Relationship between stock return and financial ratios: evidence from Malaysia

This paper examines the explanatory power of dividend yield, earnings yield and bookto- market ratio towards future stock return in Malaysia. Panel Regression Analysis was performed to determine the relationship while diagnostic checks and robustness checks were executed to ensure the regression re...

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Main Author:	Ang, Hui Mei
Format:	Thesis
Language:	English
Published:	2015
Subjects:	HG Finance
Online Access:	http://ir.unimas.my/id/eprint/10875/1/Ang%20Hui%20Mei%20ft.pdf
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id	my-unimas-ir.10875
record_format	uketd_dc
spelling	my-unimas-ir.108752023-03-24T01:54:33Z Relationship between stock return and financial ratios: evidence from Malaysia 2015 Ang, Hui Mei HG Finance This paper examines the explanatory power of dividend yield, earnings yield and bookto- market ratio towards future stock return in Malaysia. Panel Regression Analysis was performed to determine the relationship while diagnostic checks and robustness checks were executed to ensure the regression results are free from any econometric biases. The results of this study show that book-to-market ratio can be used to explain future stocks returns in full sample period, pre-crisis, during crisis and post crisis whereas dividend yield portray weak explanatory power in pre-crisis only. Since both dividend yield and book-to-market ratio can be used to predict future stock return, therefore it has contradicted with semi-strong form of market efficiency. Hence, it is believed that there is a possibility for investors to outperform the market. Universiti Malaysia Sarawak, (UNIMAS) 2015 Thesis http://ir.unimas.my/id/eprint/10875/ http://ir.unimas.my/id/eprint/10875/1/Ang%20Hui%20Mei%20ft.pdf text en validuser masters Universiti Malaysia Sarawak Faculty of Economics and Business
institution	Universiti Malaysia Sarawak
collection	UNIMAS Institutional Repository
language	English
topic	HG Finance
spellingShingle	HG Finance Ang, Hui Mei Relationship between stock return and financial ratios: evidence from Malaysia
description	This paper examines the explanatory power of dividend yield, earnings yield and bookto- market ratio towards future stock return in Malaysia. Panel Regression Analysis was performed to determine the relationship while diagnostic checks and robustness checks were executed to ensure the regression results are free from any econometric biases. The results of this study show that book-to-market ratio can be used to explain future stocks returns in full sample period, pre-crisis, during crisis and post crisis whereas dividend yield portray weak explanatory power in pre-crisis only. Since both dividend yield and book-to-market ratio can be used to predict future stock return, therefore it has contradicted with semi-strong form of market efficiency. Hence, it is believed that there is a possibility for investors to outperform the market.
format	Thesis
qualification_level	Master's degree
author	Ang, Hui Mei
author_facet	Ang, Hui Mei
author_sort	Ang, Hui Mei
title	Relationship between stock return and financial ratios: evidence from Malaysia
title_short	Relationship between stock return and financial ratios: evidence from Malaysia
title_full	Relationship between stock return and financial ratios: evidence from Malaysia
title_fullStr	Relationship between stock return and financial ratios: evidence from Malaysia
title_full_unstemmed	Relationship between stock return and financial ratios: evidence from Malaysia
title_sort	relationship between stock return and financial ratios: evidence from malaysia
granting_institution	Universiti Malaysia Sarawak
granting_department	Faculty of Economics and Business
publishDate	2015
url	http://ir.unimas.my/id/eprint/10875/1/Ang%20Hui%20Mei%20ft.pdf
_version_	1783728079325102080

Relationship between stock return and financial ratios: evidence from Malaysia

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