Figure 1.
Figure 2.
![Comparison of annual dividend yields from the WIG index with average annual dividend yields from the surveyed companies (in%).
Source: Own elaboration based on: Statystyki Giełdowe GPW [2023] https://www.gpw.pl/statystyki-gpw#0 [accessed: February 6, 2024].](https://sciendo-parsed.s3.eu-central-1.amazonaws.com/6471f9f7215d2f6c89db748c/j_ijme-2024-0041_fig_002.jpg?X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Content-Sha256=UNSIGNED-PAYLOAD&X-Amz-Credential=ASIA6AP2G7AKO6OGLGK3%2F20260323%2Feu-central-1%2Fs3%2Faws4_request&X-Amz-Date=20260323T002410Z&X-Amz-Expires=3600&X-Amz-Security-Token=IQoJb3JpZ2luX2VjEKf%2F%2F%2F%2F%2F%2F%2F%2F%2F%2FwEaDGV1LWNlbnRyYWwtMSJIMEYCIQCqSnDvC97vv76HiPeV5HZCBc3KSW2z5VIixoUMwOXW4gIhANM2rlh2RH1VWghl994NYPvvnaIAKPKrarZYwC1BWggIKrwFCHAQAhoMOTYzMTM0Mjg5OTQwIgwAITpqVWXUwVvvcuQqmQVWT9DUI0GwsuW8MG1L0eNmjbUvt9%2F9toDDn0UWyRWn1NzC%2BnSkOWMATTeZZ8cLhZi2fksIvFhEh%2Fz6PWHzP%2B8XVdsVsgCbgUVFAG5zBOYS3cvEYxXehvft1%2FGn1H%2F9yN1zYbuClwpbsaOkbg3oEtXTk4CCwlj2upBrFwNnBM2zRLJP5CUb03mzWnPGKwvtY5ZDdPfoykWFWr%2BS5F3wSGUhcCgvYBKbhD%2F%2FH%2BepL7N6jbbsoOm1fmnO1g6kE5c0Xs%2BMe9Ekb%2FG%2FRffzNYE3umIU%2BROPx8yQ16SR0J%2BZBK%2FbeHO6yHt2tO94bBlbTzcak4mQtsngr8bqyPQvEEUOcsLi60k1ukrIewhfigTwTOaeuJ0EltDS9BOGi6TDmMtON7kGLYVBcifnT84psu%2BqvZnFMe8JND0P56snkcZQFksm5GO72h4kpxnOqHRgnK%2BXilP8f3Fu4ZlVLC20mR7Kk8D8RoRfAMqgZ%2BVyN0VTTjDaZQD5QLNyYE3622tU9x5OLZjUq1UQ1jz0tURw%2FpoAbN9YHjGdXZs8NYzYvkQlPhPrzEJV7gbM762KxURjr5rsJKqdI%2FhdCEaYk3Vi0ePHtdzo6cGzaVyzxZISZMXTqFkDCsVT0MYgi4GqeSkNtGM3IpwXOeaWEYSIlbZVfDWhJvnMUZOFtYHBfpfjQ2%2F9FGgTh5W5HN%2Fi7E4j9%2FnVYqYlzCogUYZGY7iRbkUsbrW%2BqyjyxMHG7R%2BjtEkhrJs0S3t9OJRz68vdflh3cFSUlofzlsb9QXgZg0FDdcPqUH8XQQ%2F1ecIMz0MOQH8LWwT%2B5BzrWSnfK3zU60aSctaD6cS5DcpJKZQFYi0QAnWLnIi2m1S7jFqvSF7%2FPWh07BfNtf79TjV6pgxL%2BpImUzDI8oHOBjqwAV6n5VmmE9gfEYxre9%2BaEwABovps6qHVLm2XXq8y1vqoef3I61uJIs3%2ByzctFPfwSMQmG0FsSx%2F4mp7a3ycsQxHse8AgZJwljFz7OWq1Iooz5owdq6I5a%2BLNG%2BrA3SC5vBYW%2FD6e4ye0ERQIYwBXHLrLrXaEy4wRUEoKjJXXFlhJvvthpL7ZLMG69e%2B9jE6h%2FTYWo6yadDWfwIptyp6aeZCErBlTa37K7jW1BwNAmAh1&X-Amz-Signature=a4616c35a5c0dab3342f0deef07d6dc4f34f2e0300eb1eeab874373df93cc4b9&X-Amz-SignedHeaders=host&x-amz-checksum-mode=ENABLED&x-id=GetObject)
AARs in the event window involving buy trades determined by the trading signals of the RSI with their statistical significance
| Day of event window/issuer | PZU (9) | ENEA (10) | JSW (9) | KGHM (12) | PGE (9) | PKN (8) | PKO (7) | TPE (11) | AAR (75) |
|---|---|---|---|---|---|---|---|---|---|
| t3 | −0.23% | −0.16% | 4.55% | 0.66% | 0.02% | 1.02% | 0.00% | 0.44% | 0.79% |
| t−2 | 0.07% | 0.03% | 2.58% | 1.11% | 0.35% | 0.10% | 0.96% | −0.05% | 0.65% |
| t−1 | −0.10% | 0.06% | 0.43% | 0.13% | 0.62% | −0.35% | 0.07% | 0.21% | 0.14% |
| t0 | 0.30% | 0.55% | −4.34% | −1.24% | −0.16% | −2.80% | −0.22% | 0.92% | −0.87% |
| t+1 | −0.11% | 0.24% | −3.38% | 0.83% | 0.29% | 3.30% | 0.02% | −0.04% | 0.15% |
| t+2 | −0.26% | 1.05% | 2.23% | 0.90% | 0.20% | −1.28% | 0.17% | 0.29% | 0.41% |
| t+3 | 0.58% | 0.09% | 0.47% | 0.91% | 0.44% | 1.94% | 0.09% | 0.72% | 0.65% |
| CAR | 0.25% | 1.85% | 2.55% | 3.30% | 1.77% | 1.94% | 1.09% | 2.50% | ACAR |
| 1.91% | |||||||||
Summary of transaction results
| Item/company | PZU | ENEA | JSW | KGHM | PGE | PKN | PKO BP | TPE | Average |
|---|---|---|---|---|---|---|---|---|---|
| Number of completed transactions | 11 | 17 | 12 | 13 | 12 | 13 | 10 | 13 | 13 |
| Average annual investment return (in %) | 6.55 | 2.77 | −2.52 | −0.28 | −3.48 | 11.63 | −1.10 | −11.46 | 0.26 |
| Average annual investment return including dividends (in %)* | 23.41 | 4.09 | −1.85 | 1.61 | −0.88 | 18.73 | 1.37 | −9.93 | 4.571 |
AARs in the event window involving sales trades determined by the trading signals of the RSI with their statistical significance
| Day of event window/issuer | PZU (10) | ENEA (16) | JSW (12) | KGHM (11) | PGE (10) | PKN (9) | PKO (9) | TPE (11) | AAR (88) |
|---|---|---|---|---|---|---|---|---|---|
| t−3 | −0.12% | −0.01% | −0.59% | −0.10% | −0.03% | −1.95% | −0.42% | 0.17% | −0.38% |
| t−2 | −0.25% | 0.58% | −0.67% | −0.98% | 0.08% | 0.09% | −0.86% | 0.17% | −0.23% |
| t−1 | 0.01% | 0.67% | −0.62% | −1.09% | −0.26% | −1.22% | −0.33% | 0.23% | −0.33% |
| t0 | 0.22% | 0.38% | −1.24% | −1.13% | 0.38% | 0.00% | −0.41% | 0.43% | −0.17% |
| t+1 | 0.17% | −0.32% | 0.28% | −0.58% | −0.29% | 1.00% | −0.07% | −0.13% | 0.01% |
| t+2 | 0.41% | 0.34% | 0.55% | 0.02% | 0.04% | −0.12% | −0.22% | 0.20% | 0.15% |
| t+3 | −0.84% | 0.34% | 0.49% | 0.10% | 0.03% | 0.50% | −0.31% | −0.01% | 0.04% |
| CAR | −0.40% | 1.98% | −1.80% | −3.76% | −0.06% | −1.69% | −2.62% | 1.06% | ACAR |
| −0.91% | |||||||||