Assessment of the efficiency of investment portfolios and the impact of macroeconomic determinants on the real rate of change of dividend payment for the 2017-2022 period

Purpose: The aim of the paper is to assess the efficiency of investment portfolios built in the 2017-2022 period, with a particular focus on the COVID-19 pandemic, and to reveal the potential relationship between the real rate of change of dividend payment of the WIG, DAX and S&P500 companies and selected macroeconomic determinants. The analysis will be conducted in the context of the adaptive markets’ hypothesis. Design/methodology/approach: The scientific purpose of the paper is fulfilled by conducting a thorough review of the literature. Empirical data, on the other hand, was studied by quantitative analysis. The authors also employ comparative and descriptive analysis to investigate potential differences between companies listed on selected stock exchanges in terms of dividend payment frequency and rate of change in nominal and real terms. A study of the relationship between the real rate of change of dividends and the macroeconomic determinants of dividend payments was carried out by means of the Fisher equation, Pearson’s linear correlation coefficient and Spearman’s rank correlation coefficient. Findings: The assessment of the efficiency of investment portfolios in the 2017-2022 period revealed that, by choosing strong, trend-following investment portfolios, one could earn high and possibly above-average rates of return. The assumptions of the adaptive markets’ hypothesis appear to be correct in this context. Furthermore, the results of the empirical analyses demonstrate, that most companies listed on the US Stock Exchange paid dividends without interruption. In addition, in the analyzed period, the DAX companies reported the highest average real dividend growth rate. Practical implications: Enhanced knowledge in building and assessing the efficiency of investment portfolios during turbulent periods in the financial markets, in the context of the adaptive market hypothesis. Moreover, knowledge of the similarities and differences between dividend-paying companies listed on different stock exchanges is very important for investors and investment fund boards alike. Consequently, better investment decisions can be made as to where to make efficient capital investments. Social implications: In terms of the social implications of the paper, the most important one seems to be a possible change in attitude of investors towards dividend-paying companies, especially those listed on the international capital market and the acceptance of the adaptive markets’ hypothesis’ assumptions. Originality/value: This paper assesses the efficiency of investment portfolios for the 2017-2022 period against the appropriateness of considering the adaptive market hypothesis. Another new feature is the comparison of dividend-paying companies’ shares from the perspective of the real rate of change of dividends and the demonstration of the impact of macroeconomic determinants of dividend payments on the inflation-adjusted dividend payment rate of change.