An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns

Topics:
Dividends,
Financial Research
Tags:
Equity,
Finance,
Financial Services,
Investment,
National Bureau Of Economic Research,
Ratio,
Valuation
Source:
NBER.org: National Bureau of Economic Research

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Overview: This paper studies average and conditional expected returns in national equity markets, and their relation to a number of fundamental country attributes. The attributes are organized into three groups. The first is relative valuation ratios, such as price-to-book-value, cash-flow, earnings and dividends. The second group measures relative economic performance and the third measures industry structure. It was found that average returns across countries are related to the volatility of their price-to-book ratios. Predictable variation in returns is also related to relative gross domestic product, interest rate levels and dividend-price ratios.

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Format: PDF | Size: 1,869KB | Date: Mar 1999 | Pages: 68

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