MACROECONOMICS, FIRM-SPECIFIC FACTORS AND EXCESS RETURN: AN EMPIRICAL INVESTIGATION FROM AMMAN STOCK EXCHANGE

摘要

This study identifies the determinants of excess stock returns for all industrial firms in Jordan during the period 2007-2014. We use multiple regression model and an unbalanced panel design for obtaining results and analyzing data. The results show that excess stock return is positively and significantly affected by turnover ratio, market to book ratio, return on assets, market return, and dividend yield. It is negatively and significantly affected by financial leverage, and gross domestic product.%Excess Stock Return; Excess Market Return; Macroeconomics Variables; Firm-Specific Variables; Industrial Firms; Panel Data; ASE