The Predictors of Stock Returns of Manufacturing Companies Listed on the Chinese Stock Market: An Econometric Analysis
Abstract
from the CSMAR database. The signalling theory was employed as the underpinning theory. The analysis involves the utilization of three
separate panel multiple regression models to examine the influence of predictors on the stock returns, encompassing pooled ordinary least
squares (pooled OLS), the fixed effects model, and the random effects model. The data analysis involved various diagnostic tests including
the Breush-Pagan test, Hausman test, Modified Wald Test, Lagram- Mutiplier Test, and the Robust test. The study found that return on assets,
return on equity, and earnings per share have a positive and significant effect on stock returns, whereas net profit margin, debt-to-equity ratio
and current ratio have a negative effect. The study outlines some policy recommendations.
Keywords
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DOI: http://dx.doi.org/10.18686/fm.v9i5.13373
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