Using the well-known Fama-MacBeth methodology, this paper investigates the factors that may influence the cross-section of stock returns in the Dhaka Stock Exchange (DSE). Various combinations of factors such as dividend yield, size, price-earnings ratio, market return, spread between large and small firms, lagged values of factors, illiquidity of stocks, and cross-sectional volatility of the market are considered. However, results show that these factors hardly explain the cross-section of stock returns. Only market returns weakly explain stock returns. Interestingly, the relationship between market returns and stock returns has been consistently found to be negative, which contradicts the established notion of positive risk-return relationship. Even after considering for the effects of size, liquidity, and sub-periods, results do not change much
This paper investigates the correspondence between stock prices and firm fundamentals in Turkey. In pursuing our objective, we explore the relationship between firm-specific variation in stock returns and fundamentals in the context of a simple present value framework. We overcome the typical insufficiency of the spans of time-series accounting data in emerging market research, and the consequent loss of statistical testing power, by adopting a firm-level micro panel data approach. After properly accounting for unobserved heterogeneity, potential endogeneity bias and volatility persistence, we find that firm-specific variation of stock returns in Turkey is only weakly correlated with alternative proxies of firm-specific variation in firm fundamentals and that the relationship is not robust to the influence of control variables such as the firm size. Our findings are, therefore, consistent with the usual perception that stock prices in emerging markets contain little firm-specific information.
Using monthly data for market index and 46 actively traded individual firms from January 1991 through May 2003, we examine the efficiency of stock market of an emerging market. We employ a battery of tests including variance ratio tests to examine the efficiency issue of Bangladesh stock market. Portfolio results suggest that the DSE is weak-form efficient, but the individual firm returns suggest that DSE is weak-form inefficient. We suggest that individual firm returns are influenced by nonsynchronous trading and firm-specific and market micro-structure effects.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.