Microeconomic (Company Specific) Factors as Determinants of Equity Returns
In this chapter, in addition to the market effect on equity returns, which was examined in some detail in chapter 4, the following set of microeconomic (accounting or company specific) factors are considered as possible determinants of stock returns: market value of equity, book-to-market value of equity ratio, earnings-to-price ratio, asset-to-market value of equity ratio, and asset-to-book value of equity ratio. As might be recalled from chapter 1, this set of factors has been investigated in the general literature on stock returns in the past. The findings of this chapter indicate that there are factors beyond the market which influence each industry’s stock returns. These factors differ according to the industry being investigated.
KeywordsReal Estate Stock Return Excess Return Market Excess Equity Ratio
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