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=ASIA6AP2G7AKFCW76C7N%2F20260126%2Feu-central-1%2Fs3%2Faws4_request&X-Amz-Date=20260126T030930Z&X-Amz-Expires=3600&X-Amz-Security-Token=IQoJb3JpZ2luX2VjEGkaDGV1LWNlbnRyYWwtMSJGMEQCIFSPnNbPKusZ7dTn9Va69LRR85%2FBx3afY6qmSWeIho1iAiAH2pNKmAFsPyVN5AMlP%2Fq21yqZxm6siQwqs4C06qfNmCq9BQgyEAIaDDk2MzEzNDI4OTk0MCIMUuBdyatHquOLPm73KpoFtsKZqoFoC3jb2Uz8e19DQWrq8YhWNKnixYar%2BUHw0e0LrUQ83JPX7zNxV6M%2FHScEe5iBF9meT8kwk%2BnyWYrYe2PfmXfT%2BtAdyTNwuot4vSqTitRfosbtOCcUTG%2FKq20YscGHctOxV6v0QpuilxnQwngmnrAe2Pr%2F%2FwYC61OtmMT4RtvNawV8VpzIHHujns29x4%2B3s120o8aLekdPdfOTPK%2Bqo8OHtW8Fc%2B5WZFuryUmj6ZWBBh10MBpfnVsXVw9EfhkVydaD72bNkFFU0II%2BC5luPCducmAUsSo%2BtN8EV3Nhxl47VPG1a4Hb3wf%2FMN0Ce7u7EWH2C2y2QN3olHqkJ8blYC%2FA5zFd7EiDkM8BAv8R1mLGX2Sgz9DZOBaw2FmQ3KDdWPX%2B4WR7yHg98Z0mnQP9%2BQeGnBnPjyBsM6BKGnxb37PHKhXJDyvpB2%2FmkSknoaamXVK4aksaegA5CvRtuC5dEdN0gncfq3yl0OTZbqlYx9KW0bX5DxB2RO7cOY1ldSeDClvHeImWPmmSfaPQvIBlM0iLon0pUvg0TjuqhwDXyBHO1enRs9i8qreJIx2x72Pp1lzwDMs%2Bns7%2FfYBpDE%2BjbcApC5f9YixK5zr8xJB%2B%2F9xImMbGxf0mtLnXPJBmVtxfpgETtT1lE1KVYOdeyxvqWwx04T6G%2BqRoTa1BqPHJ1OIPrOWx03RLrKbmRSORDWIxdwbxJic5KKRwh4UMV26lsKGtCgaMG05bQXoTqk%2BQMvCH7Ewlz45N%2FFnx85m6420y2GOtOHMTvQ6ZJD3ZTTcWDKO%2FyaPs3pwX9GKQbfYiV7U8CGQfu8s4BXFZeVSMQI7GPKu3VAGctZ5sUc1R0QMuKKQ0Zf6VuXu2twbZtqo4u9bQE%2B%2BLRQ3uMOv82ssGOrIBGsanr6VzQi27xnbERPwySBDaz8bNIsUiD78s5j4dam6X4wRwumImnFXf7vndUb%2FkzdzR4epat6UV9RuxfZrn6H%2BC0HATC%2FWvvyY32WNmT0J3BjgywvNSAOPyRGT3J1bQKSyL9ExKAjR%2FBaD2w9QyaxvC5wUmN2667Q1Bo8gZpJ5jBo3Hkl9%2Bhk6xT1pZQ3rditwtlN0sksQOl615%2F0i9XQdhEy8EJ7shripuMgUNh1s9yw%3D%3D&X-Amz-Signature=2b4231662a60b42f14d71dc243e4a51ff53bb14e596ed04cbe65f253eb2ac3fa&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% | |||||||||