The Determinants of Stock Returns in the Emerging Market of Kenya: An Empirical Evidence

2019 ◽  
Author(s):  
John Gachunga Muhia ◽  
Yasin Kuso
Keyword(s):  
Stock Returns ◽  
Empirical Evidence ◽  
Emerging Market

Accrual management and expected stock returns in India

2018 ◽  
Vol 8 (4) ◽  
pp. 426-441 ◽  
Author(s):  
Ajit Dayanandan ◽  
Jaspreet Kaur Sra
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Empirical Evidence ◽  
Emerging Market ◽  
Equity Market ◽  
Equity Capital ◽  
Cost Of Equity Capital ◽  
Market Prices ◽  
Content Type ◽  
For Profit

Purpose The purpose of this paper is to examine whether the stock market in India is efficient in the semi-strong form. Design/methodology/approach The study uses financial and stock market data of 1,135 listed Indian companies (non-financial) during 2003–2011 collected from Capital IQ to estimate discretionary accruals (DA) using modified Jones model (1995). The study also examines using the widely used Mishkin (1983) test to whether equity market prices accruals in India. The study is conducted for profit/loss-making firms separately as well as for a hedge portfolio of firms based on the lowest to highest accruals. Findings The empirical study of DA of 1,135 listed Indian companies (non-financial) during 2003–2011 shows that the estimated average DA of the corporate sector in India comes to 1 percent of the total assets of these firms. An empirical analysis whether equity market prices DA in India finds no evidence of investors/market pricing DA. Empirical evidence also finds that the results are invariant for profit/loss-making firms as well as portfolio of firms based on the lowest to highest accruals in the Indian context. The empirical evidence shows that the Indian equity market is inefficient with regard to the incorporation of accruals in expected returns of stocks. Research limitations/implications This study builds on the previous literature on accrual pricing in the context of the USA and developed markets. The study extends the empirics to the one of the largest emerging market economy – India. This issue is important not only to investors, but also to policy makers and researchers because the mispricing of accruals could potentially lead to misallocation of capital. The study has implications for stock/firm valuations and cost of equity/capital. Originality/value This is the first study for the pricing of accruals and test of semi-strong efficiency of the Indian stock market.

International Listings and Stock Returns: Some Empirical Evidence

1988 ◽  
Vol 23 (2) ◽  
pp. 135 ◽  
Author(s):  
Gordon J. Alexander ◽  
Cheol S. Eun ◽  
S. Janakiramanan
Keyword(s):  
Stock Returns ◽  
Empirical Evidence

Conditional stock liquidity premium: is Warsaw stock exchange different?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Szymon Stereńczak
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Market Liquidity ◽  
Investment Horizon ◽  
Liquidity Premium ◽  
Stock Liquidity ◽  
Content Type ◽  
Bear Market

Purpose This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one. Design/methodology/approach Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples. Findings The findings vividly contradict the common sense that liquidity premium raises during the periods of stress. Liquidity premium does not increase during bear markets, as investors lengthen the investment horizon when market liquidity decreases. Liquidity premium varies with the firm’s size, book-to-market value and stock risk, but these patterns seem to vanish during a bear market. Originality/value This is one of the first empirical papers considering conditional stock liquidity premium in an emerging market. Using a unique methodological design it is presented that liquidity premium in emerging markets behaves differently than in developed markets.

Sign in / Sign up

Export Citation Format

Share Document