PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2020 | 13 | nr 4 | 89--100
Tytuł artykułu

Empirical Evidence of Profitability Anomaly in the Thai Stock Market

Autorzy
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This study presents empirical evidence of profitability anomaly in the Stock Exchange of Thailand. The effects of gross profitability, operating profitability, and cash flow-to-price (C/P) on the subsequent stock returns are examined using the data from 2002 to 2019. The results of Fama-Macbeth (1973) regression and Carhart (1997) four-factor model indicate that gross profitability and C/P have significant explanatory power for future returns but not operating profitability. Further analysis confirms that gross profitability-sorted portfolio generates the largest risk-adjusted return and C/P-sorted portfolio presents the best consistency to outperform the market. Investing in the portfolios consisted of stocks with high gross profitability and C/P provides protection from the market downside. (original abstract)
Rocznik
Tom
13
Numer
Strony
89--100
Opis fizyczny
Twórcy
  • Panyapiwat Institute of Management, Thailand
Bibliografia
  • Ahmed, A. S., & Safdar, I. (2018). Dissecting stock price momentum using financial statement analysis. Accounting and Finance, 58, 3-43. https://doi.org/10.1111/acfi.12358
  • Akbas, F., Jiang, C., & Koch, P. D. (2017). The trend in firm profitability and the cross-section of stock returns. Accounting Review, 92(5), 1-32. https://doi.org/10.2308/accr-51708
  • Asness, C., Frazzini, A., & Pedersen, L. (2019). Quality Minus Junk Discussion. Review of Accounting Studies, 24(1), 34-112ba. https://doi.org/10.2139/ssrn.2312432
  • Ball, R., Gerakos, J., Linnainmaa, J. T., & Nikolaev, V. (2016). Accruals, cash flows, and operating profitability in the cross section of stock returns. Journal of Financial Economics, 121(1), 28-45. https://doi.org/10.1016/j.jfineco.2016.03.002
  • Ball, R., Gerakos, J., Linnainmaa, J. T., & Nikolaev, V. V. (2015). Deflating profitability. Journal of Financial Economics, 117(2), 225-248. https://doi.org/10.1016/j.jfineco.2015.02.004
  • Barillas, F., & Shanken, J. (2018). Comparing Asset Pricing Models. Journal of Finance, 73(2), 715-754. https://doi.org/10.1111/jofi.12607
  • Barry, C. B., Goldreyer, E., Lockwood, L., & Rodriguez, M. (2002). Robustness of size and value effects in emerging equity markets, 1985-2000. Emerging Markets Review, 3(1), 1-30.
  • Bartram, S., & Grinblattcd, M. (2020). Global market inefficiencies. Journal of Financial Economics, In Presss. https://doi.org/https://doi.org/10.1016/j.jfineco.2020.07.011
  • Bouchaud, J. P., Krüger, P., Landier, A., & Thesmar, D. (2019). Sticky Expectations and the Profitability Anomaly. Journal of Finance, 74(2), 639-674. https://doi.org/10.1111/jofi.12734
  • Cakici, N., Fabozzi, F. J., & Tan, S. (2013). Size, value, and momentum in emerging market stock returns. Emerging Markets Review, 16, 46-65. https://doi.org/10.1016/j.ememar.2013.03.001
  • Carhart, M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52(1), 57-82. https://doi.org/10.2307/2329556
  • Cayón, E., & Sarmiento, J. (2020). Testing for contagion from oil and developed markets to emerging markets : An empirical analysis using systemic risk parameter. Journal of International Studies, 13(2), 98-108. https://doi.org/10.14254/2071-8330.2020/13-2/7
  • Chan, L., Lakonishok, J., & Sougiannis, T. (2001). The Stock Market Valuation of Research and Development Cost. The Journal of Finance, 56(6), 2431-2456. https://doi.org/10.1111/0022-1082.00411
  • Cheema, M. A., & Scrimgeour, F. (2019). Oil Prices and Stock Market Anomalies. Energy Economics. https://doi.org/10.2139/ssrn.3200162
  • Chemmanur, T. J., & Yan, A. (2019). Advertising, Attention, and Stock Returns. Quarterly Journal of Finance, 9(3), 1950009. https://doi.org/10.1142/s2010139219500095
  • Chen, T. F., Sun, L., Wei, K. C. J., & Xie, F. (2018). The profitability effect: Insights from international equity markets. European Financial Management, 24(4), 545-580. https://doi.org/10.1111/eufm.12189
  • Chiah, M., & Zhong, A. (2019). Day-of-the-week effect in anomaly returns: International evidence. Economics Letters, 182, 90-92. https://doi.org/10.1016/j.econlet.2019.05.042
  • Dooley, M., & Hutchison, M. (2009). Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling-recoupling hypothesis. Journal of International Money and Finance, 28(8), 1331-1349. https://doi.org/https://doi.org/10.1016/j.jimonfin.2009.08.004
  • Eisfeldt, A. L., & Papanikolaou, D. (2013). Organization capital and the cross-section of expected returns. Journal of Finance, 68(4), 1365-1406. https://doi.org/10.1111/jofi.12034
  • Fama, Eugene F., Macbeth, D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607-636. https://doi.org/10.1086/260061
  • Fama, E., & French, K. (1992). The Cross- Section of Expected Stock Returns. The Journal of Finance, 47(2), 427-465. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
  • Fama, E., & French, K. (1993). Common risk factors in the returns stocks and bonds. Journal of Financial Economics, 33(1), 3-56. https://doi.org/10.1016/0304-405X(93)90023-5
  • Fama, E., & French, K. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.
  • Fama, E., & French, K. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3), 441-463. https://doi.org/10.1016/j.jfineco.2016.11.004
  • Foerster, S., Tsagarelis, J., & Wang, G. (2018). Are Cash Flows Better Stock Return Predictors Than Profits ? Financial Analysts Journal, 73(1), 73-99. https://doi.org/10.2469/faj.v73.n1.2
  • Hanauer, M. X., & Lauterbach, J. G. (2019). The cross-section of emerging market stock returns. Emerging Markets Review, 38(November 2018), 265-286. https://doi.org/10.1016/j.ememar.2018.11.009
  • Hou, K., Karolyi, G. A., & Kho, B. (2011). What Factors Drive Global Stock Returns? Review of Financial Studies, 24(8), 2527-2574. https://doi.org/10.1093/rfs/hhrO13
  • Hou, K., Xue, C., & Zhang, L. (2015). Digesting Anomalies: An Investment Approach. Review of Financial Studies, 28(3), 650-705. https://doi.org/10.1093/rfs/hhu068
  • Jacobs, H. (2016). Market maturity and mispricing. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2016.01.030
  • Jegadeesh, N., & Titman, S. (1993). Efficiency Returns to Buying Winners and Selling Losers : Implications for Stock Market Efficiency. The Journal of Finance, 48(1), 65-91. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x
  • Jegadeesh, N., & Titman, S. (2001). Profitability of Momentum Strategies : An Evaluation of Alternative Explanations. The Journal of Finance, 56(2), 699-720. https://doi.org/10.1111/0022-1082.00342
  • Jongadsayakul, W. (2019). Determinants of investor behavior in SET50 index futures and options markets: Evidence from Thailand futures exchange. Journal of International Studies, 12(3), 22-30. https://doi.org/10.14254/2071-8330.2019/12-3/2
  • Khalaf, L., & Schaller, H. (2012). How Fama-MacBeth Can Go Wrong - And an Informative Solution. SSRN, (613). https://doi.org/10.2139/ssrn.1785858
  • Lakonishok, J., Shleifer, A., & Robert, W. V. (1994). Investment, Extrapolation, and Risk. The Journal of Finance, 49(5), 1541-1578. https://doi.org/10.1177/0022002705277551
  • Lau, W. T., & Mahat, F. B. (2019). Robustness of cash flow value: Investment in ASEAN. Journal of Asian Finance, Economics and Business, 6(2), 247-255. https://doi.org/10.13106/jafeb.2019.vol6.no2.247
  • Lev, B., & Radhakrishnan, S. (2015). The Valuation of Organization Capital. In Measuring Capital in the New Economy (pp. 73-110). Retrieved from http://www.nber.org/chapters/c10619
  • Najmudin, Syarif, D. H., Wahyudi, S., & Muharam, H. (2017). Applying an international CAPM to herding behaviour model for integrated stock markets. Journal of International Studies, 10(4), 47-62. https://doi.org/10.14254/2071-8330.2017/10-4/3
  • Ng, C. C. A., & Shen, J. (2019). Quality investing in Asian stock markets. Accounting and Finance. https://doi.org/10.1111/acfi.12446
  • Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1-28. https://doi.org/10.1016/j.jfineco.2013.01.003
  • Pasquariello, P. (1999). The Fama-MacBeth approach revisited. Stern School of Business, New York University.Working Paper. Retrieved from http://webuser.bus.umich.edu/ppasquar/famamacbeth.pdf
  • Plastun, A., Kozmenko, S., Plastum, V., & Filatova, H. (2019). Market anomalies and data persistence: The case of the day-of-the-week effect. Journal of International Studies, 12(3), 122-130. https://doi.org/10.14254/2071-8330.2019/12-3/10
  • Rouwenhorst, K. G. (1999). Local return factors and turnover in emerging stock markets. Journal of Finance, 54(4), 1439-1464. https://doi.org/10.1111/0022-1082.00151
  • Tiwari, A. K., Aye, G. C., & Gupta, R. (2019). Stock market efficiency analysis using long spans of data: A multifractal detrended fluctuation approach. Finance Research Letters, 28, 398-411. https://doi.org/https://doi.org/10.1016/j.frl.2018.06.012
  • van der Hart, J., de Zwart, G., & van Dijk, D. (2005). The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? Emerging Markets Review, 6(3), 238-262. https://doi.org/10.1016/j.ememar.2005.05.002
  • van der Hart, J., Slagter, E., & van Dijk, D. (2003). Stock selection strategies in emerging markets. Journal of Empirical Finance, 10(1-2), 105-132. https://doi.org/10.1016/S0927-5398(02)00022-1
  • Zaremba, A. (2019). Performance Persistence in Anomaly Returns: Evidence from Frontier Markets. Emerging Markets Finance and Trade, 0(00), 1-22. https://doi.org/10.1080/1540496X.2019.1605594
  • Zhang, L. (2017). The Investment CAPM. European Financial Management, 23(4), 545-603.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171611041

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.