It is important to recognize the limitations with this study and give suggestions for further studies. When conducting the yearly tests we did observe a big difference in the R2 for the sub-periods comparing to the results from the entire period. Not being our primary goal together with shortage of time we could not find any other explanation than heteroscedasticity. If there will be a similar study conducted on the Swedish stock market in the future it would be useful to include this aspect and therefore make sure to have a large enough sample for conducting tests on separate years as well. If there are resources for collecting data on a broader index than the OMX Stockholm Benchmark one could expect a more accurate result as to the relationship between dividend-yield and total stock return on the Stockholm stock market.
Our data is observing the dividend-yield of a stock at one point in time together with the total return it is generating from then to the next year at the same time. This means that we have a holding period of a whole year and thus the result of this study is more likely to speak to investors with a longer investment horizon. How would day-traders or short- term investors interpret our results? It is therefore of high relevance to see if and how strong of a relationship there is between dividend-yield and total stock return going form a yearly holding-period to a monthly or even weekly. How long does it take before the high dividend-yielded stocks are showing an abnormally high return in comparison to low dividend-yielded stocks?
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Appendices
Appendix 1. Results of Simple Linear Regression during the years