Stock Returns Of Companies Research Articles

Asymmetric reactions of the crude oil and natural gas markets on Vietnamese stock markets

PurposeThe purpose of studying the impact of crude oil and natural gas prices on the Vietnamese stock market is to understand the relationship between energy prices and the overall performance of the financial markets. As Vietnam is an energy-dependent country, fluctuations in crude oil and natural gas prices can significantly affect various industries, including manufacturing, inflation, transportation, energy production and economic growth. These sectors are often sensitive to changes in energy costs, which can lead to shifts in corporate profitability and investor sentiment. By analyzing how crude oil and natural gas prices influence the Vietnamese stock market, policymakers and investors can provide deeper insights into the economic risks and opportunities related to energy price volatility. This paper can also provide valuable information for decision-making in sectors such as economic forecasting, risk management and investment strategies.Design/methodology/approachUsing monthly data from January 2006 to March 2024, data were collected from the Vietnamese stock market and the OPEC organization for oil prices, while data on natural gas were obtained from the EIA. The data were analyzed using vector error correction (VEC) model, impulse response function, variance decomposition test and asymmetric reactions method; the study tries to ascertain the short-term and long-term dynamic relationships between the shocks of the crude oil price and natural gas prices and their effects on the movement of the stock price. In addition, the GARCH model is applied to measure the volatility of crude oil and natural gas prices.FindingsCrude oil price shocks have a statistically significant impact on most Vietnamese real stock market indices, except for the utility and consumer indices and some energy companies. Conversely, natural gas price shocks do not significantly affect on Vietnamese stock market indices, except for the energy index and some energy companies. Some “important” of both crude oil price and natural gas price shocks tend to depress the stock returns of energy companies. An increase in both crude oil and natural gas volatility can lead to heightened speculation in certain indices, particularly the energy and industrial indices, as well as in some energy companies. This heightened speculation often results in elevated of their stock returns.Originality/valueThis study provides valuable insights into the field of study examining how fluctuations in the prices of oil and gas, particularly during major crisis periods such as global financial crisis, COVID-19 pandemic and the Russo-Ukrainian War, affect financial markets.

Air quality protection behaviour and stock returns of public companies: Sectoral aspects

In the new economic reality, air quality protection behaviour of companies remains a burning issue shifting the em phasis towards saving human life and health. The article explores the relationship between the air quality protection behav iour of public companies and stock returns in different economic sectors. The research methodology is based on environmental management theory, financial management theory, and stakeholder theory. The analytical procedures performed on the data involved cross-sectoral economic analysis and econometric analysis. Empirical data are retrieved from the Federal State Statistics Service (Rosstat) and the Moscow Exchange and cover statistics on 45 public joint-stock companies (PAOs) from five sectors of the economy for the period of 2014–2022. Cross-sectoral economic analysis has shown that investors lack interest in PAOs’ air quality protection behaviour and invariably favour companies from the sectoral indices paying higher dividends compared to the Moscow Exchange, such as Chemicals and Petrochemicals, Metals and Mining, Oil and Gas. By integrating air quality protection factors into the Fama-French-Carhart model through econometric modelling, we estimated the dependence of returns of indus try portfolios on these factors and classical risk premiums. The study demonstrates a positive impact of market premium and size premium on returns of industry portfolios. No statistically significant impact of air quality protection factors on stock returns was found. Our empirical findings confirm that businesses are poorly motivated to take air environment protection measures and air pollution-reducing behaviour should be encouraged at the state level.

Exchange Rate, Dividend Policy, and Capital Structure: Their Impact on Stock Returns in Jakarta Islamic Index Companies (2019–2023)

This study aims to analyze the impact of exchange rates, dividend policies, and capital structures on stock returns of JII-listed companies from 2019-2023, considering unique characteristics and adherence to Sharia principles. This study uses a qualitative method, employing purposive sampling techniques to determine the sample and then analyzing it using multiple linear regression with the SPSS 25.0 application. The sample in this study consists of 23 companies listed on the IDX that are included in the JII index and are non-bank companies. The results of this study found that the exchange rate has a positive effect on stock return. Dividend policy, measured using the dividend payout ratio (DPR), has a negative and significant effect on stock return. Capital structure, measured using the debt to equity ratio (DER), has a negative and significant effect on stock return. Meanwhile, simultaneously, the variables of exchange rates, dividend policies, and capital structures have a significant effect on stock return. The findings provide valuable insights for investors and companies seeking to make informed investment decisions and develop effective financial strategies aligned with Sharia principles. The study contributes academically to sharia-based finance literature and offers practical implications for market participants in the Islamic capital market.

Impact of Stock Split on Stock Return in Companies Listed on the India Stock Exchange

The aim of this research is to evaluate the impact of a company's announcement, which in this case is a stock split, on the return of a company's stock listed on the Indian stock market. basing on this, the extent and significance of the effect is measured and examined through parametric and non-parametric tests. due to the aim of the paper is to test if the stock split will have a positive influence on the stock price around the implementation of the policy, we use the event study method and set regression model. In order to test the effect of the strategy, we picked estimation period and event period from each stock, and conduct regression analysis respectively. As suggested by the cumulative average AR value, the precision weighted CAAR and the ABHAR, the results imply that during the short window event of pre- and post-10 days of stock splits, the selected company have witnessed significant ARs so we reject H0 and accept H1, which suggests the presence of ARs within the event window. Similarly, other tests such as Patellz, Cross-sectional Test-t, Generalized Signz, Std. Cross-sectional Testz and Adjusted Patellz also suggest to reject H0 stating that there are ARs during the study window of the stocks splits. However, these findings are based on the 10-days event and 90-days estimation windows used for analysis and impact of the stocks splits on the stock returns of the selected company.

The Influence Factors on Stock Returns of Real Estate and Property Companies Listed in Bei in 2010 - 2014

This research seeks to examine and offer insights into the factors that impact stock returns of real estate and property companies listed on the Indonesia Stock Exchange. The examined factors include DER, EPS, NPM, PBV, inflation, exchange rate, SBI, and GDP. The research focuses on real estate and property companies listed on the Indonesia Stock Exchange during the 2010-2014 period, involving a total of 38 companies. The study analyzes the impact of these variables DER, EPS, NPM, PBV, inflation, exchange rate, SBI, and GDP on the stock returns of these companies. Data were collected from sources such as Bank Indonesia, the Central Bureau of Statistics, and the Indonesia Stock Exchange. The findings reveal that DER, EPS, NPM, and PBV significantly influence stock returns, whereas inflation, exchange rate, SBI, and GDP do not have a significant impact on the stock returns of real estate and property companies.

Pengaruh Penerapan Kinerja Lingkungan Terhadap Return Saham (Studi Kasus pada Perusahaan-Perusahaan di Negara Berkembang Wilayah ASEAN yang Terdaftar di Bloomberg Periode 2014 – 2022)

Companies must consider environmental performance in the current global economic era in order to compete with other competitors. Environmental performance will provide signals for investors in their investment decisions that will affect the stock returns of related companies. The purpose of this study is to examine the influence of environmental performance on stock returns. The research method used is a quantitative research method using a paired sample t-test to see if there is a difference in stock returns when companies announce their environmental performance scores. The results of the study show that there is a difference in stock returns when companies announce their environmental performance scores.

EVA and EBITDA: How such Metrics Can Help in the Investment Decision-Making Process

Objective: EBITDA is the most widely disclosed non-accounting metric in reference forms and tends to be the most used by analysts. However, EVA is little publicized, despite its qualitative superiority and well-founded theoretical framework. Therefore, it was verified whether EBITDA can better explain the stock returns of Brazilian companies listed on B³. Employing two hypothetical portfolios, it was also verified which decision reference is more efficient and delivers a higher shareholder return, whether portfolios based on the companies' EVA or portfolios based on the companies' EBITDA. Method: The analysis is based on data from the companies listed on B³ from 2010 to 2022, collected from the Economatica® database. Through panel data regressions the study hypotheses were tested. Two hypothetical portfolios were built based on firms' EBITDA and EVA, to empirically verify which of the two indicators is the most efficient in terms of generating investors’ returns. Results: Results indicate that EBITDA better explains the firm’s return on the Brazilian stock market than EVA. Conversely, the portfolio built based on EVA obtained a higher return over the period studied. Contributions: A comparative study of the explanatory power of both metrics in Brazil is relevant to the transformation experienced in the Brazilian capital market. Moreover, evaluating the explanatory power between them helps existing and potential investors to make their investment decisions.

HACKED: Understanding the stock market response to cyberattacks

Increasing levels of digitisation make firms more susceptible to cyberattacks and privacy violations. In this paper, we quantify the impact of cybercrime on company stock returns using a large international sample. On the day after the cyber event, stock returns are found to decrease by -0.24%, but the effect reverses in about two weeks. The magnitude of the decrease in the stock market is greatest for companies that have experienced reoccurring events and for breaches deemed to be most severe. We show that the extent of the stock market decline cannot be explained by national institutional and macroeconomic factors, and is related to company-specific characteristics, including size, volatility, credit ranking and asset volatility. The empirical results highlight important policy and regulatory issues, not least the need for cyber risk disclosure requirements.

Mandatory corporate ESG disclosure and default risk – Evidence from China

Investigating the potential benefits of corporate Environmental, Social and Governance (ESG) disclosure for corporate governace and business resilience is imperative. Using a sample of publicly listed companies in China from 2006 to 2020, this paper uses a difference-in-differences (DID) design to investigate the impact of corporate ESG disclosure on its default risk. We find that corporate ESG information disclosure could significantly reduce default risk. This relationship is mediated through information communication, internal governance and external monitoring mechanisms. This finding is robust to a series of tests, including a parallel trend test, a PSM-DID design, a placebo test and alternative default risk calculations. ESG disclosure does not significantly affect a company's stock return but also significantly reduce its stock price volatility and enhance stock liquidity. We show that corporate engagement and disclosure of ESG activity could promote corporate governance and sustainable development.

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.