Search

In this paper we propose a novel approach to estimating and testing skewness in a stochastic volatility (SV) model. Our key idea is to replace a normal return error in the standard SV model with a split normal error. We show that this simple variation in the model brings about two large computational advantages. First, the SV can be simulated fast and efficiently using a one-block Gibbs sampling technique. Second, more importantly, this is the first to provide a marginal likelihood calculation method to formally test the skewness and SV in a Bayesian framework. We subsequently demonstrate the efficiency and reliability of our posterior sampling and model comparison methods through a simulation study. The simulation study results also show that neglecting skewness leads to inaccurate SV estimates and conditional expected returns. Our empirical applications to daily stock return data also show strong evidence of negative skewness.

This paper investigates the impact of regional factors on Islamic and conventional stock returns in the member countries of the Gulf Cooperation Council (GCC) from April 2011 to April 2021. This paper employs the quantile regression method to determine the effect of regional factors on GCC markets during different market states, enabling a more detailed investigation of the structure and degree of dependence. Regional stock market returns and regional political risk are used to study the effect of regional factors. The findings of this study reveal that the reaction of market returns to regional factors is heterogeneous across the conditional distribution of the GCC\"s stock returns. More specifically, the results demonstrate that changes in regional factors, with respect to Islamic and conventional markets, have asymmetric effects on stock returns in the majority of the GCC markets. Except in Qatar, the regional geopolitical risk negatively affects the GCC\"s Islamic stock returns during bearish markets. Results for conventional stock returns have the same negative effect, yet only in extreme market states. As for the impact of the regional stock market, we find that the regional Islamic index has a positive impact across almost all quantiles with a stronger effect during bullish markets, except in Bahrain and Oman. As for conventional markets, we observe the same impact throughout the GCC except for in Saudi Arabia. Islamic and conventional markets\" responses to changes in regional factors have similar behavior. Therefore, we conclude that, despite fundamental differences, Islamic and conventional stock markets in the GCC perform comparably, implying that a potential portfolio diversification benefit is not achieved except in limited cases.

Option-based measures can predict underlying stock returns, due to differences in price discovery and price pressure effects between options and underlying stocks. We investigate stock return predictability by various option price-based measures using REITs. REITs are more transparent and efficiently priced than general stocks, but REIT options are less liquid. Consistent with the model of Easley, O’Hara, and Srinivas (1998), most of the option price-based measures do not significantly forecast REIT stock returns, but changes in option implied volatilities are robust and significant return predictors. We provide further evidence supporting the informed trading channel instead of the price pressure effects.

International audience; Exloring the role of different types of investors on stock market is crticial since different types of investors react and behave differently when making investment decision. The role of investor behavior is a very important issue in an immature stock market like Vietnam stock market because the market is characterized by a large number of individual investors and low reporting standard. Institutional and foreign investors however play an influential role due to their large exposure and strong investment expertise. Clearly, examining the role of investor behavior and its impact on the stock market in Vietnam is an important topic in finance. A significant body of empirical research has shown that investor behavior is an essential factor to explain stock price that the classical financial theory cannot explain. This research examines the role of investor behavior in stock market by examining the relationship between investor behavior and stock return using the Vietnamese stock exchange data. We create a sentiment index using the principal components analysis (PCA). Consistent with the sentiment and stock return literature, the research shows a negative contemporaneous relationship between investor sentiment and market return.

The purpose of this study was to analyze the effect of corporate social responsibility disclosure, capital structure and financial distress on stock returns. The sample is a manufacturing company listed on the IDX between 2017 and 2021. The sampling method was carried out using the convenience sampling method, namely the sample was determined with certain considerations so that 38 companies were selected. Data analysis procedure with multiple linear regression analysis. The test results show that partially, capital structure and financial distress have a positive and significant effect on stock returns; while CSR disclosure proved to have no significant effect on stock returns. Simultaneously, the three independent variables analyzed proved to have a significant effect on stock returns.

Implemented in 2018, MiFID II changed sell-side analyst incentives in Europe, forcing analysts to justify the value they add. While the number of analysts decreases, the average stock return synchronicity with the market also decreases, implying an improvement in price informativeness. The decrease in synchronicity is larger for firms that are more important for the analysts and brokers covering them. It is also asymmetric and substantially larger for downside market movements. Our results suggest that, by changing incentives, MiFID II not only improves the quality of individual analyst work, but also achieves an improvement in the aggregate stock price informativeness.

Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9,000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including time-variation in jump-size distributions and jump intensity) are significantly related to news flow frequency and content and those effects increase substantially over the last few decades. The sensitivity of jump probability to news is stronger for firms with higher media visibility, analyst coverage, and institutional ownership. This sensitivity also varies across different news categories. The primary working dataset based on Factiva news can be downloaded using this link: https://www.dropbox.com/s/62lt6uq1t4n6gcr/MainData_Factiva_Public.zip?dl=0.

This study investigates the unsymmetrical effect from air quality (AQ) to stock return (SR) in China’s different industries. Depending on quantile-on-quantile (QQ) test, it draws the important results in following aspects. For tourism, iron and steel, and automobile industries, their coefficient values between AQ and SR turn into negative from positive with deteriorating AQ. Conversely, the coefficients in the wind power, hydro power, thermal power, environmental protection, and medical equipment industries turn positive from negative. Some contributions are thus drawn when compared to existing literatures. Government industrial policy is regarded as an important supplement in explaining mechanism from AQ to SR, except investor sentiment. Industrial heterogeneity is seriously treated in this paper due to different industries have different responses to AQ. Besides, the QQ test is able to capture nexus between AQ and SR in specific quantiles through embedding non-parametric estimation into conventional quantile approach. Therefore, investors should avoid biased trading decisions under different air qualities. Meanwhile, government intervention is paid special attention when appearing serious air pollution.

Optimal stock investment decisions rely on assessments of the distribution of expected returns. Using a representative sample, we find over half the US population cannot answer simple questions on expected stock returns. Respondents who are unable to make any return prediction, who cannot answer questions on the distribution of expected returns, or who reveal unlikely distributional beliefs participate less in the stock market and have smaller stock investments. However, overoptimistic investors are more likely to participate in the stock market and have larger stock investments. These results persist after controlling for financial literacy, intelligence, education, and demographics. People who are ignorant about stock return distribution are more likely to invest in equities if they have higher levels of trust. Therefore, trust can substitute for cognition as a factor positively associated with individuals’ propensity to invest.

This paper investigates differences in value relevance of predictive stock return models depending on which firm size proxy (or proxies) is used, these being market value (MV), total book assets (TBA) and market value of total book assets (MVTA). Over the 27 year period of 1989–2015, MV provides higher value relevance in predicting future returns, while TBA provides higher value relevance when limited to large firms. Moreover, results reveal incremental explanatory power of approximately 27% when TBA are added to a one-year-ahead returns model already containing MV. The increase is 60% when examining only the last 10 years of the sample period. The findings of this study will help future accounting and finance research that uses predictive return models and potentially allow investors to make better resource allocation decisions leading to higher risk adjusted returns. In addition, the findings related to TBA will add to the debate on whether standard setters should place more emphasis on the valuation of assets and liabilities relative to earnings.

We propose target date funds modified to exploit stock return predictability driven by the variance risk premium. The portfolio rule of these tactical target date funds (TTDFs) is extremely simplified relative to the optimal one, making it easy to implement and to communicate to investors. We show that saving for retirement in TTDFs generates economically large welfare gains, even after we introduce turnover restrictions and transaction costs, and after taking into account parameter uncertainty. This predictability also appears to be uncorrelated with individual household risk, suggesting that households are in a prime position to exploit it. This paper was accepted by Tomasz Piskorski, finance.

We compare the effects of corporate social responsibility (CSR) on firms' equity risk under two different (non-)financial reporting regimes: the risk-based U.S. and the content-based EU system. We observe a strongly negative CSR-risk relation in the EU, but hardly any in the U.S. In correspondence with goal-framing theory, we find several moderating effects on this association, depending on the reporting regime: i) A highly volatile market environment strengthens the risk-reducing effect of CSR in the U.S. system, but not in the EU; ii) Rising CSR awareness buttresses the risk-reducing effect of CSR in the EU, but weakens it in the U.S.; iii) Risk reductions are most strongly associated with social and governance rather than environmental activity in the EU regime, while there are no such individual effects in the U.S. Despite these differences, we observe that return-to-risk ratios decrease similarly with CSR activity in both the U.S. and EU system over the period 2003 - 2017.

This paper develops an equilibrium model featuring heterogeneity in investor risk tolerance across different risk sources. Using Australian data, it confirms the theoretical predictions of the model, by showing that a higher imputation credit yield in one year leads to a lower stock return in the next year, and this negative relationship between imputation credit yield and stock return is weaker for stocks with higher idiosyncratic risk, of larger size and with a higher trading turnover. Our theoretical and empirical evidence favours the aggregation approach in explaining the capitalization effect of imputation credits over the marginal investor approach.

Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options. We investigate the impact of this commonality on the underlying equity market's price discovery; however, the results indicate no significant impact. Our results suggest that, from the order imbalance perspective, equity order imbalance contributes more than options to explaining stock return variations. © 2021 The Authors

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility exponential GARCH (EGARCH) model with an integrated dynamic conditional correlation (DCC) approach to measure the impact on the financial portfolio returns from 2019 to 2020. Moreover, we used value-at-risk (VaR) and value-at-risk measurements based on the Cornish–Fisher expansion (CFVaR). The empirical results show significant long- and short-term spillover effects. The two-stage multivariate EGARCH model’s results show that the conditional volatilities of both asset portfolios surge more after positive news and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk when there are no external interruptions. Despite the financial assets’ sensitivity to shocks, they exhibit some resistance to fluctuations in market confidence. The VaR performance comparison results with the assets portfolios differ. During the COVID-19 outbreak, the Dow (DJI) index reports VaR’s highest loss, followed by the S&P500. Conversely, the CFVaR reports negative risk results for the entire cryptocurrency portfolio during the pandemic, except for the Ethereum (ETH).

We find that liquidity volatility negatively predicts stock returns in global markets. This relationship holds for different liquidity measures and cannot be explained by the idiosyncratic volatility effect. This puzzle can be explained by the asymmetric impact of liquidity increase and decrease on expected returns. Since the price decline following liquidity decrease outweighs the price appreciation after liquidity increase, high-liquidity-volatility stocks, which are more likely to experience large liquidity changes in either direction, tend to have negative returns on average. We find that including liquidity decrease explains the negative premium of liquidity volatility, while including liquidity increase does not.

Islamic stock market is apparently different from the conventional stock market due to the prohibition of unlawful goods and excessive risk-taking behavior. This study explores the extent to which the Indonesian Islamic and conventional stock returns' volatility responds to the macroeconomic indicators. This study employs Jakarta Islamic Index (JII) and Indonesian Stock Exchange (IDX) and uses monthly time-series data covering 2001: M1 - 2019: M12. The volatility of stock returns is measured using Generalized Autoregressive Conditional Heteroskedasticity (GARCH). By employing the Autoregressive Distributed Lag Model (ARDL), the results validate the evidence of the long-run relationship between the stock market's volatility and macroeconomic variables. A rising in money supply and an economic upturn reduce the volatility of conventional stock returns but only an expansionary money supply diminishes the volatility of Islamic stock returns. Conversely, high inflation and sharp depreciation of the Rupiah boost the stock returns' volatility. The results further show an interesting finding that the Islamic stock market's volatility is more responsive to changes in macroeconomic indicators than the volatility of their counterpart conventional stock market. Policymakers should take strict rules during the worst economic conditions to minimize the negative impact of the instability of macroeconomic variables.

The purpose of this resource is knowing side-effect of Return On Asset (ROA) and Economic Value Added (EVA) on Stock Return of pharmachy subsector manufature in Bursa Efek Indonesia (BEI) 2015-2020 in period. This methode is using kuantitative methode, while population in this research all pharmachy subsector companies which was listed in Bursa Efek Indonesia (BEI) which the total 10 companies. Where a the sample was taken by using samling purposive technic. There are 8 pharmachy companies which was listed in Bursa Efek Indonesia (BEI) by using financial report in period 2015-2020. Data collection methode is dicumentation and data analysis techniques whice was used, analysis description data, classic assumtion, multiple linear regression analyis, and hypothesis testing by using SPSS vers. 25 favour. The result of this research indicates that variable Return On Asset (ROA) and Economic Value Added (EVA) is required negative value, so that taking basic assumption is backward. We can conclude that is required value -Tcount < -Ttable -3,019 < -2.014 by sig. 0.004 < 0.05. By this case, it indicates that Ho declined and Ha received. On Economic Value Added variabel (EVA) value Tcount > Ttable (-0,858 > -2.014 by sig. 0.396 > 0.05 so that Ho declined and Ha received.The conclusion of this researching result is based on test result F, it wa proved that simultaneously was obtained Fcount > Ftable 4.558 > 3.20 and the grade of sig. 0.016 < 0.05. So that Ho declined and Ha received, and sinificant Return On Asset and Economic Value Added to Stock return

A green and sustainable business environment has gained the attention of recent researchers and policymakers due to environmental and social issues globally. Therefore, the present research investigates the impact of corporate social responsibilities (CSR), green investment, green credit, and assets return on the stock return of the Chinese export industry. This study has taken the ten top export companies from China using the database of the Shanghai stock exchange. This study collected data from financial statements and stock exchange databases from 2009 to 2020. This study has used panel data analysis techniques such as robust standard error and fixed effect model (FEM) to examine the relations among the variables. The results revealed that CSR, green investment, green credit, and return on assets have a significant and positive association with the stock return of selected industries. These results imply that CSR instigates higher financial performance in the export industry; thus, improving CSR and sustainable financing promote socio-economic and societal development.

Shareholder value maximisation has become very important for companies due to increased competition with globalization. The main objective of a company in financial terms is to maximize the value of its shareholders. However, traditional accounting-based performance measures are insufficient in this regard. Therefore, companies should be able to determine an appropriate measure to analyze their financial performance that reflects shareholder value. From this point of view, it is aimed to emphasize the importance of the Cash Flow Return on Investment (CFROI) and Economic Value Added (EVA) performance methods in maximisation the value of the shareholders. For the periods including the years 2015-2021 companies in the healthcare sector traded in Stock Exchange Istanbul (BIST) are analyzed. In the study, it is concluded that CFROI and EVA have a positive effect on stock returns of these companies but CFROI has bigger impact. Thus, the CFROI technique is the best measure of financial performance for shareholder value., Hissedar değeri maksimizasyonu, küreselleşme ile artan rekabet nedeniyle şirketler için çok önemli hale gelmiştir. Bir şirketin finansal açıdan temel amacı, hissedarlarının değerini en üst düzeye çıkarmaktır. Ancak geleneksel muhasebe tabanlı performans önlemleri bu konuda yetersizdir. Bu nedenle şirketler, hissedar değerini yansıtan finansal performansı analiz etmek için uygun bir yöntem belirleyebilmelidir. Bu bakış açısından, hissedarların değerini en üst düzeye çıkarmak için Nakit Akışı Yatırım Getirisi (CFROI) ve Ekonomik Katma Değer (EVA) ile performans yöntemlerinin önemini vurgulamayı amaçlanmaktadır. 2015-2021 yılları arasında Borsa İstanbul'da (BIST) işlem gören sağlık sektörü şirketleri analiz edilmektedir. Çalışmada, CFROI ve EVA'nın bu şirketlerin hisse senedi getirileri üzerinde olumlu bir etkisi olduğu sonucuna varılmıştır, ancak CFROI'nin daha büyük etkisi vardır. Dolayısıyla, CFROI tekniği, hissedar değeri için en iyi finansal performans ölçüsüdür.

The Indonesian government has been catching up with infrastructure development in recent years. In carrying out infrastructure development, funding and determination of the optimum capital structure are needed because this will affect a company's financial structure. The company's source of funds comes from foreign capital and equity as measured by the debt-to-equity ratio. However, in realizing the optimal determination of capital structure will affect several other financial ratios, therefore the aim of this study is to identify and examine the relationship between DER and DPR, SR and SR which uses FS and ROE as intervening variables. The data used were fourteen companies engaged in building construction and toll road construction. The results of this study indicate that there is a significant positive relationship between DER on FS, ROE, EPS and DPR, FS on EPS and ROE on DPR and EPS. The DER variable on DPR and EPS which is moderated by ROE and FS also has a significant positive relationship. On the other hand, the relationship between FS and DPR and the DER variable against DPR moderated by FS, show a significant negative, while the relationship between DER and SR is negative and insignificant. In addition, the relationship between FS and ROE on SR and DER against SR which is moderated by FS and ROE shows a positive but insignificant. Keywords: Debt Equity Ratio, Firm Size Earning Per Share, Return on Equity, Dividend Payout Ratio dan Stock Return.

The purpose of this study is to determine the predictability of the Pakistani stock market's one-day forward returns by utilizing lagged daily returns for Pakistan, India, and Malaysia from 2006 to 2016. The findings indicate that lagged Pakistani market returns significantly predict Pakistani one-day ahead market returns. However, the other two growing stock markets, India and Malaysia, show no association with one-day ahead market returns. Mostly, stock market behavior in the pre-2008 and post-2008 eras was the same, although industry return behaviour was different due to the economic crisis of 2008. However, the Pakistani stock market one-day ahead returns predict the own Pakistani lag returns due to an inefficient market and prices do not follow a random walk. As a result, investors and financial analysts can foresee and generate anomalous returns by using previous data and information. Key words: Stock Market Returns Predictability, Stock Market crash, Market efficiency

In light of the recent statements on the p-value criterion made by the American Statistical Association (ASA), it is now clear that that the current paradigm of statistical significance and its decision rule should be modified, in many fields of science including the business disciplines. We need a new or modified paradigm for “thoughtful, open and modest” research. This paper explains why we should adopt the ASA recommendations, and proposes a range of possible alternatives that may be included in a new paradigm for statistical research. As an application, the effect of seasonal affective disorder on stock return is re-evaluated.

This study aims to determine the effect of company performance factors, including Return Of Assets (ROA), Current Ratio (CR), Debt to Equity Ratio (DER) and Operating Leverage on stock returns with a case study of PT. Panin Dubai Syariah, Tbk in the period 2018-2020. This research is a quantitative research with a descriptive approach and sourced from the official website of the company PT. Panin Dubai Syariah, Tbk. The data analysis technique used is multiple linear regression and the data analysis application used is SPSS v24. The results showed that DER partially affected the stock return of PT. Panin Dubai Syariah, Tbk, while the ROA, CR, and Operating Leverage variables have no significant effect on the stock return of PT. Panin Dubai Syariah, Tbk. Simultaneously DER, ROA CR and Operating Leverage have a significant impact on stock returns, where the performance factor of liability to equity fundamentals (DER) is the most dominant factor on stock returns at PT. Panin Dubai Syariah, Tbk.

Purpose This study aims to examine the impact of internet financial reporting (IFR) on companies’ performances as measured by three performance indicators, namely, stock price, stock returns and company value. Design/methodology/approach A sample of 139 non-financial companies listed in the Egyptian stock exchange is used and classified as 108 IFR companies and 31 non-IFR companies. To test the research hypotheses, an independent t-test and multiple linear regression analyses are used. Findings The results indicate that there are no significant differences between IFR companies and non-IFR companies for both stock price and stock return variables. Conversely, there is a significant difference between IFR companies and non-IFR companies in the company value variable. These results imply rejecting hypotheses H1 and H4 and accepting the hypothesis of H7 that the presence of IFR has an impact on company value. The multiple regression analyses results indicate a significant relation between the scope of IFR and stock price. Likewise, between the degree of IFR and company value. Both degree and scope of IFR have an insignificant impact on stock return, which infer that applying different performance measures can reveal different conclusions. Research limitations/implications This research is a snapshot of IFR limited to a cross-sectional study and could not study the longitudinal data of internet reporting. Second, Marston and Polei (2004) contend that “weights contain an element of subjectivity, which cannot be completely avoided in the composition of such a score” (p. 297) and a variation in the disclosure index can lead to a modification in the results (Kaur and Kaur, 2020). This research applied a weighted index to measure the degree of IFR, which may affect the results and may change it if other indexes are applied. Moreover, the scores of the degree and scope of information disclosure are assumed to be similar every year due to the lack of information regarding the variations in content and presentation in the companies’ websites. Finally, the absence of a complete data set and stock prices for some companies in the sample. Practical implications To enhance the quantity and quality of IFR could be implemented through setting regulations and standards to govern IFR practices companies in Egypt. Moreover, the trade-off of the requirement of the Egyptian Financial Supervisory Authority for Egyptian companies make information available online and the secrecy culture profound in the Egyptian society (Ahmed et al., 2015) involve assigning a regulatory body for monitoring the IFR practices to ensure disseminating timely and accurate information that helps investors make rational decisions. Social implications The researchers recommend the suggestion to have an external assurance conducted by external auditors to enhance the accuracy and credibility of the IFR information. Originality/value Based on prior literature, no studies in Egypt compare between IFR companies and non-IFR companies concerning stock price and company value as measured by Tobin’s Q. Moreover, few research studies in Egypt covered the degree of IFR disclosure whilst not addressing the impact on the stock price. In addition, no prior study examined the scope of IFR disclosure in Egypt. Therefore, the research findings attribute to literature.

The financial report should report accurate information about the company situation so it can be utilized properly by stakeholders. This study aims to examine the effect of earnings management on stock returns. The data collection of this study used purposive sampling. A total of 1335 data were collected and used as research samples. The data that has been collected is then tested to obtain the results. Furthermore, in analyzing the data, the method used is descriptive statistics. Based on the analysis, the results of this study showed that earnings management has a significant effect on the stock return variable. This is because earnings management practices can trick investors into making investment transactions.

Investor assessment of information on the effect of Ramadhan on stock return and trading volume company activities in the capital market is an important phenomenon that always occurs. The purpose of this study was to analyze average abnormal returns and average trading volume activities of stocks before and after the announcement the effect Ramadhan as National Non-Natural Disaster. The method used was an event study with a sample of companies listed in the LQ45, JII, SRI KEHATI, and PEFINDO Indexes. Observations of the 30-day Ramadan event were carried out from April 23 to March 24, 2021, in the month of Sha'ban - syawwal, using 15 samples obtained from IDX (Indonesian Stock Exchange) data. The analytical tool used was regression supported by the SPSS application. The results of the study showed that the Abnormal Returns (AR) was significantly different before (Sya'ban) and after the month of Ramadan (Syawal) for companies on the Indonesia Stock Exchange in 2021, indicating a consistent AR reaction to the Ramadhan Effect. Meanwhile, Trading Volume Activities (TVA) didn't differ significantly before (Sya'ban) and after the month Ramadan (Syawal) at companies on Indonesia Stock Exchanges in 2021. This study updates previous research by including the effect of Ramadan as a research test variable.

This study aims to examine the effect of a religious-related calendar anomaly, namely Ramadan, on stock return and volatility of a Sharia-based index in Indonesia. This study used the GARCH (p,q) method and linear regression to examine the effect of Ramadan on stock returns and volatility, with Ramadan as a dummy variable. This study results show that Ramadan month has a significant positive effect on stock returns, or it can be said that an anomaly occurs during Ramadan month. Meanwhile, volatility during Ramadan month is negative and not significant. This study also exercised a T-test to support the GARCH regression (p,q) and linear regression results. The t-test results show that the average return during Ramadan is higher than in other months. Meanwhile, the average volatility during Ramadan is lower than in other months.

Improving product nutrition has become an increasingly important area of innovation in the food and beverage industry. However, the contribution made by a product’s nutritional quality to the firm’s bottom line has been little studied. To fill this gap, we first developed an analytical model to study the relationship between a product’s nutritional quality and the firm’s profit, and then investigated the role of package innovation and advertising in this relationship. The results show that a product’s nutritional quality has a concave relationship with the firm’s profit, and that the relationship is influenced positively by both package innovation and advertising. Finally, we empirically examined product nutrition across a wide range of product categories and corresponding firms’ profits over multiple years to test if the results derived from our analytical models hold for empirical data from real businesses. Furthermore, we empirically investigated how a new product’s nutritional quality impacts the firm’s stock return after the product’s introduction.

This research aims to examine:The Influence of Accounting Profit to Stock Return in 2014-2018,The influence of Operating Cash Flow to Stock Return in 2014-2018,The Influence of Accounting Profit and Operating Cash Flow simultaneously to Stock Return in 2014-2018.The data used in this study are financial report published on the Indonesian stock exchange website. The population in this study were coal mining companies listed on the Indonesia stock exchange for the period 2014-2018. The sampling technique used purposive sampling so that 10 companies were obtained as research samples. Technical data analysis using descriptive statistical analysis,classic assumption test, multiple linear regression analysis, t test,and F test.Based on hypothesis testing by using t test, it is concluded that Accounting Profit is not positive influence on Stock Return and Operating Cash Flow have positive effect on Stock Return. Based on F test it is concluded that Accounting Profit and Operating Cash Flow simultaneously have a positive effect on Stock Return.

Whether a stock market should matter or not when monetary policy is concerned seems to be a controversial issue. The purpose of this study is to indicate whether the central bank should use monetary policy to help the stock market or not. Based on macroeconomic data such as interest rate and the stock market, we adopt a novel Bayesian time-varying regression model and determine that the impact of interest rate changes on stock returns varies over time in China, after controlling various macroeconomic factors. Although on average interest rates negatively impact stock price returns, they tend to have an abnormal positive effect at market high points, following a time-varying dynamic pattern. Surprisingly, during periods of overheated economic development, an increase in interest rates cannot suppress the rise in stock prices. Therefore, policymakers need to pay attention when accelerating the marketisation of interest rates and initiating the preventive role of timely and strategic adjustment of interest rates.

This study aims to examine and analyze the effect of financial distress with the Altman and Springate Models on stock returns either directly or indirectly by involving earnings management as a mediation. This study uses secondary data from Textile and Garment Companies listed on the Indonesia Stock Exchange from 2015-2019, with a sample of 20 companies using sampling so that 100 observations are obtained. The data is obtained from the annual financial statements. The data analysis technique used SEM-PLS with the help of WarpPLS 6.0 software. The results of the study provide empirical evidence that financial distress has a positive effect on earnings management, while financial distress and earnings management has a negative effect on stock returns. Earnings management is able to mediate the effect of financial distress on stock returns.

In the A-share market, which is dominated by retail investors, most investors lack financial market expertise. Securities analysts’ attention to listed companies has become a reference for investors’ transactions. Based on the data of non-financial listed companies in Shanghai and Shenzhen A-share markets from 1997 to 2020, this paper empirically studies the influence of analyst attention on the idiosyncratic volatility effect by means of portfolio analysis and Fama-Macbeth regression analysis. The results show that: Firstly, A-share market has a significant idiosyncratic volatility effect, and it still exists after adding company, market, annual and industry variables; Secondly, Analyst attention will significantly reduce the idiosyncratic volatility effect, and it still exists significantly after adding company, market, annual, and industry control variables; the research conclusions provide practical guidance for explaining the idiosyncratic volatility effect and the forecast of analyst attention.

This study aims to see how much Debt To Equity Ratio (DER), Market Ratio (Price Book Value) and Total Asset Turn Over (TATO) Influence On Property Companies Listed in ISSI. The number of samples in this study as many as 10 samples of the company and research conducted from 2016-2018. The data analysis methods used to test hypotheses are descriptive analysis test, classic Assumption Test, Multiple linear analysis test, and Hypothesis Test which is processed in a statistical manner and using Statistic for product and service solution (SPSS) program version 25.00 year 2020. The results showed that variable Debt To equity Ratio (DER), Market Ratio (Price book value) and Total Asset Turn Over (TATO) simultaneously have a significant influence on Stock Return. While partially the effect varies, Debt To Equity Ratio and Total Asset Turn Over have no significant effect on Stock Return. While the market ratio (Price Book value) has a significant influence and has a negative direction towards Stock Return.

The purpose of this study to test the stock return by implemented Debt to Equity Ratio, Net Profit Margin, Return On Asset, Total Asset Turn Over of automotive and component industries listed in Indonesian Stock Exchange (IDX) 2015-2019 period. The entire population was 15 companies. Purposive sampling method was the technique used in sampling retrieval. From the method of determining the sample by purposive sampling, the were 11 companies that met the sampling criteria. The data analysis techniques used SPSS 20 analysis tools. The result showed that simultaneously DER, NPM, ROA, and, TATO had significant impact to stock return. In partial, DER had negative impact and did not significant impact to stock return. NPM variables affect significant negative to stock return. ROA and TATO had significant positive impact to stock return. ABSTRAK Maksud penelitian ini untuk menguji return saham dengan mengimplementasikan Debt to Equity Ratio, Net Profit Margin, Return On Asset, Total Asset Turn Over pada perusahaan sektor industri otomotif dan komponen yang terdaftar di Bursa Efek Indonesia (BEI) pada periode 2015-2019. Keseluruhan populasi yang ada yaitu berjumlah 15 perusahaan. Metode purposive sampling adalah teknik yang digunakan dalam pengambilan sampel penelitian. Dari metode penentuan sampel dengan purposive sampling, didapatkan 11 perusahaan yang memenuhi kriteria pengambilan sampel. SPSS 20 digunakan sebagai alat analisis dalam menganalisis data. Secara simultan, hasilnya yaitu variabel DER, NPM, ROA, dan TATO memengaruhi return saham secara signifikan. Secara parsial, variabel DER memengaruhi return saham secara negatif dan tidak signifikan. Variabel NPM memengaruhi return saham secara negatif dan signifikan. Variabel ROA dan variabel TATO memengaruhi return saham secara positif signifikan.

This research discusses and analyzes the company's profitability related to the company's stock return performance Profitability of the firm is related to the firm's performance of stock return. This study uses time-series data with a total sample of 1,010 firms from five countries in ASEAN (Indonesia, Thailand, Malaysia, Philippines, and Vietnam) from January 2010 to December 2019. Fama-French 3 factor model based on two different profitability showed that profitability positively affects the stock return in ASEAN markets. Fama-MacBeth's (1973) regression confirms that firm profitability scaled by operating profit-to-equity or operating profit-to-assets positively influences expected stock returns in the ASEAN market.DOI: 10.26905/jkdp.v25i3.5598

Deep learning methods have been developed, used in various fields, and they have shown outstanding performances in many cases. Many studies predicted a daily stock return, a classic example of time-series data, using deep learning methods. We also tried to apply deep learning methods to Korea’s stock market data. We used Korea’s stock market index (KOSPI) and several individual stocks to forecast daily returns and directions. We compared several deep learning models with other machine learning methods, including random forest and XGBoost. In regression, long short term memory (LSTM) and gated recurrent unit (GRU) models are better than other prediction models. For the classification applications, there is no clear winner. However, even the best deep learning models cannot predict significantly better than the simple base model. We believe that it is challenging to predict daily stock return data even if we use the latest deep learning methods.

Return is one of the factors that investors pay attention in determining their investment policies. For this reason, this study analyzes the effect of several conventional financial performance indicators such as total asset turnover, current assets, debt to equity ratio, and return on assets to stock returns. Other variables that are seen as new indicators such as economic value added, human economic value added, and value added intellectual capital are also examined for their effects on stock returns. Companies engaged in the energy sector in Indonesia and Malaysia were made as objects in this study. OLS regression is used to analyze the effect of independent variables on the dependent variable. The results of an analysis of energy company data in Indonesia show that debt to equity ratio and human economic value added have a negative and significant effect on stock returns, while economic value added and value added intellectual capital have a positive and significant effect on stock returns. As for the object of research on energy companies in Malaysia, the results showed that total asset turnover, economic value added and value added intellectual capital had a positive and significant effect on stock returns.

The author examines whether the direct and indirect sentiment measures are distinct from each other. The author finds that the 2 types of sentiment measures have a relatively low correlation betwee...

The pandemic Covid-19 caused panic not only in health sectors but also weakened the world’s economy. The stock market, as one of the barometers of the economy, was hit by the pandemic Covid-19. The impact of Covid-19 on the stock market provides a signal for investors. Stock returns are what investors look for when investing in stocks. Returns on the stock exchange respond to several events, one of which is the news about health related to the Covid-19 pandemic. This study aims to seek whether the Covid-19 outbreak affects stock returns in Indonesia Stock Exchange. Using daily data of Covid-19 confirmed case, daily data of Covid-19 death cases, and stock returns data in Indonesia from January 2, 2020, to December 31, 2020. The panel-data regression model is used to estimate the result of the study. This study shows that stock returns in Indonesia Stock Exchange respond negatively significantly as the number of confirmed cases increases also stock returns in Indonesia respond negatively significantly to the daily growth of death cases. This study also finds that stock return in consumer goods and basic chemical industry were the impacted industries caused by pandemic Covid-19. Empirical findings could be used for the practitioner to consider investing in the stock market to avoid the significant impact of such outbreaks in the future.

The study investigates the dynamic relationship between trading volume and stock returns on the JSE. The results show prima facie evidence of causality from returns to trading volume in the middle ...

Strong companies will not be too affected by news issues about stock splits, but several other companies that do stock splits actually experience a decline in demand for their shares. This study aims to analyze the effect of stock splits on abnormal stock returns and stock liquidity. In this study, the authors use quantitative research methods with a descriptive research approach, because there are variables to be examined and the relationship aims to describe the characteristics or behavior of a population in a systematic and accurate way regarding the relationship between the variables to be studied. The population in this study are companies listed on the Indonesia Stock Exchange, namely companies that carried out stock splits in 2019. Based on the results of research, the authors draw the following conclusions: Based on statistical tests on abnormal returns, it was found that market reactions occurred during the day after the stock split, the first day until the fourth day after the stock split. Based on the results of the different tests on Abnormal Returns before and after the stock split, it shows that there is a significant difference between the returns before and after the stock split. Based on the results of the different tests on the average TVA before and after the stock split, it shows that there is a significant difference between TVA before and after the stock split.

The study aims to examine the reaction of stock investors in the food and beverage sub-sector to the announcement of COVID-19 on the Indonesia Stock Exchange (IDX) and the Turkish Istanbul Exchange (BIST). The approach method is an Event Study by comparing the return and volume of trading activity before and after the announcement of COVID-19 on the Indonesian and Turkish Stock Exchanges. The research sample is 32 IDX stocks and 27 BIST stocks. Observation period 13 weeks before and after the announcement. The distribution of the data is the basis for the selection of hypothesis testing. The study results showed that IDX investors reacted positively to the announcement of the COVID-19 pandemic, where stock returns were higher than before. Likewise, VTA was higher after the information, although not significant. Meanwhile, on the Turkish Stock Exchange, investors' positive reactions were shown by stock returns and trading volume activity, which was significantly higher after the COVID-19 announcement than IDX, which tends to stagnate.

This paper investigates the impact of the coronavirus disease 2019 pandemic on investors' trading behaviors around ex‐dividend dates in Europe. The sudden decrease in the number of companies paying dividends reduced the opportunities to capture dividends. Thus, the firms that maintained dividend payments during the pandemic attracted more interest than before. This led to a doubling in the magnitude of stock return patterns usually observed around ex‐dividend days. Our evidence indicates that dividend‐seeking investors are likely to be the main driver of the price patterns observed around ex‐dividend dates.