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The Relationship Between Changes in Cash Dividends and Volatility of Stock Returns

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The Relationship Between Changes in Cash Dividends and Volatility of Stock Returns The Relationship between Changes in Cash Dividends and Volatility of Stock Returns - A Study of the Swedish Stock Market Authors: Cecilia Nylander Sandra Renberg Supervisor: Catherine Lions Student Umeå School of Business and Economics Spring semester 2013 Degree project, 30 hp Acknowledgement We would like to take the opportunity to thank and express our sincere gratitude to everyone who has supported and given us very valuable feedback during the completion of this research. First of all, we would like to give our appreciation to our supervisor Catherine Lions who has, with her knowledge in the field, provided us with continuous feedback on our work, which, has proven to be extremely valuable in the completion of this study. Furthermore, Catherine has been our greatest sounding board and motivator throughout this journey for which we are deeply grateful. Secondly, we would like to thank the statistical department of Umeå University. Especially, we express our gratitude toward Kenny Brännberg and Johan Svensson who guided us in the statistical analysis of this research. Thank you for taking the time to help us and provide us with valuable suggestions on how to best conduct the analysis of the data. Sincerely, Cecilia Nylander and Sandra Renberg I Abstract The dividend policy and the distribution of cash dividend can be of interest to the investors from many angles. Consequently, many theories have been built on the relevance of dividend policy and there are several theories proposing that dividends increase shareholder value. However, the most famous theory on dividend policy might be Miller and Modigliani's dividend irrelevance theory which implies that the dividend policy does not affect shareholder value. Although investors are concerned with shareholder value they are also concerned with achieving the highest possible return with the lowest volatility (risk). As many studies have focused on the dividend policy, especially dividend yield or the dividend payout ratio, and its relation with stock price movement we felt that there was a lack of information regarding the relation between return volatility and cash dividends. This resulted in the following research question: Does a change in cash dividend affect stock return volatility on NASDAQ OMX Stockholm? Answering this research question is the main purpose of the research. Additionally, the relationship between changes in cash dividend and return volatility will be compared in the different size segments that are to be found on NASDAQ OMX Stockholm. The study is quantitative with a deductive approach where historical data ranging from 2006-2012 has been gathered. Two measures of return volatility has been used, beta and standard deviation of return. Statistical tests have been conducted in an approach to answer the research question, mainly correlation tests and logistic regression analysis. No correlation between changes in cash dividend and changes in beta, nor changes in standard deviation were found. The same results were found when examining small, mid and large cap individually. In the logistic regression analysis no evidence was found that changes in dividend could explain changes in return volatility. Contrary to changes in dividend, the results indicate that the size of the company can explain changes in return volatility. Specifically, large cap companies explain increases in return volatility better than companies in the small cap segment. Therefore, the research question is concluded with no, a change in cash dividend does not affect stock return volatility. The findings could also be argued to be in support of the dividend irrelevance theory. Furthermore, the conclusion implies that investors need not regard the dividend policy when diversifying their portfolios. Additionally, managers need not be worried that a change in dividend policy should affect return volatility. II Table of Contents Chapter 1 – Introduction ............................................................................................................ 1 1.1 - Problem Background ........................................................................................................ 1 1.2 - Research Question ............................................................................................................ 3 1.3 - Research Purpose .............................................................................................................. 3 1.4 - Research Gap .................................................................................................................... 4 1.5 - Research Contribution ...................................................................................................... 4 1.6 - Delimitations ..................................................................................................................... 5 1.7 - Disposition ........................................................................................................................ 5 Chapter 2 – Research Methodology .......................................................................................... 7 2.1 - Preconceptions and Choice of Subject .............................................................................. 7 2.2 - Methodological Positions .................................................................................................. 8 2.2.1 - Epistemological Positions .......................................................................................... 8 2.2.2 - Ontological Positions ................................................................................................. 9 2.2.3 - Paradigms ................................................................................................................. 10 2.3 - Research Approach ......................................................................................................... 10 2.4 - Research Method ............................................................................................................ 12 2.5 - Research Design ............................................................................................................. 13 2.6 - Literature and Data Sources ............................................................................................ 14 2.7 - Validity and Reliability ................................................................................................... 15 2.8 - Ethical and Social Issues ................................................................................................. 16 2.9 - Summary of Theoretical Methodology ........................................................................... 18 Chapter 3 – Theoretical Framework ....................................................................................... 20 3.1 - NASDAQ OMX Stockholm ........................................................................................... 20 3.2 - Dividend Irrelevance Theory .......................................................................................... 20 3.3 - Dividend Relevance Theory ........................................................................................... 22 3.3.1 - Signaling Theory ...................................................................................................... 22 3.3.2 - Agency Costs ........................................................................................................... 24 3.3.3 - Bird-in-the-Hand Hypothesis ................................................................................... 25 3.3.4 - Clientele Effect ........................................................................................................ 26 3.4 – Risk ................................................................................................................................ 27 3.4.1 - Risk-Return .............................................................................................................. 27 3.4.2 - Volatility .................................................................................................................. 28 3.4.3 - Implied Volatility ..................................................................................................... 29 3.4.4 - Historical Volatility ................................................................................................. 29 III 3.4.5 - Asymmetric Volatility ............................................................................................. 29 3.4.6 - Beta .......................................................................................................................... 30 3.4.7 - Standard Deviation ................................................................................................... 30 3.5 - Previous Studies .............................................................................................................. 30 3.6 - Summary of Theoretical Framework .............................................................................. 32 3.6.1 - Dividend Irrelevance Theory ................................................................................... 32 3.6.2 - Signaling Theory ...................................................................................................... 32 3.6.3 - Agency Costs and Dividend Policy ......................................................................... 32 3.6.4 - Bird-in-the-Hand Hypothesis ................................................................................... 32 3.6.5 - Clientele Effect .......................................................................................................
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