رابطه بهره وري سرمايه با بازده آتي سهام و تاثير آن بر استراتژي هاي سرمايه گذاري ارزشي و رشدي

Exploring the Relationship between Capital Productivity and Future Stock Returns and its Effect on Value and Growth Investment Styles

In this research the importance of capital productivity in investment process, especially in value and growth styles is examined. Capital productivity measures the management achievement in employing capital as an important and limited resource of firms, and the extent to which they apply invested capital effectively. An investment strategy is a set of rules, behaviors or procedures, designed to guide an investorʹs selection of an investment portfolio. We seek to analyze the relation between capital productivity and future stock returns and thereafter the effect of this relationship on return of value and growth styles in Tehran Stock Exchange (TSE). We use return on invested capital ratio as the proxy of capital productivity and capital to enterprise value ratio as the value and growth indicator. Our study contains I I years (1997 - 2007) data of active corporations in TSE. It is shown that capital productivity has a significant relation with future stock returns, contains value and growth information, affects these strategies significantly, and eventually results in different returns. It is suggested that investors consider capital productivity in their portfolio selection strategy