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We examine the recent privatization of a Japanese railway company, the Kyushu Railway Company. This case is unique in that all of the film's shares were sold at one time rather than in stages over the years. We show that the company's performance improved with statistical significance against its benchmarks. We also test investors' stock return post-privatization and show that the stock delivers at least a fair market return against the benchmarks. We conclude that the company's privatization resulted in improved performance for the company and a fair market return for investors. [ABSTRACT FROM AUTHOR]

Following the recent efforts made to achieve a predictable capital market, this study attempted to explore the interlocking relationships between the stock returns of companies listed on Tehran stock exchange (TSE). For that purpose, data concerning 36 industry classes between 2000 and 2013 were examined through clustering and association rule. Preparation and initial refining of data suggested that only 25 out of 36 industries met the requirement for 13-year membership at TSE. Finally, a total of 249,061 records were evaluated, and the results were presented in the form of several rules and recommendations for investors. The results suggested that there were no two-item rules (rules with one antecedent) within industries. The best rules entailed three and four items with a lift of more than two, confidence more than 81% and support more than 1%. [ABSTRACT FROM AUTHOR]

We investigate the effect of investor risk compensation (IRC) on stock market returns and the role of investor sentiment in influencing the link between IRC and stock returns. Results reveal that current IRC has a significant and positive effect on stock returns while past IRC has a negative effect. Meanwhile, the positive effect of current risk compensation on stock returns is sustainable with different current sentiment states, while this effect is not associated with the current magnitude of sentiment. Regarding past risk compensation, its negative impact on stock return also exists with different signs of past investor sentiment while this effect is not related to the value of past investor sentiment. We discuss the implications of the findings. [ABSTRACT FROM AUTHOR]

Present study examines the impact of merger events on stock returns of acquiring firms. The sample size is composed of 428 merger events that took place during 2008 to 2015 other than financial sector and agricultural mergers. Event study methodology has been applied by using seventeen days event window i.e. -8 to +8 days stock returns. Results indicate that merger deals do not bring any abnormal changes in stock returns pre and post event date, which implies that traders are not able to gain abnormal returns in pre-post event period. These findings are consistent with Bradley et al., (1988); Servaes, (1991); Mulherin and Boone, (2000), Khan (2011), Kemal (2011), Khanal et al. (2014). The findings obtained from this research may be helpful for researchers, fund managers, market regulators, investment managers etc. [ABSTRACT FROM AUTHOR]

We take advantage of China's relaxation in January 2014 of its "one-child" family planning policy to study the causal relationship between expected future demographic changes and firms' stock returns. We use an event study method as our identification strategy and employ data from Chinese stock markets to implement the analysis. We find consistent evidence suggesting that expected demographic changes exert statistically and economically significant effects on firms' stock returns. We address four potential threats about the validity of our empirical design and argue that our conclusion is not China-specific, but a generic lesson portable to developed countries. [ABSTRACT FROM AUTHOR]

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Vietnam is one of the countries in Asia with the highest nonperforming loans (NPL) ratio, which has affected the operations of the bank and further, to the development of the Vietnamese economy. The State Bank of Vietnam has decided to establish the Vietnam Asset Management Company. This is a special tool of the State Bank for handling nonperforming loans, making healthy financials, minimizing risk for financial institutions and enterprises, and promoting credit growth of the economy. The purpose of this study is to investigate the impact of the Vietnam Asset Management Company as a political event on stock market return and volatility in the Vietnam stock exchange. We collected VN-index data in the Ho Chi Minh stock exchange from 2008 to the third quarter of 2014 as sample data. Using the Exponential General Autoregressive Conditional Heteroscedasticity (EGARCH) model, we found some evidence that the VAMC performances have a positive significant effect on stock market return and volatilities. [ABSTRACT FROM AUTHOR]

Environmental sustainability represents nowadays a significant factor for business sector. Firms carry out many initiatives to develop environmental practices. Investors increasingly consider environmental discloser by firms and integrate this disclosure into the investment decision-making process. Using a database of Saudi listed firms, this study adds to the literature by examining the relationship between the environmental sustainability disclosure and stock return and whether this relationship is moderated by the financial constraints. We find that the environmental sustainability disclosure has significant and negative impact on stock return, indicating that investors do not consider environmental disclosure when valuing the stocks. Furthermore, our results propose that the negative impact of environmental disclosure on stock return is more evident in firms with financial constraints. This study provides managerial implications for regulatory authorities, firms and investors. The environmental practices can be value relevant. However, these practices need to be efficiently integrated into stock valuation.

We investigate the impact of ESG on firm-year stock returns and stock portfolios' returns, scoring firms' ESG qualitative performance via extracting ESG-related words in standalone CSR reports of Chinese A-share listed companies during 2009 to 2020. Panel data models are used to examine the relationship between ESG scores and firm-year stock returns. ESG-extended models based on traditional factor models are proposed to examine the explanatory power of ESG information on stock portfolios' excess returns. We find that firms' current ESG profile depicted in CSR reports cannot be reflected in current firm-year stock returns but they can positively predict the future stock returns. The ESG factor constructed by the difference between the returns on diversified portfolios of stocks with high and low ESG qualitative score has significant explanatory power to stock portfolios' excess returns. Especially, megacap portfolios with high ESG scores, low profitability or large book-to-market value have strong positive exposure to the ESG factor. The ESG-extended factor models have higher explanatory abilities for portfolios' excess returns than their corresponding benchmark models. The explanatory power of ESG factor is stronger than the profitability factor but weaker than the investment factor. Besides, the new five-factor model, which consists of ESG factor replacing the profitability factor in Fama–French's five-factor model, seems to perform better than other ESG-extended factor models. • We examine the impact of ESG on stock returns. • Textual analysis method is used to extract ESG profile from standalone CSR reports. • Current ESG performance can positively predict future firm-year stock returns. • ESG factor has explanatory power to excess returns of portfolios. • ESG-extended factor model performs between than corresponding benchmark model. [ABSTRACT FROM AUTHOR]

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.

Introduction: In the present research, with the aim identifying the effective factors for audit quality and its evaluation criteria, the relationship between normal and abnormal annual stock returns and audit quality have been investigated by applying voluntary accruals criterion. Method: This research is applied, the design is quasi-empirical and it has the ex post facto approach. The statistical population of the research include the pharmacological companies listed on the Tehran Stock Exchange, and the studied sample consists of 24 companies during 2008-2013 with regard to the considered limitations. The hypotheses of the research have been tested through using Multiple Linear Regression Analysis. Results: The results of the research state that there is a positive and significant association between abnormal return and audit quality. But there is no significant relationship between real return and audit quality. Other findings of the research suggest negative and significant relation between return of assets and audit tenure with audit quality. Also, there is a positive and significant association between Q Tobin and the numbers of audit conditions with audit quality. However, there is no significant relation between other variables including firm size, return on equity, the complexity of firm activity, opinion type, audit firm size, the number of partners of audit firm, auditor industrial specialization, audit pressure, the independency of board of directors, the duality of chief officer responsibility, and altering chief officer with audit quality. Conclusion: Under the conditions of existing abnormal return, the inclination for earnings management is less and audit quality is higher; as a result, the investors in the pharmaceutical industry and the other consumers of financial statements can make decision by relying more on the audit reports.

Using data acquired from companies listed on Tehran stock exchange, during a five-year time period from 1388 to 1392, this study documents the impacts of economic value added (EVA), EVA spread, EVA momentum, and return on assets (ROA) on stock return as a measure of investors’ wealth creation. EVA spread and EVA momentum are new methods of firms’ performance measurement constructed on the basis of EVA. EVA and ROA are the traditional methods of performance measurement widely used currently. EVA spread and EVA momentum are argued to have better ability in explaining the variance of stock return compared to the two traditional methods. To test hypotheses, this study applies Multiple Linear Regression Model. The results indicate that EVA spread, EVA momentum, and ROA have significant effects on stock return, while the relationship between EVA and stock return is not significant. The regression coefficients of EVA spread and ROA are positive, but, it is found that the relationship between EVA momentum and stock return is negative.

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.

In this paper, we use Markov switching autoregressive model and bivariate VAR model to analyze the empirical relationship between stock return and trading volume based on stock market cycles. Using daily data for the IHSG closing price and trading volume from 2010 to 2014, we identify the bull and bear phases in Indonesia stock market, then we analyze the return–volume relationship in both contemporaneous and dynamic context. We find that (1) there is a positive contemporaneous return–volume relationship in both bull and bear markets, which is only significant in bull markets; (2) no evidence of asymmetry in contemporaneous relationship is found; and (3) there exists a positive unidirectional causality from stock return to trading volume. In addition, our findings are robust for different sample period and data frequency.

Some stock markets have employed a number of circuit breakers to avoid non-rational overreaction and price limit is one of them. While price limit is widely accepted benchmarks for the prevention of market crash, the question of weather price limit reduces stock price volatility has long attracted research interest. The purpose of this study is to test volatility spillover hypothesis by examining Indonesia Stock Exchange price limit system. We use LQ-45 stocks data from August 2001-January 2002, while research period begins from 3 December 2001- 31 December 2006. The evidence supports that all hypotheses suggesting that price limit may be effective to reduce volatility.

Corporate earnings divided into a permanent component of earnings and transitory earnings will be very useful in estimating the future value of the company, that will be useful in decision making stock return. Be more relevant for investors and financial analysts in analyzing the earnings based on the permanent and transitory earnings. On permanent earnings will be more focused to get the gain from investments. One focus of research is based on this component is to test the relationship with the earnings dividend payment policy. Based on several studies obtained different results concerning the relationship with the permanent earnings dividend policy. Research that focuses on permanent earnings using two approaches to determine the accuracy of the proxy of permanent earnings. Determination of permanent earnings through the stock price and the latter by using the accounting profit.

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 aims to examine the effect of stock returns and ownership structure on the investment risk. The variables of this study are dependent variable, consisting of investment risk, and independent variable, consisting of stock return and ownership structure. The ownership structure in this study is measured using managerial own-ership and institutional ownership. The study sample consists of 101 manufacturing companies listed on the Indonesian Stock Exchange (IDX) 2011-2013. The result indicates that stock return has a positive effect on investment risk. If the investors expect the higher return rate, they must have the courage to bear the higher risk. The ownership structure does not have a negative effect on investment risk. It is because the ownership structure of a company is not included among the factors that affect the size of the investment risk that is likely to be experienced by investors. The implication of this study is that investors pay less attention to the ownership of the company to be invested. Therefore, the investors are expected to be more aware of the importance of ownership and corporate governance. Thus, it can reduce the failure experienced by investors in investing.

Recent studies are paid attention to see whether there is a difference among the factors related to stock in companies listed in stock exchange. Therefore, it is also salient to do the same research so that more evidence can be gathered. The purpose of this research is to find the differences in stock return, corporate value, and risk between the compa-nies listed on SRI-KEHATI Index and those, which are not listed in SRI-KEHATI Index. This research uses secondary data taken from public companies listed on Indo-nesia Stock Exchange (BEI). The population consists of the companies listed on SRI-KEHATI Index to be compared with the companies listed in Indonesia Stock Exchange (BEI) from 2010 to 2013. The purposive sampling method is used in this study accord-ing to the criteria of assessment. The quantitative method is used to analyze this study. The signaling theory is the basic theory of this research. The analysis technique is using independent sample t-test. The result indicates that there is no difference in stock return, corporate value, and risk between the companies listed and those which are not listed on SRI-KEHATI index.

Introduction: The Related researches to health indicate that air pollution has a negative effect on peoples' psychological moods. The experimental researches in psychology demonstrate that bad psychological moods lead to increase risk-aversion in people. The conducted studies in financial and economic fields state the effect of bad psychological moods on the rate of stock return. Method: The current research is applied in terms of purpose, and it is a correlational research on the basis of characteristics and content. This research investigates the effect of bad psychological moods caused by air pollution, and it sets the relationship between air pollution and stock return in the companies listed on the Tehran Stock Exchange during 2011-2013 using daily data of Pollutant Standards Index and the information of stock return. Time Series Regression and Eviews Software Version 7 have been used to analyze the data. Results: The results of testing the hypothesis of the research indicate that air pollution has a negative relationship with the rate of the return of total stock of the Tehran Stock Exchange. Conclusion: The Decisions of investors are greatly under the influence of their psychological moods, and air pollution is among the factors that can affect the character and psychological moods of humen. The results of the research indicate a significant and negative relationship between air pollution and stock return. This confirms the theories of Behavioral Finance. Although according to the adjusted R-squared coefficient resulted from the Regression model, air pollution explains a little changes in the return of security.

This study examines the impact of stock splits on stock liquidity in Bursa Malaysia from 2004–2018. The study uses event study methodology and investigates liquidity changes, the role of liquidity, and the relationship between abnormal returns and liquidity as well. We found a significant liquidity improvement on the splits announcement, announcement of book closing date and split execution date (Ex-date), while it declined after the split Ex-date. The findings also indicate that firms with a low-level liquidity prior to split announcements experienced an increase in liquidity after Ex-date. Using panel data analysis, we find that the fixed effect model is more appropriate than the pooled OLS, and the abnormal announcement returns are driven by stock liquidity.

This paper studies in depth the sensitivity of Spanish companies’ returns to changes in several risk factors between January 2000 and December 2018 using the quantile regression approach. Concretely, this research applies extensions of the Fama and French three- and five-factor models (1993 and 2015), according to González and Jareño (2019), adding relevant explanatory factors, such as nominal interest rates, the Carhart (1997) risk factor for momentum and for momentum reversal and the Pastor and Stambaugh (2003) traded liquidity factor. Additionally, for robustness, this paper splits the entire sample period into three sub-sample periods (pre-crisis, crisis and post-crisis) to analyse the results according to the economic cycle. The main conclusions of this paper are fourfold: First, these two models have the greatest explanatory power in the extreme quantiles of the return distribution (0.1 and 0.9) and more specifically in the lowest quantile 0.1. Second, the second model, based on the Fama and French five-factor model, shows the highest explanatory power not only in the full period but also in the three sub-periods. Third, the bank BBVA is the company that shows the highest sensitivity to changes in the explanatory factors in most periods because its adjusted R2 is the highest. Fourth, the stage of the economy with the highest explanatory power is the crisis subperiod. Thus, the final conclusion of this paper is that the second model explains best variations in Spanish companies’ returns in crisis stages and low quantiles.