EMPIRICAL EVIDENCE OF PROFITABILITY ANOMALY IN THE THAI STOCK MARKET
EMPIRICAL EVIDENCE OF PROFITABILITY ANOMALY IN THE THAI STOCK MARKET
Author(s): Yosuke KakinumaSubject(s): Geography, Regional studies, Transformation Period (1990 - 2010), Present Times (2010 - today), Financial Markets
Published by: Fundacja Centrum Badań Socjologicznych
Keywords: profitability anomaly; gross profitability; operating profitability; cash flow-to-price; emerging market;
Summary/Abstract: 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 Carhart (1997) four-factor model indicate that gross profitability and C/P have significant explanatory power for future returns but not operating profitability. 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.
Journal: Journal of International Studies
- Issue Year: 13/2020
- Issue No: 4
- Page Range: 89-100
- Page Count: 12
- Language: English