PREDICTING STOCK RETURNS USING FUNDAMENTAL INFORMATION AND MULTIVARIATE STATISTICAL MODELLING: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE

Authors : Ramazan AKTAŞ, Mehmet Baha KARAN

Pages : 433-450

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Publication Date : 2000-12-31

Article Type : Research Paper

Abstract :This paper performs a financial analysis that combines a set of fundamental information into a summarv measure which predicts the return of stocks bv usin2 logit analysis, The findings suggest that the predictive power of financial ratios is verv high and more important than the fundamental information. but the variables (ratios) of logit models are not stable from one period to another. Also it is found that there is a statistically significant   correlation benveen the observed and predicted ranking. We conclude that developing a more general model for prediction might solve the problem about unstable variables, but the general model has verv limited ability of ranking the stocks according to their perfonnance.
Keywords : Fnancial statement analysis, logit model, prediction of stock perfonnance