Determinants of National Stock Market Returns PDF Download
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Author: Laurence R. Smith
Publisher:
ISBN:
Category :
Languages : en
Pages : 92
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Book Description
Author: Laurence R. Smith
Publisher:
ISBN:
Category :
Languages : en
Pages : 92
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Book Description
Author: Prashant Chhajer
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Stock prices have always been a subject of intrigue. Researchers have strived to find the factors which influence stock prices thereby returns. Fama and French constructed a 3 factor model which has been applied across the globe to test the validity of the model. The results have varied and have led to inclusion of other variables also in the model.In recent times validity of Fama-French model has been questioned. Also researchers have generally focused on market based factors to examine the relationship. Our study assesses the impact of firm specific fundamental factors, total assets (size effect), debt-equity ratio, current ratio, return on equity and dividend yield apart from market based factors, beta and price to book value ratio (value effect) on the stock returns.We have examined 198 stocks listed on National Stock Exchange (NSE, India). Panel data method is used for the study.Beta and value effect do explain the variation in stock returns. However, size effect and leverage have been found to be insignificant. In addition, we have found that return on equity and dividend yield also significantly affect the stock returns. Our study, thus, concludes that corporate factors, like return on equity and dividend yield, also influence the stock returns apart from the market based factors like beta and value effect.
Author: Wayne E. Ferson
Publisher:
ISBN:
Category :
Languages : es
Pages : 35
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Author: Wayne E. Ferson
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 80
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Book Description
This paper studies average and conditional expected returns in national equity markets, and their relation to a number of fundamental country attributes. The attributes are organized into three groups. The first is relative valuation ratios, such as price-to-book-value, cash-flow, earnings and dividends. The second group measures relative economic performance and the third measures industry structure. We find that average returns across countries are related to the volatility of their price-to-book ratios. Predictable variation in returns is also related to relative gross domestic product, interest rate levels and dividend-price ratios. We explore the hypothesis that cross-sectional variation in the country attributes proxy for variation in the sensitivity of national markets to global measures of economic risks. We test single-factor and two-factor models in which countries' conditional betas are assumed to be functions of the more important fundamental attributes.
Author: Shveta Singh
Publisher: Springer
ISBN: 981100868X
Category : Business & Economics
Languages : en
Pages : 208
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Book Description
The book presents a comprehensive view of the Indian equity markets over the past two decades (1994-2014). Equity markets constitute the most important segment of stock exchanges; in fact, the status of equity returns is, by and large, considered as a barometer of the state of a country’s economy. Returns earned by the equity investors on their funds invested in equity markets have become a decisive factor in the growth of such markets. In this context, the book discusses all the major aspects of equity returns and also conducts a dis-aggregative analysis based on underlying factors like age, size, ownership structure, industry affiliation/sector, among others, to explain the factors affecting returns and risk. While on the one hand the study ascertains the market rates of return (earned) on equities from the investors’ perspective (by including both the capital gains and the dividend income), it also shows how to compute the rates of returns on equities from the corporate perspective (that is, rate of return earned on equity funds). It further assesses the required/expected rate of return and examines the volatility in stock returns, with a focus on its behaviour during the period of the study. It deepens investors’ understanding of equity investment, helping them to make more-informed investments. While of interest to the investor community, this book also contributes significantly to the existing literature on market returns and is a valuable reference resource for academics, researchers and market participants, financial institutions and other intermediaries, regulators and policy makers.
Author: Agrawal Vaishali
Publisher: Independent Author
ISBN: 9781805451020
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
Indian economy is considered as a growth engine of the world's economy. And stock market of such robust economy is the face of the growing market and companies in it. India has two main stock market platforms which are Bombay Stock Exchange (BSE) and National Stock Exchange (NSE). Stock market basically is an electronic platform where the shares of the companies are listed and traded. The share returns of the listed companies fluctuate on the basis of various factors which affect and build the sentiments of markets and investor, as stated by academicians and researchers. Stock Return refers to any financial or monetary benefit earned on making an investment. It is basically an appreciation in the value of stock. It is also been highlighted by many of the researchers that stock return acts as a base that motivates investor to invest in stocks of companies. Moreover, India is a hub of multiple sectors but particularly India is pioneer in Information Technology industry and IT companies of India are one of the greatest contributors in total export as well as fame for the country. Being a pioneer industry, shares of IT companies are always in the limelight of stock market. Further return on this is again fluctuates due to industry and market factors.
Author: Danni Yang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Economic variants of Newton's law of universal gravitation have been used to model the flow of trade between two countries as proportional to the attraction created by measures of their economic masses and dampened by their distance from one another. More business will likely take place between big economies that are close to one another. This study uses that same gravity analogy to explore the long-term, or perhaps more accurately, stable determinants of the correlation of stock markets, where in its simplest form, financial mass is represented by the joint market size of two countries and financial distance by the overlap in trading hours of their stock exchanges. Stock market correlations are found to be positively related to these variables and negatively related to joint trading volume. If distance is expanded to include the relative similarity in culture and legal institutions, it is found that correlations are positively related to the disparity in religious pluralism, negatively related to differences in economic freedom, and positively related to the sharing of a common legal system. In all, the gravity models estimated explain almost 11 percent of the cross-sectional variation in the correlations of stock markets, with the incremental influence of the cultural and legal variables being many times greater than that of the financial variables.
Author: Elroy Dimson
Publisher: CUP Archive
ISBN: 9780521341042
Category : Business & Economics
Languages : en
Pages : 328
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Book Description
Author: Chi-Hsiou Daniel Hung
Publisher:
ISBN:
Category :
Languages : en
Pages : 33
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Book Description
In this paper we evaluate the intertemporal pricing performance of stock return determinants over the periods surrounding, and outside of, financial crises. The analysis focuses on the variables of size, book-to-market ratio, momentum, liquidity, and higher-order systematic co-moments. The evidence reveals that over non-crisis periods the market beta plays an important role in determining the cross-section of stock returns. Size, value, momentum, and liquidity also exhibit associations with the cross-section of stock returns. However, over crisis periods most of the variables we examined lose their explanatory power, suggesting that their usefulness is limited for investment purposes when financial markets experience crises. There is some evidence of coskewness pricing surrounding market crashes. Practitioners may consider coskewness over crisis periods.
Author: Dinara Apiyeva
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
A phenomenal growth of emerging markets has not only attracted an enormous interest from international instinational and individual investors, but it has also proved that these markets cannot be treated in the same way as developed markets. This research is intended to identify the main determinants of the stock market performance in emerging economies of Latin America and Asia Pacific. The study has been motivated by the increasing importance of these equity markets on the international financial arena. The capital markets of emerging economies have not only become an important asset class for international investors, but also they have become a new and increasingly important source of foreign capital for these countries. This research examines a set of macroeconomic variables, including inflation, foreign exchange rates, market integration, the Institutional Investor's country ratings, the U.S interest rates and financial risk premiums, and their role in explaining the fluctuations in the total returns on the stock markets in six Latin American and four Asia Pacific countries. The results show that the Institutional Investor's country ratings and financial risk premium are the best determinants of the stock market performance in Latin American and Asian Pacific countries. The attempt to separate the financial and country risks has also been undertaken with the successful results in four out of ten countries. The further findings show that financial risk premiums are an important risk factor, which explains the stock market returns in seven out of ten countries and, moreover, financial risk premiums appear to be an aggregate risk factor, which can successfiilly replace five macroeconomic variables, and above that they contain incremental information, which successfully explain the variance in the stock market retums. The findings may have significant implications for international investors and national policymakers in the emerging markets. The findings highlight the significance of the country default risk in explaining the stock market performance in the Latin American and Asia Pacific economies.
