The General Determinants of Share Returns: An Empirical Investigation on the Dhaka Stock Exchange

Asma Mobarek () and Sabur Mollah ()
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Asma Mobarek: Department of Banking, University of Dhaka, Dhaka 1000, Bangladesh

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2005, vol. 08, issue 04, 593-612

Abstract: This paper investigates the underlying factors that determine share returns on the Dhaka Stock Exchange. The empirical analysis does not support the critical condition of the Capital Asset Pricing Model of a positive relationship between share return and beta. However, it shows that variables such as size, price to book, volume of shares traded, earnings yield and cash flow yield have a significant influence on share returns. The degree and direction of relationship among the variables are similar to other emerging markets, but are not always consistent with developed markets perhaps due to lack of homogeneous expectations regarding risk return characteristics and different market microstructure.

Keywords: CAPM; emerging market; anomalous factors; multi-factor model; JEL Classification: G12 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (7)

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DOI: 10.1142/S0219091505000518

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