TAILIEUCHUNG - The relationship between size, book-to-market equity ratio, earnings–price ratio, and return for the Tehran stock Exchange

This paper presents an empirical investigation to determine whether or there is any difference between the returns of two value and growth portfolios, sorted by price-to-earnings (P/E) and price-to-book value (P/BV), in terms of the ratios of market sensitivity to index (β), firm size and market liquidity in listed firms in Tehran Stock Exchange (TSE) over the period 2001-2008. | The relationship between size book-to-market equity ratio earnings price ratio and return for the Tehran stock Exchange Accounting 3 2017 11 18 Contents lists available at GrowingScience Accounting homepage ac The relationship between size book-to-market equity ratio earnings price ratio and return for the Tehran stock Exchange Mohammad Ali Sadeghi Lafmejani Department of Management and Accounting South Branch Islamic Azad University Tehran Iran CHRONICLE ABSTRACT Article history This paper presents an empirical investigation to determine whether or there is any difference Received December 5 2015 between the returns of two value and growth portfolios sorted by price-to-earnings P E and Received in revised format price-to-book value P BV in terms of the ratios of market sensitivity to index β firm size February 16 2016 and market liquidity in listed firms in Tehran Stock Exchange TSE over the period 2001- Accepted June 30 2016 Available online 2008. The selected firms were collected from those with existing two-consecutive positive P E June 30 2016 and P BV ratios and by excluding financial and holding firms. There were five independent Keywords variables for the proposed study of this paper including P E P B market size market Tehran Stock Exchange sensitivity beta β and market liquidity. In each year we first sort firms in non-decreasing Value order and setup four set of portfolios with equal firms. Therefore the first portfolio with the Growth lowest P E ratio is called value portfolio and the last one with the highest P E ratio is called Market sensitivity growth portfolio. This process was repeated based on P BV ratio to determine value and growth Liquidity portfolios accordingly. The study investigated the characteristics of two portfolios based on Firm size firm size β and liquidity. The study has implemented t-student and Levin s test to examine different hypotheses and the results have indicated mix effects of market .

• Kế toán - Kiểm toán
• Price to earnings
• Price to book value
• Market sensitivity to index
• Tehran Stock Exchange
• Book to market equity ratio