International Research Journal of Finance and Economics

ISSN 1450-2887 Issue 84 (2012)

Euro Journals Publishing, Inc. 2012
http://www.internationalresearchjournaloffinanceandeconomics.com

The Impact of Market-Based Ratios on Stock Returns: The

Evidence from Insurance Sector in Turkey
Emin Zeytinolu
Dumlupnar University, Accounting Department
Yasemin Deniz Akarim
Dumlupnar University, Banking and Finance Department
Sibel elik
Dumlupnar University, Insrurance and Risk Management Department
Abstract
In this paper, we test the impact of market based ratios on stock returns of insurance
companies in Turkey by applying panel data regression analysis. We use Earning per share
(EPS), price to earning ratio (P/E) and market to book ratio (M/B) as a proxy of market
based ratios. As a result, we find that market based ratio have explanatory power on both
the changes in current stock returns and one period ahead stock returns. However, while
EPS, P/E and M/B explains 6% of changes in current stock returns, EPS, P/E and M/B
explains 63% of one period ahead stock returns.
Keywords: Market Based Ratios, Insurance Sector, Panel Data Analysis
JEL Classification Codes: C33,G14, G22

1. Introduction
Information level is one of the most important factor which determines financial market efficiency.
Investors can increase their profits according to the impact of this information on stock prices. Efficient
market is one in which investors can not profit by using the existing information in the market.
Information gathering from financial tables is the basic information which investors use in investing;
through financial ratios from these financial tables, investors seek the ways to get abnormal returns.
The market where investors can get abnormal returns by using past prices or financial ratios is not
weak form efficienct as well.
Investors can diversify their investments by examining the present value and estimating future
value of their companies. In addition, stocks are the most preferred invesment instruments since they
provide higher return than other instruments. Thus, the factors determining stock returns are one of the
most important subjects in finance literature.
In determining the market value of companies, market-based ratios are the most used ones by
investors. Investors can forecast the real value of stocks by using market based ratios such as price to
earning ratio (P/E), earnings per share (EPS) and market to book ratio (M/B). If the real value of stock
is greater than the market value of stock, investors will prefer to buy this stock. In this respect, market
based ratios are important indicators for investment decisions.

International Research Journal of Finance and Economics Issue 84 (2012)

42

There are many studies relating the determinants of stock returns in the literature. While some
of these studies link changes in stock price to macroeconomic variable [Nishat and Shaheen (2004),
Wongbangpo and Sharma (2002), Bekaert et.al. (2002), Levine (1991), Levine and Zervos (1995),
Demirgue-Kunt and Levine (1996), Fama (1990), Ferson and Harvey (1991), Karagz and Armutlu
(2007), Chambers et.al. (2003), Aras and Mslmov (2003), Ylmaz et. al.(1997) Albeni and Demir
(2005), Demir and Yaclar (2009), skenderolu et.al. (2011) Dizdarlar and Derindere (2008)], some
of them link changes in stock price to firm spesific factors [Ou and Penmann (1989), Holthausen and
Larcke ( 1992), Lev and Thiagarajan (1993), Abarbanell and Bushee (1998), Beneish, Lee and Torpley
(2001), Jain (2002), Kalayc and Karata (2005) ]. Price to earning ratio (P/E) is the best measure
which reflects the firm specific factors and Friend and Puckett (1964), Basu (1977),(1983), Aydoan
and Grsoy(2000), Demir(2001), Krismawati and Movizar (2009) find positive and significant
relationship between stock price and price to earning ratio (P/E). In contrast, Mirfakhr et.al., (2011)
find negative and significant relationship between stock price and price to earning ratio. Chang et.al.
(2008) indicate that while P/E ratio is insufficient to explain stock prices in high-growth companies,
P/E ratio affects stock prices in low-growth companies. Nargeleekenler (2011) finds significant
relationship between P/E ratio and stock prices in some of the sectors included. Ashley (1962), Ball
et.al. (1993), Marsh and Power (1999), Yalner et.al. (2005), Mirfakhr et. al. (2011) find positive and
significant relationship between earnings per share and stock prices; however Somoye et.al.(2009), AlTamimia et.al. (2011), Rahgozar (2011) find weak and negative relationship between earnings per
share and stock prices. Demir (2001), amilolu (2006), Canba et.al. (2007), and Bykalvarc
(2011) find significant relationship between market to book ratio and stock prices.
The purpose of this paper is to test the impact of market based ratios on stock returns in
insurance sector in Turkey by using panel regression analysis. By this way, we determine whether
investors in insurance sector can obtain abnormal returns by using market based ratios or not. The
findings of paper is important in terms of forming investment strategies and market efficiency.

2. Data and Methodology

The dataset includes panel data of six insurance companies traded in Istanbul Stock Exchange1. Data is
obtained from quarterly financial statements for the period between 2000-20092.
The impact of market-based ratios of stock returns is analysed by using panel regression
analysis due to its advantages. Since panel data analysis includes both time series and cross section
dimensions, it is advantageous over time series and cross sectional analysis (Wooldridge, 2002).
Firstly, panel data analysis controls individual heterogenuity which is not controlled by time series
analysis and cross sectional analysis and it minimizes the risk of bias. Secondly, panel data provides
more observation since the data comes from both time series and cross section. Thus, we do not face
multicollinarity problem and increasing degree of freedom causes to increasing efficieny in
estimations. Lastly, panel data analysis provide to test more complex models (Baltagi, 2005).
The first stage of panel data analysis is to determine whether the model is one way or two way.
In one way model, only one way impact from time series or cross section dimension is discussed.
However, in two way model, both impact from time series and cross section dimension is discussed. In
both one or two way model, the impacts may be fixed or random. Fixed effect model assumes that
slope coefficients are fixed and try to explain differences in cross sectional unit through differences in
constant terms. For example, the data comes from QECD countries in a given period can be analysed
by using fixed effect model. The existence of fixed effects in residulas is tested through FOLS statistic
(Erlat, 2006):
1

The insurance companies are Ak Sigorta, Anadolu Sigorta, Anadolu Hayat, Gne Sigorta, Ray Sigorta, Yap Kredi
Sigorta.
2
Except for first, second and third quarter of 2000 and fourth quarter of 2009.
http://www.imkb.gov.tr/FinancialTables/companiesfinancialstatements.aspx

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International Research Journal of Finance and Economics Issue 84 (2012)

FOLS

*
*
* 1
1
*
( R OLS

,U r ) '[ R ( X ' X ) R '] ( R OLS ,U r ) df

=

p
SOLS ,U

S
SOLS ,U df
= OLS , R

SOLS ,U

(1)

df = T-K, SOLS ,R = uOLS , R ' uOLS ,R ve SOLS ,U = uOLS ,U ' uOLS ,U ve U and R denotes the
unrestricted and restricted estimations of * and 2 . Under normality assumptions FOLS will be
distributed exactly Fp,T-K.
The presence of one-way or two way fixed effects is tested by using three different hypotheses.
Firstly, it is necessary to test two way fixed effects by using following hypothesis:
H 1 : = 0, = 0 where refers to time effects and refers to individual (cross sectional) effects in
two way model. If we can not reject H1, it is not necessary to include fixed effects in model. If we
reject H1, following hypotheses must be tested : H 2 : = 0 | 0 ve H3 : = 0 | 0 (Erlat, 2006).
Random effects model may be appropriate when the cross sectional observations is selected
from random sampling. The presence of random effect is tested by using LM test (Breusch ve Pagan,
1980). LM test determines whether common variances of individual and time effect equals to zero or
not. Two way and one-way random effects are tested through following hypotheses respectively :
H1 : 2 = 2 = 0 , H 2 : 2 = 0 | 2 > 0 and H 3 : 2 = 0 | 2 > 0 . LM test used in testing these
hypotheses has 22 distribution (Erlat, 2006):
LM = LM + LM
2

2
2
T
N
N

u
u
NT i =1 t =1 it
NT t =1 i =1 it

1 +
1
LM =
(2)
N
T
N
T

2(T 1) uit2
2( N 1) uit2

i =1
t =1
i =1
t =1

Where N is number of cross sectional units and T is time period.

After examining the existence of random effects, Hausman test should be applied. The
important point is Hausman test does not provide to make a choice between fixed effect model and
random effect model (Erlat, 2006). The Hausman hypothesis test is used only for testing whether the
individual random effects are correlated with explanatory variables or not. If there is correlation
between individual random effects and explanatory variables, we conclude that fixed effect estimator is
consistent and efficient; however random effect estimator is not consistent (Hausman ve Taylor, 1981).
In Hausman test, following hypotheses are tested: H 0 = E ( | X ) = 0, H1 = E ( | X ) 0 .
After panel data analysis, the presence of heteroscedasticity in residuals is tested by using
H1 : 2i 2 j . LM
Lagrange (LM) test. Following hypotheses are tested: H 0 : 21 = = 21
statistic is following:

T N 2
LM h = 2i 1
2 i =1

(3)

where 2i = t =1 it2 / T , 2 = i =1 t =1 it2 / NT = i =1 2i / N .

T

In this paper, we estimate the impact of earning per share (EPS), price to earning ratio (P/E)
and market to book ratio on stock returns by using two different models. In the first model, we examine
the impact of market based ratios on current stock returns. In the second model, we examine the impact
of market based ratios on one period ahead stock returns. Estimated models are given in [4] and [5].

44

International Research Journal of Finance and Economics Issue 84 (2012)

Rt = 0 + 1EPSt + 2 P / Et + 3M / Bt + it

(4)

Rt +1 = 0 + 1EPSt + 2 P / Et + 3 M / Bt + it

(5)

Variables in [4] and [5] are explained in table.1.

Table.1:
Variable
R
EPS
P/E
M/B

Definition of Variables
Definition
Quarterly stock returns of insurance companies.
Quarterly earnings per share of insurance companies We calculate earnings per share by dividing net
profit to number of shares in circulation.
Quarterly price to earning ratio of insurance companies. We calculate P/S by dividing stock price to
earnings per share.
Quarterly market to book ration of insurance companies.

3. Empirical Findings
Firstly, we present summary statistics of variables in table.2.
Table.2:

Summary Statistics of Variables

Mean
Maximum Minimum
S.Dev.
Skewness
Kurtosis
R
-0,0098
0,9242
-1,1600
0,3806
-0,2313
3,4079
P/E
10,1946
499,9283
-883,2324
98,4819
-3,0803
43,2658
EPS
94,7287
1557,95
-0,4657
225,77
4,015
22,2948
M/B
1,8311
0,3771
0,4451
1,5414
3,4829
20,6278
JB: Jarque-Bera statistics. Q, Ljung-Box Q statistics. ***indicates 1% significant level.

JB
3,3292
14933***
3930,96***
3233,37***

Q
23,087***
34,931***
403,42***
363,06***

Between 2000-2009, the average stock returns of insurance companies are negative. Except for
return series, other variables do not have normal distribution. According to Q statistics there are
autocorrelation between lags of all given variables. The presence of autocorrelation in all variables
show that the past values of returns, P/E, EPS and M/B can be used to estimate futures values of these
variables. Positive P/E means that insurance companies are profitable during the given period.
After examining summary statistics of variables, we estimate [4] and [5] by applying panel
regression analysis. Firstly we test the existence of fixed effects in residuals through FOLS statistic.
Table.3 shows the findings of FOLS statistic.
Table.3:

Findings of F Test for Fixed Effects

F-value
p-value

H1
7,8724
0,0000

F-value
p-value

H1
7,1799
0,0000

Model-1
H2
0,3964
0,88509
Model-2
H2
0,3492
0,8823

H3
9,0900
0,0000
H3
8,4066
0,0000

According to table.3, we reject H 1 : = 0, = 0 hypothesis. So, we expect at least one-way

fixed effect in residuals. Then, following hypotheses must be tested: H 2 : = 0 | 0 ve

H3 : = 0 | 0 . In table.3 while we can not reject H2 hypothesis, we reject H3 hypothesis at 1%

level. Therefore, we conclude that there is fixed time effect and we should include fixed effects in
models.

45

International Research Journal of Finance and Economics Issue 84 (2012)

After testing the presence of fixed effects, we examine the existence of random effects by LM
test. The findings are in table.4.
Table.4:

Findings of LM Test for Random Effects

Chi-Square value
p-value

H1
167,5217
0,0000

Chi-Square value
p-value

144,6246
0,0000

Model-1
H2
1,5824
0,2084
Model-2
1,7015
0,1920

H3
165,9393
0,0000
142,9230
0,0000

In table.4 we reject H1 : 2 = 2 = 0 hypothesis at 1% level. So, we test following hypotheses:

H 2 : 2 = 0 | 2 > 0 ve H 3 : 2 = 0 | 2 > 0 . While we can not reject H2 hypothesis, we reject H3

hypothesis at 1% level. Thus, one way random effects can be used in estimating models.
The next stage is to test Hausman hypothesis to test whether the individual random effects are
correlated with explanatory variables or not. The findings are given in table.5.
Tablo.5:

Findings of Hausman Test

Model-1
Random time effects
2,4021
0,4932
Model-2
Random time effects
6,7577
0,0800

Chi-Square value
p-value

Chi-Square value
p-value

From table.5, while we can not reject H0 hypothesis for model-1, we can reject H0 hypothesis at
10% level for model-2. Therefore it is appropriate to use one way random time effects in estimation
model-1, it is appropriate to use one-way fixed time effects in estimating model-2.
Lastly, we test the presence of heteroscedasticity in residuals by using Lagrange Multiplier
(LM) test. As a result of LM test, we can not reject the null hypothesis with 22 =5,5964, (p=0,3474)
for model [4] and with 22 =8,2682, (p=0,1420) for model [5]. So, we conclude that there is no
heteroscedasticity problem in residuals.
In line with findings above, we present the findings of the model-4 and model-5 in table 6.
Table.6:

C
EPS

P/E
M/B

Findings of Panel Regression Estimation

Model-1
-0,0913
(0,0560)
[-1,6298]
0,0000
(0,0001)
[-0,2659]
-0,0001
(0,0001)
[-0,7606]
0,0452***
(0,0125)

Model-2
0,0035
(0,0297)
[0,1185]
-0,0000
(0,0000)
[-0,2436]
-0,0000
(0,0001)
[-0,3079]

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International Research Journal of Finance and Economics Issue 84 (2012)

Table.6:

Findings of Panel Regression Estimation - continued

[3,6090]
-0,0058
(0,0132)
[-0,4430]
0,0672

R2

2,2365
DW

0,6398
4,9528***

F
Note:

2,2578
8,2600***
***, ** and * indicates 1%, 5% and 10% significance level respectively. Standard deviation and t values are given
in () and [] respectively.

The findings in table.6 show that EPS, P/E ratio and M/B ratio do not have any impact on the
current stock returns. Only M/B ratio has positive and significant impact on current stock returns. In
other words, the decrease (increase) in M/B ratio causes to decrease (increase) in current stock returns.
When we examine the impact of EPS, P/E ratio, M/B ratio on one period ahead stock returns, although
the coefficients of variables are not significant, these variables explain 63% of change in one period
ahead stock returns. However, in model-1 this ratio is only 6%.

5. Conclusion
In this paper, we test the impact of market based ratios on both current and one period ahead stock
returns of insurance companies in Turkey by using panel regression analysis for the period between
2000-2009. We use earning per share (EPS), price to earning ratio (P/E) and market to book ratio
(M/B) as a proxy for market based ratios. First we determine the model which we will use in panel
regression estimation. As a result of Hausman test,it is appropriate to use one way random time effects
in estimation model-1 (in which dependent variable is current stock returns), it is appropriate to use
one-way fixed time effects in estimating model-2 (in which dependent variable is one period ahead
stock returns). In consequence of panel regression estimation, we find that market based ratio have
explanatory power on both the changes in current stock returns and one period ahead stock returns.
However, while EPS, P/E and M/B explains 6% of changes in current stock returns, EPS, P/E and M/B
explains 63% of one period ahead stock returns. This finding is important for investors in terms of
market based ratios can be used to obtain abnormal returns by investors in financial markets.

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