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The General Determinants of Share Returns: An Empirical Investigation on the Dhaka Stock Exchange

Author

Listed:
  • Asma Mobarek

    (Department of Banking, University of Dhaka, Dhaka 1000, Bangladesh)

  • A. Sabur Mollah

    (Department of Accounting and Finance, Faculty of Business, University of Botswana, Private Bag UB 00701, Gaborone, Botswana)

Abstract

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.

Suggested Citation

  • Asma Mobarek & A. Sabur Mollah, 2005. "The General Determinants of Share Returns: An Empirical Investigation on the Dhaka Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 593-612.
    • Handle: RePEc:wsi:rpbfmp:v:08:y:2005:i:04:n:s0219091505000518
    DOI: 10.1142/S0219091505000518
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    Citations

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    Cited by:

    1. Hui-Ju Tsai & Yangru Wu, 2015. "Optimal portfolio choice with asset return predictability and nontradable labor income," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 215-249, July.
    2. Henry Usunobun Ogiugo & Isaac Olufemi Adesuyi & Sunday Oseiweh Ogbeide, 2020. "Empirical test of capital asset pricing model on securities return of listed firms in Nigeria," Post-Print hal-03454792, HAL.
    3. Mohammad Akter Hossan & Mohammad Joynal Abedin, 2019. "Factors of Stock Return and Carhart Model: The Case of Dhaka Stock Exchange (DSE) of Bangladesh," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(6), pages 1-14, June.
    4. Saculsan, Phoebe & Kanamura, Takashi, 2019. "Examining risk and return profiles of renewable energy investment in developing countries: The Case of the Philippines," MPRA Paper 97473, University Library of Munich, Germany.
    5. Min Bai, 2021. "Are firm characteristics priced differently between opposite short‐sales regimes?," International Finance, Wiley Blackwell, vol. 24(1), pages 95-118, April.
    6. Monia Ben Ltaifa & Walid Khoufi, 2016. "Book to Market and Size as Determinants of Stock Returns of Banks: An Empirical Investigation from MENA Countries," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(4), pages 142-160, October.
    7. Subashini Maniam & Chin Lee, 2018. "Stock Market Liberalization Impact on Sectoral Stock Market Return in Malaysia," Capital Markets Review, Malaysian Finance Association, vol. 26(2), pages 21-31.

    More about this item

    Keywords

    CAPM; emerging market; anomalous factors; multi-factor model; JEL Classification: G12;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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