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Price Ratios and the Cross-section of Common Stock Returns on Bucharest Stock Exchange: Empirical Evidence

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  • Tudor, Cristiana

    (International Business and Economics Department of the Academy of Economic Studies, Bucharest, Romania.)

Abstract

This paper tests the relationship between above market returns and beta, size, leverage, book-to-market equity and earning-price ratios for the Bucharest Stock Exchange common stocks. Results from cross-sectional regressions document that both book-to-market equity and earning-price ratios are important risk factors on the Romanian stock market, while, contrary to the CAPM, the relationship between stock returns and beta is insignificant, even when beta is the only explanatory variable. In addition, a portfolio selection model based on the two factors whose explanatory power on stock returns has been previously attested seems to perform well on out-ofsample data.

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Bibliographic Info

Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

Volume (Year): 6 (2009)
Issue (Month): 2 (June)
Pages: 132-146

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Handle: RePEc:rjr:romjef:v:6:y:2009:i:2:p:132-146

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Related research

Keywords: cross-sectional regressions; risk factors; portfolio selection; Bucharest Stock Exchange;

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Cited by:
  1. Cristiana Tudor, 2011. "Changes in Stock Markets Interdependencies as a Result of the Global Financial Crisis: Empirical Investigation on the CEE Region," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 58(4), pages 525-543, December.

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