Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth : evidence from top 50 companies in Singapore

Abstract

The objective of this paper is to examine the relationship between stock returns and the financial variables, beta, size, earnings-to-price ration, cash flow-to-price ration, book-to-market equity ration, and sales growth. Our study is based on a sample of 50 top Singapore non-financial firms listed on the Stock Exchange of Singapore (SES), in the period of 1996-2005. Through a cross sectional examination of how each variable affects market returns, we find that our variables have little explanatory power against stock returns.