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The empirical analysis of returns predictability of financial rations in Asia-Pacific markets |
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| รหัสดีโอไอ | |
| Title | The empirical analysis of returns predictability of financial rations in Asia-Pacific markets |
| Creator | Taradol Vijakkit |
| Contributor | Manapol Ekkayokkaya, Anant Chiarawongse |
| Publisher | Chulalongkorn University |
| Publication Year | 2549 |
| Keyword | Rate of return, Ratio analysis, Stock-exchanges |
| Abstract | This study investigates predictive ability of financial ratios; namely the dividend to price ratio (D/P) and earnings to price ratio (E/P), in ten Asia-Pacific markets. The sample used in this study covers the period January 1990 through December 2005. Return preductability is also analyzed separately the pre-crisis period (January 1990-June 1997) as well as the post-crisis period (January 2000-December 2005). This study found significant predictive power of the D/P and E/P ratios in Asia Pacific. For D/P, consistent predictive powers are found in both pre and post-crisis period in several countries. There is a likelihood that certain country-specific effects may partly influence the predictability of D/P. Comparing among countries that exhibit D/P predictability, D/P plays an important role in predicting returns in developed markets more than in emerging markets. In comparison to D/P, E/P is a less successful variable. Evidence of E/P predictability is inconsistent and varies across countries and periods. Over the full sample period, evidence of predictive power is stronger for developed markets than for emerging markets. |
| ISBN | 9741434731 |
| URL Website | cuir.car.chula.ac.th |
