Dividend Price Ratio and Stock Return: Evidence from Pakistan, India and China

2020 ◽  
Vol 24 (3) ◽  
pp. 2784-2796
Author(s):  
Shazia Baloch
Keyword(s):  
Stock Return ◽  
Price Ratio ◽  
India And China

scholarly journals Cash to Price Ratio & Stock Returns: Evidence from Emerging Markets

2017 ◽  
Vol 9 (11) ◽  
pp. 153
Author(s):  
Nudrat Fatima ◽  
Muhammad Waqas ◽  
Rameez Hassan ◽  
Ahmad Fraz ◽  
Muhammad Arif
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Positive Relationship ◽  
Stock Exchange ◽  
Equity Markets ◽  
Value Premium ◽  
Size Premium ◽  
Market Premium ◽  
Relationship Of ◽  
India And China

This study examines the impact of size premium and value premium on average return in emerging economies i.e. Pakistan, India and China equity markets for the period from June 2000 to June 2015 by using three factors model. This study predicts the significance and positive relationship between value premium(C/P Ratio) and stock return for all non-financial companies listed on Karachi stock exchange, Bombay stock exchange and Shanghai stock exchange on the basis of market Capitalization. The regression results of the study illustrate that size premium predict returns more for small firms than big firms while market premium found significantly positive with stock returns in Pakistan, India, and China. Value premium is found positive for all created portfolios. Therefore, it can be concluded that value effect is present in three emerging markets. High C/P ratio outperforms the low C/P ratio stocks. In this study C/P ratio (value premium) integrated with size and market premium to check whether it can predict stock returns of small and large firms for high or low C/P ratio. The finding is similar that the positive relationship of value premium and stock return and the negative relationship of size premium and stock return. The explanatory power of Fama and French three-factor model is greater than CAPM for all three equity markets, so, the asset pricing model can facilitate investors in efficient portfolio diversification for getting enhanced returns.

scholarly journals Prediction of Stock Returns: A New Way to Look at It

2003 ◽  
Vol 33 (02) ◽  
pp. 399-417 ◽  
Author(s):  
Jens Perch Nielsen ◽  
Stefan Sperlich
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Predictive Power ◽  
Financial Models ◽  
Price Ratio ◽  
Finite Samples ◽  
One Year

While the traditional R 2 value is useful to evaluate the quality of a fit, it does not work when it comes to evaluating the predictive power of estimated financial models in finite samples. In this paper we introduce a validated value useful for prediction. Based on data from the Danish stock market, using this measure we find that the dividend-price ratio has predictive power. The best horizon for prediction seems to be four years. On a one year horizon, we find that while inflation and interest rate do not add to the predictive power of the dividend-price ratio then last years excess stock return does.

scholarly journals PENGARUH ANALISIS BETA, BOOK-MARKET RATIO, DEBT- EQUITY RATIO, EARNING-PRICE RATIO, FIRM SIZE DAN SALES-PRICE RATIO TERHADAP PENDAPATAN SAHAM PERUSAHAAN INDUSTRI DASAR DAN KIMIA DI BURSA EFEK JAKARTA 1992 - 1998

2016 ◽  
Vol 5 (2) ◽  
pp. 99
Author(s):  
Setyaningsih Setyaningsih
Keyword(s):  
Regression Analysis ◽  
Firm Size ◽  
Chemical Industry ◽  
Stock Return ◽  
Stock Exchange ◽  
Price Ratio ◽  
Study Analysis ◽  
Book Market ◽  
Sales Price ◽  
Equity Ratio

The aim of this study is to investigate the influence of some fundamental  variables towards stock return. Some fundamental variables in this study are beta, book-market ra-tio, debt-equity ratio, earning-price ratio, firm size, sales-price ratio. The study analysis 56 cases of firms classified in the basic and chemical industry listed in Jakarta Stock Exchange in the period of 1992-1998. Multiple regression analysis is used for analyzing the data. The result of this study shows that there is significant affect of the  three fundamental variables in the model as predictor of stock return (Y), which their contribution is 49.6%.

scholarly journals Prediction of Stock Returns: A New Way to Look at It

2003 ◽  
Vol 33 (2) ◽  
pp. 399-417 ◽  
Author(s):  
Jens Perch Nielsen ◽  
Stefan Sperlich
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Predictive Power ◽  
Financial Models ◽  
Price Ratio ◽  
Finite Samples ◽  
One Year

While the traditionalR2value is useful to evaluate the quality of a fit, it does not work when it comes to evaluating the predictive power of estimated financial models in finite samples. In this paper we introduce a validatedvalue useful for prediction. Based on data from the Danish stock market, using this measure we find that the dividend-price ratio has predictive power. The best horizon for prediction seems to be four years. On a one year horizon, we find that while inflation and interest rate do not add to the predictive power of the dividend-price ratio then last years excess stock return does.

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