Empirical evidence of profitability anomaly in the Thai stock market
Bibliographic Data
| ID | 13023263 |
|---|---|
| Authors | Yosuke Kakinuma (0000-0001-9098-9067, corresponding author) |
| Year | 2020 |
| Volume | 13 |
| Issue | 4 |
| Pages | 89-100 |
| Publication date | 2020-12-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | JOURNAL OF INTERNATIONAL STUDIES (JOURNAL) |
| Journal identifiers | ISSN: 2071-8330 • E-ISSN: 2306-3483 |
| Publisher | Centre of Sociological Research, NGO (PUBLISHER) |
| DOI | 10.14254/2071-8330.2020/13-4/6 |
| OpenAlex | W3125489324 |
| Language | EN |
| References cited | 13 |
This study presents empirical evidence of profitability anomaly in the Stock Exchange of Thailand. The effects of gross profitability, operating profitability, and cash flow-to-price (C/P) on the subsequent stock returns are examined using the data from 2002 to 2019. The results of Fama-Macbeth (1973) regression and Further analysis confirms that gross profitability-sorted portfolio generates the largest risk-adjusted return and C/P-sorted portfolio presents the best consistency to outperform the market. Investing in the portfolios consisted of stocks with high gross profitability and C/P provides protection from the market downside
Anomaly (physics · Business · Econometrics · Economics · Empirical evidence · Financial economics · Geography · Physics · Profitability index · Stock (firearms · Stock market · Corporate Finance and Governance · Financial Markets and Investment Strategies · Working Capital and Financial Performance · Finance · Philosophy
| Highly cited | No |
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