Value relevance of valuation alternatives; Empirical evidence from the PEX and ASE

The purpose of the research is to examine the relationship between profitability measures, cash flow, and financial management, firm characteristics, and external factors, and their influence on Stock Return (SR) for listed industrial companies on PEX and ASE for the period 2015 to 2023. The research utilized a panel data analysis using STATA software to examine the relationship between independent and dependent variables in 45 manufacturing firms listed on the Palestine Exchange (PEX) and the Amman Stock Exchange (ASE). The sample was drawn from a population of 55 industrial firms in Palestine and Jordan. Data was extracted from the financial statements of these businesses for the years 2015 to 2023, excluding firms that entered or exited the market during this period. The study revealed that these factors collectively explain 34% of the Stock Return (SR) variability. The findings indicate statistically significant positive correlations between Dividends Per Share DPS, Earnings per Share (EPS), and COVID with SR. Conversely, negative correlations were observed between SR and Operating Cash Flow OCF. This paper's originality lies in the linkage between financial measures and external factors influencing stock returns. This study employs a fixed-effect regression model to identify positive and negative correlations between stock returns and various independent variables, providing a nuanced understanding of what drives stock returns in two markets that share legal and social attributes.