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https://ptsldigital.ukm.my/jspui/handle/123456789/513627Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Izani Ibrahim, Professor | - |
| dc.contributor.author | Sina Kheradyar (ZP00504) | - |
| dc.date.accessioned | 2023-10-16T04:49:29Z | - |
| dc.date.available | 2023-10-16T04:49:29Z | - |
| dc.date.issued | 2013-03-11 | - |
| dc.identifier.other | ukmvital:75007 | - |
| dc.identifier.uri | https://ptsldigital.ukm.my/jspui/handle/123456789/513627 | - |
| dc.description | Empirical evidence supports the idea that stock returns are predictable over the past thirty years. However, the interpretations of stock return predictability in relation with predictors and their abilities are more contentious. Therefore, this research investigates whether the accounting ratios can predict future stock returns, and whether the source of predictive power of accounting ratios is related to risk and/or non-risk components, and subsequently lead to asset pricing and mispricing theories. We select three accounting ratios include dividend yield ratio (DY), earning yield ratio (EY) and book-to-market ratio (B/M) that have been documented extensively to predict stock returns. This study applies the ordinary least squares (OLS) method to estimate three time series regression models, which include predictive regression, accounting ratio’s return premium model, and conditional model, for the period from January 2000 to January 2010. The result of predictive regressions shows the accounting ratios can predict subsequent stock returns, as B/M has the higher predictive power than DY, and also DY has the higher predictive power than EY. The result of accounting ratio’s return premium models reveals significantly positive relationship between stock returns and all accounting ratio’s return premium, which is consistent with asset pricing theory. However, the result of conditional models that investigate the relationship between stock return and accounting ratios, especially B/M, after controlling for risk factors can be related to non-risk components, which is inconsistent with asset pricing theory. As a consequence, non-risk component of accounting ratios, especially B/M, can generate stock return predictability through the characteristics based view, which is consistent with mispricing theory. The conditional version of the proposed model is beyond asset pricing models to estimate the predictive power of accounting ratios. The evidence provides incremental information about stock return predictability with accounting ratios, which capture non-risk components.,PhD | - |
| dc.language.iso | eng | - |
| dc.publisher | UKM, Bangi | - |
| dc.relation | Graduate School of Business / Pusat Pengajian Siswazah Perniagaan | - |
| dc.rights | UKM | - |
| dc.subject | Stock Return Predictability | - |
| dc.subject | Stock Return Predictability With Accounting Ratios | - |
| dc.subject | Source Of Predictive Power | - |
| dc.subject | Accounting Ratios | - |
| dc.subject | Stock price forecasting | - |
| dc.title | Stock Return Predictability With Accounting Ratios: The Source Of Predictive Power | - |
| dc.type | Theses | - |
| dc.format.pages | 146 | - |
| dc.identifier.callno | HG4637 .K486 2013 | - |
| dc.identifier.barcode | 000237 | - |
| Appears in Collections: | Graduate School of Business / Pusat Pengajian Siswazah Perniagaan | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| ukmvital_75007+Source01+Source010.PDF Restricted Access | 1.16 MB | Adobe PDF |  View/Open |
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