Relationship between Financial Ratio and Stock Return of the Listed Companies in Stock Exchange of Thailand: A Case Study of Service Sector
Article Sidebar
Main Article Content
Abstract
This study aims to examine relationships between stock price and three financial ratios including debt to equity ratio, return on equity ratio and price to earnings ratio. This study uses secondary data from 87 companies in service sector listed in Thailand stock exchange during the first quarter of 2008- the fourth quarter of 2013. Most previous studies related to this topic used only simple regression model which has limitation in econometric problems, Therefore, this study focuses on the continued study by using more proper econometric models for time series data. The unit root test, the Error Correction model, the Johansen Cointegration model and the Vector Autoregressive Model are studied. The results show that there are statistically significant impacts from three financial ratios to stock market price; however, there is no bidirectional relationship between each variables.
Article Details
Article Accepting Policy
The editorial board of Thai-Nichi Institute of Technology is pleased to receive articles from lecturers and experts in the fields of business administration, languages, engineering and technology written in Thai or English. The academic work submitted for publication must not be published in any other publication before and must not be under consideration of other journal submissions. Therefore, those interested in participating in the dissemination of work and knowledge can submit their article to the editorial board for further submission to the screening committee to consider publishing in the journal. The articles that can be published include solely research articles. Interested persons can prepare their articles by reviewing recommendations for article authors.
Copyright infringement is solely the responsibility of the author(s) of the article. Articles that have been published must be screened and reviewed for quality from qualified experts approved by the editorial board.
The text that appears within each article published in this research journal is a personal opinion of each author, nothing related to Thai-Nichi Institute of Technology, and other faculty members in the institution in any way. Responsibilities and accuracy for the content of each article are owned by each author. If there is any mistake, each author will be responsible for his/her own article(s).
The editorial board reserves the right not to bring any content, views or comments of articles in the Journal of Thai-Nichi Institute of Technology to publish before receiving permission from the authorized author(s) in writing. The published work is the copyright of the Journal of Thai-Nichi Institute of Technology.
References
Campbell JY, Shiller RJ. Valuation Ratio and the Long-Run Stock Market Outlook, Journal of Portfolio Management. 1998; 24(2): 11-25.
Lo AW, MacKinlay C. The Size and Power of the Variance Ratio Tests in Finite Samples: A Monte Carlo Investigation. Journal of Econometrics. 1988; 40: 203-238.
Poterba J., Summer L. Mean Reversion in Stock Prices: Evidence and Implications. Journal of Financial Economics. 1988; 22: 27-59.
Basu S. The Information Content of Price-Earnings Ratios. Financial Management. 1975; 4(2): 53-64.
Lamont O. Earnings and Expected Returns. Journal of Financial 1988; 53: 1563-1587.
Fama EF, French K.R. Dividend Yields and Expected Stock Returns. Journal of Financial Economics. 1988; 22: 3-25.
Goetzmann W, Jorion P. Testing the Predictive Power of Dividend Yields. The Journal of Financ. 1993; 48(2): 663-679.
Hodrick RJ. Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. The Review of Financial Studies. 1992; 5(3): 357-386.
Kothari SP, Shanken, J. Stock Return Variation and Expected Dividends, A Time-Series and Cross-Sectional Analysis.
Lerdcheeva S. Debt/Equity Ratio, Agency Cost and Expected Common Stock Returns: Empirical Evidence in Thailand. Thesis of Master of Science Program in Finance, Tha,,asat University. 2003.
Watanajural C. Higner-order Systematic Co-moments in Asset Pricing: Evidence from Thailand after the 1997 Economic Crisis. Thesis of of Master of Science Program in Finance, Thammasat University. 2006.
ศจี ศรีสัตตบุตร. ความสัมพันธ์ของอัตราส่วนทางการเงินกับผลตอบแทนของหุ้นของบริษัทจดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทย. วิทยานิพนธ์มหาบัณฑิตบัญชี (การบัญชี) คณะพาณิชยศาสตร์และการบัญชี, จุฬาลงกรณ์มหาวิทยาลัย. 2548.
หลานสวย ทรัพย์โภคา. Value-at-risk และผลตอบแทนที่คาดว่าจะได้รับในการวิเคราะห์ภาคตัดชวาง : กรณีศึกษาในตลาดหลักทรัพย์แห่งประเทศไทย. วิทยานิพนธ์มหาบัณฑิตบัญชี(การบริหารการเงิน) คณะพาณิชยศาสตร์และการบัญชี, มหาวิทยาลัยธรรมศาสตร์. 2554.
วริษฐา ชลานนท์นิวัฒน์. ความสัมพันธ์ระหว่างอัตราการเติบโตของมูลค่าตามบัญชีและอัตราผลตอบแทนของหุ้นสามัญในตลาดหลักทรัพย์แห่งประเทศไทย. วิทยานิพนธ์มหาบัณฑิตบัญชี(การบริหารการเงิน) คณะพาณิชยศาสตร์และการบัญชี, มหาวิทยาลัยธรรมศาสตร์. 2555.
Gujarati DN. Basic Econometrics. New York: MaGraw Hill Book Co; 2003.
Johansen S, Juselius, K. Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money. Oxford Bullentin of Economics and Statistics. 1990; 52(2): 169-210.
Osterwald-Lenum M. A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics. Oxford Bulletin of Economics and Statistics. 1992; 54: 461-471.