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

Listed author(s):
  • 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)

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    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.

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    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.

    Volume (Year): 08 (2005)
    Issue (Month): 04 ()
    Pages: 593-612

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    Handle: RePEc:wsi:rpbfmp:v:08:y:2005:i:04:p:593-612
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