Price Ratios and the Cross-section of Common Stock Returns on Bucharest Stock Exchange: Empirical Evidence

Cristiana Tudor

Journal for Economic Forecasting, 2009, vol. 6, issue 2, 132-146

Abstract: This paper tests the relationship between above market returns and beta, size, leverage, book-to-market equity and earning-price ratios for the Bucharest Stock Exchange common stocks. Results from cross-sectional regressions document that both book-to-market equity and earning-price ratios are important risk factors on the Romanian stock market, while, contrary to the CAPM, the relationship between stock returns and beta is insignificant, even when beta is the only explanatory variable. In addition, a portfolio selection model based on the two factors whose explanatory power on stock returns has been previously attested seems to perform well on out-ofsample data.

Keywords: cross-sectional regressions; risk factors; portfolio selection; Bucharest Stock Exchange (search for similar items in EconPapers)
JEL-codes: C21 C31 C51 C52 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v:6:y:2009:i:2:p:132-146

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