The Effect of Systematic Risk, Firm Size, and Company Sector on the Relationship between Dividends and Stock Returns An Empirical Study on Amman Stock Exchange

Dou’a F. Shbaitah, Fayez S. Hadad

Abstract


The aim of this study is to examine the relationship between dividends and market returns for shares traded in Amman Stock Exchange, and the effect of systematic risk and firm size on this relationship using multiple regression models. The study sample consists of 55 manufacturing and servicing firms listed in Amman Stock Exchange during the period 1996-2005. The results show a significant relationship between dividends and stocks returns only in the Industrial sector, this result is consistent with the empirical results of (Ogden, 1994) and (McManus, Gwilym and Thomas, 2002) applied U.S data. The results also showed that there is no effect of systematic risk on this relationship. Also, the study found that there is no effect of firm size on the relationship between dividends and market returns, this result consistent with the empirical results of (Vieira and Raposo, 2007) applied French and Portuguese data, and its inconsistent with the empirical results of (Noor and Al-Fedal, 2003) applied Jordanian data.

Keywords


Stock Returns, Dividends, Systematic Risk

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