Effect Of Systematic Risk Research Articles

The Effect of Systematic Risk and Sustainability Report Disclosure on Company Value

Company value is very important in an effort to gain attention from every investor. So in increasing this value, companies need to pay attention to the influence of systematic risk and Sustainability Report Disclosure on company value. The purpose of this study is to determine the effect of systematic risk and sustainability report disclosure on company value. The type of research used in this study is quantitative research. The sample in this study was companies listed on the Sri-Kehati Index for the 2020-2022 period, totaling 25 companies. The data analysis technique used multiple linear regression analysis and hypothesis testing. The results of this study indicate that Systematic Risk has a positive but insignificant effect on the value of listed companies. The economic dimension of Sustainability Report Disclosure has a significant positive effect on company value. The social dimension of Sustainability Report Disclosure has a significant positive effect on the value of listed companies. The environmental dimension of Sustainability Report Disclosure has a significant positive effect on the value of companies listed on the Sri-Kehati Index for the 2020-2022 period. Companies should maintain and pay attention to company value. Namely by paying attention to the market price per share and the book value per share. Because the higher the value of the company, the greater the level of prosperity that will be received by shareholders.

Firm systematic risk after the Russia–Ukraine invasion

Firm systematic risk after the Russia–Ukraine invasion

A modelling framework for equity portfolio projections under different carbon price scenarios

A modelling framework for equity portfolio projections under different carbon price scenarios

Pengaruh Risiko Sistematik Dan Rasio Pasar Terhadap Return Saham Syariah Pada Perusahaan Yang Terdaftar Dalam Indeks Saham Syariah Indonesia

This research aims to determine the effect of systematic risk and market ratios on sharia stock returns in companies listed in the Indonesian sharia stock index for 2020-2022. The independent variables in this research are systematic risk and market ratios and the dependent variable in this research is stock returns. The research sample is companies listed in the 2020-2022 Indonesian Sharia Stock Index. The sample was selected using a purposive sampling technique to obtain 12 companies listed in the sharia stock index. This research uses multiple linear regression analysis research methods. The research results show that systematic risk and market risk have a positive effect on sharia stock returns simultaneously.Keywords: systematic risk, market ratio, Islamic stock returns.

The Role of Company Value as A Mediating Variable in The Relationship Between Systematic Risk, Financial Performance and Financial Distress on Stock Return in The Indonesia Stock Exchange (IDX)

This research aims to determine the effect of Systematic Risk, Financial Performance, and Financial Distress on stock return either partially or simultaneously and to determine the effect of Systematic Risk, Financial Performance, and Financial Distress on stock return through firm value. The object of research is the Property, Real Estate, and Building Construction Sectors that listed on the Indonesia Stock Exchange in 2016 – 2020 for 99 companies. The sample was selected using the purposive sampling method. The number of samples in this study were 53 companies. The panel data estimation method is used a fixed effect model and sobel test. The results of the study are simultaneously Systematic Risk, Financial Performance, and Financial Distress have a significant effect on stock return. Partially, the three independent variables have no significant effect on stock return. Firm value is able to mediate the relationship between Financial Performance and Financial Distress on Stock Return.

The Moderating Role of Treasury Bills and Bonds Allocations on the Relationship between Systematic Risk and Investment Portfolio Performance of Pension Schemes in Kenya

Purpose: This study investigated the moderating role of Treasury Bills and Bonds allocation on the relationship between systematic risk and investment portfolio performance of pension schemes in Kenya. Assets under management by pension schemes make up 14.6% of the GDP in Kenya, making pension schemes significant players in the financial industry and the economy. As of December 2021, the pension industry had mobilised Kshs. 1,547.43 billion in managed pension assets from Kshs. 44.7 billion in 2000, a significant annual average growth rate of 21%.
 Methodology: The study used secondary data from 1,172 registered pension schemes for seven years between 2015 and 2021. Pension scheme data was collected from the database of the Retirement Benefits Authority. Systematic risk data was collected from the databases of the Central Bank of Kenya, Nairobi Securities Exchange and Kenya National Bureau of Statistics. Panel Regression analysis, fixed effect, random effect, and Hausman test were used to analyse the relationship between the dependent and independent variables. The study applied the Whisman and Maclleland two-step model to evaluate the impact of asset allocation on the investment portfolio performance of pension schemes as moderating variables.
 Findings: The study results showed that asset allocation to Treasury Bills and Bonds did not significantly moderate the effect of systematic risk on the investment portfolio performance of pension schemes. 
 Unique Contribution to Theory, Practice and Policy: The study contributed to academia by challenging the usefulness of Modern Portfolio Theory. Policymakers should consider reviewing the limits on investment in Treasury Bills and Bonds to less than 100% to encourage diversification to more asset classes. Practitioners are recommended to invest in diverse asset classes.

Systematic Risk and Investment Portfolio Performance of Pension Schemes in Kenya

Purpose: Life expectancy in Kenya has increased from 61 to 67 years, while the fertility rate has declined from 4.4 to 3.4 children from 2010 to 2020, implying an increasing number of pensioners at risk of old age poverty if they do not have sufficient pension. The study's general objective was to investigate the effect of systematic risk on the investment portfolio performance of pension schemes in Kenya. The specific objectives were to evaluate the relationship between interest rates, stock market index, inflation rate and economic growth as independent variables and the investment portfolio performance as the dependent variable. The study examined the moderating effect of asset allocation to various asset classes on the relationship between systematic risk and investment portfolio performance of pension schemes.
 Methodology: The study applied Panel data Regression and Maclleland two-step model. It used a census of secondary data on 1,172 pension schemes registered with Retirement Benefits Authority from 2015 to 2021.
 Findings: The R-Squared was 0.5451, meaning systematic risk variables simultaneously explained the investment portfolio performance by 54.51%. All the coefficients for the independent variables were significant at 5% level of significance. The Chi-Square test statistic showed that the moderating effect of asset allocation to Treasury Bills and Bonds quoted equities and immovable properties were not significant at 5% level of significance. Finally, the moderating effect of allocation to guaranteed funds was significant at 10% level of significance. The systematic risk variables are strong predictors of the performance of pension Schemes. Asset allocation to guaranteed funds is a strong moderator. Asset allocation to Treasury Bills and Bonds quoted equities, and immovable property are insignificant moderators.
 Unique Contribution to Theory, Practice and Policy: The study integrated Capital Assets Portfolio Theory, Arbitrage Theory, and Efficient Market Theory with Modern Portfolio Theory to add to existing literature, particularly in emerging markets. Policymakers should consider the effect on pension performance when setting policy rates, inflation targets and asset allocation limits. Pension practitioners should consider allocation to different assets portfolio construction to diversify risk.

Affordable Housing Ambidexterity of Real Estate Investment Trusts: SWOT Analysis for N-REITs

Symmetric movements of real estate investment trust (REIT) capitalization and affordable housing deficit in Nigeria fuelled the motivation of the study on analyzing the implications of an affordable housing ambidexterity of REITs in Nigeria (N-REITs). The focus on REITs was informed by the unsustainable growth in the deficit statistics of affordable housing in Nigeria which implies a think-outside-the-box search for financing panacea. Indeed, there seems a paucity of empirical and practical evidence of such ambidextrous diversification for N-REITs, so the study was aimed at conducting a strength, weakness, opportunity and threat (SWOT) analysis of affordable housing ambidexterity of N-REITs. Survey research method was employed on a sample frame of housing delivery stakeholders. Sample size of 369 was determined using Freund and Williams formula, while the research instrument was a self-administered e-questionnaire. Data was obtained from primary sources, and further subjected to descriptive analysis. The study found that professional investment management competency was the most dominant strength, 10% investable income was the most significant weakness, significant room for rise in market share was the most significant opportunity, while effect of systematic risk on sustainability planning was the most significant threat to N-REIT ambidexterity towards affordable housing investment in Nigeria. The study concluded that the professional investment management quality of REITs, in comparison with non-listed direct real estate companies would envisage a robust and sustainable contribution to increase in affordable housing stock in the country. It was recommended that management of N-REITs should leverage on their professional investment management strengths to explore blue ocean strategies for an ambidextrous attitude that enhances the growth and sustainability of affordable housing units, in addition to the employment of risk analysis, management and mitigation strategies to limit the effect of volatilities from macroeconomic risks. Keywords: Housing affordability, Housing deficit, Housing financing, REITs, REIT ambidexterity, SWOT analysis. DOI: 10.7176/EJBM/13-12-02 Publication date: June 30 th 2021

PENGARUH RISIKO PERUSAHAAN DAN KONDISI MAKRO EKONOMI TERHADAP NILAI PERUSAHAAN PADA PERUSAHAAN ASTRA GRUP INTERNASIONAL

This study aims to determine the effect of systematic risk and macroeconomic conditions on firm value. The sampling technique used was purposive sampling, with a sample of 42 observations during the observation period. The data source used is secondary data. The type of data used is quantitative data in the form of financial statements of Astra International Group companies from 2011 to 2017. The analysis technique used is descriptive statistical analysis, classical assumption test using normality test, multicollinearity test and heteroscedasticity test, multiple linear regression analysis and hypothesis testing using partial test (t), simultaneous test (f) and determination (R2). Data processing methods use SPSS version 16.0 and Microsoft Excel 2010. The results of the analysis show that systematic risk has a significant effect on the value of the company with a significant value of 0.005, while inflation has no significant effect on the value of the company with a significant value of 0.845. Simultaneously or together systematic risk and inflation have a significant effect on firm value with a significant value of 0.018. R2 value of 0.186 can be interpreted that 18.6% of the company's value variable is explained by the company's risk variables and inflation, while the remaining 81.4% is explained by other factors outside of this research variable.

Systemic Risk in Dual-Banking Systems during the COVID-19 Pandemic

While operating side-by-side with conventional banks, the systemic risk profile of Islamic banks could be different due to their unique business model. Using a sample of ten countries with dual-banking systems, where the Islamic banking sector is considered systemically important, this paper evaluates the systemic risk and identifies the determinants of systemic importance (measured using spillover indices) of financial institutions. The objective is to understand whether there are any differences in the systemic risk profiles of conventional and Islamic banks during the COVID-19 pandemic. The results indicate a significant increase in systemic risk in the sample countries during the first half, followed by a recovery in the second half, of 2020. Comparative analysis shows that Islamic banks, while earning abnormal returns, pose significantly less spillover to others relative to conventional banks. During the COVID-19 pandemic, there is an overall increase in spillovers, the magnitude of the effect of systematic risk increased, and higher abnormal return performance shows a negative association with spillover. Furthermore, we find that sensitivity to oil prices is a systemic risk factor for financial institutions, especially for Islamic banks. The results are robust to alternate estimation techniques. The findings of this study provide valuable insights for regulators of dual-banking systems.

CAPM verification using overnight and daytime returns

Purpose The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual stock market returns. Accordingly, this study analyzes daily returns by splitting it into overnight and daytime returns. The study analysis empirically confirms a positive relationship between overnight returns and beta and a negative relation between daytime returns and beta. Furthermore, this paper aims to determine that empirical results are mostly the same with three different beta calculations, namely, daily, overnight and daytime returns. The study concludes that beta on overnight returns has the strongest explanatory power and is statistically significant.

The Effect of Systematic Risk and Previous Period Returns on Portfolio Selection

There are many techniques to determine investable set of portfolios given return data of assets. However, the theoretical results do not always point out the best portfolios in practice. This is due to the fact that financial dynamics are so difficult to be modelled and this requires many assumptions. The investor may have some preferences to select portfolios. In this study, two selection criteria are proposed to be applied in a mean variance optimization. These criteria are beta coefficient which is a measure of systematic risk and previous period return.The study has an empirical analysis applied on Istanbul Stock Exchange. The findings of the study confirm that these selection criteria may be used to obtain investable portfolios. The analysis with beta selection criteria reveal that the portfolio with lowest 5 beta coefficients is the best alternative. This means that the advantage of low beta which is a natural hedge when stock values declineis superior to diversification benefits of adding new stocks.The previous period return analysis suggest two alternative portfolios. In addition, one of these portfolios generate higher return than the portfolio selected with beta selection criterion. This is also a higher risk portfolio. Therefore the decision is based on risk profile of the investor.This research offer to add selection criteria to the standard approach which is beneficial for academic and practical purposes in portfolio management.

Real Options, Risk Aversion and Markets

We analyze how the presence of financial markets effects the optimal exercise of real options for a risk averse agent. In this process we examine the role of the minimal martingale measure and the Capital Asset Pricing Model (CAPM). Using value-matching and smooth-pasting conditions, we generalize results of Shackleton and Sodal (2005) for the one-dimensional complete market case and extend their framework to a multi-dimensional incomplete market setup, identifying the minimal martingale measure as the appropriate reference measure, consistent with the CAPM. We provide a characterization of the optimal exercise rule in terms of the capital market line. Our approach allows us to unambiguously characterize the effect of systematic risk on the speed of exercise of the option, but we also show that the effect of idiosyncratic risk can contravene conventional belief. Finally we demonstrate in form of numerical examples that it is indeed crucial to correctly account for the presence of financial markets and its interplay with risk aversion when exercising real options, as otherwise large financial losses can occur.

SYSTEMATIC RISK, DEPOSIT, EFFICIENCY, AND INTEREST RATE ON BANKING’S PERFORMANCE

This study aims to analyze the effect of systematic risk, deposit, level of efficiency, and interest rate on Sharia Banking’s performance listed in Indonesian Stock Exchange (IDX) for the period of 2014-2017. The analysis technique used in this study is descriptive and verificative approach, by using panel data regression. The population are all Sharia Banks listed in IDX for the period of 2014-2017 by using saturated sample. The result showed that the systematic risk, deposit, level of efficiency and interest rate effected significantly on the Sharia Bank’s financial performance. Partially, systematic risk effected negatively significantly, deposit and interest rate effected positive but insignificantly, level of efficiency effected positive significantly on Sharia Bank’s financial performance.

Analytical valuation of Asian options with counterparty risk under stochastic volatility models

AbstractIn this paper, we consider Asian options with counterparty risk under stochastic volatility models. We propose a simple way to construct stochastic volatility models through the market factor channel. In the proposed framework, we obtain an explicit pricing formula of Asian options with counterparty risk and illustrate the effects of systematic risk on Asian option prices. Specially, the U‐shaped and inverted U‐shaped curves appear when we keep the total risk of the underlying asset and the issuer's assets unchanged, respectively.

체계적 위험이 보수주의에 미치는 영향

체계적 위험이 보수주의에 미치는 영향

EFFECTS OF THE PRE-REPURCHASE SYSTEMATIC RISK ON THE RELATIONSHIP BETWEEN INVESTOR BEHAVIOR, MARKET FACTORS AND THE STOCK PRICE RESPONSES

This study explores the pre-repurchase systematic risk will affect the abnormal returns in the open-market repurchase event period and also change the relationship between the investor sentiment, trading activity, market factors and stock price response during the event on Taiwan stock market. Based on threshold regression models, it is found that the pre-repurchase systematic risk will significantly change the relationship between investor behavior, market factors and stock price responses and the asymmetry of the relationship exists when pre-repurchase systematic risk is lower than a repartition, which supports that institutional investors and credit trading investors differ in these existing relationships. When the pre-repurchase beta is below repartition, it will be detrimental to the returns in event period. But on the contrary, the returns in the short-term shock of news exposure period present the favorable results, which may be related to the fact that there exists sentiment premium in short-term when credit trading investors’ repurchase news exposure occurs. Finally, the study is to confirm the effect of systematic risk for returns and investor sentiment, these results have not been further explored in the past, and can be used as the firm’s evalu-ation reference to the repurchase program in the future.

LEVERAGE, PERSISTENSI LABA DAN SISTEMATIK RISK, TERHADAP EARNINGS RESPONSE COEFFICIENT PADA ENTITAS INDUSTRI

Investors use financial statement information in their investment decisions. Earnings is usually the main consideration of investors in making decision. However, the increase in earnings is not always followed by positive stock price changes. It shows that in economic decision-making the investors not only need information about the company's financial condition, i.e profit, but also other information. Therefore, investors need useful tool to predict the up or rise of stock price namely earnings response coefficient which shows market reaction on earnings information published by company. If the investor perceived the information content of the announced profits as good quality then the investors will react positively to earnings anouncement.Therefore purpose of this study is to examine the effect of systematic risk, leverage and earnings persistence on earnings response coefficient at manufacturing companies listed on the Stock Exchange. The population in this study are all manufacturing companies listed on the IDX in 2015. The sample of this study is determined by the method of purposive sampling and this study obtained 56 sample companies. The study usesecondary data which is obtained from www.idx.co.id. The results of this study based on multiple regression analysis indicate that systematic risk, leverage and profit persistence have no effect on earnings response coefficient.

Pengaruh Risiko Sistematis, Leverage, Dan Likuiditas Terhadap Return Saham Lq 45 Yang Terdaftar Pada Bursa Efek

Investors want high stock return to increase wealth from their stock investment. In determining stocks that can provide high returns, there are factors that must be considered. LQ 45 stocks are identical to profitable and high return stock. In fact, LQ 45 stocks do not always benefit investors. There are risk factors that influence LQ 45 stock return, which is the market risk and fundamental risk. Market risk is known as systematic risk and fundamental risk is reflected through companies’ liquidity and leverage. There are inconsistencies over the influence of this variables on stock return. Therefore, the purpose of this research is to examine the effect of systematic risk, leverage, and liquidity on stock return. This research is a causal research and conducted on LQ 45 companies during 2011- 2015. This research uses simple random sampling as sampling method. Systematic risk is measured by stock beta coefficients, leverage is measured by Debt to Equity Ratio, and liquidity is measured by Current Ratio. Research’s result shows that systematic risk, leverage, and liquidity have significant effect on stock return simultaneously. Partial test shows that systematic risk has insignificant effect on stock return, while leverage and liquidity have positive significant effect on stock return.
 Keywords: Systematic risk, leverage, liquidity, stock return, LQ 45

Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence

Abstract This paper is a pioneering effort to jointly analyze the intraday and interday distribution of stock returns and their asymmetric time varying volatility using firm level data from an emerging stock market, namely, the Bourse Istanbul. The joint intraday and interday distribution analysis is based on the two trading sessions with a two-hour lunch break and the trading days of week. The asymmetric time varying volatility is based on the Threshold Generalized Autoregressive Conditional Heteroscedasticity-in-Mean [TGARCH(1,1)-M] model with systematic risk entering the return generating process. This is a unique framework to simultaneously test (i) the weak-form informational efficiency, (ii) the conditional total risk-return relationship and the systematic risk effects, and (iii) volatility persistence and asymmetry in volatility. The firm level intraday data sets are used for the period 1995 to 2015. Firstly, a strong result can be pronounced for a positive return effect for the second trading session of Thursdays followed by the second session of Fridays. The first session of Wednesdays is more associated with a stock price decline. The volatility is the highest in the second session of Mondays. Although the second session of Thursdays sees a volatility increase referring to a positive risk-return relationship, Fridays do not have any significant volatility increase. This can be seen as a true anomaly where we could observe higher returns with lower volatility. Secondly, it can be concluded that only the systematic risk is priced for the great majority of the selected firms. In addition, we cannot observe a significant asymmetry in the volatility in most cases. Finally, it is found that the financial companies have a significantly higher systematic risk than the industrial companies.