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• W142452562 abstract "This paper examines the relationship between stock returns and firm-specific ratios on the Romanian stock market for the period 2002 to 2008. We investigate the explanatory power on future stock returns of market beta, financial leverage, book-to-market equity, size, the earnings-to-price ratio, ROA and ROE. We find that size has the most significant effect in capturing variations in stock returns over the whole period. The negative relationship between size and returns is persistent and the size effect is present on Bucharest Stock Exchange. E/P ratio has a strong positive impact on stock returns and it remains statistically significant through different regression models. Most of the variation in stock returns is captured by size and E/P ratio together. B/M ratio has a significant positive relationship with returns in the univariate regression, but losses its significance in the multivariate setting. Results indicate that beta lacks explanatory power even when its impact is examined alone in the regression analysis and therefore the use of beta as a measure of systematic risk on the Romanian market is unsupported.Also, the year effect is significant on the Romanian market, and the two-way fixed effects model that allows for the intercept to vary both across companies and in time provides a better explanation of the future stock returns on the Bucharest Stock Exchange." @default.
• W142452562 created "2016-06-24" @default.
• W142452562 creator A5068274677 @default.
• W142452562 date "2008-10-02" @default.
• W142452562 modified "2023-09-23" @default.
• W142452562 title "Firm-Specific Factors as Predictors of Future Returns for Romanian Common Stocks: Empirical Evidence" @default.
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