RELATIONSHIP BETWEEN THE RISK OF PORTFOLIOS WITH HIGH DIVIDEND YIELDS AND DIVERSIFIED PORTFOLIO IN THE BRAZILIAN MARKET

Based on the Modern Finance Theory, it is expected that good dividend payers will be associated with lower risk, since the uncertainty about the return on investment would be lower. Thus, this paper aims to verify if the portfolios of stocks with high dividend yields are less risky than the portfolio of the stock market, in the Brazilian context. We analyzed portfolios of Brazilian companies' stocks that paid high dividends during 1996 to 2017. Using average tests, we compared the average of the risk presented by portfolios with high level of dividend yield and the average of the Ibovespa risk. The results suggest that portfolios with high dividend yields present a significantly higher risk than the market portfolio, contradicting the research hypothesis. Also, the relationship between the risk and the return presented in portfolios with high dividend yield in Brazil is negative, contradicting the Finance Theory assumptions and showing a peculiarity of the Brazilian market. Thus, the study contributes to the literature by showing that high dividend yields are not linked to lower investor risk, necessarily, contradicting the theory.