Company Attributes and Stock Returns: A Comparative Study Between Selected Banks and Insurance Companies Listed on Dhaka Stock Exchange

Abstract

This study focuses on four company attributes (firm beta, firm size, turnover by value, and volume of shares traded) that influence the stock returns of two separate industries- private commercial banks (PCBs) and insurance companies enlisted in Dhaka Stock Exchange (DSE), Bangladesh. Both of these industries have significant background to be considered in the empirical analysis while the stock returns of these selected companies being influenced by different attributes that exist in the Bangladesh stock market. This study integrates balanced panel data (in total 9,269 observations) including twenty-nine selected PCBs (3,692 observations) and forty-four selected insurance companies (5,577 observations) for the period from 2009 to 2019. The findings of the panel data analysis reveal that out of the four independent variables incorporated into the panel data analysis, three of the firm attributes (firm size, turnover by value, and volume of shares traded) have significant impact on the stock returns of both the mentioned industries- PCBs and insurance companies. But the impact of firm Beta on the stock returns is significant in case of the stock returns of selected PCBs; whereas the impact of the same variable is insignificant in case of the stock returns of chosen insurance companies enlisted in DSE.

Keywords: Firm beta; firm size; turnover by value; volume of shares traded; private commercial banks; insurance companies

DOI: 10.7176/RJFA/12-22-03

Publication date: November 30th 2021