Abstract
Empirical evidence of profitability anomaly in the Thai stock market
Highlights
The primary purpose of this study is to test profitability anomaly in the Thai stock market
There is an ongoing debate about which profitability measure represents the best proxy for future returns, scholars affirm the validity of profitability effect in developed markets
The analysis of the cross-sectional returns of individual firms by Fama-Macbeth (1973) regression and the portfolio performance by Carhart (1997) fourfactor model confirm that gross profitability and cash flow-to-price (C/P) are significant indicators for future returns, but not operating profitability
Summary
The primary purpose of this study is to test profitability anomaly in the Thai stock market. Profitability anomalies are a relatively new field of study in developing markets as size, value and momentum are the focus of interest in terms of investment style factor (Rouwenhorst, 1999; Barry, Goldreyer, Lockwood, and Rodriguez, 2002; van der Hart, Slagter, and van Dijk, 2003; van der Hart, de Zwart, and van Dijk, 2005; Cakici, Fabozzi, and Tan, 2013). There is an ongoing debate about which profitability measure represents the best proxy for future returns, scholars affirm the validity of profitability effect in developed markets. There are opposing views on whether the profitability effect exists in emerging markets due to their unique characteristics of being less sophisticated and less efficient
Sign-in/Register to view highlights & summary Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
