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Copyright of Gazi Journal of Economics & Business is the property of Gazi Journal of Economics & Business and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

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. [ABSTRACT FROM AUTHOR]

This study uses a quantile-on-quantile regression framework to establish a link between investor sentiment proxied by market turnover and stock returns in G7 countries. The QQ analysis results reveal that the impact of investor sentiment on future stock returns is asymmetric and varies across quantiles of stock returns and sentiment. Overall, a significantly negative relationship is observed for all G7 countries. Interestingly, when the market is very bullish, and investors are pessimistic, investor sentiment positively influences future returns, except for Japan. [ABSTRACT FROM AUTHOR]

This study aims to test and find out the role of operating cash flow, gross profit and company size on stock returns in manufacturing companies listed on the Indonesia Stock Exchange in the 2020-2022 period. The sampling method used purposive sampling, with the amount of data processed as many as 240 companies. The analytical tools used are descriptive statistics, classical assumption test and multiple linear regression analysis. The variables used in this study are operating cash flow, gross profit and company size as the independent variables while stock returns are the dependent variable. The results of this study indicate that operating cash flow has no effect on stock returns, while gross profit and firm size have a positive effect on stock returns. [ABSTRACT FROM AUTHOR]

Copyright of Jurnal Ekonomi Manajemen Sistem Informasi (JEMSI) is the property of Dinasti Publisher and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This study investigates the impact of earnings per share, debt to equity ratio, and company size on stock returns. The research focuses on manufacturing companies within the miscellaneous industrial sector listed on the Indonesia Stock Exchange during the 2016-2020 period. A purposive sampling technique was employed to select the sample. Descriptive statistics were used as the analytical method, with data analysis conducted using the SPSS application. The findings reveal that earnings per share have a significant negative impact on stock returns, the debt to equity ratio has a significant effect, while company size does not significantly influence stock returns. These results suggest that investors should carefully consider a company's earnings per share and debt to equity ratio when making investment decisions, as these factors significantly affect stock returns. Meanwhile, company size may not be a critical determinant for stock return predictions within this sector. [ABSTRACT FROM AUTHOR]

Purpose: This study aims to examine the relationship between environmental, social and governance (ESG) disclosure, firm risk and stock market returns within the Chinese energy sector. Using a variety of econometric techniques, the study seeks to uncover the impact of ESG disclosure on risk mitigation and its influence on stock market performance. Design/methodology/approach: Benchmark regression models were used to explore the associations between ESG disclosure, firm risk and stock returns. To address potential endogeneity, a generalised method of moments estimator is used. Quantile regression was used for robustness analysis. Findings: The study reveals a negative relationship between ESG disclosure and firm risk, indicating that companies with greater ESG disclosure tend to experience reduced risk exposure. In addition, a positive association is observed between ESG disclosure and stock market returns, suggesting that companies with more comprehensive ESG disclosure practices tend to perform better in the stock market. Research limitations/implications: This study implies that investors appreciate sustainable investment and incorporate ESG practices and disclosure in decision-making. Policymakers can promote transparent ESG reporting through regulatory frameworks, fostering sustainable practices in the energy sector. Originality/value: Despite the mounting concerns over carbon dioxide emissions and the energy industry's environmental footprint, this study pioneers a comprehensive analysis of ESG disclosure within this critical sector. Delving into the relationship of ESG practices, firm risk and market returns, this research uniquely examines both risk mitigation and return enhancement, shedding new light on sustainable strategies in the energy domain. [ABSTRACT FROM AUTHOR]

African swine fever (ASF) first broke out in China in August 2018 and triggered a substantial shock to the Chinese hog industry. Based on daily data from August 3, 2018, to May 30, 2020, we construct ASF news textual sentiment as a measurement indicator for the ASF epidemic and use a quantile regression model to examine the impacts of ASF news textual sentiment on the stock returns of hog firms. To assess the sentiment effect across periods, we divide the whole sample into three periods according to the trend in hog prices. Our results indicate that ASF news textual sentiment has a significant positive effect on stock returns across the period, but the effect varies across the three periods. In the stationary period, the sentiment has a significant positive effect on stock returns; the effect is reversed in rising and fluctuating periods. In addition, the sentiment effect varies across quantiles. The sentiment has asymmetric effects on stock returns, with a greater impact on higher returns. Our results suggest that opportunities to expand in scale and upgrade biological prevention and control on Chinese hog firms have long-term positive impacts on the development of the hog industry by ASF. [ABSTRACT FROM AUTHOR]

This study aims to examine the role of minority shareholders protection (MSP) as a moderator influence of green environmental cost disclosure (GECD) and the company's financial performance (FFP) on its stock returns (STR). Drawing on contingency theory, the authors developed and tested hypotheses using secondary data from 260 Indonesian mining sector observations from 2016 to 2020. The sample used in this study is purposive sampling, and the analysis uses panel data with Eviews 10. The result showed that MSP moderate significantly positive influence of GECD and FFP on STR. The results also showed that MSP is a pure moderate variable. This is consistent with contingency theory, which posits that management must adapt all regulations and mix internal capabilities to be monitored better and reduce pollution for pursuing FFP, which improves STR. The evidence supports the emphasis green policy statements have put on increasing green environment cost disclosure and the intensity of the role of minority protection shareholders. This study offers new insights to policymakers in enhancing the monitoring role of mining corporations. The study also adds value to the understanding of predicting stock returns by using GECD, the Company's financial performance, and the role of MSP as moderating influences of this relationship, particularly in an emerging economy like Indonesia. [ABSTRACT FROM AUTHOR]

For ESG-oriented investors, the inquiry into whether companies with high-ESG scores can achieve excess returns holds significant significance. Existing research has generated some controversy regarding the existence of an ESG premium. In this study, we attempt to reconcile conflicting empirical findings by introducing a dimension of investment time horizons. We examine the impact of ESG scores (representing long-term values) and $\Delta $ Δ ESG (short-term changes) on subsequent stock returns. Our results indicate that high-ESG stocks tend to achieve higher expected returns, while high $\Delta $ Δ ESG has the opposite effect. One plausible explanation is that high-ESG firms tend to exhibit superior governance practices, making them more likely to create long-term value, while efforts to improve ESG may increase short-term costs, impacting profitability and exerting a negative influence on stock prices temporarily. The results based on financial data also support this conjecture. [ABSTRACT FROM AUTHOR]

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.

The concept of environmental, social, and governance (ESG) has significantly become a trend in the world economy and capital markets. More and more companies, globally, are encouraged to adopt ESG as an effort toward business sustainability. However, the situation or implementation of ESG in Indonesia is challenging, and it is currently in the development stage for regulators, companies, and potential investors. By using sustainable reporting standards, which the Otoritas Jasa Keuangan launched through POJK No. 51 of 2017, this research will contribute to future research with similar topics on sustainable finance. It can also be considered for companies in Indonesia to apply ESG principles as a non-financial indicator regarding transparency and accountability to stakeholders in making investment decisions. This study aims to analyze the effect of ESG disclosure on stock returns with firm value as an intervening variable, especially for companies listed in the SRI-KEHATI stock index. The analysis used the panel data regression and path analysis method with EViews 9 software. The sample selection used a purposive sampling technique totaling 41 samples from 5 years of observation. The results found that ESG disclosure has no effect on stock returns but affects negatively on firm value. Firm value proxied by Tobin’s Q can negatively mediate the effects of ESG disclosure on stock returns. [ABSTRACT FROM AUTHOR]

This study examines the correlation between fundamental financial metrics and stock returns of Indonesia's LQ45 Index over a 10-year period (2014-2023). The study aims to provide actionable insights for investors and companies by identifying the most critical financial metrics in predicting stock price movements. By analyzing data from 16 consistently listed Indonesian companies, the study focuses on stocks that have consistently maintained their position in the index over the past decade, a gap that has been underexplored in prior research. The study employs various statistical tests to validate the regression model, with hypothesis testing conducted through t-test and Ftests to determine the significance of financial ratios on stock returns. The analysis shows that Return on Equity, Price to Earnings Ratio (PER), Price to Book Value (PBV), Free Cash Flow per Share to Price (PFCF), and Dividend Payout Rate (DPR) have a significant positive effect on stock return. The research recommends that retail investors prioritize the PFCF ratio when evaluating potential stock investments. Transparency in financial reporting is essential, with companies encouraged to provide accurate and comprehensive financial statements, including clear reporting of key financial metrics, to build investor confidence. [ABSTRACT FROM AUTHOR]

The purpose of this research is to analyze internal and external factors on the Stock Return. As for the Internal factors include: Return on Equity, Net Interest Margin, Loan Deposit Ratio, and Net Performing Loan. While external factors include: the inflation rate, Cryptocurrency, Exchange Rate, and dummy of pandemic. The population in this study is the company registered on the Indonesia Stock Exchange (IDX) in the banking sector for the 2015-2020 period. There were 16 Banks represented as a sample in this study and used a collection technique, namely purposive sampling. The type of research used descriptive quantitative and the method of analysis using E-views 10. The final results in this study indicate that internal factor such as ROE has a positive and significant effect on stock returns, NIM influential negative but not significant to stock returns, LDR has negative and significant towards stock returns, NPL has a positive but not significant to stock returns. Furthermore the external factor such as The inflation rate has negative and insignificant towards stock return, Cryptocurrency as a positive and significant on stock returns, Exchange Rate has a negative and significant on stock returns, and dummy with before and after pandemic category has positive and significant on stock return. [ABSTRACT FROM AUTHOR]

This research aims to examine the impact of financial ratios, including Debt to Equity Ratio (DER), Current Ratio (CR), and Accounts Receivables Turnover Ratio (RTO), on Stock Return, mediated by Return on Equity (ROE). The background of this study highlights the role of various financial ratios, such as solvency ratio (DER), liquidity ratio (CR), activity ratio (RTO), and profitability ratio (ROE), on stock returns. Previous research has shown varied results regarding the influence of financial ratios on stock returns. This research employs a quantitative descriptive method with Stata as the analytical tool. It evaluates the impact of DER, CR, RTO, ROE, and Stock Return on coal mining companies listed on the Indonesia Stock Exchange (IDX) during the period of 2018-2023. The total sample comprises 108 data points from 18 companies. The analytical method used is multiple linear regression with panel data, processed using Stata. The results indicate that DER, CR, and RTO do not affect stock returns, whereas ROE significantly affects stock returns. DER affects ROE, while CR and RTO do not affect ROE. Additionally, ROE as an intervening variable does not mediate the influence of DER, CR, and RTO on stock returns. This research is expected to assist investors in analyzing the stocks of coal mining companies traded on the Indonesia Stock Exchange and help companies optimize their financial performance, enhance operational performance, and ultimately maximize shareholder value. [ABSTRACT FROM AUTHOR]

Does a firm's layoff announcement elicit a negative or a positive reaction from its stock investors? The extant empirical evidence on this question is mixed. The authors' meta‐analysis of 34,594 layoff announcements taken from 126 samples featured in 78 studies reports that the average investor reaction is significantly negative (effect size of −0.549). Next, the authors use signaling theory—specifically, characteristics of the signal, the signaler, and the signaling environment—to examine variation in investor reaction. They find that investors do not react if a layoff announcement signals proactive management (e.g., cost cutting) but penalize the firm if the layoff indicates reactive management (e.g., decline in demand). The penalty is also positively associated with layoff size but unrelated to firm size. Further, investors have become less punitive over time, or if its stock is traded on an exchange in civil law (vs. common law) country. The empirical generalizations guide managers on the consequences of their layoff announcements. [ABSTRACT FROM AUTHOR]

In the era of globalization and increasingly fierce competition, companies are required to increase their competitiveness by optimally utilizing the assets they own, one of the assets that is increasingly important for companies is intellectual capital. The purpose of this study is to examine whether intellectual capital affects stock returns through financial performance, which has the aim of knowing the influence of intellectual capital on financial performance, the influence of intellectual capital on stock returns, the effect of stock returns on financial performance, and whether or not financial performance mediates the relationship between intellectual capital and stock returns. A multiple linear regression analysis model with path analysis is an analysis method used in this study that aims to test whether there is a direct or indirect influence between independent, dependent, and intervening variables. Data testing tool using SPPS24 software. The population object in this study is companies listed on the IDX Indexes LQ45 for the 2018-2022 period; with the purposive sampling method, the samples collected are 33 companies with a total of 45 companies' observation data. The results showed that intellectual capital affects financial performance. These results show that the effect of financial performance on stock returns is statistically significant. The indirect influence of the statistical analysis results is greater than the direct influence of intellectual capital on stock returns. Thus, financial performance mediates the influence of intellectual capital on stock returns. This result explains that the company must utilize and maintain intellectual capital, and sound financial performance affects the stock returns received by investors, which later show good company value. Companies must utilize and maintain their intellectual capital because good financial performance, which results from the utilization of intellectual capital, will increase stock returns and reflect good company value in the eyes of investors. [ABSTRACT FROM AUTHOR]

Copyright of Jurnal Ilmu Manajemen Terapan (JIMT). is the property of Dinasti Publisher and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

AbstractSuccessful businesses use a variety of tactics to accomplish their objectives, one of which is relationship management with investors and shareholders. Their best application in today’s business world is a long-term competitive advantage. One of the ways to create and retain this relationship is to use relationship marketing (RM). Various dimensions shape RM, which can be different in industries and markets. This paper aims to identify the effective RM dimensions in the capital market and examine the impact of these dimensions on the financial indicators of the capital market, which are important from both the perspectives of companies and investors, including stock liquidity, stock return, and capital cost. To identify the key dimensions, ranking based on their importance has been done using the analytic hierarchy process (AHP) method. A multivariable linear regression model has been employed to test the research hypotheses. Stock companies have been selected based on the screening method from the companies admitted to the Tehran Stock Exchange from 2019 to 2022. Based on the findings, it can be concluded that the coordinated management of various aspects of RM has the potential to enhance liquidity and stock returns while simultaneously reducing the cost of capital. Given the significance of these indicators, particularly in developing economies like the Iranian capital market, companies can leverage RM strategies in their interactions with shareholders to improve market conditions. [ABSTRACT FROM AUTHOR]

This comparative analysis of the investment performance of eight portfolio strategies in the Taiwan stock market utilizes monthly data from Taiwan-listed companies from 1990 to 2021; the portfolio for each year comprises the top 100 companies based on market capitalization. Setting aside the equally and value-weighted portfolio strategies, the six strategies remaining are grounded in the mean-variance framework, fundamental index model, predictive blends model, and single-index model, respectively. Employing the rolling-window method, we compute the following monthly out-of-sample performance metrics for the portfolios: average excess return, standard deviation, Sharpe ratio, certainty equivalent return (CER), single-year cumulative returns, and value-at-risk. Portfolio weights are determined using a five-year estimation period and remain fixed (buy and hold) during the sixth year. In addition to scrutinizing the portfolios’ performance on a yearly basis, we also assess their cumulative long-term performance over multiple years. We investigate the impact of stock market fluctuations on various investment strategies, considering periods of boom and bust as a test of robustness. We posit here that CER, rather than the Sharpe ratio, is a suitable performance measurement index. We further explore the influence of portfolio diversification on investment performance. Generally, our findings suggest an inverse relationship between investment performance and the HHI, indicating that diversification tends to enhance investment performance while mitigating investment risk. [ABSTRACT FROM AUTHOR]

Copyright of Environmental & Social Management Journal / Revista de Gestão Social e Ambiental is the property of Environmental & Social Management Journal and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

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. [ABSTRACT FROM AUTHOR]

With the rise of corporate sustainability awareness, environmental, social and corporate governance (ESG) are becoming increasingly important issues for companies. This study is based on the Taiwan publicly corporation data from both MSCI and Sustainalytics for 2021. The study examines the relationship between carbon emissions, risk-taking and stock returns on the ratings of ESG rating and ESG risk scores through multiple stepwise regression and robustness regression analysis. The results of this study revealed that: carbon emissions were negatively correlated with ESG rating, but not significant with ESG risk scores. In addition, Z-Score was positively correlated with ESG risk scores, SDROA was negatively correlated with ESG rating. Finally, stock returns were positively correlated on both ESG ratings and ESG risk scores. [ABSTRACT FROM AUTHOR]

Copyright of Çatalhöyük International Journal of Tourism & Social Research / Çatalhöyük Uluslararası Turizm ve Sosyal Araştırmalar Dergisi is the property of Catalhoyuk International Journal of Tourism & Social Research and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Jurnal Akunida is the property of Universitas Djuanda and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

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.

In this paper, we study whether a firm's carbon risk exposure plays a role in the relationship between dividend announcements and stock returns. Our results show that when investors hold disproportionately high carbon emitters with associated increased carbon risk, a positive relationship exists between a firm's carbon emissions and the association between the stock returns and dividend payment. If investors hold disproportionately high carbon emitters with the associated increased carbon risk stocks, the stock market reacts less positively (more negatively) to dividend increase (decrease) announcements. At the same time, if firms under-price their carbon risk, the stock market reacts less positively (more negatively) to dividend increase (decrease) announcements. [ABSTRACT FROM AUTHOR]

This study examines the relationship between intangible capital (IC) and stock performance during the two recent crisis periods, the GFC and COVID-19. By categorizing IC into Knowledge Capital (KC) and Organizational Capital (OC), we analyze the impact of each capital on the crisis return in the manufacturing sector. The results show that a greater KC and OC are significantly associated with higher crisis returns during both periods. In addition, we find evidence that generalist CEOs strengthen this relationship while specialist CEOs do not. Within firms led by a generalist CEO, the CEO's tenure positively moderates the association between each factor of intangible capital and crisis period returns. This study emphasizes the pivotal role of KC and OC as a protective buffer against external shocks, particularly when the market pays more attention to corporate sustainability. [ABSTRACT FROM AUTHOR]

Happen fluctuations in stock returns in coal sub-sector companies for the 2018- 2022 period. This research aims to determine the effect of return on equity, net profit margin, debt to equity ratio, and dividend payout ratio on stock returns in coal sub-sector companies listed on the IDX for the 2018-2022 period. The method used in this research is quantitative. The type of data used is secondary data with a population of 31 coal companies using a purposive sampling method and 19 companies used as samples. The data analysis technique used is panel data regression. The research results show that ROE, NPM, DER, and DPR influence stock returns. [ABSTRACT FROM AUTHOR]

The purpose of this study is to examine how Dividend Income, Capital Structure, and Exchange Rate affect Stock Market Performance. The sample consisted of 12 companies trading on the Indonesia Stock Exchange (IDX) selected using the Purposive Sampling method, resulting in 63 observations for each variable. Data from audited financial statements, tax reports, and stock market prices are published by Bursa Indonesia (IDX). Data analysis was performed using regression analysis techniques. The results of this study show that the Exchange Rate, Dividend Payout Ratio (DPR), and Debt to Equity ratio (DER) all have a significant impact on stock prices. Individually, the Exchange Rate and DER have significant effects, with the Exchange Rate having a negative effect and DER having a positive effect, but the DPR having no significant effect. The coefficient of determination shows that 10.8% of the stock price variation can be explained by the three variables studied, while 89.2% can be explained by other factors not included in the study. [ABSTRACT FROM AUTHOR]

Purpose: This paper has analysed the impact of cultural dimensions, investor sentiment and uncertainty on bank stock returns. Also, the study examined the influences of the interaction between cultural dimensions and individual (private) sentiment (investor sentiment). Design/methodology/approach: To meet the study's objectives, a two-step generalised method of moments estimator was applied to the study sample, which included 105 banks in the nine Middle East and North African region countries between 2010 and 2020. Findings: The cultural dimensions of individualism and masculinity were found to have a positive and significant effect on banks' buy and hold stock return (BUH). At the same time, power distance and uncertainty avoidance were discovered to have negative effects. Besides, the findings revealed that the interactions of power distance, individual sentiment and uncertainty avoidance had positive and significant relationships with banks' BUH. However, individualism, individual sentiment and masculinity had inverse relationships with banks' BUH. Furthermore, the findings revealed that investor sentiment positively influenced banks' BUH. Finally, uncertainty influenced banks' BUH stock returns positively. Research limitations/implications: Important implications for participants in the financial sector and governments may be learnt from this study's conclusions. Due to cultural biases, this study's findings suggested that investors overreact in the stock market. Originality/value: Additionally, this research comprises one of the few studies that have overviewed the link between classical and behavioural finance in MENA countries with distinctive cultural characteristics. [ABSTRACT FROM AUTHOR]

This study aims to determine Earning Per Share on stock returns in LQ 45 for the 2016 -- 2022 period, to determine the partial effect of Interest Rate on stock returns in LQ 45 companies for the 2016 -- 2022 period, to determine the partial effect of Interest Rate on stock returns in LQ 45 companies for the period 2016 -- 2022 and to determine the simultaneous effect of interest rates and exchange rates on stock returns in LQ 45 companies for the period 2016 -- 2022. The research method used in this research is multiple linear regression analysis. The data used in this study uses secondary data obtained from financial reports and data from Bank Indonesia. The selection of samples in this study are companies that are listed on the IDX from 2016 to 2022 which are included in the company. The results of the study stated that the variables partially had no effect on stock returns while the interest rate and exchange rates had a partial effect on stock returns. Simultaneously variables, Interest Rates, and exchange rates have a significant influence on stock returns. Based on the results of the coefficient of determination that the variable, Interest Rate and exchange rates have the greatest influence Interest Rate and exchange rates have a significant influence on stock returns. Based on the results of the coefficient of determination that the variable, Interest Rate and exchange rates have the greatest influence Interest Rate and exchange rates have a significant influence on stock returns. Based on the results of the coefficient of determination that the variable, Interest Rate, and exchange rates have the greatest influence39.7%. [ABSTRACT FROM AUTHOR]

The study examines the relationship between corporate social responsibility (CSR) and earnings management strategies (expense shifting and revenue shifting). Based on the sample of 41,100 Bombay Stock Exchange listed firm-years spanning over fourteen years (2009–2022), we find that CSR-oriented firms prefer revenue shifting over expense shifting for core earnings management, and this effect is more pronounced among government CSR firms (firms spending on government-related sectors). Our subsequent tests exhibit the differential impact of earnings management strategies on stock return, where investors are found to perceive expense shifting as riskier than revenue shifting, which in turn, is likely to incentivize CSR firms to prefer revenue shifting for core earnings management. Our findings alert auditors about suspected firms (CSR and government CSR firms) that inflate core earnings through shifting practices and highlight the market arbitrage opportunity (mispricing) for investors, where abnormal returns can be fetched by making a zero-investment strategy in expense and revenue shifter stocks. The study is among the pioneering attempts to document the substitution relationship between earnings management strategies in CSR firms and provide empirical evidence on the pricing impact of these strategies. Our findings are robust to the problem of endogeneity and self-selection bias. [ABSTRACT FROM AUTHOR]

This study was conducted with the aim of evaluating the impact of financial distress on stock returns. This study utilizes a sample taken from Revinitiv Eikon during the period 2019- 2022. This sample consists of 394 companies from 9 Emerging Market Asia countries, in the food and beverage manufacturing subsector. The data used is a combination of cross section data and time series data. The variables involved in this study include stock return as the dependent variable, while financial distress, which is used as an independent variable, is measured by the Altman Z-Score, Springate S-Score, Zmijewski X-Score, and Grover GScore proxies. To analyze the data, panel data analysis method with common effect model was used with the help of Stata software. The results show that simultaneously or together financial distress affects stock returns in food and beverage subsector companies. The results of the t test which shows the individual effect of each variable show that in food and beverage companies the variables that have a positive and significant effect on stock prices are Altman Z-Score, Springate S-Score, and Zmijewski X-Score. The Grover G-Score variable has no effect on stock returns. [ABSTRACT FROM AUTHOR]

This study uses secondary data by analyzing the stocks available in the Indonesian Sharia Stock Index (ISSI) in the capital market using the CANSLIM method. The CANSLIM method is a method of fundamental and momentum analysis used over a long period. This method fundamental analyzes with three criteria which include (1) Quarterly EPS, (2) Annual EPS, (3) New product, management, and high. Of the 21 issuers in the Indonesian Sharia Stocks Index (ISSI), there are only 14 issuers that meet the criteria for research problems. Companies with stock codes ADES, ROTI, and SKLT have almost perfect fundamental anaylsis of the CANSLIM method criteria, namely 3/3. The CANSLIM method affects stock returns because it uses fundamental analysis and momentum analysis, such as the current condition of Covid-19, and this method can be used over a long period. So this research is helpful for investors who can scan stocks with the potential for the long term, CANSLIM method can be used as an alternative method in choosing stocks to invest in, and also to help the decision to buy and sell shares. [ABSTRACT FROM AUTHOR]

Purpose: This study aims to study the response of the stock market to the announcement of compulsory environmental, social and governance (ESG) disclosure regulation in the context of the Indian economy – one of the largest emerging economies. The study also examines the role of carbon sensitivity and pre-ESG disclosure. Design/methodology/approach: Daily stock price data of 940 listed companies has been collected for 276 trading days to compute abnormal returns. The current study is based on event study methodology to analyze the announcement effect of disclosure regulations. Furthermore, to check the robustness of results, cross-sectional regression has been applied to correct for potential heterogeneity. Findings: Results of the event study signify that the equity share market has reacted positively and significantly to the mandatory ESG disclosure regulation. Furthermore, the study also confirms the mitigating role of carbon sensitivity and pre-ESG disclosure as carbon nonsensitive (non predisclosure) firms have witnessed a more intense effect of regulation as compared to sensitive (predisclosed) corporations. Practical implications: Current findings assist managers in understanding investor perception toward nonfinancial disclosures. Corporate managers can use disclosure as a tool to enhance the firm value and reduce information asymmetry by providing relevant information. Furthermore, policymakers can use the findings of present research to disseminate the advantages of adopting ESG disclosure practices thereby improving the transparency and governance among business firms. Originality/value: To the best of the author's knowledge, this study is the first to provide empirical evidence on the market response to compulsory ESG disclosure framework in the emerging context of India. Furthermore, considering the infancy stage of ESG research, the present research contributes to the body of knowledge by empirically testing the disclosure theories. [ABSTRACT FROM AUTHOR]

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