
It follows from this study that there is an inverse correlation between dividend stability and
the risk-adjusted return with the beta coefficient increasing as dividend stability decreases.
Within a particular yield portfolio, it is evident that higher systematic risk is associated with
shares with unstable dividend yielding histories. It is clear from the results that this dividend
signalling is not limited to high yielding stocks alone. As dividends are not entirely
controlled by managers, a low stable dividend yield could signal a low exposure to systematic
risk to outsiders. / AFRIKAANSE OPSOMMING: In hierdie studie word die verband tussen dividende en aandeelopbrengste op die
Johannesburgse Effektebeurs ondersoek. 'n Regressiemodel is in hierdie mini werkstuk
gebruik om die verwantskap tussen dividend opbrengsportfolios en aandeelopbrengs te
ondersoek. Elk van hierdie opbrengsportfolios is vervolgens verder verdeel in
dividendstabiliteitsportfolios wat tesame met 'n regressiemodel gebruik is om die verband
tussen dividendstabiliteit en aandeelopbrengs te bepaal.
Dit volg uit hierdie studie dat daar 'n nie-lineêre verband tussen risiko aangepaste
aandeelopbrengs en dividendopbrengs bestaan. 'n Noemenswaardige bevinding is die inverse
lineêre verwantskap tussen dividend en gemiddelde aandeelopbrengs vir dividend betalende
aandele op die Johannesburgse Effektebeurs. Dit blyk asof beleggers op die Johannesburgse
Effektebeurs 'n premie plaas op kapitaalgroei ten koste van dividendopbrengs.
Dit volg ook uit hierdie studie dat daar 'n inverse korrelasie is tussen dividendstabiliteit en
risiko aangepaste aandeelopbrengs met die beta koëffissiënte wat toeneem soos
dividendstabiliteit afneem. Binne 'n spesifieke dividendopbrengsportfolio is dit duidelik dat
hoër sistematiese risiko geassosieer word met onstabiele historiese dividendopbrengste. Dit
volg uit die resultate dat hierdie inligtingoordrag deur middel van dividende, nie beperk is tot
hoë dividendopbrengs aandele nie. Aangesien dividende nie uitsluitlik deur bestuurders
beheer word nie, kan 'n aandeel met lae maar stabiele dividendopbrengs, 'n boodskap van lae
blootstelling aan sistematiese risiko aan die mark oordra.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/52241 |
| Date | 12 1900 |
| Creators | Kruger, Theunis Lodewicus |
| Contributors | Hamman, W. D., V.d. M. Smit, E., Stellenbosch University. Faculty of Economic & Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 160 p. : ill. |
| Rights | Stellenbosch University |
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