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Firm fundamentals and stock prices in emerging Asian stock markets: some panel data evidence

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  • M. Rahman
  • M. Hassan

Abstract

The purpose of this paper is to investigate the direct link between firm fundamentals and stock prices in a set of emerging Asian stock markets using firm-level panel data. In doing so, we explore the relationship between firm-specific variations in stock returns and firm fundamentals in the context of a simple present value framework. We find that alternative proxies of variation in firm fundamentals—albeit at differing degrees—explain a significant part of firm-specific return variation in a majority of emerging markets in Asia. Findings are robust to the influence of other factors known to affect stock return volatility (e.g. firm size, stock turnover, and leverage). Overall results suggest that stock prices in a majority of the Asian emerging markets contain a significant amount of firm-specific fundamental information and are, therefore, not as murky as commonly thought. Copyright Springer Science+Business Media, LLC 2013

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  • M. Rahman & M. Hassan, 2013. "Firm fundamentals and stock prices in emerging Asian stock markets: some panel data evidence," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 463-487, October.
    • Handle: RePEc:kap:rqfnac:v:41:y:2013:i:3:p:463-487
    DOI: 10.1007/s11156-012-0316-x
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    3. Yan Zeng & Josie McLaren, 2015. "The impact of large public sales of Government assets: empirical evidence from the Chinese stock markets on a gradual and offer-to-get approach," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 137-173, July.

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    More about this item

    Keywords

    Emerging stock markets; Firm-specific variation in returns; Firm-specific variation in fundamentals; Panel data; G14; G18; G30; C33;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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