Do Based-Market Data predict Stock Return Better than Accounting Data? The Case of Tehran Stock Exchange (TSE)

Arash Goodarzi

Abstract


Investors seek factors determining the stock return and use them to predict the future stock return. This paper examines and compares the strength of accounting data (Firm Size, Return on Equity, Return on Assets, profit margin ratio, Financial Leverage ratio) versus based-market data (Price to Earnings ratio, book to market ratio and Dividend yield) in explaining and determining stock return of companies listed in Tehran Stock Exchange during 2004-2014. Analysis show accounting data have significant relationship with stock return when market data omitted. But by entering market data and accounting data in model together, their determining power is decreased generally.


Keywords


Stock return; Market data; Accounting data

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References


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DOI: http://dx.doi.org/10.3968/8083

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