Influence of Dividend per Share on Idiosyncratic Volatility of Stock Returns among Listed Firms in Kenya

  • Job Cheruiyot Aiyabei Jomo Kenyatta University of Agriculture and Technology
  • Dr. Olweny Tobias Jomo Kenyatta University of Agriculture and Technology
  • Dr. Irungu Macharia Jomo Kenyatta University of Agriculture and Technology


Idiosyncratic volatility has always been ignored in asset pricing, this is due to capital asset pricing model’s suggestion that idiosyncratic volatility is diversified away since investors hold a proportion of the well diversified market portfolio. In reality however, this is not always the case. Studies have shown that investors do not always hold well diversified portfolios and idiosyncratic risk is priced to compensate investors for their inability to hold the market portfolio, therefore the main objective of the study was to establish the effect of financial statement information on idiosyncratic volatility of stocks return among listed firms in Kenya. Idiosyncratic volatility was the dependent variable while independent variable was dividend per share (DPS). Correlational and descriptive research design were used, the study also used census technique and target all 39 listed companies that existed and their shares were actively traded at the Nairobi securities exchange (NSE) from the year 1998 to 2017. Descriptive as well as inferential statistics were generated using STATA. The study employed a dynamic panel data regression model, the analysis of variance (ANOVA) was used to reveal the overall model significance, the calculated F-statistic was compared with the tabulated F-statistic and a critical p-value of 0.05 was used to determine whether the overall model is significant. The null hypotheses was rejected. Based on the findings, the study concluded that, dividend per share has a significant relationship with Idiosyncratic Volatility of stock returns among listed firms in Kenya. The study recommended for management in the listed firms to focus dividend per share on their strategic decision-making. This indicator will further guide in expanding the interpretation of the financial dynamics in the listed firms at the NSE and other related firms.

Keywords: Dividend per Share, Idiosyncratic Volatility, Stock Returns, NSE & Kenya

Author Biographies

Job Cheruiyot Aiyabei, Jomo Kenyatta University of Agriculture and Technology

PhD Candidate, Jomo Kenyatta University of Agriculture and Technology

Dr. Olweny Tobias, Jomo Kenyatta University of Agriculture and Technology

Lecturer, Jomo Kenyatta University of Agriculture and Technology

Dr. Irungu Macharia, Jomo Kenyatta University of Agriculture and Technology

Lecturer, Jomo Kenyatta University of Agriculture and Technology


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How to Cite
Aiyabei, J., Tobias, D. O., & Macharia, D. I. (2019). Influence of Dividend per Share on Idiosyncratic Volatility of Stock Returns among Listed Firms in Kenya. Journal of Finance and Accounting, 3(1), 1 - 13. Retrieved from