Implications of selected measures of systematic risk and firm's financial indicators on Philippine construction and manufacturing firms' stock prices during and pre-subprime crisis: A comparative panel data analysis

• Main Authors: Aniag, William John, Chavez, Jei Marc, Cruz, Ser Laurence, Go, Peter
• Format: text
• Language: English
• Published: Animo Repository 2010
• Subjects: Financial institutions > Management; Stocks > Prices > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18473
• Institution: De La Salle University

This study aims to explain the dependability of stock prices of manufacturing and construction stocks of firms listed in the Philippine Stock Exchange since these were the most affected by the sub-prime crisis. Systematic risks measures such as the inflation rate, USD/PHP foreign exchange rate, t-bill rate, and overnight borrowing rate will be tested in this study. Firm's financial indicators of firms including market capitalization, price/earnings ratio, return on equity, return on asset, and book to market ratio will also be tested as an alternative to measure effects on stock prices. The sample consisted of 32 companies, all of which are up to this date, listed in the Philippine Stock Exchange, under manufacturing and construction industry. The study will provide in-depth analysis on how the other measures of risks, such as measures of systematic risks and firms' financial indicators mentioned affect the stock prices of companies during crisis and pre-subprime crisis. The study uses panel data analysis by performing regression analysis with random effects model.