Impact of selected key accounting and economic variables on stock returns of PSEI-listed companies from 2006 to 2010: evidence from the Philippines

• Main Authors: Bucu, Lorelei Joselle H., Malubay, Maria Cathrina B., Quimpo, Karen A., Somido, Marlo S.
• Format: text
• Language: English
• Published: Animo Repository 2011
• Subjects: Accounting
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/11387
• Institution: De La Salle University

Stock investors have been interested in knowing the variables that factor into stock returns which can give them a general sense of whether the stock is a good investment or not. Previous studies have been done on mature capital markets but there is a lack of research regarding what influence(s) stock returns in emerging capital markets such as that of the Philippines. The purpose of this research has been to examine the relationship between stock returns and accounting variables which include liquidity, profitability and market ratios and economic variables. We have used panel data that involve 17 consistently listed PSEi companies over the period of 5 years. Weighted Least Squares regression methodology has been applied to determine the best-fit model. Based on the statistical results, current ratio (CR), operating profit per share (OPERPS) and dividends per share (DPS) are significant among the five accounting variables used in the study, with CR and OPERPS being positively related to stock returns. Meanwhile, all three economic variables (i.e. core inflation, volume of transactions and value of transactions) are all significant and negatively related to stock returns together with DPS. Finally, we recommend that investors and analysts should look into using other quantitative and qualitative measures. Further studies can look into the forecasting abilities of stock returns, the use of other estimation techniques, extending the time span of the study, and doing a comparative study of the performance of companies listed in the PSEi to other companies belonging to equivalent stock market indices in Southeast Asia.