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Size, Value, and Momentum of Stock Returns of Most Actively

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Tiffany Joy Timones

on 11 April 2015

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Transcript of Size, Value, and Momentum of Stock Returns of Most Actively

Size, Value, and Momentum of Stock Returns of Most Actively Traded Stocks in the Philippines from 2009-2013
AQUINO, FRIGILLANA, MANGUA, TIMONES
CHAPTER 1: INTRODUCTION
1.1 Background of the Problem
1.2 Statement of the Problem
1.3 Objectives of the Study
1.4 Hypothesis
1.5 Significance of the Study
1.6 Scope and Limitations
CHAPTER 2 : REVIEW OF RELATED LITERATURE
CHAPTER 3: RESEARCH FRAMEWORK
chapter 4: research methodology
CHAPTER 5 : RESULTS AND DISCUSSIONS
Chapter 6: conclusion and recommendations
1.1 BACKGROUND OF THE STUDY
United States and Developed Markets
Emerging Markets
EMPIRICAL STUDIES ON VALUE AND MOMENTUM EFFECTS
1.2 PROBLEM STATEMENT
Do size, value, and momentum affect stock returns of the most actively traded stocks in the Philippine Equity Market?
1.3 objective of the study
This paper aims to determine if size, value, and momentum affect the stock returns of the most actively traded stocks in the Philippine equity market.
1.4 HYPOTHESIS
There is no significant effect of the size, value and momentum in the stock returns of the most actively traded stocks of the Philippine equity market.
1.5 SCOPE AND LIMITATIONS
Data that will be used are within the years 2009 - 2013 only
Data is retrieved on a monthly basis
Data will be acquired from the most actively traded stocks of the Philippine equity market
1.6 significance of the study
The Philippines as an emerging market
- Volatile investments
- Currency fluctuations
- Political and Economic Risks
Help in the anticipation of stock market movements.
Encourage investing
2.1 Literature Map
2.2 Research Gap
2.1 LITERATURE MAP
2.2 RESEARCH GAP
Lack of empirical studies on the size, value, and momentum in emerging markets and none gave focus on the Philippines.
3.1 THEORETICAL FRAMEWORK
Efficient Market Hypothesis
-Eugene F. Fama and Paul A. Samuelson
-‘prices fully reflect all available information’
3.2 CONCEPTUAL FRAMEWORK
relative strength index
a momentum indicator that measures the change and speed of a stock price formulated in the 1970s by J. Welles Wilder
RSI = 100 - 100/(1 + Relative Strength)
Where Relative Strength = Average Gain / Average Loss
3.3 OPERATIONAL FRAMEWORK
4.1 Research design
4.2 sampling design
4.3 data description and data collection
Stock Returns
Historical Stock Prices. (Financial Times and Philippine Stock Exchange Website)
Market Capitalization
Official Philippine Stock Exchange Data (Monthly Basis)
Equity
Financial Statements.
Relative Strength Index (RSI)
Official Philippine Stock Exchange Data (Monthly Basis)
4.4 Data analysis
Panel Data Regression Analysis
Stacked time series
Fixed Effects Model

4.5 methodology limitations
Exclusion of NI Stock
Divergences of Relative Strength Index
occurs when the movement of the RSI is in a different direction than the stock.
RSI only measures the “speed and change of price movements”
5.1 DATA PRESENTATION
5.2 regression analysis and presentation
Description of Regression
Size, Value, and Momentum of Stock Returns of Most Actively Traded Stocks in the Philippines from 2009-2013
AQUINO, FRIGILLANA, MANGUA, TIMONES
5.2 regression analysis and presentation
Results of Regression
3.1 Theoretical Framework
3.2 Conceptual Framework
3.3 Operational Framework
4.1 Research Design
4.2 Sampling Design
4.3 Data Description and Data Collection
4.4 Data Analysis
4.5 Methodology Limitations
5.1 Data Presentation
5.2 Regression Analysis and Presentation
MARKET CAPITALIZATION
= Shares Outstanding x Current Price per share
EQUITY
= Assets - Liabilities
Value of assets when all debts are paid
6.1 CONCLUSION
* per unit increase of explanatory variable, ceteris paribus.
size
momentum
value
4.1.1 descriptive design
4.1.2 correlational design
6.2 recommendationS
Find out other models that are applicable in measuring size, value, and momentum of stocks
Prolong the coverage of the study
Start early or spend longer time in doing research
6.1 Conclusion
6.2 Recommendations
Full transcript