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Abstract In the field of empirical asset pricing, the challenges of high dimensionality, non-linear relationships, and interaction effects have led to the increasing popularity of machine learning (ML) methods. This study investigates the performance of ML methods when predicting different measures of stock returns from various factor models and investigates the feature importance and interaction effects among firm-specific variables and macroeconomic factors in this context. Our findings reveal that neural network models exhibit consistent performance across different stock return measures when they rely solely on firm-specific characteristic variables. However, the inclusion of macroeconomic factors from the financial market, real economic activities, and investor sentiment leads to substantial improvements in the model performance. Notably, the degree of improvement varies with the specific measures of stock returns under consideration. Furthermore, our analysis indicates that, after the inclusion of macroeconomic factors, there is a dissimilarity in model performance, variable importance, and interaction effects among macroeconomic and firm-specific variables, particularly concerning abnormal returns derived from the Fama–French three- and five-factor models compared with excess returns. This divergence is primarily attributed to the extent to which these factor models remove the variance associated with the macroeconomic variables. These findings collectively offer valuable insights into the efficacy of neural network models for stock return predictions and contribute to a deeper understanding of the intricate relationship between factor models, stock returns, and macroeconomic conditions in the domain of empirical asset pricing.

AbstractInvestor sentiment is the result of irrational speculations about the future asset values driven by the market participants. Though scholarly works on investor sentiment are evolving in both developed and emerging markets, the literature in the Indian context is relatively modest. To fill this void, the study aims to examine sentiment-return relations based on a sectoral analysis framework. The study considered Nifty 500 and sectoral indices return such as Automobile, Information Technology, Metal, Fast-Moving Consumer Goods, and Public Sector Undertakings. To measure investor sentiment a unique sentiment index (INDex) using seven indirect proxy sentiment indicators suitable for the Indian stock market is proposed. To test the framed hypothesis, the study employs Principal Component Analysis and OLS regression. The results uncover that there exists a strong significant positive sentiment effect on Nifty 500 and selected sectoral indices return. The findings assist academicians, practitioners, investors, and policymakers in enhancing their understanding of the sentiment-return nexus in the Indian stock market and thereby guide them to ensure caution while making investment decisions.

The aim of this research is to analyze and test whether there is an influence of company size and profitability on stock returns with moderation proxied by inflation. Quantitative methods were used in this research. Manufacturing companies in the goods and consumption sectors were used as the population in the research, the data of which was obtained from the 2019-202 BEI. In collecting samples, this research used criteria in determining the sample so that 54 samples were obtained based on the specified criteria. This research data was analyzed using MRA analysis version 26 with SPSS tools. The results of the research prove that profitability has no effect on stock returns, stock returns are able to influence inflation and company size, inflation is able to strengthen the influence of company size and profitability on stock returns.

In this paper, I examine the relationship of taxation with performance and risk with the usage of a sample of 76 non-financial companies traded on the Athens Stock Exchange. The period covered by my study spans from 2018 to 2022, while correlation and panel data analysis is conducted. Both financial performance and stock return are considered, while risk concerns the volatility of the companies' share prices. The explanatory variables used concern figures reported both in the balance sheet and the profit and loss statement and include net deferred tax, deferred tax asset, deferred tax liability, total tax expense/revenue, income tax, and deferred tax expense/revenue. The empirical results reveal a positive relationship of financial performance with net deferred tax, total tax expense/revenue, income tax and deferred tax expense/revenue. Moreover, deferred tax asset is found to affect financial performance in a negative fashion, while deferred tax liability bears a positive influence on financial performance. The opposite relationships with deferred tax asset and deferred tax liability are detected in the case of stock return and risk. Finally, evidence of a negative relationship of total tax and income tax with stock risk is obtained.

In this study, the explanatory power of the macro variables in relation to the variation of stock returns has been discussed in terms of the economy of the USA. To make an analysis of the cross-section of the stock returns, 131 Macroeconomic variables between 1964 and 2007 have been put into use. Summing up the information in 131 monthly series, dynamic factor analysis is used to take out 8 potential factors. So that the pragmatic presentation of the factor model can be measured, Fama-Macbeth’s test procedure of two phases is applied. In addition to the variables included in the literature such as market risk factor, size factor, value factor, and momentum factors, it is found that the macro factors are highly influential on the explanation of the common variation in U.S stock returns. The tests stated above have been performed by means of Fama French 49 industry portfolios, apart from Fama French 100 portfolios that have been formed on size and book. Furthermore, the factor model is established and intended for certain periods of boom and recession. The relations established between latent factors and stock returns appear to be unimportant during the downturn periods.

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.

AbstractThe study uses wavelet power spectrum and wavelet coherence transformation methodologies to examine how geopolitical risk affected the returns on stocks, oil, and gold during the GFC, COVID-19, and Russia-Ukraine war-three disruptive events that affected the world’s financial markets. For better diversification benefits during the turbulent times, we further investigate the degree of co-movement in frequency and time domains. We observe that GPR has high variations during Russia-Ukraine war period compared to COVID-19 period and is shown to have least variation during the GFC period. WTI crude oil and DJGI indexes are observed to have high variations during GFC, and COVID-19 periods followed by Russia-Ukraine war. We further observe that GOLD offers better diversification opportunity as well as leading movement against WTI and DJGI during disruptive events in financial markets. The results provide new understanding of how geopolitical risk affects financial assets for international investors, fund managers, and regulators, which would further aid to find risky and safer haven possibilities during the turmoil periods.

Fluctuations in returns from investment in stocks make these risky. This factor should be kept in mind in stock investment decisions, which determines the relevance of this research. Through the study, the volatility in the stock returns of BRICS nations is analysed for inferring on the riskiness associated with investing in the respective nations, which is the aim of the research. For this study, the daily returns of five indexes representing each of the nation namely Ibovespa (Brazil), Moex (Russia), Nifty 50 (India), Hang Seng Index (HSI, China), and FTSE/JSE All Share Index (JALSH, South Africa) for a period of 14 years are collected and analysed. Both unconditional and conditional volatility in returns is analysed for each of the nations for imparting clearer and more comprehensive picture of the volatility in returns. Such an in-depth and long period analysis of volatility of the returns of the emerging BRICS economies is a novelty of the research that determined that no volatility model can be said as perfect for all economies for all time. The GARCH (1, 1) model was used to study for the returns of all the five indexes. The results of the study point out that the daily returns of all these indexes are heteroscedastic, implying presence of varying variance. Accordingly, the study м that the BRICS nations’ index returns are more volatile and riskier, and authors are recommended to invest in those indexes with lesser conditional volatility.

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

Purpose — This study aims to investigate the influence of macroeconomic factors, including economic growth, inflation, the rupiah exchange rate, and interest rates, as well as corporate financial performance indicators such as leverage and profitability, on the stock returns of Indonesian Property and Real Estate Sub-Sector companies. Method — The research data consists of annual data obtained from the Indonesia Stock Exchange, the Indonesia Central Bureau of Statistics, and Bank Indonesia for the period from 2017 to 2021. The research population comprises 36 Property and Real Estate companies listed on the Indonesia Stock Exchange. Out of these, 28 companies meet the sample requirements. The analysis employs panel data regression to examine the data. Result — The results indicate that inflation and exchange rates have a negative and statistically significant impact on stock returns. On the other hand, economic growth, interest rates, return on equity, and the debt-to-equity ratio exhibit a positive influence on stock returns, although these effects are not statistically significant. Contribution — This study's distinctive contribution is its focused analysis of the Property and Real Estate Sub-Sector in Indonesia. It stands out by exploring the intricate relationship between macroeconomic factors and financial performance variables concerning the stock returns of companies within this sub-sector. This nuanced approach provides valuable insights into a specific industry within the Indonesian market, shedding light on previously unexplored dynamics and contributing to a deeper understanding of how these factors affect stock returns in this context.

Objective: Contratum strategies are hybrid strategies in which, like the reverse strategy, the portfolio ranking is based on a long-term time horizon. However, the time horizon of their maintenance is like medium-term momentum strategies. Momentarian or momentary strategies are among the combined strategies whose portfolio ranking and stock selection are based on the medium-term time horizon, just like the momentum strategy; however, unlike reverse strategy, they are kept in long term. In this research, an attempt has been made to provide an optimal model for stock selection based on momentum, reverse, and hybrid trading strategies using the GWO algorithm and dynamic panel. Methods: Considering the fact that the purpose of the current research is to answer the questions and test the existing theories in a specific field, it can be categorized as applied research (research and development), and due to its possibility of obtaining a descriptive explanation of a phenomenon, it can be considered as the pseudotype, experiential, descriptive and post-event. In addition, due to description, inference, and problem-solving using quantitative values, it is in the scope of quantitative research. To estimate the model, the information of 175 companies in the period from 2012 to 2021 was used, as well as the software E-Views 12 and MATLAB 2021. Based on the results of 8 time periods of 3, 6, 9, 12, 24, 36, 48, and 60 months, it was analyzed according to different momentum and reverse and combined strategies in loser, winner, and loser-winner, winner-loser positions. It should be noted that two methods of the dynamic panel and gray wolves were used to estimate the strategies. Results: The existence of a momentum strategy was confirmed in the Tehran Stock Exchange, which ensures the hypothesis of underreaction in Iran's capital market. Investors in this market show less reaction to the change of the fundamentals affecting the stock price. Accordingly, the correction of the stock price of these companies is done slowly until it reaches its intrinsic value. Of course, factors such as the volatility limit, the base volume, and the trading node law also fuel this slowness and cause the price correction process to take place with a delay by the formation of buying and selling queues. This helps to use the momentum strategy and obtain abnormal returns in this market. As a result, it can be said that the momentum policy and, naturally, based on the research results, combined approaches cannot create abnormal profits for their investors in the capital market of Iran. Conclusion: Financial market activists and investors are advised to use mixed strategies to improve their buying and selling decisions. Due to the improvement of the results of the gray wolf method compared to the simple panel method, they should use artificial intelligence methods instead of regression methods in the calculations and formation of the optimal portfolio.

CEO compensation remains at the forefront of corporate financial discourse – primarily because of its interconnection with firm performance, growth and survivability. Diverse literature exists on CEO compensation and shareholder return, albeit with different findings and/or disagreements. This paper aims to apply a single independent variable enquiry – the CEO total payment to understand how it might influence shareholder return. Research employs a quantitative approach by using a simple OLS technique with data drawn from a random sample of fifty-six companies listed in the S&P 500 Index. The S&P 500 is a stock market index tracking the stock performance of 500 large companies listed on stock exchanges in the United States. It is one of the most commonly followed equity indices. The OLS result yields a P-value of 0.0001, with a negative regression coefficient, which thus indicates a significant negative relationship between the CEO total payment and shareholder return. The result corroborates some extant research regarding the inability of agency theory to provide an overriding explanation for the CEO pay and return relationship. Further research is therefore encouraged to apply more variables, particularly those that may capture CEO's opportunistic behaviour in future CEO and stock return analysis.

Given the importance of estimating stock returns, the purpose of this study was to identify the factors affecting stock returns by using the meta-analysis method. Meta-analysis is the main tool for combining results in social and behavioral research. It allows researchers to combine quantitative results of studies, explain the compatibility of results, and achieve a single result. Based on the research background, the impacts of different factors on stock returns were considered. A model of factors affecting stock return is designed in the analysis of empirical studies. This research used the meta-analysis method to comprehensively examine the factors affecting stock returns and assess the different factors that had been examined in various studies over the past years. In a similar research, the researcher had selected the factors affecting stock returns and only tested the selected factors via general categories. However, in this research, a more comprehensive study was conducted to separately examine all the factors whose effects on stock returns had been tested in different studies. Therefore, some of the factors investigated in this research had not been studied in the previous research. Accordingly, a model of factors affecting stock returns was developed. In this research, 422 studies were collected and 102 of them were analyzed. Totally, 153 factors were extracted from these studies and finally, 16 factors were tested. The type of effect size calculated in this study was r. Among the examined factors, earnings per share, operating cash flow, net operating assets, operating earnings, market return, earnings quality, and return on equity had an impact on stock returns. Since the majority of the factors affecting stock returns were related to the financial reports of companies, i.e., their financial status and performance, those factors could be considered to investigate investment opportunities.Keywords: Stock Return, Financial Investment, Fundamental Variables, Financial Ratios, Meta-analysis. IntroductionThe stock return is considered as one of the most important criteria in financial decisions. So far, many studies have been conducted to predict stock returns and provide a comprehensive and reliable model for investors and financial activists. The Capital Asset Pricing Model (CAPM) is one of the most important models in the financial field, especially for estimating stock returns (Murthy et al., 2017; Graham & Harvey, 2001). Although the experimental tests initially confirmed the predictive power of this model regarding the positive linear relationship between systematic risk and stock returns, the results of recent studies indicated that the beta coefficient alone had the power to explain the differences in average stock returns, while other variables were also effective in explaining the differences in stock returns (Fama & French, 1992). Despite examining the effects of various factors, combining the results and presenting a comprehensive model of the factors affecting the stock return, have always been of interest. Meta-analysis methodology, which is the main tool for combining results in social and behavioral research, allows researchers to combine quantitative results of studies (Asgarnezhad Nouri et al., 2016). Therefore, the purpose of this meta-analysis was to expand the pattern of factors affecting the stock returns. Method and DataIn this research, the meta-analysis method was used to comprehensively examine the factors affecting stock returns, as well as the different factors that had been examined in various studies over the past years. In this meta-analysis, 422 studies were collected and 102 of them were analyzed. Totally 153 factors were extracted from these studies and finally, 16 factors were tested. The r effect size was used as the effect size measure, which was calculated following Cohen (1977), Card (2015), and Rosenthal and DiMatteo (2001). FindingsAt the significance level of 1%, the heterogeneity of the effect size of the studies was confirmed. As a result, due to the heterogeneity of the effect size, the model of random effects was used. In addition, the value of the I2 statistic for all the factors was greater than 70, which showed that the heterogeneity of the effect size of the studies was at a high level. In general, among the investigated factors, earnings per share, operating cash flow, net operating assets, operating earnings, market return, earnings quality, and return on equity had an impact on the stock returns. The results of the methods of evaluating publication bias also showed that there was no significant bias in this meta-analysis ContributionIn similar meta-analyses, the researcher had selected the factors affecting stock returns and only tested the selected factors in general categories, while in this research, all the factors whose effects on stock returns had been tested in different studies were separately examined in a more comprehensive study to develop a pattern of factors affecting stock returns. In this meta-analysis, the effects of earnings-to-sales ratio, earnings per share, operating earnings, return on assets, earnings quality, and economic added value on stock returns were investigated, while these factors had not been investigated in similar meta-analyzes. The results showed the positive impact of earnings per share, operating earnings, and earnings quality on stock returns among these factors. Conclusion According to the research results, investors and capital market participants are suggested to pay attention to the variable of earnings per share as one of the influencing factors on the stock market for predicting stock returns. The earnings per share represents the company’s performance in terms of profitability. It is part of the variables of fundamental analysis based on the analytical approach. Among other factors affecting stock returns, we could mention operating cash flow and net operating assets. Therefore, to choose stocks for investment, investors are suggested to examine the company's operations and specifically the items related to the company's cash flow and net operating assets. Market returns were among other factors that affect stock returns. Therefore, it is suggested that investors pay attention to changes in the market yield to estimate the changes in the share value. Based on the research findings, the earnings quality was another factor affecting stock returns. Continuity and reproducibility of earnings, transparency and growing earnings, reflection of the economic reality of the company, etc. were the issues raised about the earnings quality. Hence, the investors are suggested to pay attention to it when examining different stocks. Also, among the financial ratios examined in this research, the return on equity had an impact on the stock return. Therefore, investors are suggested to pay attention to the ratio that is focused on the company's net earnings and shareholders' equity to choose stocks and check their value changes. In general, since the majority of the factors affecting stock returns based on this research were related to the company's financial reports, i.e, the company's financial status and performance, these factors can be considered to investigate investment opportunities.

Investor sentiment is the result of trading behavior and irrational beliefs of investors leading to high volatility and market mispricing. This review aims to study the entire spectrum of articles in the domain of investor sentiment using a bibliometric analysis approach. To this end, the study analyzes a total of 1,919 articles published in the Scopus database between 1979 and 2022. The review uncovers major themes, leading authors, influencing articles, trend topics, top contributing countries, and affiliations. The review shows that the research in the domain of investor sentiment is growing exponentially with an annual growth rate of 15.88%, and the year 2020 witnessed the highest number of scientific productions accounting for 252 (13.68%) total publications. The results display that the USA and China are leading countries in terms of the total contribution and volume of studies from respective authors. The review also reveals that existing research in the field has mainly focused on themes such as market efficiency, asset pricing, stock returns, sentiment analysis, IPO underpricing, overreaction, and volatility, whereas Covid-19 and Bitcoin depicted as emerging themes from recent scholarly works.

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%.

Penelitian ini digunakan untuk mengetahui perbedaan antara return saham dan return saham seputar pengumuman stock split. metode penelitian yang digunakan dengan metode kuantitatif. Sampel yang digunakan pada penelitian ini sebanyak 48 perusahaan yang melakukan stock split yang terdaftar di ISSI. Metode analisis yang digunakan adalah dengan menggunakan One Test Kolmogorov Smirnov Test, dan menggunakan Paired sample t-test yang sesuai untuk menguji teori, dengan periode observasi 10 hari, khususnya t-5 (5 hari sebelum stock split) dan t+5 (5 hari setelah stock split). Hasil penelitian menunjukkan bahwa Nilai Sig. adalah 0,319 > 0,05 sehingga tidak ada perbedaan antara return saham sebelum dan sesudah di sekitar peristiwa pemecahan saham. Sementara itu, Nilai signifikansi sebesar 0,000 < 0.05 menunjukkan bahwa ada perbedaan mencolok dalam bid ask spread di seputar pengumuman stock split. Kesimpulan tidak ada perbedaan antara return saham sebelum dan setelah deklarasi pemecahan saham oleh perusahaan. Ada perbedaan yang signifikan dalam bid ask spread sebelum dan setelah adanya deklarasi pemecahan saham oleh perusahaan

The purpose of this study was to analyze the impact of trading volume, trading frequency, and market capitalization on stock returns of the chemical sub-sector. This study uses quantitative data. The relationship between trading volume, trading frequency, and market capitalization with stock returns will be tested using single linear regression analysis, multiple linear regression analysis, correlation coefficient, coefficient of determination, autocorrelation, multicollinearity, heteroskedasticity, t-test, and F test. The independent variables in this study are trading volume, trading frequency, and market capitalization and the dependent variable is stock returns. The relationship between trading volume, trading frequency, market capitalization and stock returns can be written in the following multiple regression equation: Y = 0,123+ 0,866 X1 + 0,000 X2 + 0,000086 X3. Based on a simple regression test, all independent variables have a significant effect on the dependent variables, but using a multiple regression test, no one of all independent variables significantly affects the dependent variable. Based on the F test which significance value of 0.008 < 0.05, can conclude that variables trading volume, trading frequency, and market capitalization simultaneously have significant effect on stock returns. The coefficient of determination of 0,311 showed that the three independent variables have a contribution value of 31.1%, which means that trading volume, trading frequency, and market capitalization affect stock returns by 31.1%, and the remaining 68.9% is influenced by other factors that are not described in this study.

The rapid integration of the global markets and financial system has increased stock market volatility due to the increased exposure to various risks. Using different GARCH family models, this study investigates the impact of country risk components shocks on stock market return volatility of the Johannesburg Stock Exchange (JSE) and its sectors for the 1996-2018 period. High positive correlations were found among the sectors, which potentially erodes diversification benefits. The research found that the South African stock market volatility is mainly driven by own/internal shocks, while the effect of county risk shocks on stock return volatility differs across the JSE sectors. We found that financial risk shocks negatively transmit to the volatility of oil and gas sector returns, leading to an increase in conditional volatility. Regarding economic risk, we found a statistically significant relationship between economic risk shocks and the entire JSE and financial and oil and gas sectors. The results show that political risk shocks negatively transmit to stock return volatility in the industrial sector, basic materials, consumer goods, financial, and the oil and gas sectors, leading to higher conditional volatility. Thus, the return volatility of most of the JSE sectors is primarily affected by political dynamics, emphasising the role of political instability in destabilising stock market volatility.

The COVID-19 pandemic is an unexpected event that causes stock market investors to panic so that their value drops drastically. Operating cash flow and free cash flow are indicators of a company’s financial statements that are used as a reference for investors’ decision making in the stock market. A firm’s cash flows reflect real changes in the firm’s value for money. Cash flow growth can provide information on how well the firm’s performance is in generating incremental cash inflows that can increase firm value. This study aims to explore the relationship between cash flow growth before the COVID-19 pandemic and after the COVID-19 outbreak on stock price performance. This study uses the OLS regression method with a total sample of 426 companies in the Indonesian capital market in the period March 2, 2020 to March 2, 2021. The results show that cash flow growth from operations and free cash flow growth had no significant effect on stock return after COVID-19 outbreaks in years 2020 to 2021. Sales growth, market capitalization and stock return before the COVID-19 outbreak from 2019 to 2020 had a significant negative correlation with the post COVID-19 outbreak stock return. Then, sectors whose stock performance is positively correlated after the COVID-19 outbreak are basic industry, chemicals, miscellaneous industry and infrastructure. This shows that the economic crisis caused by COVID-19 is an anomaly in the stock market. Therefore, cash flow is not relevant information for investors in predicting a company’s performance during the COVID-19 pandemic crisis.

Bu çalışmanın amacı, 2015-2019 yıllarını kapsayan dönem için BİST Kimya, Petrol, Kauçuk ve Plastik ürünler sektörüne kayıtlı olan firmaların finansal performansı ile pay senedi getirileri arasındaki ilişkiyi analiz etmektir. Bu amaçla, çalışmanın ilk aşamasında Entropi yöntemi kullanılarak değerlendirme kriterlerine ilişkin ağırlık katsayıları, CoCoSo yönteminden faydalanılarak da firmaların söz konusu dönemler için finansal performansı ölçülmüştür. Sonrasında ise firmaların tespit edilen finansal performans sıralamaları ile yıllık pay senedi getiri sıralamaları arasında anlamlı bir ilişki olup olmadığı korelasyon analizi ile incelenmiştir. Entropi yönteminden elde edilen ağırlık katsayılarının CoCoSo yöntemine dahil edilmesi ile ulaşılan sonuçlara göre incelenen dönemler itibariyle finansal açıdan performansı en yüksek olan firmanın 2017 yılı hariç tüm dönemlerde POLTK kodlu firma olduğu buna karşın en başarısız firmanın ise yıllara göre değişkenlik gösterdiği belirlenmiştir. Ayrıca, korelasyon analizi sonucunda finansal performans sıralaması ile getiri sıralaması arasında 2018 yılı hariç tüm dönemlerde herhangi bir ilişkiye rastlanamamıştır. Bu sonuç, çalışma kapsamına alınan sektöre yatırım yapan tasarruf sahiplerinin, genel olarak yatırım kararı alma sürecinde firmaların geçmiş performanslarını dikkate almadıklarını ortaya koymaktadır.

This paper examined the impacts of; investor sentiment, governance, and uncertainty on bank stock returns in the Middle East and North Africa (MENA) and Gulf Cooperation Council (GCC) region countries. The sample consisted of 173 conventional and Islamic banks based in the MENA region and 68 conventional and Islamic banks based in the GCC region from 2010–2020. Also, this study employed the Two-step system Generalized Method of Moments (GMM) estimator. The selection of this estimator prevented endogeneity issues related to the variables used in this study. This research found that individual sentiment and uncertainty negatively affected bank stock returns while governance positively influenced bank stock returns. The regression coefficients from the interaction of the governance indicators and conventional banks variable showed a positive and significant effect on bank stock returns in the MENA region, except for the interaction of the rule of law and voice and accountability in conventional banks, showing a negative effect. The GCC countries showed similar results. However, the outcomes were insignificant. Regarding the control variables, the loan ratio and inflation were negative, and bank size and the GDP showed positive and significant effects on bank stock returns throughout all models, excluding the loan ratio and bank size in the GCC region. Overall, the banking sectors of the MENA region countries were sensitive to; investor sentiment, uncertainty, and country-level governance indicators.

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.

Purpose: The purpose of this study is to investigate the effect of corporate social responsibility (CSR) on financial accounting concepts (including the stock return, real earnings management, information asymmetry and financial performance) in Iranian companies listed in stock exchanges. Design/methodology/approach: This is descriptive-correlational and applied research. The statistical population of this research is all companies listed on Tehran Stock Exchange, and the research period is from 2012 to 2018. Using the screening method a sample of 150 companies was selected. Multivariate regression and the software Eviews 10 were used for data analysis and hypothesis testing. Findings: The results indicated that CSR has a significant effect on stock return; however, it does not have a significant effect on real earnings management. CSR has a significant effect on information asymmetry and financial performance. Originality/value: The present study is the first research conducted on CSR and financial concepts in Iran. The results of this study contribute to the literature by introducing social responsibility to financial accounting variables and provide suggestions for capital market participants. Social responsibility has received growing attention from many companies and managers, as it influences the interests of indirect stakeholders in addition to direct ones. CSR reporting can enhance the development of scientific and cultural skills by promoting a culture of knowledge acquisition and knowledge creation, leading to a reduced gap between the expectations of economic enterprises and the community. [ABSTRACT FROM AUTHOR]

This study examines the time-varying impact of the Novel Coronavirus (COVID-19) on stock returns by employing the bootstrap rolling window causality test. For this purpose, we use the daily data of COVID-19 confirmed cases and stock returns of six most hard-hit developed countries from the COVID-19 pandemic, namely France, Germany, Italy, Spain, the United Kingdom, and the United States. Before investigating the time-varying impact of COVID-19 on stock returns, we first examine the long-run relationship between COVID-19 confirmed cases and stock returns with the Kao panel cointegration method and we find that there exists a long-run relationship between variables. The bootstrap rolling window causality test results show that confirmed cases of COVID-19 have a time-varying impact on stock returns for each country. We also find that among the six developed countries in this study, the impact of daily COVID-19 confirmed cases on stock returns is the least in Germany, while it is the most in Italy. These results are thought to provide important information to market participants.

The significance of ensuring a consistent return on stocks for publicly traded companies cannot be overstated. This is due to the fact that returns inform investors about managerial and market performance and enable them to forecast the company's future earnings. However, global corporate scandals at the turn of the century, as well as the global financial crisis, eroded investor confidence. Seven firms were dropped from the study, which included all 23 consumer goods firms, during the filtration process. Data was extracted from the annual reports of the sampled companies (2010 to 2019) as well as the Nigerian Stock Exchange as of 2020. The ex-post facto approach with agency theory was chosen because the event under consideration has already occurred. Stock returns are the profits or gains made by investors in the stock market. Managers may view the payment of investor returns as a positive indicator of the company's market prospects. The significance of ensuring a consistent return on stocks for publicly traded companies cannot be overstated. The purpose of this research is to look into the effects of three corporate properties on the stock returns of publicly traded consumer goods firms in Nigeria. It was discovered that concentration of ownership, institutional ownership, and ownership all have a significant impact on Nigerian stock returns. It also implies that the SEC should provide an incentive to firms that disclose accounting information in the form of a commendation.

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.

Limited attention is an inevitable outcome of voluminous information. Investors facing a large number of stocks can only focus on a few and endeavor to have access to in-depth knowledge. Since the retrieved knowledge would affect investors' decisions, investor attention becomes a factor in affecting stock returns and trading volumes. Through using 890,840 firm-week observations of Chinese listed firms between 2011 and 2018 as a sample, we document that investor attention, measured by abnormal Baidu search volume index (ASVI), is positively associated with contemporaneous stock returns but with a complete reversal in the subsequent period; and ASVI exhibits a positive link with trading volumes without a subsequent reversal, but its predictable ability becomes weaker in subsequent weeks. The effect of ASVI is pronounced for the ChiNext market and firms with higher level of financial transparency. We further find investor attention has been driven by five corporate events including earnings announcements, management forecasts, financial analysts following, mergers and acquisitions and dividend payout. This paper contributes to the theory of limited attention through using a direct measure of attention, providing evidence on its economic consequences in the Chinese stock market and exploring specific events that drive investor attention. [ABSTRACT FROM AUTHOR]

This paper identifies the change point of stock returns of energy firms, and examines the impact of macroeconomic news on stock returns of energy firms. Our analysis used China’s A-share listed energy firms from January 2008 to December 2018. First, we use high-dimensional time series factor models to pick up most of the structural changes in the common components of stock returns of energy firms. And then based on the change-points, we use the TVP-VAR method to explore the complex relationship between the macroeconomic news and the common component of stock returns of energy firms in different periods. The results show that there are three change points in the common components of stock returns of energy firms, but the idiosyncratic components don’t have change points. What’s more, for different periods, macroeconomic news has a heterogeneous impact on stock returns of energy firms.

The capital market has an influential role in the national economy of countries, including Indonesia. The capital market in Indonesia is regulated by the Indonesia Stock Exchange (IDX) with the new regulation number Kep-00113/BEI/12-2016 that focuses on five price categories of tick size. This study aimed to investigate the impact of five price categories in tick size policy on liquidity and volatility based on the LQ45 index and examine factors that influence stock return. This study was performed using a paired sample T-test and panel regression test. The result of the different test indicates a significant change in bid-ask spread, Depth, Depth to relative spread (DRS), volume, and volatility. The five price category in the tick size policy does not affect the depth. It is found that all the variables have a smaller value after the implementation of the tick size policy. The results of the panel regression test show that depth, volume, and volatility have a significant influence on stock returns, while the bid-ask spread, and DRS does not affect stock returns. The result of this study was expected to improve understanding of the tick size regulation to determine the best stock investment strategy.

Problem/ Relevance – The relationship between dividend yields and stock returns is an unresolved issue in finance. Previous papers show mixed results on the relationship. To clarify the relationship, we consider dividend reputation. We investigate whether dividend reputation plays a role in explaining the relationship between dividend yields and stock returns. Research Objective/ Questions – We hypothesize that firms with dividend reputation tend to have less risk compared to firms without dividend reputation, and the expected return of firms with dividend reputation will be lower given the dividend yield, which is called the “reputation effect.” A mix of firms with and without dividend reputation in a sample could distort the relationship between stock returns and dividend yields. We group stocks according to reputation and analyze the relationship between dividend yields and stock returns. Methodology – We construct our sample from all firms listed on the NYSE, AMEX, and NASDAQ stock exchanges. In our analysis, reputation effects are included to analyze the relationship between dividend yields and stock returns. We divide our sample firms into three groups according to the track record of dividend payments to control for reputation effects: (1) reputation-established firms, (2) reputation-building initiation, and (3) no reputation firms. To test the hypotheses, we run the panel regression with reputation variables and the control variables. Major Findings – We find that the reputation effect is strongest for reputation-established firms and a weaker reputation effect for reputation-building younger firms. After controlling the reputation effect and other relevant variables, we find that there does exist a significantly positive relationship between dividend yields and stock returns. Implications – The empirical results show that the reputation effect is higher for established firms with a good track record of dividend payments than for firms with a short history of dividend payments or for firms with an unreliable history of dividend payments. After controlling the reputation effect and other relevant variables, we find there exists a significantly positive relationship between dividend yields and stock returns. We also find that one year is not enough time for firms to build a dividend reputation. Keyword: dividend yield, stock return, reputation effect, reputation building Implications: Our empirical results confirm that the degree of misalignment is reasonable, suggesting a consistency between macroeconomic (especially monetary) policies and the free floating exchange rate regime. Assessing real exchange rate misalignment is a very important issue for policy makers because of the severe welfare and efficiency costs that such misalignment can have for an economy.

Objective: The purpose of this paper is to investigate the effect of excessive CEO's self-confidence on the returns and unsystematic risk given the dual role of managing director in Tehran Stock Exchange. Methods: The statistical population of this research includes all the companies accepted in Tehran Stock Exchange and its statistical sample includes the data of 142 companies for the period of 8 years from 2009 to 2016. Systematic method of elimination was used for sampling. The method used to estimate the pattern was multi-variable regression model based on the combination method. Results: Results showed that, overconfident managers can lead to increasing stock return and unsystematic risk of companies. Other results showed that if the manager is overconfident and also is a member of Board of Directors, it has a significantly positive effect on the returns, yet a significantly negative impact on the company's unsystematic risk. Conclusion: Most self-assured managers are beginning to invest more, they are also thinking of more development and innovation, which brings more values to their company, so the company's returns are rising. Also, a moderately self-confident manager is bold enough to always make cash and securities available for sale as low as possible and maximize the level of short-term loans. So, these factors may increase the risk of the company. In the event that the over-confident CEO is also a member of the board, his understanding of the market and the demands of the shareholders and the financial reporting process will be enhanced and will enjoy higher power and control, and thus the company's returns will increase and the company will face less risk.

Objective: In general, when a financial market works ordinarily, the probability distribution of the first significant digit of the returns of the assets listed therein follows Benford’s law, but does not necessarily follow this distribution in the case of anomalous events. This law shows the contingency of various digits in a set of numbers thus it can be used for assessing data sets that occur naturally. Method: The present study applied Benford law in order to investigate the empirical probability distribution of the first and the second digit of daily stocks return in listed companies in the Tehran Stock Exchange during 1384 – 1393. Results: The findings show that the data of daily stocks return in listed companies in the Tehran Stock Exchange that used in the present study do not obey the Benford law. This can be due to some reasons such as different data transformation or influential conditions in the Iran stock market.

This paper examines the contemporaneous and dynamic relationships among trading volumes, stock returns and return volatility for three emerging markets in Southeast Asia, which are Malaysia, Indonesia and Singapore. Tests on both intra- and intermarket relationships between the variables are conducted to determine whether they are interrelated within the same market and across the markets. The paper also applies GARCH technique to model the volatility of returns for the three stock markets of concern. The study finds strong evidence of asymmetry in the relationship between the stock returns and trading volume; whereby returns are significant in predicting their future dynamics, as well as, the trading volume. However, trading volume has a very limited power on the future dynamics of stock returns. The study also finds bidirectional causality between trading volume and volatility of returns in Malaysia and Singapore. In particular, Singapore market can be perceived as the focal stock exchange that has cross-market relationships with its other two neighbors.

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

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This study aims to investigate the relationships between oil price, business confidence and stock return for China, India and Russia by employing the Markov Switching Vector Auto Regressive(MS-VAR) and MS-Granger Causality(MS-GC) methods. For China, the causality relationship between business confidence and stock return differ from the results of Russia and India. For China, while there is unidirectional causality from stock return to business confidence for all regimes, in India there is the evidence of bidirectional causality in all regimes. For Russia, there is the evidence of a bidirectional causality between business confidence and stock return in the first regime, while there is none causality in the second regime. In all regimes for the selected countries, there is the evidence of a unidirectional causality from oil price to stock return. But there are different results between oil price and business confidence. The different results obtained for the selected countries are explained by the three different factors. One of the reasons is that the differences in oil reserves of the countries. The other one is the differences in oil demand of the countries' economies. The last one is that the selected countries have different business confidence that can be affected by various parameters of the economy.

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.

The main purpose of this research is to investigate the relationship between specific fluctuations, liquidity risk and stock returns in companies listed in Tehran Stock Exchange. This research reveals the importance of information such as special fluctuations and liquidity risk and their role in determining the additional return on portfolios of companies to assist decision making of actual and potential investors in the stock market. In order to investigate purpose of this research, quarterly financial information of 152 companies among companies listed in Tehran Stock Exchange during the period 2012-2016 was examined. After collecting the required research data, panel data was used to test the hypotheses. Also, Eviews software has been used to test hypotheses. The results showed that special fluctuations have a positive and significant impact on liquidity risk and stock return. In addition, results showed that no reliable evidence indicating the impact of liquidity risk on stock return was found at 95% significance level.

The purpose of this study is to investigate the factors influencing firms 'stock return using meta-analysis approach. The study population consists of studies that had examined factors affecting stock returns of listed firms in Tehran Stock Exchange. Accordingly, a total of 89 different research are selected. Based on the literature review, the following factors are considered; liquidity ratios, leverage ratios, activity ratios, profitability ratios, multiple ratios cash flow ratios, risk indicators, earning management indicator, earning forecast, real investment and firm characteristics. The results show that the effect of liquidity ratios, leverage ratios, activity ratios, earning management indicator and firm characteristics on stock return are not significant. But the positive effect of profitability ratios consists of return on equity, profit and profit margin, market-based ratios consist of market return, cash flow ratios consist of cash flow based on operations, risk indicators including market risk premium, indices of earning forecast including the time horizon of profit forecasts and eventually real investment are confirmed.

The purpose of this study is to investigate the effect of risk disclosure in financial reporting. The statistical society includes companies accepted in Tehran Stock Exchange (TSE), and the time span of the study is from the beginning of 2010 up to the end of 2013. To calculate some variables, the data of years 2009 and 2014 have also been used. In this research, it was predicted that increasing the level of risk disclosure could reduce the problems of information asymmetry and agency conflicts for investors. Based on what was anticipated, it was assumed that there is a relationship between risk disclosure and stock prediction capability by earnings changes. It was also anticipated that there was a relationship between risk disclosure and the firm value. The results indicate that there is no significant relationship between the level of risk disclosure of firms and the information content of earnings changes. Also there was no significant relationship between disclosure risk and firm value. Disclosed information irrelevance and inability and lack of knowledge in the interpretation of the information disclosed to investors about risk items, could be the main reasons for this conclusion.

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Based on the threshold panel data model, this study employs the quarterly panel data of 38 countries between 1981 and 2014 to test whether economic growth asymmetry, expected inflation, and unexpected inflation affect the Fisher hypothesis and Fama’s proxy hypothesis. The empirical results show the following: (1) When real economic growth rate is greater than the threshold (-0.009), Fisher hypothesis is supported. (2) When real economic growth rate is less than the threshold (-0.009), two scenarios hold true: before real variables are included, Fisher hypothesis is rejected; and when real variables are included, real economic growth is negative, inflation is expected, and thus, Fama’s hypothesis is supported.

The main purpose of investors from investing in the stock of companies is wealth increase which is achieved through stock return. Therefore, investors need to know about factors which affect on stock return in order to get the expected rate of stock return. This study aims to examine the effect of the fundamental factors which are measured by dividend payout ratio and price to earnings ratio, and the effect of the technical factor which is measured by beta on stock return on companies listed in LQ 45 in Indonesia Stock Exchange 2013-2015. The population of this research was all of companies listed in LQ 45 in Indonesia Stock Exchange, and the sampel consisted of twenty one companies. The analysis was conducted by using multiple linear regression. The results indicated that the dividend payout ratio did not have effect on stock return, while price to earnings ratio and beta affected on stock return.So, investors can consider of price to earnings ratio and beta variables to predict the expected rate of stock return.