Firm size, book-to-market ratio and risk factor returns and its relationship with stock returns: Evidence from the financial sector of the Philippine stock market

• Main Authors: Pua, Adrienne Aimee A., Salapare, Justin Earl Daryll P., Tan, Julliard Patrick H., Umali, Inigo Antonio B.
• Format: text
• Language: English
• Published: Animo Repository 2015
• Subjects: Stocks > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/9041
• Institution: De La Salle University

This paper is focused on addressing the possible effects of firm size and book to market ratio in determining the stock returns generated in the Philippine setting by making use of the companies belonging to the financial sector in the Philippine Stock Exchange index. The researchers also tried to test if the risk factors identified in the paper of Chen, Kan and Anderson (2006) can be adapted in the Philippine setting to substitute firm size and book to market ratio. This study was done using a random effect panel data analysis to explain the significance of firm size, book to market ratio and risk factors returns in predicting stock returns. The results showed that firm size and book to market ratio have no effect on the determination of stock returns although some risk factors can be used as substitutes. As a conclusion, the paper can be used as reference for future studies related to the stock returns and its relationship with other variable, whether covered in this paper or not.