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The Chairman
Victor Niederhoffer
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4/26/05
Dividend Studies
Today's announcement that IBM will be increasing its dividend for stockholders of
record May 10 raises the question of how such dividend increasers have been
performing. Mr. Dude Pomada of this office is an expert on such quick studies
and he made the following Compustat study with less than the usual degree of
survival bias. All data are from the close on the date of the announcement.
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t = the announcement of a higher dividend |
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DIVt>DIVt-1 |
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RET% |
t-20 |
t+20 |
t+20,t+60 |
t+60,t+120 |
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AVG |
0.98 |
-0.01 |
1.70 |
1.11 |
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SD |
9.70 |
9.26 |
13.04 |
15.50 |
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CNT |
752 |
764 |
739 |
702 |
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WIN% |
52.66 |
51.83 |
57.51 |
52.42 |
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Zdrft |
1.93 |
-1.19 |
1.73 |
0.42 |
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SP_FUT same holding period |
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t-20 |
t+20 |
t+20,t+60 |
t+60,t+120 |
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AVG |
0.30 |
0.39 |
0.87 |
0.86 |
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SD |
5.05 |
4.76 |
6.62 |
7.39 |
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CNT |
772 |
766 |
747 |
720 |
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WIN% |
55.44 |
58.36 |
56.89 |
56.67 |
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anDIVt>anDIVt-1 |
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RET% |
t-20 |
t+20 |
t+20,t+60 |
t+60,t+120 |
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AVG |
1.44 |
0.67 |
0.53 |
0.95 |
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SD |
9.70 |
8.84 |
12.87 |
15.68 |
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CNT |
738 |
737 |
717 |
686 |
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WIN% |
57.32 |
54.00 |
53.28 |
51.90 |
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Zdrft |
2.88 |
-0.03 |
0.01 |
0.20 |
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SP_FUT same holding period |
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t-20 |
t+20 |
t+20,t+60 |
t+60,t+120 |
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AVG |
0.41 |
0.68 |
0.52 |
0.83 |
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SD |
4.89 |
4.93 |
6.60 |
8.30 |
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CNT |
748 |
743 |
726 |
703 |
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WIN% |
56.68 |
57.60 |
55.23 |
55.62 |
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