Price-related anomalies and predictability of stock returns : case of emerging markets
Other Title(s)
الشواذ المرتبطة بالأسعار و التنبؤ بعوائد الأسهم : حالة الأسواق الناشئة
Dissertant
Thesis advisor
Gharayibah, Hisham S.
al-Rajub, Samir
Comitee Members
al-Fayyumi, Nidal Ahmad
Hamdun, Talal
al-Zubi, Khalid Abd al-Al
University
Arab Academy for Financial and Banking Sciences
Faculty
The Faculty of Banking and Financial Sciences
Department
Department of Financial Management
University Country
Jordan
Degree
Ph.D.
Degree Date
2006
English Abstract
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.
Main Subjects
Financial and Accounting Sciences
Topics
No. of Pages
138
Table of Contents
Table of contents.
Abstract.
Chapter One : introduction.
Chapter Two : literature review.
Chapter Three : data and methodology.
Chapter Four : empirical results.
References.
American Psychological Association (APA)
Ananizah, Izz al-Din N.. (2006). Price-related anomalies and predictability of stock returns : case of emerging markets. (Doctoral dissertations Theses and Dissertations Master). Arab Academy for Financial and Banking Sciences, Jordan
https://search.emarefa.net/detail/BIM-306805
Modern Language Association (MLA)
Ananizah, Izz al-Din N.. Price-related anomalies and predictability of stock returns : case of emerging markets. (Doctoral dissertations Theses and Dissertations Master). Arab Academy for Financial and Banking Sciences. (2006).
https://search.emarefa.net/detail/BIM-306805
American Medical Association (AMA)
Ananizah, Izz al-Din N.. (2006). Price-related anomalies and predictability of stock returns : case of emerging markets. (Doctoral dissertations Theses and Dissertations Master). Arab Academy for Financial and Banking Sciences, Jordan
https://search.emarefa.net/detail/BIM-306805
Language
English
Data Type
Arab Theses
Record ID
BIM-306805
