[PDF] Top 20 Book-to-Market Ratio, return on equity and Brazilian Stock Returns

... based on individual assets. On average, 318 stocks were analyzed per year, which shows the reduced number of Brazilian companies whose stocks are traded at the Stock ...Clubb and Naffi ... See full document

... study to investigate stock returns associated with the announcement of equity issues by Brazilian firms between 1992 and 2003 in order to determine market reaction ... See full document

... rates on Dow Jones index. However, when tested to S&P 500, the impact was positive, contradicting economic ...500 and the OEX than to the S&P 600, succeeding to achieve positive ... See full document

... Fama and French (1993). They concluded that expected return is negatively correlated to the rate of turnover, supporting the results obtained by Amihud and Mendelson ...Machado and ... See full document

... growth and stock return in 43 countries, from 1982 to 2010, using total asset variation as an asset growth ...other return determinants, such as BM ratio, size, and ... See full document

... based on two ratio of price on earning (P/E) and price on book value (P/BV) into two groups of income and ...P/E and P/BV values are less than market average ... See full document

... out to problems with the use of historical returns in the computation of equity risk premiums is to mention that the approach is based on the assumption that information surprises ... See full document

... is to find appropriate method to make a wise selection between getting loans and increasing the number of ...is to investigate this issue based on market timing ...analysis ... See full document

... London Stock Exchange sub-sample data used covers the period from December 1982 to June ...database and have prices available in both December of year t-1 and June of year ...The ... See full document

... in market value have very long-run impacts on capital ...hard to explain this result within tradi- tional theories of capital ...theory, market-to-book is an indicator of ... See full document

... asset returns can be divided into three types (Con- nor, 1995): macroeconomic, fundamental, and statistical factor ...Chen and Hsieh, 1985, Chen, Roll and Ross, 1986) use economic time series ... See full document

... Lettau and Ludvigson (2001) explore a conditional version of the consumption ...try to express the stochastic discount factor not as an unconditional linear model, as in traditional derivations of the ... See full document

... the market, and the stock is ...the stock is ...approaches to performance ...corporation and depends on the accomplishments of management in the previous ...period. ... See full document

... The Return on Equity (ROE) indicator is “a measure of how well a company used reinvested earnings to generate additional earnings, equal to a fiscal year's after-tax income (after ... See full document

... the Market Value by Book Value, following the same approach as other researches such as Riahi­Belkaoui (2003), Tudor et ...(2014), and Alshubiri (2015). This ratio represents how many times ... See full document

... study to investigate stock returns associated with the announcement of equity issues by Brazilian firms between 1992 and 2003 in order to determine market reaction ... See full document

... variables and realized ...Research and Development Expenditures, Sales Growth, Cash Flow Volatility, Earnings Opacity, Leverage, Return on Assets and Equity ... See full document

... study to measure the impact of the market size and the ratio of book value on market value on excessive ...active stock shares traded on Tehran ... See full document

... expected return offered by mean- variance ...allocation to bonds than MPT. Grootveld and Haller- bach (1999) verify that DR approaches tend to favor stocks in MRP, while bonds in ...Swisher ... See full document

... effects. On all of these regressions, we make White cross-section corrections to the standard errors 11 ...computed on Table ...(Judson and Owen, ...goes to zero when T approaches ... See full document