The dividend payout policy has been the subject of extensive research for years. However, the issue of the impact of dividend payouts on the company’s stock return volatility remains unsolved. The purpose of the paper was to examine whether the dividend policy of companies listed on the Warsaw Stock Exchange affects the volatility of stock return. The research sample concerns 60 firms included in the WIG20 and mWIG40 indices. Consistent with dividend signaling, it was proved that the dividend payout reduces the volatility of the company’s stock return. However, no statistically significant relationship was found between the dividend yield and the firm’s risk. The dividend yield illustrates the proportion of the benefits arising from owning the company’s stock that the investor receives at the time of dividend payout. It could be expected that the greater the portion of the total value of the company’s shares that investor receives instantly, the lower the company’s risk. For this reason, the lack of any statistically significant link between dividend yield and stock return volatility seems to oppose the signaling theory.