Excess return on the Icelandic stock market
This study examines the relationship between P/E‐ratio, q‐ratio, dividend yield, historical returns, company size and returns of Icelandic stocks. The study uses monthly return data of stocks from the Iceland Stock Exchange from January 1993 to June 2003. The methodology is based on building portfol...
| Published in: | Tímarit um viðskipti og efnahagsmál |
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| Main Authors: | , |
| Format: | Article in Journal/Newspaper |
| Language: | Icelandic |
| Published: |
Institute of Business Research
2004
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| Subjects: | |
| Online Access: | http://www.efnahagsmal.is/article/view/a.2004.2.1.1 https://doi.org/10.24122/tve.a.2004.2.1.1 |
| Summary: | This study examines the relationship between P/E‐ratio, q‐ratio, dividend yield, historical returns, company size and returns of Icelandic stocks. The study uses monthly return data of stocks from the Iceland Stock Exchange from January 1993 to June 2003. The methodology is based on building portfolios on the basis of the above variables. Every month, from January 1993 to June 2003, the stocks in the sample were ranked according to the variable examined and then grouped into four portfolios. The performance of each portfolio was then measured and compared both in absolute terms and correcting for systematic risk. The results are that returns on stocks with a low P/E‐ratio were much substantially higher than returns on other stocks and this difference was statistically significant. The returns of small stocks and stocks with a low q‐ratio were higher than that of other stocks but this difference was not statistically significant. No relationship was detected between returns and historical returns, and between returns and dividend yield. Hér er gerð grein fyrir rannsókn á sambandi nokkurra kennitalna fyrirtækja og ávöxtunar íslenskra hlutabréfa. Þær kennitölur sem um ræðir eru V/H‐hlutfall, qhlutfall, arðhlutfall, söguleg ávöxtun og fyrirtækjastærð. Rannsóknin nær yfir tímabilið frá janúar 1993 til júní 2003 og er byggð á því að búa til ný verðbréfasöfn í hverjum mánuði eftir þeim kennitölum sem rannsakaðar voru. Ávöxtun verðbréfasafnanna var síðan reiknuð og kannað hvort marktækur munur væri á milli þeirra að teknu tilliti til kerfisbundinnar áhættu. Helstu niðurstöður eru þær að hlutabréf með lágt V/H‐hlutfall skiluðu mun hærri ávöxtun en önnur hlutabréf og var sá munur marktækur. Hlutabréf lítilla fyrirtækja og hlutabréf með lágt q‐hlutfall skiluðu einnig hærri ávöxtun en önnur hlutabréf en sá munur var ekki marktækur. Aftur á móti mældist ekkert samband á milli arðhlutfalls, sögulegrar frammistöðu og ávöxtunar. |
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