Firm-Specific Factors and Stock Returns: Evidence from Selected Private Commercial Banks Listed on the Dhaka Stock Exchange
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Keywords

Private commercial banks, Dhaka Stock Exchange, Fixed-effect, Firm beta, Firm size, Volume of shares traded, Turnover by value.

How to Cite

Ferdaous, J. ., & Barua, S. . (2020). Firm-Specific Factors and Stock Returns: Evidence from Selected Private Commercial Banks Listed on the Dhaka Stock Exchange. Asian Economic and Financial Review, 10(11), 1259–1268. https://doi.org/10.18488/journal.aefr.2020.1011.1259.1268

Abstract

The purpose of this study is to examine how different firm-specific factors influence the stock returns of 29 private commercial banks (PCBs) listed on the Dhaka Stock Exchange (DSE) in Bangladesh. The research applied time series, cross-sectional and panel data models focusing on external and internal factors influencing the stock return of developed stock markets. Very little research has been conducted on how firm-specific factors influence the stock returns of developing or emerging stock markets. Considering the current scenario of the banking industry in Bangladesh, some major firm-specific factors must be taken into consideration to determine how these factors influence the stock returns of selected banks listed on DSE, while utilizing the panel data analysis to get more significant results. The study incorporates balanced panel data (3,712 observations) for the period 2009-2019 to investigate how firm beta (volatility), earnings per share (EPS), market to book value ratio (MTBV), firm size, volume of shares traded, and turnover by value influence the stock returns. The study incorporates the Hausman specification test and the Breusch–Pagan Lagrange Multiplier (LM) test, suggesting that fixed effect regression is more applicable than random effect regression. The findings show that the negative influence of firm beta and size is significant, whereas the positive influence of turnover by value and volume of shares traded on the stock returns is significant. The empirical analysis either supports or contradicts existing literature.

https://doi.org/10.18488/journal.aefr.2020.1011.1259.1268
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