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The objective of this study is to determine the impact of variable volatility of stock price, trading frequency, and share returns on bid-ask spreads either partially or simultaneously for LQ45 index member companies. The quantitative method is the method used in the study, the population in this study was 45 companies listed in the LK45 index, whereas, for the sample this study used 8 companies with the observation period 2019-2022, the findings in this research had a negative and significant effect on the price-ask variable bid spread, while for Frequency Trading and Share Return Variables did not affect the bid-ash spread it was marked by the reevaluation value of trading currency and stock return variability, while to test jointly on the entire variable value of the price of stocks, frequencies, and trade per share significantly affected the return of stocks in terms of the value of bid-assets being divided. This study concludes that by understanding the impact of stock price volatility and trading frequency, investors can develop better strategies to manage risk and maximize profits. Keywords: Stock Price Volatility; Trading Frequency; Stock Return; Bid-ask spread

Investors’ attitudes were severely altered by the Covid-19 crisis, which had an intolerable effect on volatile returns in Nigerian stock market and other stock markets worldwide. Psychological trauma was experienced by stock investors due to the inability to foresee returns following the worldwide shock of Covid-19 and the subsequent drop in stock investments brought on by the unpredictability of macroeconomic behavior. This study analyzed the link effect of investor psyche on stock returns in Nigeria between March 2019 and December 2022. For this research, Sentiment Index (SMI) model was employed for the connection between investors psyche and returns on the Nigerian stock market. It was found that, investors psyche during Covid-19 pandemic negatively affected stock returns, resulting from negative concerns about their survival and financial security than the stock market, thus triggered sharp decline in stock investment. Thus, study concluded that Covid-19 outbreak impacted stock returns negatively. The research recommends that the Nigerian stock exchange commission should increase disclosure of market information, which is related to the magnitude and potentials of stock returns and degree of volatility at all times. The concerned volatility and potentials during the Covid-19 era were also influential to enhance investors’ confidence.

Despite the increased interest in socially and environmentally responsible investments, there is a lack of consensus about the effects they exert on companies’ financial performance. The paper examines the reaction of Russian companies’ stock prices to the news about ESG investments made by these companies. The theoretical basis is stakeholder theory suggesting that firms can achieve long-term success solely by protecting the interests of all their stakeholders – not only shareholders, but also employees, local communities, and future generations. To implement the research, we use the event study on a sample of 202 news items about ESG investments of 11 Russian companies topping the ESG-rating by RA-Expert agency. Data were collected from news search engine Factiva and Yahoo!Finance. The data sample include news and stock prices over the period of 2019–2022. According to the research findings, news about Russian companies’ investments in environmental projects, solution of social problems and corporate governance issues do not lead to a rise in stock returns for these companies. Thus, Russian investors do not consider ESG projects and practices as an important decision-making criterion that increases the investment attractiveness of companies.

The book-to-market ratio is known as an anomaly variable in the financial literature. This variable has a high explanatory power in predicting the returns of companies in different capital markets across world; But understanding why it has the power to explain is still a matter of debate. In this study, we seek a clear understanding of the explanatory power of the ratio of book-to-market ratio in explaining the annual return of cross-sectional data of stocks on the Tehran Stock Exchange. Book value can be divided into two parts: retained earnings and contributed capital, which have different economic meanings for readers of financial statements. Our hypothesis is that the predictive power of the book-to-market ratio arises from a component of book value that could be a good proxy for underlying earnings yield. Using the method of Fama and Macbeth (1973), we regress the annual return of cross-sectional data of companies listed on the Tehran Stock Exchange for the years 2001-2019 on the ratio of book-to-market ratio and its two components. Neither component of book-to-market ratio could eliminate the predictive power of this ratio; however, the ratio of retained Earnings-to-market ratio could show predictive power along with the book-to-market ratio. We contribute to the literature by providing additional evidence from Tehran's Stock Exchange.1- IntroductionThe book-to-market ratio is known as an anomaly variable in the financial literature. It has appeared as a key explanatory variable with high explanatory power in predicting the returns of firms in capital markets across the world, however, understanding the mechanism through which this financial factor functions and its origin of the explanatory power is still a matter of research debates. Empirical researches on the returns and “book to market value” can be divided into two strands. The first group aims to examine the existence of abnormal returns on the ratio of "book to market value" in the stock markets. This stream of works aim to answer the question of whether the "book to market value" is able to predict companies' returns in capital markets or the returns is caused by other sources including random noise. Rosenberg et al. (1985) show, for instance, that in the US capital market, the strategy of the "book to market value" can yield abnormal returns for investors. In terms of this strategy, at the beginning of each month, the shares with a high "book to market value" are bought and the shares that have a low "book to market value" ratio are sold. A relationship between the ratio and average stock returns for the period 1981-1981 in the capital markets of Switzerland, France, Germany and the United Kingdom has also been observed by Coppole, Rollie and Sharp (1992). The second stream of studies on the "book to market value" seeks to understand the cause of its explanatory power. This issue is an active research area and is still subject of discussions and has been studied from various aspects. One of the most highly cited of them is Fama and French (1993), which attributes high returns in stocks with a higher magnitude of "book to market value", to higher systematic risk. In contrast, Daniel and Titman (1997) introduces the hypothesis of equity characteristics and by providing empirical evidence argues that the returns premia on high book-to-market stocks does not arises because of the co-movements of these stocks with pervasive factors. It is the characteristics of the share rather than the covariance structure of returns that appear to explain the cross-sectional variation in stock returns. So, these are not associated with greater risk tolerance. Ball, Gerakos, Linnaeus, and Nikolaev (2020) examines the "book to market value" through its components (retained earnings and contributed capital) in the US capital market. He argues that the ability of "book to market value" to predict the cross-sectional returns is not because of its intrinsic information contents, but it appears as an appropriate proxy for the actual profitability of the firms, because, the retained earnings component of the book value of equity includes the accumulation and, hence, the averaging of past earnings, instead the contributed capital-to-market has no predictive power. HypothesesWe contribute to the literature by providing additional evidence from Tehran's Stock Exchange. Our study aims to provide further evidence to clarify explanatory power of the ratio in predicting the variations of annual returns in cross-sectional data for stocks in the Tehran Stock Exchange. Our hypothesis is that the predictive power of the book-to-market ratio arises from a component of book value that could be an appropriate proxy for underlying earnings yield. Data and Identification methodologyWe use the annual returns and financial statements of all shares traded from the beginning of 2001 to the end of 2020 in Tehran Stock Exchange. Annual returns are calculated from price data recorded and reported in the “tseclient” software and accounting data are downloaded from “codal.ir” website. In this research, financial companies listed in the TSE have not been included in our working sample due to their special nature. Because, by nature of their activities, they have high financial leverage, which is normal for companies active in the financial field. The characteristics might be interpreted as a financially critical situation, whereas, the it is not so for firm that are active in financial fields. The information extracted from the financial statements is matched with the annual return of 1 month after the end of the financial year. The reason for this identification strategy is to make sure that the published financial information affects the share price. For example, if the company's financial year is at the end of March, we will assume that this information was available to the public at the end of April. Findings Following the statistical method of Fama and Macbeth (1973), we regress the annual return for cross-sectional data of companies listed on the Tehran Stock Exchange over the years 2001-2019 on the ratio of book-to-market ratio and its two components as well. Neither component of book-to-market ratio could eliminate the predictive power of book-to-market; however, the ratio of retained Earnings-to-market ratio could show predictive power along with the book-to-market ratio. Table (1) reports the Fama and Macbeth (1973) regressions in which, outcome of interest is returns and determinants of the regression are the log of "Book to Market Value", log of " Retained Earnings to the Market Value " and log of "Contributed Capital to Market value". We include a few controlling variables that are identified theoretically as determinants of returns.Table(1): Contributed Capital and Retained Earnings in the Fama and Macbeth Regression(1)(2)(3)(4)(5)(6)Variables-0.129**-0.128**-0.116**-0.0901**-0.126**-0.103**Log(Market Value)(-2.680)(-2.762)(-2.492)(-2.474)(-2.257)(-2.228)0.498** 0.210** 0.508** Log( Book-to-Maket)(2.744) (2.471) (2.342) 10.53***8.557** 9.914**Log(Retained Earnings to market Value) (2.992)(2.426) (2.890) 0.371***0.004060.255***Log(Contributed Capital) (3.446)(0.0438)(3.343) 0.619***0.560*** 0.415**Binary if profit>0 (3.382)(3.058) (2.256)2.973**-19.64***-15.47**2.429**2.959**-18.34**Constant(2.731)(-2.907)(-2.272)(2.825)(2.534)(-2.806) 3,7943,7943,7943,7943,7943,794#OBS0.1210.1440.1880.0990.1350.189R-Square212121212121# Groups*** p

Stock return is an indicator of banking performance in Indonesia. This study aims to empirically test non-performing loans and loan deposit ratios on stock returns mediated by return on assets at commercial banks listed on the Indonesian stock exchange in 2016-2018. The sample used in this study was 20 bank companies that met predetermined criteria. The data that has been collected is then analyzed using Path analysis to test the proposed hypothesis. The findings of this study indicate that non-performing loans and loan deposit ratios each have a significant effect on stock returns and are mediated by return on assets. Based on these findings, it is recommended that banking companies, in managing financial ratios, must run more optimally to maximize stock returns obtained by banks. Non-performing loan, loan deposit ratio is a bank's financial ratio to assess its performance. These financial ratios have a purpose to determine the bank's ability to optimize the level of lending to the public, generate profits from the activities carried out and reject the risks from its operational activities. For banking companies, the findings of this study can be used in policy-making related to the delivery of information on bank performance reports to investors.

This research aimed to identify how to examine and analyze the effects of foreign direct investment and profitability on the stock returns in manufacturing companies registered on IDX during 2016 – 2018. The total population was 91 companies registered and filtered into 32 registered companies according to the sample criteria and analyzed through Eviews 10 software. The research result referred that the foreign direct investment received by multinational companies could not yet affect stock return directly. Also, foreign direct investment was not able to influence the return on asset (ROA), but it was able to affect the return on equity (ROE). Further, ROA was not able to affect the increase of stock returns, while ROE was able to affect the rise of stock returns. Another research finding showed that ROE was the only one that could be a mediation variable in the relationship between foreign direct investment affecting stock returns. At the same time, ROA could not be a mediation variable. For the next studies, the researchers suggested exploring the other financial performance variables suited to foreign direct investment to affect the stock returns. In practice implication from this research, the investors must see how strong the capital owned by a company that accepts foreign direct investment and the relation, how the capital they receive can improve or maintain the company's financial performance within a certain period of time.

The relationship between investor sentiment and market dynamics is a highly intriguing research topic for both academics and the financial industry. By using Spearman rank correlation analysis, this paper aims to explore investors’ decision-making behavior (rational and irrational) on stock returns during and after the COVID-19 outbreak. While irrational factors of the study were measured by the Google Search Volume Index and trading volume, rational factors were measured by profitability and size. The study used three different characteristics of subsectors manufacturing industry namely Food and Beverage, Pharmacy, and Cigarettes that are listed in the Indonesia Stock Market. To the best of our knowledge, our study is the first to examine and compare the level of rationality of investors in a wide range of industries and sectors during and after the COVID-19 pandemic. Our finding supports the notion that both sentiments have an effect on stock returns indicating that cognitions, emotions, and the noise of traders still have an impact on the market. While overall rational sentiment has a more significant correlation with stock returns during the economic recovery phase, there was a highly significant correlation between irrational factors and stock returns during pandemic uncertainty conditions. Moreover, investors tend to be irrational and overreact when making investment decisions in Cigarette sectors during the COVID-19 pandemic. In contrast, after the pandemic, the correlation of rational sentiment of investors toward the Pharmacy industry is still higher than others.

The nexus between stock return and macroeconomic indicators have been a debatable phenomenon for a long time. It has also be one of the major issues for domestic and foreign investors in building efficient and optimum stock portfolio in the capital market. However, the unstable macroeconomic indicators adversely affect the level of stock return in the Nigerian capital market. Against this background, this study investigates the effect of macroeconomic factors on stock return in the Nigerian capital market. The study employed secondary data obtained from Nigeria Stock Exchange (NSE) fact book and Central Bank of Nigeria (CBN) statistical bulletin within the period of 1998 to 2019. The data obtained was subjected to Autoregressive Distribution Lag (ARDL) method of analysis. Findings revealed that money supply and aggregate industrial production positively and significantly affect stock return with co-efficient and P-value at (β=0.466098, P

This study aims to investigate investor sentiment and its effect on the industrial sector in Indonesia. In the study, investor sentiment was extracted from data obtained from search engines. Then the data were used to see how the sentiment affected the stock return in each listed industrial company. Fifteen industrial sector companies listed on the stock exchange were selected; each was analyzed for their search volume and the effect on stock returns using panel data regression from March 2020 to April 2022. The result shows that investor sentiment affects the level of stock returns in the industrial sector in Indonesia. This result indicates that with the increase in search volume on search engines, which reflects positive sentiment, there will be an increase in stock trading transactions and vice versa. This study's findings will help investors make investment decisions, especially in the industrial sector.

This research aims to get empirical evidence the effect of earnings management in increasing stock return received by investor. Earnings management is an activity to manipulated financial statement. Earnings management can be used to improve company performance when the company has a bad performance or it can be used to maintain company performance. There are 2 earnings management, accrual and real activity manipulation. This research used both to see which one can increase stock return. This research used multiple regression analysis to test the hypothesis and the samples are manufacturing companies listed on Indonesia Stock Exchange from 2017-2019. 86 companies are selected as samples using purposive sampling. The results showed that earnings management is a negative signal for investors. When a negative signal given to investors, it will cause a decrease in stock return received by investor. This research provides an overview of earnings management practice can make investor suffer losses, so that capital market supervisors can increase the monitoring of this manipulation practices.

Return is the goal of investors to invest in the capital market. Investors do various ways in order to get the desired return, by doing their own analysis of the movement of the company's stock performance or by using analytical tools in the form of financial statements. The purpose of this study is to analyze the effect of Return On Assets, Return On Equity, and Price to Book Value on Stock Returns in food and beverage manufacturing companies listed on the Indonesia Stock Exchange for the 2017-2021 period. This research was conducted using a quantitative documentation method. This study uses 520 financial statements per quarter from 26 companies for 5 years as a population. By using purposive sampling method, a sample of 240 financial statements per quarter from 12 companies was obtained. The hypothesis testing method uses the F test, t test, and multiple linear regression analysis. The results of the study state that partially ROA, ROE, and PBV have a positive and significant effect on stock returns. And simultaneously ROA, ROE, and PBV have a positive and significant effect on stock returns with a coefficient of determination of 17%.

The purpose of this study is to provide an overview of the stock market conditions of IDX and SGX due to the influence of COVID 19. Through a regression analysis study method to see the condition of stock returns on companies in IDX and SGX. These two countries were taken as the focus of the study considering the closeness of business relationships and the highest number of COVID 19 cases in the Southeast Asia Region. The researcher concludes that the IDX is more sensitive to the increase confirmed case of COVID 19 and the SGX is more sensitive to the increase deaths cases of COVID 19. The conclusion of this study is that the threat of COVID 19 will have a different effect on investor behavior in each country, this could be due to the influence of differences between cultural values and characteristics. Like other studies, this study also has limitations that have not carried out a fixed effect on the two countries and recommendations to increase the number of samples from other ASEAN countries to make results that can be generalized in ASEAN.

This paper has tried to assess the impact of COVID-19 on stock return in different sectors listed under Dhaka Stock Exchange in Bangladesh during the period from 08 March 2020 to 15 September 2020. To measure the impact of COVID-19 on stock return, daily change in number of confirmed cases and deaths have been used as independent variables and DSE stock return has been taken as variable of interest. Data were collected from Bangladesh Government’s official portal, DSE archive and annual reports of listed firms. Sample is selected using two stage sampling method which is a probabilistic model. To test the validity of the used model, Pearson’s correlations analysis, Breusch and Pagan’s heteroscedasticity test, White’s homoscedasticity test and Hausman’s fixed random tests are conducted. After testing the validity, fixed effect method of panel data regression model has been used to test the two hypotheses. The result reveals that most of the sectors responded negatively to the growth in COVID-19 confirmed cases. It is also observed that selected sectors reacted more proactively to the growth in number of deaths as compared to the growth in number of confirmed cases. Where banking and textile sectors are the most sufferers to the growth of both confirmed cases and deaths, pharmaceuticals & chemicals industry proved out to be the gainers. The findings will have policy implications for the regulators as well as for the investors to design the optimum portfolio of investment. The study will add new dimensions to the existing literature.

This paper studies the relationship between accounting information reflected in financial statements and stock return in Vietnam Stock Market. The authors propose a research model to define the relationship. Besides, machine learning algorithms are used in researching and forecasting, with data obtained from observed firms during the period from 2009 to 2020. Research results show that gradient boosting algorithm has the best self-reporting performance and finan-cial ratios also have great impact on stock returns, including operating income growth, stock earnings volatility, dividend yield, earnings before tax-to-equity ratio, cash holding ratio, and accrual quality. Based on the research results, the authors make some recommendations for investors, firms, and policy makers.

The unprecedented COVID-19 pandemic has ripped down the worldwide economies since the beginning of 2020. The stock market was one of the economic sectors that experienced depression and crashed during the pandemic. In this study, we mount an investigation on how Indonesia's large-scale social restrictions (known as "PSBB"), the announcement of the daily growth in total confirmed and death cases by COVID-19 affect the dynamic of Islamic stock returns in the Jakarta Islamic Index. This study used panel regression to test the effect between variables with market-to-book ratio and market capitalization ruled as a control variable. This study concluded that the announcement of daily growth in total confirmed cases by COVID-19 and the implementation of PSBB has a negative effect on the deterioration of the Islamic stock market's stability. Therefore, the higher growth of the total confirmed cases by COVID-19 and the tightening of the PSBB that was announced and implemented by the government would impact on the volatility of market and shareholders returns negatively. Interestingly, this study also found that there was a positive and significant relationship between the daily growth of death cases and stock return. Furthermore, the sectors of consumer goods, mining, and trading counted as the most performed market during the pandemic crisis.

Investors become jittery when they do not earn return on their hard earned money. In the same time, they want to make their investment in safe place rather than losing it. For better return, they also want to estimate the volatility in stock market. The basic purpose of the present study is to forecast the volatility in stock return of emerging economies. For the same, the adjusted daily closing price of eleven countries is considered for five years. Generalized Autoregressive Conditional Heteroscedasticity (GARCH) has been applied to predict the stock return of these countries. The different orders of GARCH have been applied in predicting the volatility. It is found that the volatility of every stock return can be forecasted.

A lot of investors are currently focusing on corporate earnings information, resulting on stock market reacts more strongly to unexpected earnings. The reaction is caused by several factors such as Earning Surprise (ES) and Earning per Share (EPS). Based on these, the research was conducted to find out how ES and EPS affect on stock return of manufacturing companies listed on Indonesia Stock Exchange in 2016-2018. This research is quantitative descriptive with associative research methods. The data used in this research were annual reports of manufacturing companies listed on the Indonesia Stock Exchange (IDX) during the period 2016-2018. Sampling in this research was conducted using a purposive sampling method. The results showed that simultaneusly and partially EPS and ES variables have no effect

Stock return is one indicator to show the performance of banks in Indonesia. This study aimed to empirically examine the effect of return on assets (ROA), return on equity (ROE), non-performing loans (NPL), and operating expenses to operating revenues on stock returns on commercial banks listed on the Indonesia Stock Exchange (IDX) years 2016-2018. For this reason, as many as 15 banks that meet the criteria were taken as samples in this study. The collected data were then analyzed using multiple regression analysis to test the proposed hypotheses. Several findings in this study indicated that each element, namely returns on assets, return on equity, non-performing loans, and operating expenses to operating revenues, respectively, had a significant effect on stock returns. Based on these findings, it was recommended that banking companies could manage financial ratios optimally to maximize stock return.

The fluctuating conditions in the world economy have directly affected the investment to be uncertainty in several countries, including Indonesia whose investment was still not optimum, especially in the context of service companies such as banking companies. The less optimum investments that were closely associated with bank performance, especially with the stock return, encouraged this study to examine the effects of capital adequacy ratios, loan deposit ratios, and net interest margin on stock return at commercial banks in Indonesia. A total of 15 banks that met the criteria were taken as the sample. Data analysis was performed on banking companies listed on BEI (Indonesia Stock Exchange) in 2016–2018, employing the multiple regression analysis to test the proposed research hypotheses. The results showed that the capital adequacy ratio, loan-to-deposit ratio, and net interest margin significantly influence the stock return of banking companies.

ABSTRACT This paper examines stock returns and dividend growth predictability using dividend yields in seven developed markets: United States of America (US), United Kingdom (UK), Japan, France, Germany, Italy, and Spain. Altogether, these countries account for around 85% of the Morgan Stanley Capital International (MSCI) World Index. The use of the long time series with up-to-date data allows the comparison not only between countries, but also across periods, putting into perspective the existence or not of noticeable changes since the 1980’s. The majority of the literature on this topic is US-centered. This emphasis on the US is even more pronounced when it comes to examining the relationship between the dividend unpredictability and dividend smoothing. There is also the need to know if the relationships already documented for the post-Second World War (WWII) period still hold during the last three decades, when stock markets were subjected to a high level of turbulence worldwide. The relationship between dividend yields and returns and dividend growth is central to understand the functioning of capital markets, and has considerable implications for capital asset pricing and investment strategies. Overall, the results show that even for developed capital markets there is no clear pattern on the predictive ability of dividend yields on stock returns and dividend growth, instead these relationships seem to be time-dependent and country-specific. For each country, the predictive ability of the dividend yield is examined in a first-order structural VAR framework by applying bootstrap significance tests and the degree of dividend smoothing is assessed using four partial-adjustment models for the dividend behavior. Additionally, an out-of-sample analysis is conducted using pseudo-R2 and a normal mean squared prediction error (MSPE) adjusted statistic. For the post-WWII period, returns are predictable, but dividends are unpredictable in the US and the UK, while the opposite pattern is observed in Spain and Italy. In Germany, there is some evidence of short-term predictability for both returns and dividends, while in France only returns are predictable. In Japan, neither variable can be forecasted. The dividend smoothing results show that dividends are more persistent in the US and the UK, however, there is no clear connection between dividend smoothness and predictability for the other countries. An important conclusion to retain from the out-of-sample analysis is that the predictability of returns after the WWII, especially present in the US, appeared to have been missing in the last three decades, most probably due to the turmoil experienced by the stock markets during this last period.

In this research, researchers aspire to examine the theory of whether there is a cash flow effect on stock changes. Stock returns which are used as stock measurement tools are a reflection of market reactions to what happens within the company in terms of fundamentals. Therefore to measure the fundamental factors that exist within the company researchers utilise operating cash flow. Operating cash flow is seen as being able to represent because operating cash flow data exists in every company. Moreover, hence that the comparison is balanced the researchers choose to use the population of companies in the LQ 45 area. After being tested using simple linear regression, the results are as previously thought that there are influences on the company's Fundamental factors which in this study is the Operating Cash Flow with market factors which in this study represented by Stock Return. Keywords: financial statements, operating cash flow, stock return.

Trading, Service, and Investment sectors show an essential role in the national economy, and they have grown significantly during the past years. They have created many job opportunities in both the formal sector and the non-formal sector. This study aims to analyze the effect of net profit, operating cash flow, financing cash flow and investing cash flow and, financing decisions on stock’s return of service industry listed at Indonesia Stock Exchange (IDX). The analysis was done using the data panel regression. It shows that earning information, operating cash flow, financing cash flow positively affect stock returns. However, investing cash flow and financing decisions (proxy leverage) show a negative effect on the stock's return significantly. Simultaneously, the variables above affect stock return significantly. The implication is that management should pay more attention to financial factors, especially net profit, cash flow, and leverage to increase stock return and the company’s value.

Portföy teorilerinde, rasyonel yatırımcıların yatırım kararları alırken beklenen getiri ve riski dikkate alarak yatırım yapacakları kabul edilmektedir. Dolayısıyla hisse senedi getirisi bu anlamda önem kazanmakla birlikte firmaların borçlanma oranına yönelik tutumları da risklerini etkilemektedir. Bu nedenle, literatürde hisse senedi getirisi ve sermaye yapısı arasındaki ilişkinin araştırıldığı görülmektedir. Ancak, bir firmanın hisse senedinin getirisi, firmaya özgü faktörlerden de etkilenebilmektedir. Hisse senedi getirisi ile sermaye yapısı ilişkisi çeşitli açılardan incelenmiştir. Bu çalışmada, bu ilişkiye etki etmesi olası firmaya özgü faktörlerden büyüklük, büyüme fırsatları, karlılık, varlık yapısı ve pazarlama yoğunluğu incelenmiştir. Araştırma örneklemini, Borsa İstanbul’a kayıtlı imalat sanayi firmaları oluşturmuştur. Veriler 2017 yılı dönemini kapsamaktadır. Kuramsal modelde yer alan ilişkiler yapısal eşitlik modellemesi gözlenen değişkenlerle yol analizi yapılarak test edilmiştir

Covid-19 pandemic is affecting the health of the public, and it is also impacting business and economy. The main objective of this paper is to investigate the impact of Covid-19 pandemic on listed firms’ performance and the abnormal stock returns in Vietnam. To study the impact of Covid-19 on firms’ performance, we collected data about announced earnings on Q1/2020 and Q4/2019 of 714 enterprises and made comparison. The results revealed the enormous impacts of Covid-19 pandemic on the business performance. However, the level of influence varies among sectors. To study the impact of Covid-19 on the abnormal stock returns, the study employed the event research method with 3 events related to Covid-19 pandemic in Vietnam. A sample of 364 companies listed on Ho Chi Minh Stock Exchange (HOSE) was utilized. The findings revealed that the Covid-19 event affects the abnormal returns of stocks and the level of influence varied from each stage of Covid-19 prevention measure in Vietnam. The degrees of influence of the Covid-19 event on each stock were also different. The paper concluded that Covid-19 pandemic information can be used to predict stocks’ prices.

This study investigates the price movement characteristics of banking issuers listed on the Indonesia Stock Exchange with macroeconomic indicators as an exogenous variable. By using the k-means clustering based on the monthly rate of return, banks are classified into three clusters, lower, middle, and upper clusters, with a cluster rank directly proportional to the average rate of return. Furthermore, each cluster formed is estimated using dynamic panel data regression with the generalized method of moment. This study shows that the price of banking issuers in the middle cluster is more reactive in dealing with interest rates and exchange rates. At the same time, the highest inflation coefficient exists in the upper cluster. The higher beta coefficient creates abnormal returns that allow for higher gains and line with the risk level. Meanwhile, the price effect in the previous period proved to be in line with the cluster level, indicating that higher clusters are more resilient. Therefore, referring to the possibility of abnormal returns and resilience to uncertainty, this study concludes that issuers in the middle cluster are more suitable for a short-term investment, while issuers in the upper cluster are for the long-term.

The development of the capital market is currently followed by the development of the stock market is increasingly in demand by investors as well, seen from data on Indonesia Stock Exchange (IDX) which shows that the stocks included in the sharia has increased. An investor will do the analysis to make an investment decision. The analysis is technical and fundamental. One of the fundamental analysis is profitability ratio analysis issued by the company. Good financial performance will be the information used as a positive signal by investors, because companies that have good financial performance will provide more benefits for investors. The purpose of this research is to examine and analyze profitability variables on stock returns in Jakarta Islamic Index (JII) period 2012-2016. Population of this research is a company included in the Jakarta Islamic Index (JII). This research using sample criteria, we obtained a sample of 21 companies included in the Jakarta Islamic Index (JII) for the period of 2012-2016 and published annual financial report data on Indonesia Stock Exchange (IDX) required during the study. The variables used in this research are earning per share (EPS), return on equity (ROE), return on asset (ROA), return on sales (ROS), return on investment (ROI), size as control variable, and stock return as the dependent variable. Result of this research show that investor on Jakarta Islamic Index (JII) see simultaneously the profitability ratio as a signal for investment decision making. Variable size can be used as control variable in that used in this research. Profitability ratios that are taken by investors are return on assets (ROA), earnings per share (EPS), and return on investment (ROI). So that should be a special attention for companies incorporated in the Jakarta Islamic Index (JII) to increase investor interest to invest in the company.

Conflict of interests usually occurs between management and shareholders on dividend and more severely in firms with significant free cash flow. If free cash flow is invested efficiently, stock return will be increase. This study investigates the effect of corporate governance, as an adjusting factor of agency issue, on the relation between free cash flow and stock return. The sample consists of 112 firms listed in Tehran Stock Exchange for the period from 2006 to 2013. The results show that institutional ownership and ownership concentration have respectively significant negative and significant positive effects on relation between free cash flow and stock return. Also, the results show that the board independence has no significant effect on relation between free cash flow and stock return. Generally results indicate that good corporate governance can decrease agency costs of free cash flow.

In this research the relationship between institutional ownership and profit sharing policy with price efficiency and fluctuation in Tehran’s stock exchange is studied. Data extraction is done by Rahavard-Novin software and research data analyze is also done by E-views software. research result indicates that there is a significant relationship between institutional ownership and stock price fluctuation in accepted firms at Tehran’s stock exchange is approved and the main hypothesis is rejected, and there is a significant relationship between institutional ownership and stock returns in accepted firms at Tehran’s stock exchange is approved and the main hypothesis is rejected and also the existence of a significant relationship between institutional ownership and profit sharing returns in accepted firms at Tehran’s stock exchange is rejected and the main hypothesis is approved.

Level stock returns telecommunications in Indonesia is influenced by various factors such as financial performance, risk management and working capital management. The purpose of this research was to analyze the influence of financial performance through parameters Debt to Equity Ratio (DER), Return On Investment (ROI), Current Ratio (CR) dan Total Assets Turn Over (TATO). Risk management using parameters (interest rate) and working capital management using parameters Cash Conversion Cycle (CCC). The population in this study is a telecommunications companies listed in Indonesia Stock Exchange 2010-2013. In analyzing the effect of variable DER, ROI, CR, TATO, ir and CCC using multiple linear regression. The analysis showed that the Debt to Equity Ratio (DER) has effect on stock returns with significant value 0,009, Return on Investment (ROI) has effect on stock returns with significant value 0,006. And Total Asset Turn Over (TATO) has effect on stock returns with significant value 0,025. While the Current Ratio (CR) ,interest rate, and Cash Conversion Cycle not effect on stock returns with significant value 0,403; 0,047; 0,977. All the independent variables simultaneously affect the stock on telecommunication companies.

Financial Performance and Stock Return: Study at Insurance Companies Listed in The Indonesian Stock ExchangeMuch of the literature said that financial performance had an effect on the stock return, including in insurance company. The purpose of this research is to examine the effect of financial performance to stock return of insurance company that listed in Indonesia stock exchange. This research is using multiple regressions as analysis technique. The results showed that all the variables simultaneously had an effect on the stock return. By partially showed that Price Book Value, Incurred Loss Ratio, Premium Growth Ratio, and Total Asset Turnover has no significant influence on the stock return. While Return on Equity has significant positive influence on the stock return and Debt on Asset Ratio, Net Profit Margin has significant negative influence on the stock return.DOI: 10.15408/ess.v7i1.4724

The relationship between stock return and trading volume in Malaysian ACE market has been analysed in this study. There are two objectives of conducting the analysis; (1) to investigate the relationship between stock return and trading volume in Malaysian ACE market, and; (2) to conclude whether the relationship of trading volume and stock return on Malaysian ACE market is consistent with the weak-form of the efficient market hypothesis (EMH). The empirical result proves a significant positive contemporaneous relationship between stock return and trading volume. Thus, the first objective is satisfied. Second objective is proven that Malaysian ACE market is contradicted with the weak-form of e-EMH.

This study is motivated by the need to provide contextual evidence on a decade-long debate regarding accounting standards that require firms to measure certain financial assets and liabilities at fair value and to recognize the effect thereof in a statement of Comprehensive Income (CI). Upon the adoption of International Financial Reporting Standards (IFRS) in 2012, Nigerian public interest listed firms are required to report a new summary financial performance indicator known as the CI. This paper investigates the relative value relevance of traditional Net Income (NI) and the Total Comprehensive Income (TCI). We analyzed a sample of 207 firms-year observations comprising of 76 companies listed on the Nigeria Stock Exchange (NSE) for the years 2010 to 2014. While we observed a price and return reactions to the magnitude of both the traditional NI and TCI, our test reveals the supremacy of NI over TCI. By implication, each summary measure is value relevant on an individual basis hence we conclude that both measures reflect information used by the investors.

This research is aimed at analizing influence of fundamental factors on stock return of manufactur industries. The research result show that from the five factors (Debt to Equity Ratio, Devidend Payout Ratio, Earning Per Share, Net Profit Margin, Return Asset) assumed to influence on stock return of manufactur industries under investigation, there are five factor which simultan show significant influence stok return. However, only Earning Per Share which partially show significant influence stock return. And Earning Per Share as a dominant factor in influencing stock return. Based onthe research result, it is also discovered that fundamental factor (Debt to Equity Ratio, Dividend Payout Ratio, Earning Per Share, Net Profit Margin, Return Asset) have weak influence in explaning stock return variation at the Indonesian Capital Market, in which Adj.R- Square is 27,0%. This indicates that Indonesian investors can't created the factor fundamental as basic judgment to get stock return, with pay attention ekstern factors, like as: interest rate, inflation, exchange rate kurs, political condition, etc.

This paper investigates the relation between disclosures quality and Stock return volatility in firms listed in Tehran Stock Exchange. To measure the disclosures quality, the paper uses firms rating by Security and Exchange Organization regarding the disclosures quality and to test the hypothesis it uses the linear regression. The sample consists of 80 firms listed in Tehran Stock Exchange during years2006 to 2011. The resultsshow that there is a significant and negative relation between disclosures quality and stock return volatility, but according to the adjusted coefficient of determination of three models and statistic Z Kramer, we can say that the negative relation is more intensive in the portfolio of firms with higher than the average disclosure score.

This research aimed to analyze the influence the dividend policy proxied by Dividend Payout Ratio (DPR), leverage the company proxied by Debt to Equity Ratio (DER) and profitability proxied by Return On Equity (ROE) to return stock in companies manufacturing sub-sectors of the food and drinks listed in Indonesia Stock Exchange period 20013-2015. This study uses quantitative methods. The sampling technique used purposive sampling method and selected according to established criteria. Model analysis used multiple linear regression. From the analysis of the following results, dividend policy (DPR), the company's leverage (DER), profitability (ROE) either partially or simultaneously has no effect on stock returns

The purpose of the present study is to investigate the effect of behavioral variables on overconfidence in management, herding behavior and investors’ emotional tendency on stock return. To this end, by using the data of firms listed in Iran’s Stock Exchange during the seven-year period of 2010–2016, overconfidence index in management, the herding behavior of the investors and the emotional tendency of the investors were calculated and their impact on stock return was examined. The data of the research are of a panel type and for analyzing the data and testing the hypotheses; a multiple linear regression model has been used. Evidence from the experimental results of the research showed that the behavioral variables studied in the research has a significant and inverse effect on the stock return of the companies.

The research deals with the relation between asset growth and stock return and also the role of financing resources in returns of firms with high or low asset growth. With an accurate study of literature, six hypotheses and a statistical sample of 96 firms listed in Tehran Stock Exchange for a seven-year period during 2005 to 2011 have been provided. Hypotheses were analyzed by multivariate regression and tests of F and t. Results obtained by hypothesis test show that there is a significant positive relation between asset growth and stock return of firms and there is a significant negative (positive) relation between internal & external financing and stock return of firms with high (low) asset growth. But relation of financing through bank and capital market with stock return of firms with high (low) asset growth is significantly positive (negative). In addition, the results show that there is no significant relation between the proportion of free float shares and stock return of firms with high asset growth, however, there is positive and significant relation between the proportion of free float shares and returns of firms with low asset growth.