Retained Earnings, and Book-to-market in the Cross Section of Expected Returns in Tehran Stock Exchange Market, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholamreza (Supervisor)
Abstract
The book-to-market ratio is known as an anomaly variable in the financial literature. This variable has a high explanatory power in predicting the returns of companies in different capital markets across world; But understanding why it has the power to explain is still a matter of debate. In this study, we seek a better understanding of the explanatory power of the ratio of book-to-market ratio in explaining the annual return of cross-sectional data of stocks on the Tehran Stock Exchange. Book value can be divided into two parts: retained earnings and contributed capital, which have different economic meanings for readers of financial statements. Our hypothesis is that the predictive power...
Cataloging briefRetained Earnings, and Book-to-market in the Cross Section of Expected Returns in Tehran Stock Exchange Market, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholamreza (Supervisor)
Abstract
The book-to-market ratio is known as an anomaly variable in the financial literature. This variable has a high explanatory power in predicting the returns of companies in different capital markets across world; But understanding why it has the power to explain is still a matter of debate. In this study, we seek a better understanding of the explanatory power of the ratio of book-to-market ratio in explaining the annual return of cross-sectional data of stocks on the Tehran Stock Exchange. Book value can be divided into two parts: retained earnings and contributed capital, which have different economic meanings for readers of financial statements. Our hypothesis is that the predictive power...
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