Abstract
<p><strong>Theoretical background</strong>: The efficient-market hypothesis (EMH) states that share prices immediately and fully reflect all information available on the market, so stock investors are not able to “beat the market” in the long term. Since stock exchanges are not fully efficient, there are numerous exceptions to EMH, called market anomalies (seasonal anomalies, fundamental anomalies, etc.). The occurrence of such anomalies enables stock investors to achieve excess market returns. Therefore, market anomalies are of particular interest to them. However, there are no studies on “beating the market” in the long term by dividend investing. Research to date has focused mainly on the short-term response of the capital market to dividend announcements.</p><p><strong>Purpose of the article</strong>: The purpose of this paper is to examine whether by dividend investing stock investor is able to “beat the market” on quarterly basis, i.e. achieve excess market returns in some quarters of the year. In order to conduct the research, the following hypothesis was formulated: The average rates of return on the dividend index are higher in the third quarter of the calendar year than the average rates of return on other indices.</p><p><strong>Research methods</strong>: The study was carried out in the period between 2012 and 2019 on the Warsaw Stock Exchange (WSE) using rates of return on income indices (i.e. WIG, WIGdiv, WIG20TR, WIG30TR, mWIG40TR and sWIG80TR). The main method used for the calculation was Kruskal–Wallis <em>H</em> test.</p><p><strong>Main findings</strong>: Average returns on examined indices were negative in the second quarter of the year. Our finding is consistent with the so-called holiday effect. The highest rates of return occurred in the third quarter, except for small and medium companies. In these cases, the highest returns were observed in the first quarter). The study conducted with the use of the Kruskal–Wallis <em>H</em> test showed that the null hypothesis, stating that the cases come from the same population, cannot be rejected.</p>
Highlights
S The efficient-market hypothesis (EMH) states that assets prices reflect all available information
Most studies deal with seasonal anomalies that have been observed on capital markets for many decades (Wachtel, 1942)
In order to achieve the main objective of the research, which was to examine whether by dividend investing stock investor is able to “beat the market” on quarterly basis, i.e. achieve excess market returns in some quarters of the year, the following
Summary
S The efficient-market hypothesis (EMH) states that assets prices reflect all available information. C manage to “beat the market” because of numerous exceptions to EMH, called market anomalies. Most studies deal with seasonal anomalies that have been observed on capital markets for many decades (Wachtel, 1942). Research on this problem is usually conducted on a monthly basis and focuses on finding recurring patterns of return on shares or stock indices Some of them relate to changes in the market price of dividend shares. These studies focus primarily on the capital market’s response to dividend payout or
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