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Volume :12 Issue : 2 2005      Add To Cart                                                                    Download

Firm Characteristics and Stock Returns: Evidence from an Emerging market

Auther : Abuzar M. A. Eljelly
Radi S. Al-haddad

Many studies have documented significant relationship between various firm characteristics and stock returns. This study, however, documents a relationship between ROE/PB ratio and stock returns in the Saudi banking sector, the one most active and dominating sector in the Saudi stock market. The banking sector is chosen in order to neutralize the problems of liquidity, fragmentation, and thin trading that are observed in the overall Saudi market. The study formed portfolios based on ROE/PB ratio and examined their performance over an 11 years period. The results show that high ROE/PB portfolios significantly outperform the low ROE/PB portfolios in terms of risk and return in most periods.

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Nov 19, 2019

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