The study investigated the effect of dividend policy on shareholders wealth in Nigeria between 1987 and 2016. The study adopted market price per share as proxy for shareholders’ wealth and the dependent variable; while dividend per share, earnings per share and net assets per share were used as proxies for dividend policy and the explanatory variables. Secondary time series data was collected from the annual reports of sampled 25 quoted companies for the period. The study employed descriptive statistics, the Augmented Dickey Fuller unit root test, the Johansen co-integration procedure and ordinary least squares technique based on the E-views software to examine the link between the variables. The results revealed that earnings per share and net assets per share had positive influence on market price per share, but dividend per share had negative effect on market price per share. The study also found that the predictor variables had combined effect on market price of shares, but none of them had direct independent influence in determining the price of the stock in the market. The study therefore concludes that dividend pay-out policy does not have effect on shareholders’ wealth and shareholders do not react to dividend information. Based on this finding, the study recommends that firms operating within this environment should place down on the distribution of earnings as dividend but rather focus more on the investment of retained earnings for the expansion of the business to boost growth in earnings and net assets.