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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

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.

This study suggests a new measure for a firm’s operating cost flexibility. Flexible firms are less risky and, therefore, require lower stock returns. This analysis of 126,202 firm-year observations from the U.S. cross-section of stock returns finds that the new measure explains a negative significant rate of return. The new measure’s impact extends beyond that of operating leverage. In addition, the new measure’s impact is both statistically and economically significant, and it is sustainable for a variety of in-sample and out-of-sample robustness tests. The new findings are beneficial to researchers and practitioners alike.

The outbreak of the Covid-19 pandemic led to a sharp decline in the market value of the global equity markets. The purpose of this paper is to answer the following question: Do compliant firms outperform the non-compliant during the Covid-19 pandemic? A compliant firm must satisfy the qualitative and quantitative criteria defined by Islamic law. Previous research focused on compliant mutual funds, banks, and stock market indexes. Our paper stands out by sorting the cross-section of individual firms into compliant and non-compliant firms and by analyzing the stock performance of both groups during the Covid-19 crisis. Our empirical investigation includes quarterly cross-sectional regressions of stock returns and volatility during the first two quarters of 2020 and daily difference-in-difference regressions of daily stock performance during the Covid-19 period starting from February 24th to April 17th of 2020. We find that compliant stocks outperform the non-compliant peers during the pandemic. We highlight that this out-performance is not associated with higher firm-specific or total risk. [ABSTRACT FROM AUTHOR]

The aim of the article is to analyze graphs of weakly correlated stocks. Characteristics of these graphs such as number of edges, histogram of vertices degrees, degrees distribution, hubs and cliques are investigated. Pearson correlation and Kendall correlation are used to construct these graphs. Graphs constructed by the traditional procedure and by Holm procedure are compared. Obtained results are exemplified on the data of French stock market. In particular it is shown that reliable maximum cliques contain very few nodes despite the large number of edges in the graph of weakly correlated stocks. [ABSTRACT FROM AUTHOR]

The Upper Echelons Theory states that the characteristics of individuals in top management have a significant impact on firm performance and strategies. In line with this, in this study, the relationship between CEO change, frequency of CEO change, CEO tenure, and stock price performance has been examined. In the research, the year of the CEO change and the stock performance in the following year were used as dependent variables. CEO change, the frequency of CEO change and the year the CEO spent in the same position were used as independent variables. In the research, the CEO position of the companies in the BIST100 index in the years 2011-2021 and the stock performance data in the years 2011-2022 were used. According to the results obtained from the research; there is no statistically significant relationship between CEO change, CEO turnover frequency and CEO tenure and stock price performance. [ABSTRACT FROM AUTHOR]

This study aims to determine the effect of market value, profitability and solvency of stock returns of automotive companies listed on the IDX. The method used in this study is a type of quantitative method with purposive sampling technique. The research sample is 70 companies. The analytical tool used in this study is the SPSS model. The secondary source used in this study was obtained from an automotive company listed on the Indonesia Stock Exchange, namely www.idx.co.id. The results of this study indicate that market value has a positive and insignificant effect on stock returns in automotive sector companies in 2018-2022. Market value (Earning Per Share/EPS) is often considered as one of the important factors influencing stock returns. EPS reflects the profit generated by the company for each outstanding share. However, there are situations where the EPS market value does not have a significant effect on stock returns. Profitability has a positive and significant effect on stock returns of automotive sector companies in 2018-2022. This is because a high profitability ratio can attract investors, increase trust, and cause an increase in demand for company shares. Solvability has a positive and significant effect on stock returns of automotive sector companies in 2018-2022. This is because debt as business capital will help maximize the company's operations so that the profits obtained will also be maximized. [ABSTRACT FROM AUTHOR]

Using a database of more than 1.1 million comments from the largest Chinese stock discussion forum Eastmoney, we explore the value of “brand” in the Chinese stock market by empirically investigating the impact of brand attention on stock performance and the moderation role of investor sentiment, as well as the heterogeneity of these effects across companies with different brand values. It finds that brand attention has a positive impact on stock returns and stock trading volume. Investor sentiment has a positive impact on stock returns while having a negative impact on stock trading volume. Investor sentiment positively moderates the impact of brand attention on stock returns, but negatively moderates the impact of brand attention on stock trading volume. The impact of brand attention and investor sentiment on stock performance varies across companies with different brand values. It is more pronounced in companies with high brand value than in companies with a relatively low brand value, while the negative effect of investor sentiment on stock trading volume is lower in companies with high brand value, which highlights the importance of brand-building to improve stock performance. [ABSTRACT FROM AUTHOR]

This research aims to determine the influence of the board of directors, independent board of commissioners, audit committee, and managerial ownership on stock return volatility. Stock return volatility as the dependent variable is measured by the standard deviation of annual stock returns. Regarding the independent variable, the board of directors is measured using the number of members of the board of directors. Independent commissioners are measured based on whether the company appoints independent commissioners or by the ratio of independent commissioners. Audit committees are measured using the number of audit committee members. Managerial ownership is measured using a percentage of the total shares owned by the entire executive board based on total shares outstanding. Apart from that, researchers also added the following three control variables into the regression model. Leverage, company size, and company performance. Based on the sampling technique used is purposive sampling. The sample consists of 25 tourism companies listed on the Indonesia Stock Exchange in 2019-2022 with 100 data obtained. The analysis technique used in this research is multiple linear regression. The results of this research indicate that the board of directors has a negative and significant effect on stock return volatility. Apart from that, the independent board of commissioners, audit committee and managerial ownership have no effect on stock return volatility. The control variables, namely SIZE, leverage, and company performance, have no effect on stock return volatility. [ABSTRACT FROM AUTHOR]

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. [ABSTRACT FROM AUTHOR]

To ensure firm's survival through impermanent market turbulences, corporations need to secure investors' kindness and empathy to adjust their stock prices. Being environmentally responsible seems to be an appealing quality for that purpose. Our research aims to explore the association between firm greenhouse gas (GHG) emission and its downside tail risk, using panel data comprising the FTSE350 firms during the 2008-2018 period. We found that firms that emit more GHG are likely to be harshly penalized by the shareholders through the higher likelihood of extreme negative stock returns, i.e. tail risk. Intriguingly, the association tends to be evidenced after the Paris Agreement 2015 and for firms operating in industries with high emission intensity. The research provides implications for firms to focus on enhancing their environmental performances for higher market trust, rewards, and generosity, especially during their financial downturns or negative market events. [ABSTRACT FROM AUTHOR]

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. [ABSTRACT FROM AUTHOR]

This paper employs a machine learning approach to capture firm‐pair production similarity, which depicts how firms' production processes resemble each other using textual data in corporate MD&As. We show that production‐linked firms' average return has strong predictive power on focal firm's future stock return. A hedging portfolio yields an annualised return of 11.69%, which cannot be subsumed by existing factor models. For mechanism tests, we find that the main findings are stronger in firms with higher information asymmetry and higher costs of arbitrage. The production‐linkage measure also predicts future unexpected earnings, suggesting it possibly includes valuable information on firm fundamentals. [ABSTRACT FROM AUTHOR]

The purpose of this research is to examine EVA, MVA, and REVA concerning stock prices and stock returns. In this study, a sample of 104 manufacturing companies was randomly selected for the period 2014-2016. Data analysis and hypothesis testing in this research utilized the Partial Least Square Path Modeling (PLS-SEM) method. The results of this study indicate that EVA, MVA, and REVA have a significant positive relationship with stock prices and stock returns. Based on the findings, it is evident that performance evaluation using the EVA, MVA, and REVA methods exerts a strong influence on stock prices and stock returns. This underscores the importance of assessing value-based performance because every investment cannot escape the consequences of the cost of capital as compensation for the funds used to finance the investment. The return on an investment becomes meaningful only when it exceeds the cost of capital incurred to realize that investment, and accurate assessment methods are naturally required for measurement. [ABSTRACT FROM AUTHOR]

This study examines the impact of the flight-to-liquidity (FTL) phenomenon on the excess stock return by applying the previously developed generalised method of moments (GMM) framework. For this purpose, we use the data covering the period from 2004 to 2018 for 122 public companies listed on the Pakistan Stock Exchange (PSX). This study uses six proxies to measure the expected and unexpected illiquidity. The empirical investigation reveals that expected and unexpected illiquidities greatly influence smaller firms more notably than larger ones, which induces FTL phenomena into the market. Moreover, a FTL phenomenon triggered the Pakistani equity market during the financial crisis, when a significant decline appeared and the less liquid stocks were strongly affected. The results reveal that FTL risk is priced in the Pakistan equity market, making large stocks relatively more attractive in times of dire liquidity. These findings further suggest that the market participants in the Pakistan equity market, including policymakers, regulators and investors, should not ignore FTL phenomena while designing their portfolios. [ABSTRACT FROM AUTHOR]

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

This study aims to predict Taiwan stock returns through gold and crude oil futures prices using monthly data from TAIEX and 19 stock sector indexes from January 1996 to December 2020. By using a 60-month rolling window horizon, we compare the forecast performances of various regression models, where the forecast performances are measured by MAE (mean absolute error) and R2 OS (out-of-sample R-square). In addition to using spot returns and the first principal component of futures returns on gold and crude oil, five traditional financial variables (dividend to price ratio, earnings to price ratio, market price to book value ratio, long-term yield, and short-term yield) are added to the regression model to explain and predict stock returns. Given that the regression models have included these traditional financial variables, the empirical results reveal that adding gold or crude oil price information to the model substantially improves its explanatory ability. Additionally, except during periods of high stock returns, the forecast ability of crude oil price information on stock returns is significantly better than traditional forecast variables. Furthermore, although gold prices are not as accurate as crude oil prices in predicting stock returns, their predictive capabilities are often better than the traditional financial variables. [ABSTRACT FROM AUTHOR]

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.

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.

The decisions of the central bank, as the most important monetary institution of any country, have an impact on the companies whose shares are bought and sold in the stock exchange, and this market is dependent on the policies of the central bank. Considering the importance of this issue, in the present study, the effect of central bank independence on the stock returns of active industries in the Tehran Stock Exchange during the period of 1370 to 1399 will be investigated by using the ARDL Bounding Test. Results of the model indicate that increasing the degree of central bank independence increases the stock returns of active industries in the Tehran Stock Exchange. Also, the findings show that the impact of GDP growth, interest rate, oil price and turnover ratio on stock returns is positive and on the other hand, inflation rate and real exchange rate have a negative effect on stock returns.

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 the result of profit on a stock investment made by investors. There are 2 factors that affect stock returns, namely: external and internal. This study aims to obtain empirical evidence regarding Return on Equity (ROE) and Gross Domestic Product (GDP) on stock returns and test the Coprorate Social Responsibility (CSR) factor in moderating the effect of ROE and GDP on stock returns. The population in this research is food and beverage companies listed on the Indonesia Stock Exchange for the period 2017-2021. The sample in this study was taken using purposive sampling technique and census technique. Based on the criteria and sampling techniques that have been determined, there are 12 companies samples and 60 units of analysis. The data analysis technique used is multiple linear regression analysis and Moderating Regression Analysis (MRA). The results of the analysis show that ROE has a positive and significant effect on stock returns and GDP has not significant effect. CSR significantly moderates the effect of ROE and GDP on stock returns. The theoretical implications of this study confirm the signal theory and stakeholder theory based on the test results that have been conducted. The practical implications of this research can provide knowledge that can be used as a basis for consideration for company management and other parties.

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 aim of the present study is to examine the effect of the events related to the “Panama leaks” on the stock market in Pakistan. For this purpose, we have analyzed a total of 24 events related to the “Panama leaks” in Pakistan. These events are further divided into three broad categories i.e. 8 events are related to the news/statements by the opposition parties, 8 events are related to news/statements by Sharif’s family/sitting governments, and 8 events are related to the news/statements by the Apex court in Pakistan. The analyzed period begins on the 1st of March 2015 and has lasted until the 30th of July 2018. This research applies the event study methodology, and overall findings show that “Panama leaks-related news has a significant impact on stock returns in Pakistan. What is more, all the news related to the Apex court in the Panama leaks show a significant positive impact on stock returns. This study provides a guideline to investors, regulators, policymakers, and other stakeholders by proving that all the news related to the “Panama leaks” have a significant impact on stock returns in Pakistan. Future researchers can extend this study by analyzing the impact of the “Panama leaks” on stock returns in all the countries to which the “Panama leaks” are connected.

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.

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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. [ABSTRACT FROM AUTHOR]

This study investigates the influence of Accounting Information Systems (AIS) on stock return and financial performance. When it comes to organizations, AIS play a crucial part in the process of acquiring, processing, and communicating financial information. The efficient functioning of AIS has the potential to impact stock returns and overall financial performance, making it an essential area of research. The study employs a comprehensive analysis of relevant literature, empirical data, and statistical techniques to examine the relationship between AIS and stock return as well as financial performance. The findings of this study aim to provide insights into the extent to which AIS influences stock return and financial performance. A positive relationship between a well-functioning AIS and stock return is expected, given the importance of accurate and timely financial information in investors’ decision-making process. Financial performance parameters including profitability, efficiency, and liquidity are all expected to benefit from a robust AIS. There are major practical and theoretical ramifications of this study. Companies may benefit from better decisions on AIS improvements, maintenance, and rollout if they have a firm grasp of how AIS affects stock performance and overall financial results. According to the data, the efficacy of the accounting information system based on IT has a P value of –0.009, while its t value is equal to 0.027. According to the findings, the return on assets (ROA) has a P value that is equal to –0.592, while its t value is equal to 0.13. Further, AIS’s significance in evaluating a firm’s financial health and making investment decisions may be better understood. As a result of analyzing how Accounting Information Systems affect stock return and financial performance, this study adds to the current body of information. The results will enhance our understanding of the role of AIS in shaping investment outcomes and financial success. [ABSTRACT FROM AUTHOR]

This paper examines the trading behavior of institutional investors in Taiwan before, during, and after a manipulation event and determines whether institutional investors benefit from their trading behavior during the period from the year 2000 to 2020. We find that stocks with a low turnover and small market capitalization are the main targets of price manipulators. In addition, the stock price of manipulated firms increases from the start date of the manipulation event, peaks at the end of the event, then falls after the event. Foreign institutions collude with manipulators to exaggerate stock prices for self‐benefit. In contrast, securities dealers counter the trading behavior of manipulators and act as market stabilizers, causing them to suffer losses. Moreover, foreign institutions earn higher returns on stocks of manipulated firms with a low turnover during and soon after manipulation; however, they earn a higher return on stocks of manipulated firms with a high turnover in the long run after manipulation. [ABSTRACT FROM AUTHOR]