Market Book Value Research Articles

Investment Opportunity Set (Ios): Between Opportunities and Threats for Pharmaceutical Companies in Indonesia

Investment Opportunity Set (IOS) is the opportunity that a company has to make investments that can increase the value of the company. IOS can be influenced by various factors, one of which is the financial performance of the company. This study aims to examine the effect of financial performance on IOS in pharmaceutical companies listed on the Indonesia Stock Exchange (IDX) for the period of 2015-2020. Financial performance is measured by using profitability ratio, solvency ratio, and activity ratio, while IOS is measured by using Market Book Value to Equity (MBVE). This study uses quantitative data in the form of annual financial statements and stock prices of pharmaceutical companies obtained from the official website of IDX. The sampling technique uses purposive sampling with certain criteria, resulting in 54 data samples. The data analysis technique uses multiple linear regression analysis with SPSS for Windows version 26.0 program. The results show that financial performance simultaneously has a significant effect on IOS with F value of 18.859 and significance value of 0.000. Partially, profitability ratio has a positive and significant effect on IOS, solvency ratio has a negative and significant effect on IOS and activity ratio has a positive and significant effect on IOS. This study implies that pharmaceutical companies can increase IOS by improving financial performance, especially profitability ratio and activity ratio, and reducing solvency ratio.

Profit Quality Analysis of Investment Opportunity Set, Leverage, and Good Corporate Governance

This research is motivated by the company's investment decisions during the pandemic to increase its business scale in the future which gives investor’s confidence in making financial decisions. The purpose of current study is to investigate how profit quality is impacted by good corporate governance, leverage as well as investment opportunity sets. The DER was used to measure the leverage, the market book value of asset ratio was used to measure the IOS, and the proportion and quantity of firms' ownership of the audit committee, independent commissioner board, managerial ownership, and institutional ownership were all used to measure GCG. It was a quantitative study. Food and beverage businesses that were listed on the IDX (Indonesia Stock Exchange) also made up the population. The method of gathering data employed purposive sampling. 13 businesses made up the sample in accordance with that. Moreover, the data was collected during a three-year period (2019–2021). 39 pieces of data in all were examined. The t-test, F-test, R2 test, and multiple linear regression were also employed in the data analysis technique. The outcome showed that there was a negative correlation between profit quality and the set of investment opportunities. On the other hand, managerial ownership improved the quality of profits. On the other hand, the quality of profits was unaffected by leverage, institutional ownership, the independent commissioner board, and the audit committee. These results imply the failure of all sample firms to achieve positive returns on their investment sets in assets during the pandemic. Not a single firm was able to show positive prospects for investment opportunities during the pandemic.

Improvement of the Fama-French Five Factors Model in Terms of The US Dollar Index

Contemporarily, the Fama-French Five Factors (FF5) model is a well-known asset pricing model, which establishes a model with five fundamental factors of market in order to explain the return of stocks and has an excellent performance in the market. This paper attempts to improve the FF5 factors asset pricing model by introducing the macroeconomic factor of the exchange rate. Primarily, the monthly circulating market value, monthly book market value ratio, monthly profitability, and monthly total asset growth rate of all U.S. stocks are selected. The method in this paper calculates and processes it and obtains the time series of the FF5 basic factor. Afterwards, we use the monthly variation extent of the US dollar index to represent exchange rate changes to improve the model, select 22 representative stocks from U.S. stocks to test. Subsequently, the advantages and disadvantages of the new model are compared with the FF5 model. According to the analysis, the new model has enhanced the ability to interpret the yield of most stocks and greatly enhanced the ability to interpret the stocks of large international companies. These results shed light on guiding further exploration of asset pricing model.

The effect of financial performance, company size, and gross domestic product on abnormal returns

This study focuses on the effect of financial performance, firm size, and gross domestic product on abnormal returns. Financial performance is measured by proxies for liquidity, profitability, earnings per share, leverage, and market value. The object of this study was manufacturing companies listed on the Indonesia Stock Exchange in 2016-2020 and samples were taken using a purposive sampling technique so that a sample of 114 manufacturing companies was obtained. The analysis technique in this study uses multiple linear regression analysis. The results showed that liquidity (CR), earnings per share, leverage (DER), market book value (MBR), and firm size had no effect on abnormal returns. Profitability (ROE) has a positive effect on abnormal returns, and the gross domestic product has a negative effect on abnormal returns.

Differentiated Estimates of Valuation Multipliers based on Price-to-Book Ratio for the Czech Brewing Industry

This article focuses on the differentiated estimations of industry multipliers in relation to Price-Book Value ratio (P/BV) with applying for the Czech brewing industry. Differentiation of estimates brings better approximation of these sector-wide multipliers to the defined groups companies within the given markets and thus increases the accuracy of the method of relative business valuation. Due to the absence of market data on privately held companies, the market value was assessed using the DCF method, while the book value was taken from the enterprise's accounts. The assumption of the linearity of the market-book value relationship for the subsequent calculations and differentiation of P/BV estimations was verified using regression analysis. The differentiation of P/BV ratio was made according to the size of entities, but mainly based on equality of market and book value, respectively according to the equality P/BV = 1. Then our results were supplemented by the calculation of industry P/BV ratio using P/EAT ratio and ROE decomposition. Using this additional method, the brewing industry was compared with other relevant industries in the Czech Republic.

The Influence of Investment Decisions, Funding, and Profitability on Company Value with Corporate Governance as Moderator

This study aims to examine and analyze the effect of investment decisions, funding decisions, and profitability on firm value with corporate governance as the moderating variable. With the existence of corporate governance as a moderating variable, it is expected to make company managers to choose and decide on investment decisions, funding decisions and profitability correctly. This research was conducted on companies that went public on the Indonesia Stock Exchange in the period 2014 to 2018. The study tested samples using the purposive sampling method on 10 companies in the infrastructure, utilities and transportation sectors from 50 financial statements that were observed. The independent variables consist of market book value, debt to equity ratio, and return on assets, while the dependent variable is price book value, and the moderating variable is managerial ownership. Test analysis using multiple linear regression using Statistical Product and Service Solutions (SPSS) software. The results of the analysis show that the investment decision variables and funding decisions have a positive effect on firm value. While the profitability variable has no effect on firm value, and the corporate governance variable does not moderate the influence between investment decisions, funding decisions, and profitability on firm value.

Corporate Governance and Leverage Mechanisms on Integrity of Financial Report: Conservatism Index Approach in BUMN

The integrity of financial statements is related to one of the characteristics required by IFRS, namely faithful representation. The financial statements that are presented must contain information that is relevant and reliable so that it has high integrity and can be used by stakeholders in making decisions. In reality, realizing the integrity of financial statements is a difficult thing. There have been several cases that cast doubt on the level of integrity of financial statements. One of them happened to PT Jiwasraya (Persero) recently. This research is aimed to examine the effect of corporate governance mechanisms proxied by (institutional ownership, proportion of independent commissioners, and audit committee meetings) and leverage on the integrity of financial statements using a conservatism index approach in the market book value. Firm size as a control variable. The population is BUMN listed on the Indonesia Stock Exchange from 2016 to 2018 with a sample of 22 companies. The data analysis method used is panel data regression. The results of the common effect model test that only the audit committee meeting variable has a significant influence on the integrity of the financial statements, while the variable institutional ownership, the proportion of independent commissioners and leverage has an effect but is not significant on the integrity of the financial statement

Corporate Governance and Company Value: A Manufacturing Industry Case Study

The purpose of this research is to look into the impact of corporate governance in the Indonesia Stock Exchange's Manufacturing Industry. Panel data from 73 Manufacturing Industry companies on the Indonesia Stock Exchange from 2014 to 2018 with a total of 365 observations of data whose research results were analyzed using panel data regression analysis with the Random Effect Model approach. Institutional ownership has a positive effect on Tobin's q and market book value, according to the study's findings. Tobin's q and market book value are negatively affected by foreign ownership. Meetings of the Board of Commissioners and the Audit Committee have a negative impact on stock price returns. Meetings of the board of directors, audit committee, and board of commissioners were found to have no impact on the value of the company. On the basis of these findings, it can be concluded that the results of testing the independent variables on the dependent are inconclusive and should be questioned further.

PENGARUH INVESTMENT OPPORTUNITY SET, CORPORATE SOCIAL RESPONSIBILITY, DAN RISIKO BISNIS TERHADAP NILAI PERUSAHAAN

This study aims to determine the effect of investment opportunity set, corporate social responsibility and business risk on firm value. Investment opportunity set is measured using market book value equity, capital expenditure to book value of assets and corporate social responsibility is measured by corporate social responsibility disclosure index and business risk is measured by business risk in banking sub-sector companies listed on the Indonesia Stock Exchange (IDX) in 2015-2019. the method of determining the sample using purposive sampling then obtained a sample of 39 companies. The data analysis technique used is multiple regression analysis. The results showed that the investment opportunity set consisting of market book value equity had a significant effect on firm value, capital expenditure to book value of assets had no significant effect on firm value, corporate social responsibility had a significant effect on firm value, and business risk had no effect on firm value.

Dynamic modelling of the relationship between financial leverage and firm value of selected firms quoted on the Nigerian Stock Exchange

This study examined the long-run effect of financial leverage on firm value with evidence from a sample of 62 firms quoted on the Nigerian Stock Exchange, over the five-year period between 2014-2018. The level of financial leverage as measured by the Debt-Equity ratio while firm value was represented by Tobin’s Q Market-Book Value Ratio. The study contributes to the literature by appraising the dynamic dimensions of the causal relationship between firm value and financial leverage, an investigation that has remained elusive in indigenous studies. The study determined the degree of long-term causality by employing an auto-regressive model estimated by the Generalized Method of Moments (GMM) technique. The regression results show that financial leverage has a significant positive effect on the firm value both in the short and long run, while the result of the correlation analysis carried out reveals that there is a significantly positive and strong linear relationship between the time series of firm value and its lagged version implying that firm value does not demonstrate traits of Mean reversion. The Management of these companies was advised to optimize firm value by undertaking quality projects and relying more on debts for funding.

The Three-factor Model and China’s Multiple Stock Markets

This paper aims at discussing the applicability of the three-factor model in China’s multiple security markets. The monthly returns of Shenzhen Main Board Market, Shanghai Stock Market, GEM Securities Market and Small and Medium Board Securities Market from January 2012 to December 2016 are selected as samples. The following conclusions are drawn: the three-factor model is applicable in Shenzhen Main Board Market, that is, the change of stock return is proportional to market factor, book-to-market ratio factor, and inversely proportional to scale factor. Moreover, in terms of the explanatory power of the change of stock return, the market factor is the highest, the scale factor is the second, and the book-to-market ratio factor is the lowest. But in the other three markets, the two-factors model that excludes the ratio of book market value can explain the change of stock return better. In addition, the explanatory power of market factor is better than scale factor.

Macro Governance and Profitability around the World: A Methodological Improvement

There is a multitude of country studies between 2000-2018 that focus upon the relationship between corporate governance and profitability, with mixed results because studies have generally focused upon historic book value ratio measures of profitability such as Return on Assets (ROA) and Return on Equity (ROE), rather than based on market values. Thus, the purpose of this paper is to examine the effect of macro governance environments upon aggregate dividend yield and earnings per share for developed and emerging stock markets as measures of profitability and to provide a useful methodology for correctly incorporating risk measures in a more controlled manner than many current papers undertake. Using an augmented version of the dividend growth model and allowing for the control of risk factors, we find that macro governance environments have a significant influence upon dividend yield and earnings per share. The results have policy implications for government policy setters as improvements to governance environments may induce portfolio equity inflow, which is increasingly seen as a driving force for economic growth. Future research papers should use our methodology to better model firm profitability and corporate governance within a market value context and recognise the limitations of ROE and ROA as they rely upon less relevant book market values. Further, studies need to better capture interaction effects between macro (country-specific) and micro (firm-specific) governance.

Financial Ratio Analysis that Distinguishes Company Shares Indexed in LQ45 and the Non-LQ45 on the Indonesia Stock Exchange (Bursa Efek Indonesia)

The LQ45 index is the rank 45 ranking of the most liquid listed companies in the Indonesia Stock Exchange (BEI). By being in the LQ45 index, the company will be smoother in long-term funding because the shares circulating in the market tend to be more attractive if they are on the LQ45 index. This can be seen on the listing board for market activity published on the Indonesia Stock Exchange (BEI) website ( www.idx.com ). LQ45 companies tend to have high frequency of transaction values. To be indexed in LQ45, the Indonesia Stock Exchange does not specify how the financial conditions are the criteria of an LQ45 company. This study tries to look at the criteria of LQ45 companies through aspects of financial conditions. This is done by analyzing financial ratios in LQ45 companies and compare them with non-LQ45 companies with the same sector. In this research was using 6 financial ratio with 25 financial ratio indicators. The number of samples in this study amounted to 230 companies then they are divided into 35 sample companies in the category of LQ45 companies and 195 companies in the category of non-LQ45 companies with the same sector. From discriminant analysis, the results of analysis can show whether there is a significant difference or not between the company's ROC indexed LQ45 and non-LQ45. The results output can be used as criteria for aspects of the financial situation that need to be observed by corporate stakeholders. The test results through discriminant analysis prove that there is a significant difference between LQ45 indexed company financial ratios and firms that are not indexed in LQ45 (non-LQ45). The results also prove that variables capable of distinguishing between companies indexed by LQ45 and those that are non-LQ45 from the 25 variables tested in this study include the dividend yield ratio (DYR), total assets turnover (TAT), per-share dividend (DPS), net working capital (NWC), market book value per share (MBVP), debt to equity ratio (DER), current ratio (CURRENT R), long term debt to equity (LTDE), account receivable turnover (ARTO ), operating profit margin (OPM), fixed assets turnover (FAT), and inventory turnover (ITO). The most significant variable that distinguishes between indexed company financial ratio in the LQ45 index and companies not listed on the LQ45 index is dividend yield ratio (DYR).

Is Eco-Friendly Attitude a Determinant of Share Price Return? A Case Study

Is Eco-Friendly Attitude a Determinant of Share Price Return? A Case Study

PENGARUH PERTUMBUHAN EKUITAS DAN PERTUMBUHAN LABA TERHADAP INVESTMENT OPPORTUNITY SET

This study uses a sample of 35 companies engaged in the Property and Real Estate Industries listed on the Indonesia Stock Exchange (IDX) period 2004-2008. Data source is secondary data obtained from Indonesian Capital Market Directory with data collection is done by time series.The results of the analysis show that simultaneously Growth Equity and Profit Growth affect Investment Opportunity Set especially on Market Book Value of Asset (MBVA) ratio. While partially, Growth Equity and Profit Growth significantly influence Investment Opportunity Set especially in Market Book Value of Asset (MBVA) raidtio.

The Determinants of Capital Structure: an Empirical Study of Omani Listed Industrial Companies

This study investigates five determinants of capital structure (leverage) in three subsectors of the Omani Industrial companies (food, construction and chemical) listed on Muscat Securities Market for the period 2008–2012. According to available information and literature review, the determinants are profitability measured by return on assets (ROA), risk measured by the standard deviation of return on assets, the size of the company measured by the natural logarithm of total assets, rate of growth measured by the market-book value ratio (P/E) and assets tangibility measured by fixed assets to total assets ratio. The capital structure or leverage is measured by total debt ratio. In the industrial sector as whole; the findings of the study indicate that there is a statistically positive association between risk and tangibility and leverage. Also, there is a statistically negative association between growth rate and profitability and leverage, while there is no association with size. Regression analysis indicates that size, tangibility and risk have a statistically significant effect on leverage.

Analysing the market–book value relation in large Australian and US firms: implications for fundamental analysis and the market–book ratio

AbstractThis study compares the market–book relation of Australian and US firms using firm‐level dynamic analysis of using annual data for a long‐run period in error correction modelling. This paper contributes to a recent call for alternative ways of estimating Ohlson‐type linear valuation models (Ohlson and Kim, 2015). Log transformations of the data are used in this study to improve the statistical properties of the models. This study contributes to the findings on linear valuation model estimation for long‐run firms. Based on the returns model estimation, we find evidence of a higher level of co‐integration between market and book values for Australian firms.

ANALISIS PENGARUH VARIABEL FUNDAMENTAL DAN VARIABEL MAKRO (UNCONTROLABLE) TERHADAP HARGA SAHAM (Study Empiris pada Perusahaan Industri Property yang go-publik di BEI )

This research is employed 35 property companies that was listed at BEI. The research objective is testing the influance of fundamental variable and macro variable (uncontrolable) towards stock price. Fundamental variables consist of equity to net profit (X1), liquidity ratio (X2), quick ratio (X3), cash ratio (X4), debt equity ratio (X5), price earning ratio (X6), book market value (X7), and earning per share (X8). Macro variables consist of inflation (X9), deposit rate (X10), and economic growth / sale (X11). The result shows all of variables are significantly influance simultaneously towards stock price which indicated by F test = 5.567 on significant level = 0.000. Partially, 6 variables are significantly influance towards stock price there are : X1 (sig level = 0.021; t test = 2.368), X2 (sig level = 0.039; t test = 2.141), X6 (sig level = 0.017; t test = 2.413), X7 (sig level = 0.000; t test = 5.383), X8 (sig level = 0.039; t test = 2.173), X10 (sig level = 0.047; t test = -1.921). Inflation variable is the dominant variable with coeffisien value -1019.402.

Peran Growth Opportunities, Free Cash Flow, dan Relative Issue Size dalam Reaksi Pasar terhadap Pengumuman Right Issue

Right issue is when a firm announces its plan to publicly offer additional shares of common stock after Initial Public Offering (IPO). The aim of this research are to test market stock price and examine the role of growth opportunities in stock price reaction to right issue announcement. Sample was taking from companies which been listed in Jakarta Stock Exchange and publish right issue from 1998 to 2005. To measure growth opportunities, the companies were divided into 2 groups, growth and mature. This classification using Tobin’s q proxy method (market-book value ratio). The research have final conclusion, that is at right issue announcement in Jakarta Stock Exchange, market give positive reaction and statistically significant, and so in normal period.

Share price performance following actual share repurchases

Using unique actual daily share repurchase data from Hong Kong, this paper investigates share price performance surrounding and following actual share repurchases. It is found that repurchasing firms buy back shares following price drops, suggesting that they behave opportunistically when implementing actual share repurchases. On average, the initial 3-day market response to actual repurchases is about 0.43%. Repurchasing firms do not seem to exhibit superior abnormal performance over long horizons when they make actual share repurchases. However, the price performance of repurchasing firms varies across firm size and market–book value ratios, and shows a clear and consistent pattern. The market responds the most favorably to repurchases that are made by small and value (high book-to-market value) firms. Over a long horizon, there is some evidence that repurchases made by value firms show superior performance. The three-year buy-and-hold abnormal return, which is measured against a portfolio of control firms that are matched by size and book-to-market value ratios, is over 20%. At least, repurchases made by high book-to-market value firms, for which undervaluation is more likely to occur, can benefit long-term shareholders.