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http://dx.doi.org/10.5762/KAIS.2012.13.3.1035

The Effects of Fundamental Variables on Stock Returns - Evidence from Panel Data  

Lee, Hae-Young (College of Business Administration, Kangnam University)
Kam, Hyung-Kyu (Dept. of Business Administration, Chungwoon University)
Publication Information
Journal of the Korea Academia-Industrial cooperation Society / v.13, no.3, 2012 , pp. 1035-1041 More about this Journal
Abstract
This paper examines the effects of fundamental variables on stock returns. Therefore, the major purpose of this study is to identify fundamental variables having a systematical effect on the stock return. The paper uses panel data analysis. We find that the results of regressions say that firm size, book-to-market ratio(B/M), earning-to-price ratio(E/P), cash flow-to-price ratio(C/P) can explain the differences in average returns across stocks.
Keywords
fundamental variables; panel data analysis; book-to-market ratio(B/M); earning-to-price ratio(E/P); cash flow-to-price ratio(C/P);
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