Abstract

This work is focused on studying the impact of dividend policy on stock returns and capitalization of companies in the BRICS countries. The purpose of the study is to identify the features of dividend policy and differences across the BRICS countries and South Korea. The relevance of the work lies in the fact that the cross-country aspects of the dividend policy of companies and the possibilities of factor investment in the BRICS countries remain poorly explored. The objectives of the study include collecting the most representative sample of companies representing the stock markets of respective countries, analyzing the potential for applying dividend factor strategies, identifying similarities and differences in the countries' dividend policies; analysis of the long-term relationship between the capitalization of companies and their dividend policy. Research methods are based on modeling investment strategies, as well as the multivariate capital asset pricing models based on Bloomberg data. The scientific novelty of the study included an expanded sample of companies, collection of a unique database with multiple factors over a fairly long historical period, and the development of a new approach to research based on classical methods. The main results of the study include the fact that dividend payments were growing in most countries, and high dividends did not contribute to the growth of the companies' capitalization. The increase in dividend payments turns out to be beneficial for private investors, who receive a cumulative return above the market average in the long run. The best performing portfolios were those in the markets of Russia and Brazil. We revealed the dividend premiums in the markets of Russia, Brazil, India and South Africa, factoring in the company size and value. The main findings suggest that high dividends can help companies in the BRICS countries attract long-term investors, and this may be the main incentive for companies in implementing dividend policies. At the same time, this strategy is quite risky for the companies, since high dividend payments do not necessarily result in capitalization growth. A further direction of this study is to expand the sample of countries, increase the number of risk factors, increase the historical period for analysis, as well as to include more specific factors, since the topic of dividend policy has not lost its relevance for many decades, especially for developing countries.