The primary investment objective of investors is to create their wealth which is reflected in the change of stock market price and dividend yield they receive over the investment period. Thus, investors need financial tools to assess and forecast company performance before making investment decisions. Traditionally, such accounting measures as Earnings Per Share (EPS), Return On Assets (ROA), Return On Equity
(ROE) and Return On Sales (ROS) are basic tools for investors in Thailand to evaluate companies¡¦ performance in the stock market. Value based approaches such as Economic Value Added (EVA) and Market Value Added (MVA) are not widely known
among investors yet. Therefore, this study aims to examine the explanatory power of various accounting measures (EPS, ROA, ROE and ROS ) and value based measures ( EVA and MVA ) on the stock returns.
This study focuses on 190 sample companies which are representative of all listed companies in the years from 2006-2010 in terms of the spread of EPS and industry diversification. The empirical results indicate that accounting measures are
more associated with stock returns than MVA and EVA respectively. Among accounting measures, ROA provides highest explanatory power on stock return although the analysis is done separately by sector. In contrast, the results for EVA appear in some sectors and are not consistent with the past research done in other stock markets including Thailand. Thus, the analysis is extended to examine the company characteristics that have relationship between EVA and stock return. The findings indicate that EVA tends to be associated with stock return in companies that have low book to market ratio. In terms of portfolio returns, typical investing styles, such as value and growth strategies still outperform the return from MVA and EVA strategies.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0829111-131941 |
| Date | 29 August 2011 |
| Creators | Charoendeesawat, Suksom |
| Contributors | Yih Jeng, Lin Hsin-Hui, Zang Shiwei |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0829111-131941 |
| Rights | user_define, Copyright information available at source archive |
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