Cross-Sectional Stock Return Predictability in China

Cakici, Nusret; Chan, Kalok; Topyan, Kudret

doi:10.2139/ssrn.2038497

Cited by 19 publications

(16 citation statements)

References 8 publications

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“…Similarly, Davis (1994) reported that cash flow yield has predictive ability with respect to subsequent realized returns, when the difference in book to market equity is controlled. Similarly, Cakici et al (2015) reported that cash flow yield demonstrate reliable predictive power to forecast stock returns. Pradhan and Balampaki (2004) reported that total yield was positively influenced by earnings yield and size and negatively influenced by book-to-market.…”

Section: Size (Me) Effectmentioning

confidence: 96%

The Effect of Firm Specific Variables on Stock Returns of Nepalese Banks

Dangol

Acharya²

2020

J. Balkumari Coll.

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This study focuses to examine the firm specific fundamental variables impact on the stock returns in the context of Nepali banks. The study uses cross sectional panel data of 12 banks for the duration of ten years. The study finds the existence a negative relationship between stock returns (total yield) and firm size. Likewise, the study shows that the book to market equity has negative relationship with stock returns. However, the study reveals that the relationship of earnings yield and cash flow yield with the stock returns is contradicted in comparison to previous studies.

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Section: Size (Me) Effectmentioning

confidence: 96%

The Effect of Firm Specific Variables on Stock Returns of Nepalese Banks

Dangol

Acharya²

2020

J. Balkumari Coll.

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“…They consider 18 firm-specific variables found to predict returns in the US and find all 18 have signs consistent with US evidence, and five are significant in their sample, compared with eight variables that are significant in the US data over the same period. Cakici, Chan, and Topyan (2011) analyze stock return predictability in China from January 1994 to March 2011 using data from Datastream and find strong predictive power for size, book-to-market, cash-flow-to-price, and earnings-to-price, but not momentum. Our results are based on data from the CSMAR over the period January 1995 to December 2016.…”

Section: The Cross-section Of Expected Returnsmentioning

confidence: 99%

The real value of China’s stock market

Carpenter

Whitelaw

2021

Journal of Financial Economics

254

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This paper shows that, counter to common perception, stock prices in China are strongly linked to firm fundamentals. Since the reforms of the early 2000s, stock prices are as informative about future profits as they are in the US. Although the market is segmented from international equity markets, Chinese investors price individual stock characteristics like other global investors: they pay up for size, growth, liquidity, and long shots, while they discount for systematic risk. Price informativeness is significantly correlated with corporate investment efficiency. For international investors, China's stock market offers high average returns and low correlation with other equity markets.

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“…Examining the importance of cash flow yield, Chan, Hamao and Lakonishock (1991) found that cash flow yield has positive and highly significant impact on expected returns in Japan. Similarly, Cakici, Chan, and Topyan (2011) found strong positive predictive power of book to market equity and cash flow yield on stock returns. Thus, another research hypothesis for the study is proposed as;…”

Section: Cf/p It = Cf It/ Me It … … … … (6)mentioning

confidence: 86%

Firm’s Characteristics and Macro-Economic Variables on Expected Stock Returns

Paudel¹

2019

PYC Nep. J. Mgt

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This study examines the effect of firm’s characteristics and macroeconomic variables on common stock return from the firms listed in Nepal Stock Exchange (NEPSE). The explained variable for the study is stock return which is calculated as the annual capital gain yield. The explanatory variables consist of firm size, book to market equity, earning yield, cash flow yield, GDP growth, rate of inflation, real interest rate, and money supply. The data are collected from the database of NEPSE, Nepal Rastra Bank (NRB), and the annual reports of the selected firms. The study is based on the 150 observations from the 10 sample firms for the period of 15 years (from 2003/4 to 2017/18). Fixed effect panel data analysis is used to examine the effect of firm characteristics and macroeconomic variables on common stock return in Nepalese firms. The findings confirms significant negative impact of firm size, book to market equity, earning yield, and cash flow yield on stock return in Nepalese context. Among the macroeconomic variables, GDP growth rate, and interest rate have significant negative impact on stock return. Contrarily, only the rate of inflation has significant positive impact on stock return in the context of Nepal. No significant effect of money supply is observed on common stock return in the context of Nepal.

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Cross-Sectional Stock Return Predictability in China

Cited by 19 publications

References 8 publications

The Effect of Firm Specific Variables on Stock Returns of Nepalese Banks

The Effect of Firm Specific Variables on Stock Returns of Nepalese Banks

The real value of China’s stock market

Firm’s Characteristics and Macro-Economic Variables on Expected Stock Returns

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