The effect of debt to equity ratio on the expected common stock returns of all the companies in the Philippine Stock Exchange index

Date of Publication

2009

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Commerce Major in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Steven Lim

Defense Panel Chair

Catherine Almonte

Defense Panel Member

Rolando Esguerra
Marthe Hinojales

Abstract/Summary

This paper explains the effect of debt to equity ratio (DER) to the expected common stock return controlling for beta and firm size. The proponents used the stocks in the Philippine Stock Exchange index (PSEi) and examined the years 1996-2007 as the test period. The researchers employ the Fama-Macbeth (1973) methodology and OLS regression analysis as the statistical tool to analyze the effect of debt to equity ratio. Results show that DER is significantly negative and does not proxy for risk in the Philippine market. The paper also rejects the assumption that beta is an adequate measure of risk and is positively related with returns. The evidence also suggests that the firm size variable implies that in the Philippines, small cap firms don't always outperform big cap stocks.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21857

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

61, [75] leaves : illustrations

Keywords

Debt-to-equity ratio--Philippines; Debt--Philippines; Equity--Philippines

This document is currently not available here.

Share

COinS