文章基本信息

标题：Explaining the Cross Section of Stock Returns: A Comparative Study of the United States and Turkey
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作者：Yigit Bora Senyigit ; Yigit Bora Senyigit ; Yusuf Ag 等
期刊名称：Procedia - Social and Behavioral Sciences
印刷版ISSN：1877-0428
出版年度：2014
卷号：109
页码：327-332
DOI：10.1016/j.sbspro.2013.12.466
语种：English
出版社：Elsevier
摘要：AbstractStock returns are affected by various accounting information. Based on literature review, we identify three independent variables: P/E ratio (price to earnings ratio), P/B ratio (price to book ratio), and D/E ratio (debt to equity ratio). Focusing on these variables, this research aims to provide significant evidence to assess the impacts of these independent variables on stock returns. We have collected the necessary data of companies listed in the US and Turkey markets, and ended up with 452 observations from Turkey and 588 observations from the United States. We calculate annual stock returns based on the average of the past 12 monthly returns for each company. We use the panel data method to effectively assess the relationship between variables. This study suggests that the explanatory power of independent variables is relatively high and statistically significant in explaning the cross-section of stock returns in the United States; however, it is not in Turkey.
关键词：Cross section of stock returns;market efficiency;panel data