Firm Characteristics, Macroeconomic Variables & Stock Returns in Nepal.

      Аннотация: This study attempted to identify how different firm- specific variables affect cross-sectional stock returns and how stock market returns are associated with movement in fundamental macroeconomic variables in the context of Nepal. The major conclusion of this study is that the firm size and earnings-to-price ratios do not explain the common stock returns in the context of stock market in Nepal. The results indicate very strong role of stock beta and book-to-market equity to explain common stock returns in Nepal. With respect to FF three-factor model all coefficients representing market risk factor, size factor, and book-to-market factor are statistically and economically significant. Further, the study revealed a significant role of GDP to explain stock market returns. There is a unidirectional causality from GDP to stock market returns indicating that change in GDP could explain the change in stock market returns.

Ключевые слова: firm size, Stock Returns, Book-to-Market Equity