Macro and micro determinants of stock returns in emerging countries
Başlık çevirisi mevcut değil.
- Tez No: 573354
- Danışmanlar: Dr. ANDREAS KRAUSE
- Tez Türü: Yüksek Lisans
- Konular: Maliye, Finance
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2009
- Dil: İngilizce
- Üniversite: University of Bath
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 60
Özet
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Özet (Çeviri)
This paper examines the stock return determinants of emerging countries in two separate models; macro model and micro model. For this purpose five target countries, Turkey, Malaysia, Mexico, Jordan and Hungary are tested for the period of January 2002 - December 2008 by using monthly data. For macro model, four key macroeconomic variables, money supply, exchange rate, inflation rate and total reserve are used. For micro model, five key firm specific variables, beta, book-to-market equity (BE/ME), earnings-to-price ratio (E/P), size (ME) and leverage are examined. Differently from the existed literature, this paper examines stocks individually rather than as portfolios. Thus, 19 companies from Malaysia, 15 companies from Turkey, 15 companies from Mexico, 13 companies from Jordan and 9 companies from Hungary are tested individually as a format of panel data. The major objective of this paper is the re-test of already proved factors for developed countries, for emerging countries. Beside this, most suitable and representative model for these countries is identified in this paper as multifactor model. The results of the study reveal the significance of money supply, exchange rate, inflation rate, earnings-to-price ratio and size on explaining the excess returns, while total reserves of the countries, beta, leverage, and book-to-market ratio of companies do not have any significant effects on the excess return. R-square of the models and significance of tested factors show macro factors, which are related with country's economic situation, are more important and related than firm specific factors for emerging countries to determine stock returns. Moreover, multifactor model, which includes significant factors from macro and micro models, is shown that it is the most representative model to explain excess stock return for emerging countries.
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