Stock Earnings Research Articles

Earnings optimism in green stocks

ABSTRACT In this study, we systematically examine earnings expectations, proxied by consensus analyst earnings forecast errors (EFEs), about stocks in green energy and clean technology sectors. We find that the EFEs of green stocks are generally positive from 1992 to 2016, indicating a predominance of earnings optimism. However, the earnings optimism of green stocks is significantly less strong than that of the market portfolio. In addition, we observe a segment-varying earnings optimism pattern in green stocks. Moreover, it is observed that investors become more and more optimistic when forecasting earnings of green stocks. In the period from 2008 to 2016, while investors exhibit slightly less optimistic expectations about market-level earnings performance after experiencing the 2008 Global Financial Crisis, they tend to be clearly more confident about the earnings prospects of green stocks in the same period as the first and second commitment periods of the Kyoto Protocol take effect.

Impact of sentimental factors on stock portfolio returns –an empirical analysis

This study aims to introduce an integrated model for understanding the influence of various sentimental factors in conjunction with macroeconomic factors on portfolio returns across ten industry sectors within the US market. These sentimental factors are categorized into market-wide, consumer, and individual stock market factors to assess their impact on industry portfolio returns. Employing the Autoregressive Distributed Lag (ARDL) model, the study evaluates the effects of macroeconomic and sentimental factors on stock market portfolio returns. The findings reveal a negative relationship between short-term interest rates and portfolio returns in specific industry sectors like manufacturing, telecom, and wholesale/retail. The study finds a positive relationship between the Hi-tech sector's risk spread and portfolio returns. Market sentimental factors positively influence portfolio returns of durable, non-durable, utility, and other sectors. Individual sentimental factors negatively impact portfolio returns in hi-tech, utility, durable, energy, and other sectors. The stock market-related individual, sentimental factor of the number of IPOs has a positive impact on portfolio returns in the energy sector and a negative impact on portfolio returns in other sectors. Consumer sentimental factors are significant positive determinants for portfolio returns in durable, energy, telecom, health, and other sectors. Discounts on closed-end funds may provide vital fundamental information regarding lower future earnings for stocks in the durable and energy sectors. The study provides valuable insights for investors to optimize their portfolio strategies in response to macroeconomic and sentimental factors within specific industry sectors.

When to Hedge Downside Risk?

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors’ downside risk. These signals can be integrated into existing strategies simply by purchasing sector index put options. Our methodology generates successful signals for price corrections in 2000 (dot-com bubble) and 2008 (global financial crisis). A key innovation involves utilizing sector correlations. Major price swings within six months are signaled when a sector exhibits high valuation alongside abnormal correlations with others. Utilizing the price-to-earnings ratio for identifying sectors’ high valuations is more beneficial than the bond–stock earnings yield differential. Our signals are also more efficient than those of standard technical analyses.

Empirical Study and Reflection on the Impact of COVID-19 Pandemic on Chinese A-share Market--Based on Fama French Five-factor Model

The COVID-19 pandemic has caused severe imbalances in the global economy and intensified stock market turmoil worldwide. Based on Fama-French five-factor model, this paper studies Chinas A-share market changes before and after the epidemic. The stocks treated by ST (special treatment) and * ST (delisting warning) are screened, excluding companies and banking stocks with shortlisting time. The equities are finally divided into groups using the two-by-three grouping approach. According to the median of the total market value of stocks, the entire sample is separated into two categories: modest market value (S) and large market value (B). The samples are classified into three categories based on the book-to-market ratio's 30% and 70% quantiles: high (H), medium (N), and low (L). Comparing the different times of the impact of the five factors on stock earnings is conducive to explaining the changes in the factors affecting the stock price of listed companies before and after the epidemic. It is possible to analyze which factors have declined and fluctuated after the epidemic, resulting in a decline in stock prices, a slowdown in the growth of listed companies, or even a recession. The analysis of the five-factor model can clarify which factors have led to the decline in stock prices after the beginning of the epidemic, which is conducive to the formulation of related policies and plans by listed companies and makes up for the decline in stock prices and the slowdown in company growth caused by the corresponding decline, which has apparent practical value.

Pengaruh Likuiditas dan Profitabilitas terhadap Shareholder Returns Perusahaan Makanan dan Minuman Tercatat di Bursa Efek Indonesia

The impact of liquidity and profitability on stock earnings of food and beverage companies listed on the Indonesian Stock Exchange. The purpose of this study is to examine whether the liquidity ratio (current ratio, cash ratio) and profitability (ROA, ROE) affect the return on equity of food and beverage companies listed on the Indonesian Stock Exchange. That is. The data collection techniques used were performed using documented methods. The test used in this study is multiple linear regression used as an analytical tool, and t-test and f-test are used to test hypotheses. The results of this study suggest that the liquidity ratio has a partial positive but minor impact on stock returns. Profitability (ROA has a positive impact, but is not significant, while ROE has a large positive impact on stock returns). On the other hand, the liquidity ratio (current ratio, cash ratio) and profitability ratio (ROA, ROE) will affect the stock returns of food and beverage companies listed on the Indonesian Stock Exchange for the period 2016-2020. I won't givekeyword:Equity returns, liquidity and profitability.
 Keywords: liquidity, profitability, shareholders, Indonesian stock exchange

Application of Big Data in Stock Market based on Capital Asset Pricing Model

This text aims to discuss the application value of the capital asset pricing model in real life. In this case, the stock price performance of Exxon Mobil and ConocoPhillips from September 2019 to June 2022 was analyzed by calculating the expected earnings of the two stocks and comparing the expected value to the real value. The outcome turns out that the calculated value showed a big deviation, which leads to the conclusion that the CAPM model theoretically can predict the expected earnings of stocks. However, this can be obtained from our calculation results, but affect the stock price factors, war, national economic conditions, macro policy, and so on, it requires a long time of large deviation to make this conclusion confidence, so the CAPM model cannot predict the expected earnings of stocks in the short term

Pengaruh Retur on Equity, Earning per Share, dan Nilai Tukar terhadap Return Saham Industri Pangan di BEI 2016-2019

The purpose of this study was to analyze the effect of return on equity (ROE), earnings per share (EPS), and exchange rates on stock earnings. The population used in this study were producers in the food and beverage sector listed on the Indonesia Stock Exchange (IDX) in the 2016-2019 period, namely 11 companies and 52 samples of financial statements determined using purposive sampling. Based on the results of the analysis in this study, it can be concluded that return on equity (ROE) and the exchange rate have a positive effect on stock returns. Meanwhile, Earning Per Share (EPS) has a negative effect on stock returns.
 
 Keywords: ROE, EPS, exchange rate, stock returns

DYNAMIC SPILLOVER EFFECT OF COVID-19 EPIDEMIC ON DRUG INVENTORY IN AFFECTED COUNTRIES — FROM THE PERSPECTIVE OF INVESTOR ANXIETY

BackgroundSince the beginning of 2020, the global coronavirus pandemic in 2019 has lasted for nearly two years. According to the theory of stock market psychology, investors' judgment of stock value is mainly based on the reality of subjective reflection. In the event of unforeseen events, the changes of psychological factors will affect the anxiety of investors, affect the stock market, lead to stock price fluctuations, and affect the relevant listed industries and companies in the stock market. Due to the close relationship between the pharmaceutical industry and infectious diseases, the sudden outbreak and rapid spread of coronavirus disease in 2019 will undoubtedly bring great challenges and opportunities to the international pharmaceutical industry.Research Objects and MethodsAccording to the number of confirmed cases of coronavirus disease in 2019 published by the World Health Organization, the most seriously affected countries are China, the United States, the United Kingdom, India and Brazil. Based on TVP VAR model, impulse response diagrams with different lag stages and different time points are constructed. Using the daily newly confirmed cases and the pharmaceutical stock index of the most affected countries, this paper analyzes the dynamic spillover effect of coronavirus epidemic in 2019 on the pharmaceutical stock market of the most affected countries in the world. At the same time, it analyzes the correlation between investors' psychological state and venture capital level, especially the factors of investors' anxiety. The reliability and validity of QSC scale revised by Chinese Academy of Sciences were analyzed. The total correlation coefficients of venture capital decision-making, emotional anxiety, job stress and job satisfaction were greater than 0.5. The scale has high reliability. This paper takes emotional labor as independent variable and work pressure as dependent variable to explore the impact of emotional labor on work pressure. There was no significant difference between the experimental group (M = 3.250, SD = 0.684) and the control group (M = 3.222, SD = 0.946); There was no significant difference between the experimental group (M = 3.139, SD = 0.858) and the control group (M = 3.361, SD = 0.559); β A positive value indicates that the level of psychological state has a positive and significant impact on drug investment.ResultsThe impulse response diagram results of different lag stages show that the coronavirus disease epidemic in 2019 has a significant positive impact on the returns of pharmaceutical stocks in the UK, China and India. The coronavirus disease epidemic in 2019 mainly had a negative impact on the United States, but its negative impact was short-lived. The coronavirus epidemic in 2019 had a positive impact on Brazil in the early stage and a negative impact in the later stage. The results of impulse response diagrams at different time points show that the impact of the three important time points of the epidemic on the earnings of pharmaceutical stocks in the five countries fluctuates greatly in the early stage and tends to be stable in the later stage.ConclusionThe severity of coronavirus disease epidemic in 2019, as a global public health emergency, caused great panic all over the world, shook the minds of investors and triggered fluctuations in the stock market. The pandemic has had varying degrees of impact on drug inventory returns in the world's most affected countries. However, with the control of Internet public opinion and the stability of investor sentiment, the fluctuation of pharmaceutical stocks caused by coronavirus epidemic in 2019 will decline over time, but in the short term, the impact is significant. Taking the whole pharmaceutical industry as the research object, this paper can not reflect the impact of coronavirus epidemic in 2019 on different market segments of the pharmaceutical industry stock market, so there are some limitations. However, this study can intuitively reflect the impact of coronavirus disease epidemic in 2019 on the pharmaceutical industry. Based on stock market psychology, this study analyzes the economic psychological and behavioral characteristics of the public under the background of coronavirus epidemic in 2019, which will help to improve the emergency mechanism of China's stock market and formulate phased and differentiated economic incentive policies. It provides a theoretical basis for investors to reasonably deal with stock market fluctuations in an emergency.

Accounting information and stock returns in Vietnam securities market: Machine learning approach

This paper studies the relationship between accounting information reflected in financial statements and stock return in Vietnam Stock Market. The authors propose a research model to define the relationship. Besides, machine learning algorithms are used in researching and forecasting, with data obtained from observed firms during the period from 2009 to 2020. Research results show that gradient boosting algorithm has the best self-reporting performance and finan-cial ratios also have great impact on stock returns, including operating income growth, stock earnings volatility, dividend yield, earnings before tax-to-equity ratio, cash holding ratio, and accrual quality. Based on the research results, the authors make some recommendations for investors, firms, and policy makers.

MARKET CAPITALIZATION OF THE STOCK IN BIRTH - DEATH PROCESSES

In this article the inability to predict the future growth rates and earnings of growth stocks leads to the high volatility of share prices and difficulty in applying the traditional valuation methods. To demonstrate that the high volatility of share prices can nevertheless be used in building a model that leads to a particular cross-sectional size distribution. The model focuses on both transient and steady-state behavior of the market capitalization of the stock, which in turn is modeled as a birth-death process.

Auditor pricing of abnormal income from sales of available for sale securities: evidence from the banking industry

We examine the relationship between abnormal income from sales of available for sale (AFS) securities and bank external auditor fees. Prior research finds that income from sales of AFS securities is used to achieve financial and regulatory reporting objectives, helpful in predicting future bank income, and assigned a persistent valuation multiple by investors. Building on prior research that suggests real activities management leads to negative outcomes, we predict and find that auditors respond to abnormal income from AFS securities sales with increases in audit fees and the effect is stronger among high risk (i.e. higher stock return and earnings volatility) banks relative to low risk banks. In additional analyses concerning a bank’s limited flexibility to achieve regulatory capital objectives through managing loan loss provisions, we find evidence of higher audit fees for banks with low regulatory capital and aggressive income-increasing AFS security sales. Among other robustness tests, we find higher audit fees as abnormal income from sales of AFS securities increases among banks with liquidity concerns and those approaching failure. Our findings suggest that auditors interpret abnormal income from AFS securities sales as an indicator of increased client business risk.

Management forecasts of volatility

We examine the predictive information content of the management forecasts of stock return volatility (i.e., expected volatility) that are disclosed in annual reports. We find that expected volatility predicts near-term and longer-term stock return volatility and earnings volatility incremental to implied volatility, historical volatility, firm characteristics, and alternative measures of uncertainty. We also find that expected volatility reflects managers’ private information about their firms’ future investment activities, such as mergers and acquisitions and R&D intensity. Finally, we find that the predictive power of expected volatility shrinks when managers have stronger incentives to manage earnings. Overall, we provide novel evidence that management forecasts of volatility contain private information about future uncertainty that can help forecast volatility.

What matters to ownership structure? Evidence from pre- and post-global financial crisis in an emerging market

PurposeThe purpose of this paper is to ascertain determining factors of ownership concentration and institutional portfolio ownership in the listed firms of an emerging market during pre-crisis and post-crisis periods and find variations in determining factors between the two varying market conditions.Design/methodology/approachThis paper considers 316 listed firms for the pre-crisis period and 408 firms for the post-crisis period, from the NIFTY-500. Pre-crisis period ranges from FY2000-01 to FY2007-08 and post-crisis period ranges from FY2009-10 to FY2016-17. Two-step GMM is utilized to test the hypotheses by controlling the unobserved heterogeneity and endogeneity issues.FindingsHigher investment and stock market growth leads to ownership dispersion in both the market conditions. Industry information asymmetry leads to dispersion in pre-crisis, while improves concentration in post-crisis phase. Firm size, legal environment and economic growth are found to be a positive determinant of institutional ownership irrespective of market conditions. Institutional investment proliferates with higher stock liquidity and PE ratio, while declines with augmented firm risk, current ratio and stock market turnover during post-crisis phase.Practical implicationsPolicymakers should construct a robust legal environment and focus to improve economic conditions to boost institutional ownership. Corporate executives should concentrate to increase stock liquidity and earnings of the firms, and lower market risk to draw more institutional portfolio investments.Originality/valueThis study would enrich emerging governance literature since studies on the determining factors of ownership holdings are limited in the emerging world. It adds novelty by capturing two different market conditions such as pre-crisis and post-crisis phases to obtain the time-dependent and time-independent determinants. It adds uniqueness by considering the determinants of institutional ownership, which is scarce in ownership studies.

Study on the Relationship Between the Audit Committee of Ipo Firms and the First-Day Stock Earnings

This paper mainly discusses the relationship between the audit committee of IPO firms and the stock returns on the first day of trading on the stock exchange. Using the sample of 21 firms that made an initial public offering in ASX between 2008 and 2010, Regression analysis was used to conclude that the existence of the audit committee of IPO firms and listed on the first day of the stock returns have no significant direct relationships. The result shows that the audit committee has no effect on the earnings of the first day of listing, and the establishment of the audit committee may not be considered before listing.

경영자의 자기주식취득결정과 이익관리의 관련성 - 분기별 재무분석가 예측치를 사용하여-

경영자의 자기주식취득결정과 이익관리의 관련성 - 분기별 재무분석가 예측치를 사용하여-

Stock earnings and bond yields in the US 1871–2017: The story of a changing relationship

Using historical data spanning almost 150 years, we examine whether there is a long-run equilibrium relationship between the stock's earnings and bond yields. The novelty of our econometric methodology consists in using a vector error correction model where we allow multiple structural breaks in the equilibrium relationship. The results of our analysis suggest the existence of an equilibrium relationship over 1871–1932 and 1958–2017. On the two historical segments, our analysis finds that the stock's earnings yield followed the bond yield in both the short run and long run, but not the other way around. Perhaps the most important and surprising finding of our empirical study is that, after the break in 1932, a completely new equilibrium relationship re-emerged in 1958 that was later termed the “Fed model.” Our main argument for the emergence of a new equilibrium relationship is that a major “paradigm shift” in the stock valuation theory occurred in the late 1950s. To support our argument, we highlight the main historical events that potentially could have caused the transition from the old to the new paradigm. Finally, we identify the primary impetus for the paradigm shift.

Hisse Senedi Fiyatları İle Finansal Oranlar Arasındaki İlişkinin Panel Veri Analizi Yöntemiyle İncelenmesi: Türkiye ve Almanya Ulaştırma Sektörü Uygulaması

Küreselleşme ile birlikte meydana gelen ekonomik ve ticari gelişmeler hem ulusal hem de uluslararası birçok yönde etkili olmaya devam etmektedir. Yaşanan muhasebe krizleri ile birlikte işletmeler finansal raporlarını dünyada kabul gören birtakım standartlar çerçevesinde yayınlamak durumundadırlar. Çalışmada Türkiye Muhasebe Standardı-33 Hisse Başına Kazanç (TMS-33) ve Türkiye Muhasebe Standardı-34 Ara Dönem Finansal Raporlama (TMS-34) standartları çerçevesinde, finansal raporlamalardaki hisse senetleri kazançlarının incelenmesi ve bazı finansal oranların hisse senetleri dönem sonu kapanışları üzerindeki etkisi araştırılmıştır. Diğer taraftan Türkiye ve Almanya Lojistik Endeksindeki işletmeler incelenmiş ve ülke karşılaştırması yapılmıştır. Çalışmada her iki ülkede de net kar marjı ve aktif karlılığın hisse senetleri kapanışında etkisi olduğu sonucuna ulaşılmıştır.

The Risk in Value

This article provides evidence consistent with the hypothesis that the value risk premium results, at least in part, from investors’ incremental forecast difficulty for value stocks. The evidence includes the findings that (1) analysts’ uncertainty about earnings is consistently higher and their earnings forecast accuracy is consistently lower for value stocks, (2) value returns are higher when relative forecast difficulty for value stocks is greater, and (3) trading volume is greater for value stocks. If the relative difficultly in forecasting earnings for value stocks is consistent over time, the value stock premium should also be fairly consistent over time. Indeed, using a more refined definition of value, the author finds that the value stock return premium is far more consistent over time than is commonly believed and that it has been positive in recent years. TOPICS:Performance measurement, style investing, statistical methods Key Findings • Earnings are more difficult to predict for value stocks than for growth stocks. • The difficulty in forecasting earnings for value stocks is related to the value stock premium. • The value stock premium is larger and more consistent after controlling for industry.

Management Forecasts of Volatility

We examine the predictive information content of the management forecasts of stock return volatility (i.e., expected volatility) that are disclosed in annual reports. We find that expected volatility predicts near-term and longer-term stock return volatility and earnings volatility incremental to implied volatility, historical volatility, firm characteristics, and alternative measures of uncertainty. We also find that expected volatility reflects managers’ private information about their firms’ future investment activities, such as mergers and acquisitions and R&D intensity. Finally, we find that the predictive power of expected volatility shrinks when managers have stronger incentives to manage earnings. Overall, we provide novel evidence that management forecasts of volatility contain private information about future uncertainty that can help forecast volatility.

A Cointegrated VAR Analysis of Stock Price Models: Fundamentals, Psychology and Structural Change

This paper provides an empirical investigation of leading models of stock price fluctuations, including those based on canonical present value and behavioral considerations. It uses the cointegrated VAR framework to test the models’ competing predictions concerning the roles of fundamentals, psychology, and structural change in driving fluctuations. We rely on a novel dataset from Bloomberg News to capture the influence of psychological factors and the broader information that market participants use contemplating stocks’ fundamental values. We find that stock prices, earnings, and interest rates are cointegrated, but only when measures of psychological factors, a broader information set, and mean shifts are included in the cointegration relation. The results provide support for the scapegoat and imperfect knowledge models of stock prices, with weak evidence in favor of bubble models.