The General Determinants of Share Returns of a Less developed Market: An Empirical Investigation on the DSE of Bangladesh
2005 (English)In: Review of Pacific Basin Financial Markets and Policies, ISSN 0219-0915, Vol. 8, no 4, 593-612 p.Article in journal (Refereed) Published
This paper investigates the underlying factors that determine share returns on the Dhaka Stock Exchange. The empirical analysis does not support the critical condition of the Capital Asset Pricing Model of a positive relationship between share return and beta. However, it shows that variables such as size, price to book, volume of shares traded, earnings yield and cash flow yield have a significant influence on share returns. The degree and direction of relationship among the variables are similar to other emerging markets, but are not always consistent with developed markets perhaps due to lack of homogeneous expectations regarding risk return characteristics and different market microstructure.
Place, publisher, year, edition, pages
2005. Vol. 8, no 4, 593-612 p.
anomalous factors, emerging market, JEL Classification: G12, multi-factor model
Research subject Business Administration
IdentifiersURN: urn:nbn:se:su:diva-59750OAI: oai:DiVA.org:su-59750DiVA: diva2:430628