Which Fundamentals Differentiate Philippine Stock Winners from Laggards? A Rank-Based Multinomial Analysis of 2025 Price Appreciation

Abstract

This study examines whether firm-level fundamental indicators observed at the end of 2024 can meaningfully discriminate among Philippine-listed stocks according to their relative price appreciation performance over a one-year horizon in 2025. Rather than predicting continuous stock returns, the analysis adopts a rank-based classification framework to reflect the volatile and heterogeneous nature of short-horizon stock price movements in an emerging market context. Using a purposive sample of 73 actively traded firms, stock price appreciation was operationalized as a five-category ordinal rank based on relative performance. Bivariate screening employed Spearman’s rank-order correlation, followed by multinomial logistic regression as the primary inferential model after rejection of the proportional odds assumption required for ordinal regression. Exploratory nonparametric stratification and robustness checks using continuous returns and rank-transformed regression were also conducted. The multinomial model with four predictors (Debt-to-Assets, ROA, Sales CAGR, and Price-to-Cash) significantly improved fit over the intercept-only model (likelihood ratio χ²(16) = 31.455, p = .012) and demonstrated acceptable goodness-of-fit (Pearson p = .240; Deviance p = .996), with moderate explanatory power (Nagelkerke R² = .369). Overall classification accuracy reached 43.1% across five performance ranks (chance level = 20%). Price-to-Cash (P/Cash) was the only predictor with a statistically significant overall effect (χ²(4) = 16.308, p = .003) and remained the most stable signal across robustness checks. At the bivariate level, valuation-related indicators dominated the significant rank-to-rank associations, with P/Cash showing the strongest association with appreciation rank (r = .377, p = .001). Profitability (ROA) significantly differentiated the lowest-performing stocks from the highest-performing group in specific contrasts, while leverage and growth indicators exhibited contrast-specific and weaker effects. The findings indicate that short-horizon fundamental analysis in the Philippine stock market is most informative when framed as a problem of relative performance classification rather than precise return prediction, and they highlight the central role of cash-flow-based valuation in discriminating among stock performance tiers.