Based on data provided by a leading domestic securities firm, at the record peak of the stock market in May 2017, the Price-Earnings Ratio (PER) was around 10.3X, Price-Book Ratio
(P/B) was 1.9X while the dividend yield was 4.8 per cent.
with the MSCI Emerging Markets Index's 10.7 times, and at a price-book ratio
of 2.8, less than the 10-year average of 3.3, according to data compiled by Bloomberg.
Insiders indicated that leading financial institutions usually see the price-book ratio
of their stocks post twice that the projected prices.
t-ratio p-value Error Const 0.077 0.035 2.196 0.03183 SMA Momentum (-1) 0.849 0.088 9.583 <0.00001 Price-Earning(-1) -0.003 0.001 -2.887 0.00533 Price-Book Ratio 0.002 0.003 0.623 0.53565 (-1) Dividend Yield(-1) -0.019 0.0104 -1.843 0.07011 Net FII (-1) 2.30(e-07) 1.30(e-07) 1.786 0.07893 IIP_1 0.049 0.018 2.6762 0.00948 TrSpd_1 -0.004 0.002 -1.9318 0.05789 Adjusted R-squared 0.81 F(7, 63): 56.51395 P-value(F) : 9.37e-25 Durbin-Watson : 2.115561 Table 3 VAR Lag Test: EMA Momentum Series lags loglik p(LR) AIC BIC HQC 1 -503.430 16.699 * 18.542 * 17.428 * 2 469.253 0.035 17.141 20.597 18.509 3 -417.203 0.00001 17.050 22.118 19.056 4 -370.738 0.00015 17.126 23.806 19.769 5 -319.594 0.00001 17.062 25.354 20.343 Table 4 VAR Equation Dependent EMA Momentum Series Coefficient Std.
From the test results, it is observed that along with the factors like Price-Earnings Ratio, Price-Book Ratio and Dividend Yield Ratio, the SMA and EMA momentum is also significant in deciding the pricing of the asset in the respective momentum series.
Except Price-Book ratio, all other parameters in VAR equation (Table 2) are significant.
The Sensex trades at 13.2 times future earnings, compared with the MSCI Emerging Markets Index's 10.5 times, and at a price-book ratio
of 2.8, less than the 10-year average of 3.3, according to data.
To control for factors (other than corporate governance) that might influence analysts' incentives to follow firms, we also gather data on the following variables: the percentage of all board members who are insiders (8); the percentage of outstanding shares owned by inside board members; firm size; trading volume; price-book ratio; share price momentum; and revenue growth.
We also include "Momentum" (one-year raw stock returns), one-year revenue growth, and the price-book ratio as indicators of high growth or "glamour stocks." Prior researchers, such as Jegadeesh, et al.
Our indicators for glamour firms include those with high price-book ratios, high revenue growth, or positive share price momentum.
The Qatari market continues to be the most expensive regional market with valuations of around 19 times forecast earnings and price-book ratios
of around 4.4 times.
Equity securities of large cap companies that have low forecasted price--earnings ratios, low price-book ratios
and high dividend yields.