MACROECONOMICS, FIRM-SPECIFIC FACTORS AND EXCESS RETURN: AN EMPIRICAL INVESTIGATION FROM AMMAN STOCK EXCHANGE

Wasfi AL Salamat, Walid Masadeh and Ebrahim Mansour

Global Journal of Business Research, 2016, vol. 10, issue 4, 1-16

Abstract: This study identifies the determinants of excess stock returns for all industrial firms in Jordan during the period 2007-2014. We use multiple regression model and an unbalanced panel design for obtaining results and analyzing data. The results show that excess stock return is positively and significantly affected by turnover ratio, market to book ratio, return on assets, market return, and dividend yield. It is negatively and significantly affected by financial leverage, and gross domestic product

Keywords: Excess Stock Return; Excess Market Return; Macroeconomics Variables; Firm-Specific Variables; Industrial Firms; Panel Data; ASE (search for similar items in EconPapers)
JEL-codes: E44 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:gjbres:v:10:y:2016:i:4:p:1-16

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