A consideration of firm size effect on price ratio fluctuations to earning per share and market returns using integration nonlinear panel data models

Neda Dehghan KHALILI, Nabiollah MOHAMMADI, Abolfazl MOGHADDAM, Najmeh Dehghan KHALILI
2.228 742

Abstract


Abstract. The present study aimed to determine the effect of firm size on price ratio fluctuations to earning per share and market returns based on co integration nonlinear panel data model. The method it was descriptive and applied considering in panel data analysis. In this study, financial data of 109 companies listed in Tehran Stock Exchange were checked through 2008 to 2013. To analyse the obtained results, Minitab 16, Eviews 7 and Spss 20 soft ware are used. The first hypothesis result showed that there was a significant relationship between the effect of firm size on price ratio fluctuations to earnings per share and market returns based on co integration nonlinear panel data model. Finally considering second hypothesis, analysis we concluded that there was a significant and reverse relationship between estimating the volatility of firm size and volatility of market returns resulting from stock price of firms based on co integration nonlinear panel data model.


Keywords


Firm size, price to profit ratio, stock, returns, panel data

Full Text:

PDF


References


Ahmadpoor kasgari, Ahmad(2012), The effect of financial leverage, operating leverage and firm size on Systematic risk firms accepted in Tehran Stock Exchange. PhD thesis, University of Modares

Zivdari,M, 2010, Experimental Study on the relationship between turnover, return on equity and return volatility of listed companies in Tehran Stock Exchange, Dissertations Faculty of Administrative Sciences thesis, Tarbiat Modarres University.

Ying-Foon Chow, Ming Liu, Xinting Fan, (2008),”Broad-market return persistence and momentum profits”, www.sciencedirect.com 181–188

NikolaosEriotis, DimitriosVasiliou and Zoe VentouraNeokosmidi .(2012) , “How firm Characteristics affect Capital Structure: an empirical study” ,Managerial Finance, Vol. 33 No. 5, pp. 321-331.

Pollet, J.M & Wilson, M. (2010).“Average correlation and stock market returns,” Journal of Financial Economics, pp. 364-380.

Cameron,Truong.(2011).“Employing high-low price range in forecasting market index volatility,” Journal of International Financial Markets, Institutions & Money. Vol. 21, Iss. 5; p. 637.

Amel-Zadeh, A. (2011). The return of the size anomaly: Evidence from the German stock market. European Financial Management, 17, 145–182.

Ammermann, P., & Patterson, D. (2003). The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence f from world stock indices and the Taiwan Stock Exchange. Pacific-Basin Finance Journal, 11, 175–195.

Balke, N., &Wohar,M. E. (2002). Low-frequencymovements in stock prices: A state-space decomposition. The Review of Economics and Statistics, 84, 649–667.rom world stock indices and the Taiwan Stock Exchange. Pacific-Basin Finance Journal, 11, 175–195.

Berk, J. (2000). A view on the current status of the size anomaly. In D. Keim, & W. Ziemba (Eds.), Security market imperfections inworldwide equitymarkets. Cambridge Cambridge University Press.

BBreitung, J. (2000). The local power of some unit root tests for panel data. In B. Baltagi, T. B. Fomby, & R. C. Hill (Eds.), Advances in econometrics: Nonstationary panels, cointegration in panels and dynamic panels, Vol. 15. (pp. 161–178).

Amsterdam JAI.ordo, M.D. (2008). An historical perspective on the crisis of 2007–2008. 12th annual conference on financial stability, monetary policy and central banking. Santiago Central Bank of Chile.

Chen, T. C., & Chien, C. C. (2011). Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance. Pacific-Basin Finance Journal, 19, 208–229.

Chuliá, H., Martens, M., & van Dijk, D. (2010). Asymmetric effects of federal funds target rate changes on S&P100 stoc k returns, volatilities and correlations. Journal of Banking and Finance, 34, 834–839.

De Bondt, G. J. (2008). Determinants of stock prices: New international evidence. Journal of Portfolio Management, 34, 81–92.

Dimitrov, V., & Jain, P. C. (2008). The value-relevance of changes in financial leverage beyond growth in assets and GAAP earnings. Journal of Accounting, Auditing, and Finance, 2, 191–222.

Dimson, E., Marsh, P., & Staunton, M. (2002). Triumph of the optimists: 101 years of global investment returns. Princeton Princeton University Press.

Dissanaike, G. (2002). Does the size effect explain the UK winner–loser effect? Journal of Business Finance and Accounting, 29, 139–154.

Hearn, B.A. (2011). Size and liquidity effects in Japanese regional stockmarkets. Journal of Japanese and International Economies, 25, 157–181.

Hong, Y., Tu, J., & Zhou, G. (2007). Asymmetries in stock returns: Statistical tests and economic evaluation. Review of Financial Studies, 20, 1547–1581.