Price-related anomalies and predictability of stock returns : case of emerging markets

العناوين الأخرى

الشواذ المرتبطة بالأسعار و التنبؤ بعوائد الأسهم : حالة الأسواق الناشئة

مقدم أطروحة جامعية

Ananizah, Izz al-Din N.

مشرف أطروحة جامعية

Gharayibah, Hisham S.
al-Rajub, Samir

أعضاء اللجنة

al-Fayyumi, Nidal Ahmad
Hamdun, Talal
al-Zubi, Khalid Abd al-Al

الجامعة

الأكاديمية العربية للعلوم المالية و المصرفية

الكلية

كلية العلوم المالية و المصرفية

القسم الأكاديمي

قسم الإدارة المالية

دولة الجامعة

الأردن

الدرجة العلمية

دكتوراه

تاريخ الدرجة العلمية

2006

الملخص الإنجليزي

Huge empirical evidence suggests that a number of fundamentals help to explain the cross-sectional pattern of asset returns.

In this dissertation we expand that evidence by investigating the cross-sectional pattern of stock returns for eight emerging markets, using two methodologies.

Vector Autoregressive Approach (VAR) in conducting the inference about the ability of dividend yields to predict stock returns, and "between estimator" panel data regression in conducting the inference about the ability of price-earnings ratio, book-to-market ratio, market capitalization, and beta to predict stock returns.

Our results confirm some of the existing evidence for developed markets.

Firstly, we report that dividend yield shocks play an important role in driving fluctuation in stock returns and this relation is positive.

Secondly, we report that betas have a significant explanatory power in four markets and the sign is positive, which means that our result goes with same line of CAPM, but in the other hand, P / E, B / M, and MCAP all failed to capture any power to predict stock returns.

Risk-return profile most pronounced in southeastern countries, such evidence would be of practical use for those engaged in investment decision within the regions, identification of familiar relationship between fundamental market characteristics and equity returns to analytical procedures, facilitating the stock selection and asset allocation process, and provide new evidence on the existence of such an anomalies ; in emerging markets relative to developed markets.

التخصصات الرئيسية

العلوم المالية و المحاسبية

الموضوعات

• الأسهم

عدد الصفحات

138

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-306805