Wan Mahmood, Wan Mansor and Abdul Fatah, Faizatul Syuhada (2007): Multivariate Causal Estimates of Dividend Yields, Price Earning Ratio and Expected Stock Returns: Experience from Malaysia.

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Abstract
The study examines the relationship among Malaysian’s market stock return, dividend yields and price earnings rato. Specifically, it examines the existence of longrun and shortrun relationship and also their predictive power (causality) between and among market stock return, dividend yieds and price earnings. Using the monthly data from 19892005, the study finds that all these fundamental variables have a strong long run relationship. As for the short run relationship, the results show significant positive predictive power from dividend yield to stock return and significant negative relation from stock returns toprice earning ratios. In addition, applyingmultivariate causality test, the results show that both dividend yields and price earning ratio Granger cause (predict) the stock return. Similar results are found from stock returns and P/E ratio to dividend yield, as well as from dividend yied and stock returns to P/E raton but with lesser magnitude. Thus, fundamental variables are an important source of nformation in determnng stock market returns and useful to investors and other marke participants in deciding their investment strategies.
Item Type:  MPRA Paper 

Original Title:  Multivariate Causal Estimates of Dividend Yields, Price Earning Ratio and Expected Stock Returns: Experience from Malaysia 
Language:  English 
Keywords:  Stock return, dividend yield, price earning ratio, Malaysian market 
Subjects:  G  Financial Economics > G3  Corporate Finance and Governance > G32  Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G  Financial Economics > G2  Financial Institutions and Services > G20  General 
Item ID:  14614 
Depositing User:  WANMANSOR WANMAHMOOD 
Date Deposited:  13. Apr 2009 04:58 
Last Modified:  13. Feb 2013 04:57 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/14614 