Stock Returns Of Companies Research Articles

Technology shock of ChatGPT, social attention and firm value: Evidence from China

The release of ChatGPT has attracted widespread attention and triggered fluctuations in the capital market. This study employs difference-in-differences (DID) and event study (ES) to investigate the effects of ChatGPT's release on the cumulative abnormal return (CAR) of listed companies in China. The results reveal that a series of ChatGPT launch events, including GPT-3.5 and GPT-4, have a significantly positive impact on the firm value of the companies focused on ChatGPT, with dynamic effects. In the initial two months after the release of ChatGPT, the Chinese stock market exhibited an undervaluation of GPT-focused companies, indicating information asymmetry and competitive substitution effect. With the widespread promotion of generative AI, social recognition of ChatGPT's potential value increased. This study verifies the moderation effect of social attention in strengthening ChatGPT's impact, demonstrating that a higher search index for ChatGPT enhances stock returns for GPT-focused companies. Heterogeneity tests reveal that the impact of ChatGPT is significantly positive for large or non-state-owned companies, while small or state-owned companies show no significant effect. From the perspective of labor structure, companies dominated by technical and production personnel experience positive effects, whereas those dominated by sales personnel do not. In the eastern regions with more favorable digital economic innovation environments, companies experience a notably positive impact. This paper provides a theoretical explanation and empirical evidence for the microeconomic impact of generative AI in the Chinese context, offering valuable insights for both government and firms.

Investigating the Impact of Renewable Energy Investment Announcements on Stock Returns of Borsa Istanbul Energy Companies

Investigating the Impact of Renewable Energy Investment Announcements on Stock Returns of Borsa Istanbul Energy Companies

Analisis Return Saham Perusahaan Nasional dan Korporasi Multinasional di Bursa Efek Indonesia

This research aims to analyze stock returns in National Companies and Multinational Corporations on the Indonesian Stock Exchange. The research examines the influence of current ratio, debt to total assets, return on assets on stock returns of national and multinational companies. The research population used manufacturing companies listed on the IDX in 2022. Based on the results of regression testing using a sample of 113 national manufacturing companies, it was found that the financial ratios CR and DAR each had no effect on returns, while the financial ratio ROA had an effect on returns for the sample of 32 multinational manufacturing companies DAR ratio has a positive influence on stock returns. This research provides evidence that there is an influence of ratios on stock returns of national manufacturing companies and multinational corporations.

The Impact of the Covid-19 Period on the Stock Returns and Financial Performance of Companies

This study examines the relationship between the financial performance and annual stock returns of 25 companies from the food, construction, energy, transportation, and technology sectors traded on BIST. The study aims to observe how the COVID-19 period affected these relationships. Data from 2018-2019 before COVID-19 and 2021-2022 after COVID-19 were included in the analysis. The financial performances of the companies were analyzed using the TOPSIS method. The relationship between companies' stock returns and financial performance was examined using Spearman correlation analysis. According to the results of the analysis, it has been observed that the stock returns of the companies fluctuate constantly, regardless of the COVID-19 period. It was concluded that there is no significant relationship between companies' stock returns and financial performance.

Bans on eating and drinking: What do investors think?

This study examines the stock return responses to the declaration by the Chinese government of five restrictions on the drinking of alcohol. We propose that a teetotal effect occurred when the stock returns of alcohol companies dropped after these announcements. We classify alcohol companies into those that produced Chinese liquor and those that produced non-Chinese liquor and argue that Chinese liquor was more seriously affected by the restriction than non-Chinese liquor. We further classify Chinese liquor into top- and bottom-quality Chinese liquor. Through our analysis, we observed distinct patterns in the stock returns of these companies over different time periods. First, our results indicate the existence of a teetotal effect on the event day, especially for top-quality Chinese liquor. Next, the abnormal returns became positive in the days following the event, varying between the second, third, and fourth days. Finally, the returns show a mixed pattern for an even longer time window. We then explain these observations. The first negative effect was a result of the market shocks from the news; then Chinese investors believed that the demand for high-quality Chinese liquor would not be reduced because of the endurance of the drinking culture of China. Finally, people accepted the restrictions.

The Abnormal Stock Return Before And After Stock Split

The purpose of this study was to analyze whether there is a significant abnormal return before and after the stock split event and whether there is a difference in abnormal return before and after the stock split event. The analysis method used in this research is the paired sample t-test method. The population in this study were all companies listed on the Indonesia Stock Exchange during the 2017-2022 period. The samples used in this study were 32 companies. The results of the paired sample t-test test obtained a significant value of 0.958 which means above 0.05. So the results of the paired sample t-test test of the difference in abnormal stock returns before and after the stock split event found that there was no difference in abnormal stock returns before and after the stock split event even though in that period there was a period of covid-19 crisis did not affect the abnormal stock returns of companies that had done a stock split.

PENGARUH ARUS KAS INVESTASI, INVENTORY TURN OVER, DAN LABA AKUNTANSI TERHADAP RETURN SAHAM PADA PERUSAHAAN FOOD AND BEVERAGE YANG TERDAFTAR DI BEI TAHUN 2017 – 2021

This study aims to determine the effect both simultaneously and partially between Investment Cash Flow, Inventory Turnover, and accounting profit on stock returns of Food and Beverage companies. This research was conducted at Food and Beverage companies in the period 2017-2021. The data used in this study is secondary data in the form of financial statements and information on company stock prices. Research data obtained from www.idx.co.id. The sampling technique used is purpose sampling, which is based on certain criteria so that 15 companies are obtained as research samples. The analysis technique used is multiple linear regression analysis. The results of this study indicate that simultaneously Investment Cash Flow, Inventory Turnover, and accounting profit affect stock returns. Partially, Investment Cash Flow, Inventory Turnover, and accounting profit affect stock returns. The higher the Investment Cash Flow, Inventory Turnover, and accounting profit, the higher the return received by investors. Conversely, the smaller the Investment Cash Flow, Inventory Turnover, and accounting profit, the smaller the return that investors will receive.

Fuzzy–Rough Analysis of ESG Ratings and Financial and Growth Ratios on the Stock Returns of Blue-Chip Stocks in Taiwan

This study uses fuzzy–rough analysis to investigate the influence of Environmental, Social, and Governance (ESG) ratings, along with critical financial and growth ratios, on the stock returns of blue-chip companies in Taiwan. The growing importance of ESG factors in investment decisions underscores the need to understand their impact on stock performance. By integrating the fuzzy–rough set theory, which accommodates uncertainty and imprecision in data, we analyze the complex relationships between ESG ratings, traditional financial metrics (such as ROE, return on equity), and stock returns. Our findings provide insights into how ESG considerations, alongside financial indicators, drive the returns of Taiwan’s blue-chip stocks. Three public-listed companies were evaluated using this approach, and the results are consistent with the actual stock performance. This research contributes to the field by offering a robust methodological approach to assess the nuanced effects of ESG factors on financial performance, thus aiding investors and management teams in making informed decisions.

Determinants of Stock Returns: The Moderating Role of Company Size (Empirical Study of Property and Real Estate Companies Listed on the Indonesian Stock Exchange 2019-2023)

This research aims to test and analyse the influence of return on assets (ROA), net profit margin (NPM), debt-to-equity ratio (DER), and inflation on property and real estate company stock returns in 2019–2023. The research approach uses the method of quantitative research with panel data regression models using Eviews 12.0 software. The population in this research is property sector companies registered on the IDX in 2019–2023. The sampling technique used is purposive sampling. The research results show that there is no significant influence between return on assets (ROA) and stock returns; there is a positive but not significant relationship between net profit margin (NPM) and stock returns; there is no significant relationship between debt-to-equity ratio and stock returns; and inflation has a significant influence on stock returns of property and real estate companies in 2019–2023.

Earning Per Share as a Market Perfomance Measure in Increasing Stock Returns of Pharmaceutical Companies

Stock prices serve as a benchmark for investors to assess a company's success. A positive stock return is an indicator of business success for a company. This study has three main objectives: to examine the influence of Earnings Per Share (EPS) on stock returns, to investigate the relationship between Return On Assets (ROA) and stock returns, and to determine the extent to which the Debt to Equity Ratio (DER) affects stock returns. The population of this study consists of 11 pharmaceutical companies listed on the Indonesia Stock Exchange during the period of 2018-2023. Simple random sampling was used to randomly select samples from the population, resulting in 264 quarterly financial data samples. The type of data used in this study is quantitative data obtained from semi-annual reports downloaded from www.idx.co.id and from the respective pharmaceutical companies' websites. Data analysis was conducted using Eviews version 10. The study found that only one variable, Earnings Per Share (EPS), significantly influences stock returns. The other two variables, Return On Assets (ROA) and Debt to Equity Ratio (DER), do not have a significant effect on stock returns.

Impact of Financial Performance and Economic Value Added (EVA) On Stock Returns before and after Covid-19 Pandemic: A Case Study of Telecommunications Companies Listed on IDX

This research aims to investigate the impact of financial performance and Economic Value Added (EVA) on stock returns of telecommunication companies listed in the Indonesia Stock Exchange before and after the COVID-19 pandemic. Financial performance in this research is proxied by Return on Assets (ROA), Return on Equity (ROE), Price-Earnings Ratio (PER), Debt-to-Equity Ratio (DER), Net Profit Margin (NPM), and Earnings per Share (EPS). The study employs a purposive sampling method and selects 10 companies in the telecommunication sub-sector for analysis. The type of research used is a quantitative research design, including Panel Data regression analysis and the Wilcoxon Signed Ranks Test. The findings of this study show that ROA, ROE, and PER significantly impacted stock returns before COVID-19, however, this impact did not exist after the pandemic; DER, NPM, and EPS consistently affect stock returns both before and after the pandemic; and EVA only becomes significant after the pandemic. Simultaneously, ROA, ROE, PER, DER, NPM, EPS, and EVA influenced stock returns before COVID-19, but they did not have any impact after the pandemic. Despite these individual shifts, there are no significant differences in overall financial performance metrics and stock returns between the before and after COVID-19 periods. Future research should consider additional financial metrics or external factors such as market volatility, inflation rates, or industry-specific variables to provide a more comprehensive understanding of stock return determinants.

Peran Suku Bunga Sebagai Variabel Moderasi: Return On Asset, Debt To Equity Ratio, Current Ratio Terhadap Return Saham Pada Perusahaan Food Beverage yang Terdaftar di BEI 2019-2023

Food and beverage companies are considered attractive investment opportunities due to their extensive use across various societal sectors and their potential to generate substantial returns on invested capital. This study aims to investigate the impact of return on assets (ROA), debt-to-equity ratio (DER), and current ratio (CR) on the stock returns of food and beverage companies listed on the Indonesia Stock Exchange (IDX) from 2019 to 2023. Additionally, it examines how interest rates might moderate the relationship between these financial ratios and stock returns. The research relies on secondary data from the financial statements of these companies during the specified period. A purposive sampling method was employed to select 26 companies from an initial population of 29. The data analysis techniques include panel data regression, classical assumption testing, and multiple regression analysis (MRA) using Eviews 12. The findings reveal that ROA, DER, and CR significantly affect stock returns. Furthermore, the study demonstrates that the interactions between ROA, DER, CR, and stock returns in the food and beverage sector are significantly influenced by changes in interest rates.

Corporate Governance and Market Response: Mediating Role of Firm Performance Empirical Evidence from Indonesia

This research aims to investigate the influence of corporate governance on market response (Rit) through company performance (ROI). Corporate governance uses measurements of the intensity of participation of managerial ownership, independent board of commissioners, audit committee and institutional ownership in the process of monitoring the company's managerial processes. Using a quantitative approach with ordinary leasquare analysis techniques and path analysis. Data from 60 manufacturing companies with the observation period 2017 to 2021, totaling N 285 samples. The research results show that corporate governance variables are dominated by managerial ownership in influencing company performance (ROI) and the ROI variable partially mediates the relationship between managerial ownership of the company and stock returns. Meanwhile, independent commissioner ownership, audit committee and institutional ownership do not affect company performance or stock returns. Thus, the governance conditions of manufacturing companies in Indonesia are dominated by managerial ownership compared to the ownership of independent boards of commissioners, institutional ownership and audit committees. In other words, supervision of managerial process governance is only dominated by managerial ownership.

Phenomenon of Average Stock Returns of LQ45 Index Companies in 2017-2022

Phenomenon of Average Stock Returns of LQ45 Index Companies in 2017-2022

The Effect of Profit Growth and Price Earnings Ratio on Stock Return in Property and Real Estate Companies Listed on the Indonesia Stock Exchange for the 2020-2022 Period

The Effect of Profit Growth and Price Earnings Ratio on Stock Return in Property and Real Estate Companies Listed on the Indonesia Stock Exchange for the 2020-2022 Period

The Effect of Stock Price, Stock Trading Volume and Market Capitalization on the Stock Return of Health Sector Companies Listed on the Indonesia Stock Exchange during Covid 19 (Period 2020-2022)

The purpose of this study was to analyze the effect of stock prices, stock trading volume and market capitalization on stock returns of health sector companies listed on the Indonesia Stock Exchange (IDX) during the Covid 19 period (2020-2022 period). The capital market is a place where investors can provide a portion of their capital to invest in a company issuer to gain profit. The type of research used in this study uses quantitative research, namely research conducted using numbers as objects in conducting analysis. The data used is secondary data in the form of quarterly data over a period of 3 years. The samples used in this study were 17 health sector companies listed on the Indonesia Stock Exchange. As for the data collection method by means of documentation and sampling using purposive sampling method. The results of this study indicate that the stock price variable has a significant level of value on stock returns with the results of the t test which is worth 0.000 so it can be interpreted that the stock price variable has a significant effect on stock returns. The stock trading volume variable has a significant effect on stock returns, this can be seen by the significance value of the t test results of 0.042. The market capitalization variable has no significant effect on stock returns, this can be proven by the significance value of the t-test results of 0.212.

The effect of structural oil shocks on stock returns of Indian renewable energy companies across market conditions

PurposeThis study aims to evaluate the structural oil shocks effect on stock returns of Indian renewable energy companies across market conditions.Design/methodology/approachThis study applies the structural vector autoregression model to estimate sources of oil shocks such as oil supply shock, aggregate demand shock and oil price-specific demand shock. In the next step, the panel quantile regression model estimates the effect of these oil shocks on stock return across market conditions. Monthly data are collected from January 2009 to December 2019. All renewable energy companies listed on the National Stock Exchange of India are considered for the analysis.FindingsIn the whole sample analysis, this study finds that oil shocks negatively affect stock returns in most of the market conditions except oil price-specific demand shock. In sub-groups, oil shocks driven by supply and aggregate demand also negatively affect stock return in most market conditions. This study finds the positive interaction of oil price-specific demand shock. A majority of these positive interactions happen in bearish market conditions. In the whole sample, the asymmetric effects of shocks driven from oil supply and oil price-specific demand are seen in most quantiles or market conditions. At the same time, aggregate demand shock does not affect asymmetrically. In the sub-group analysis, standalone renewable energy companies stock returns are least asymmetrically affected by these oil shocks. The asymmetries of oil supply-driven shock on stock returns of the renewable energy sub-group companies are found in most quantiles.Originality/valueFirst, this is a company-level study of the stock returns response to the structural oil shocks in the renewable energy sector. Second, to the best of the authors’ knowledge, this type of study is the first in the Indian context. Third using panel quantile regression model along with capital asset pricing model framework, the authors investigate these effects across market conditions.

THE ROLE OF PROFITABILITY AS A CHANNEL ON INFLUENCING THE EFFECT OF MACROECONOMICS ON STOCK RETURNS IN THE INDONESIAN STOCK EXCHANGE DURING THE COVID-19 PANDEMIC

The purpose of this study is to examine the factors that influenced stock returns during the COVID-19 pandemic in Indonesia, with profitability functioning as an intervening variable. It acts as a mediating variable, influencing how macroeconomic factors impact a company's stock returns. Companies with higher profitability can withstand macroeconomic impacts, leading to higher returns. It is crucial for a company to avoid rising stock returns and ensure stability. The population in this study is the consumer goods industry listed on the Indonesia Stock Exchange. The research sample consists of the consumer goods industry from 2020 to 2022.Sampling uses purposive sampling with data from 26 companies and 312 quarterly financial report data. Test the hypothesis using SmartPLS. The study reveals that exchange rates, interest rates, and inflation all negatively impact stock returns, with profitability acting as an intervening variable. Additionally, inflation also negatively impacts stock returns. This research implies that exchange rate stability is essential for companies carrying out export-import activities as a means of transaction in trade. The increase in interest rates encourages investors to continue investing in stocks because they are temporary and will return to their original level. Understanding the role of profitability in the relationship between macroeconomic factors and stock performance can help investors make more informed decisions.

Idiosyncratic risk and market volatility: Threat or opportunity for returns? A study of Borsa Istanbul stocks

This study investigates the relationship between idiosyncratic risk, market volatility, and stock returns for companies traded on the Borsa Istanbul. The analysis calculates idiosyncratic risk and market volatility and estimates the coefficients using cross-sectional and panel data approaches. The GARCH and EGARCH models are used to calculate market volatility, while idiosyncratic risk is measured using the Capital Asset Pricing Model, and three-factor, four-factor, and five-factor models. We run the Fama-MacBeth regression to investigate the cross-sectional relationship between idiosyncratic risk, market volatility, and stock returns and the Arellano-Bover/Blundell-Bond panel regression technique to unveil firm-specific effects. The estimated coefficients demonstrate a positive relationship between idiosyncratic risk and stock returns and a negative relationship between market volatility and stock returns. Furthermore, the findings suggest that larger firm size, higher trading volume, higher market returns, and higher book-to-market ratios have positive effects, while beta and corporate governance indices have negative effects on returns.

Do Financial Performance and Sustainability Activities Matter for the Stock Performance? Investigating Non-Primary Consumer Goods in Indonesia

Purpose: This study seeks to investigate the impact of sustainability reporting index, particularly focusing on non-primary consumer goods, on stock returns during the period of 2018 to 2022, with a specific emphasis on the COVID-19 pandemic period. By analyzing the relationship between sustainability reporting and stock returns, the research aims to provide insights into the resilience and stability of companies in the face of market volatility induced by the COVID-19 crisis, particularly in the Indonesian stock market. Methods: The research methodology involves the application of multiple linear regression, incorporating dummy variables to empirically test the influence of sustainability reporting index on company stock returns during the COVID-19 event. Data collection entails gathering sustainability report data from each company within the non-primary consumer goods sector. Statistical analysis techniques are used to assess the impact of sustainability performance on stock return volatility and stability during the specified time period. Results and Discussion: The findings of the study reveal that firms within the non-primary consumer goods sector experienced substantial impacts on their leverage and profitability during the COVID-19 pandemic, significantly influencing stock returns. Notably, companies with strong performance in ESG (Environment, Social, and Governance) aspects demonstrate relatively stable stock prices amidst the epidemic. However, the analysis indicates that social reporting index performance exhibits higher volatility in stock prices compared to other ESG components. Moreover, the study observes a minimal increase in stock return volatility for companies with good ESG performance. Implications of the Research: The research outcomes have important implications for investors, policymakers, and corporate stakeholders, particularly in understanding the role of sustainability reporting in mitigating stock return volatility during times of crisis. The study underscores the significance of integrating ESG considerations into investment decisions and corporate strategies to enhance resilience and stability in the face of market disruptions such as the COVID-19 pandemic. Additionally, the research provides policy recommendations for government intervention through fiscal incentives to promote ESG investment and sustainable corporate practices. Originality/Value: This study contributes to the literature by examining the impact of sustainability reporting index on stock returns within the context of the COVID-19 pandemic, particularly focusing on the non-primary consumer goods sector in Indonesia. By providing empirical evidence of the relationship between ESG performance and stock return volatility during a period of crisis, the research offers valuable insights into the role of sustainability reporting in driving investor confidence and market stability. The findings highlight the importance of sustainable investment practices and provide actionable recommendations for policymakers and corporate decision-makers alike.