Influence Stock Returns Research Articles

Analisis Pengaruh Faktor Fundamental Terhadap Return Saham

This study aims to examine: (1) the effect of EPS on stock prices, (2) the effect of ROE on stock prices, (3) the effect of DER on stock prices, (4) the effect of ROA on stock prices, (5) simultaneous influence of EPS, ROE, DER, and ROA on stock prices. This research use stock returns as the dependent variable and EPS, ROE, DER, and ROA as independent variables. This study use secondary data from the annual financial statements of the property and real estate industry groups listed on the Indonesia Stock Exchange from 2013 to 2017 with using the judgment sampling method to produce 7 companies that meet the sample criteria. This study uses an associative type method with a quantitative approach. The analysis technique used is descriptive statistical analysis, classic assumption test, multicollinearity test, autocorrelation test, heteroscedasticity test, multiple linear regression analysis, and hypothesis testing. This research was conducted by retrieving data through the website www.idx.co.id which was processed based on research needs using the SPSS version 23. The results showed that the EPS, ROE, DER, and ROA ratios did not significantly influence stock returns of property and real estate listed on the Indonesia Stock Exchange.

Pengujian Kandungan Informasi Arus Kas Dan Laba Akuntansi Terhadap Return Saham: Studi Pada Perusahaan LQ45

This study aimed to analyze the effect of changes in cash flow from operating activities, cash flows from investing avtivities, cash flow from financing activities and accounting earnings on stock returns in the Indonesian capital market. Research conducted on 15 companies listed in the LQ45 index in the Indonesia Stock Exchange (BEI). Observations were made for 4 years from 2011 to 2014. Data were analyzed using data panel analysis. The results show that operating cash flow and financing cash flow significantly influence stock returns. This means any increase in operating cash flow and in expenditures for financing activities followed by an increase in stock returns. Accounting earnings and cash flows have no significant effect on stock returns, since the accounting information and investment cash flows of the sample companies do not contain relevant information and market anomalies occur due to investor failure to understand accrual information, cash flow, market risk and conservatism.

PENGARUH FINANCIAL DISTRESS, AKTIVITAS OPERASIONAL DAN PROFITABILITAS TERHADAP RETURN SAHAM PADA PERUSAHAAN PERTAMBANGAN YANG TERDAFTAR DI BURSA EFEK INDONESIA TAHUN 2011-2018

ABSTRACTOne of the mainstay sectors in the Indonesian capital market is the mining sector. Mining companies require large capital to carry out their operations, so many mining companies enter the capital market to obtain investment and strengthen their financial position. The objectives to be achieved from the formulation of the problems that have been described are to determine the partial and simultaneous influence of Financial Distress, Operational Activities and Profitability on Stock Returns on mining companies listed on the Indonesia Stock Exchange in 2011-2018. The population is 41 companies. Samples obtained by purpose sample technique were 4 companies. The independent variables used are Altman Z Score, Operating Cash Flow, Investment Cash Flow, Funding Cash Flow, Net Profit Margin, Return On Equity and Return On Asset, while the dependent variable used is stock returns. In this study, the analytical method used is multiple linear regression analysis method, with the classic assumption test including normality test, multicollinearity test, heteroscedasticity test and autocorrelation test. Hypothesis testing uses the t statistical test and the f statistical test, and the coefficient of determination test. The results of this study indicate that Financial Distress as measured by altman z- score, Operational Activities as measured by AKO, AKI and AKP, Profitability as measured by NPM, ROE and ROA partially or simultaneously does not significantly influence stock returns. The coefficient of determination produces a value of 19.6% which means that stock returns are influenced by Financial Distress, Operational Activities and Profitability by 19.6% while the remaining 80.4% is influenced by other factors not included in the study. Keywords: Financial Distress, Operational Activities, Profitability, Stock Return

Investor attention is a risk pricing factor? Evidence from Chinese investors for self-selected stocks

PurposeThe purpose of this paper is to empirically examine whether investor attention is a significant risk pricing factor.Design/methodology/approachUsing investor attention data from Eastmoney.com, which provides for each stock the number of investors whose watch list includes that stock on a daily basis, this paper constructs a “heat” factor based on the change in investor attention and a “market exposure” factor based on the proportion of attention on a given stock over the attention to all stocks. Using the Fama−MacBeth two-step regression and a rolling analysis, this study examines the ability of the investor attention factor to explain market returns.FindingsThe empirical results show that there exists a risk premium for the “heat” factor and “market exposure” factor that is significantly different from zero. This finding shows that investor attention can systematically influence stock returns, making it a significant risk pricing factor.Practical implicationsThis paper’s research on the risk pricing factors of investor attention can help investors to rationally build investment portfolios, avoid risks and form a sound investment concept, which will further reveal the information recognition mechanism of the capital market and standardize the information disclosure behavior of listed companies.Originality/valueThis paper provides evidence that investor attention is a risk pricing factor for the stock market. There are “heat” factors and “market exposure” factors in the Chinese stock market that significantly affect the purchasing behavior of individual investors.

INSTABILITY OF THE STOCK RETURN ON FOOD AND BAVERAGE COMPANIES LISTED IN INDONESIA STOCK EXCHANGE

Investors always have high hopes for stock returns, but that is sometimes beyond expectations so investors must be careful in buying shares. The purpose of this study is to provide information to investors about what factors influence stock returns, with this notification, investor expectations of stock returns are met. The population used in the study is a manufacturing company listed on the IDX. The population technique used was purposive sampling. The analysis begins with the classic assumption test and the estimated panel data model, and continues with the t-test and F-test as well as the determination test. The results obtained are to meet the expectations of investors on stock returns is to increase the market value added ratio and return on assets ratio

PENGARUH FAKTOR-FAKTOR FUNDAMENTAL TERHADAP RETURN SAHAM PERUSAHAAN JASA TRANSPORTASI

<p><em>This research as “Effect Fundamental Factors toward stock return of Transportation’s Company”. Aims analyzed fundamental factors to haven influence stock return of transportation company at Indonesia Stock Exchange (BEI). Fundamental factors such as Earning Per Share (EPS), Book Value Per Share (BVS), Price Earning Ratio (PER), Debt to Equity Ratio (DER), Return on Asset (ROA), and Return On Equity (ROE).</em><strong></strong></p><p><em>Methodology research used purposed sampling with criteria as 1. Stock of Transportation company which listed fm th. 2009-2013. 2.Stocked was trade at Indonesian Stock Exchange (BEI). Sample totally 13 and data analysis with multiple regression of ordinary least square and hypothesis test used F statistics and t statistic at level significance 5%.</em></p><p><em>Analysis result is fm totally 6 (six) of fundamental factors, only Price Earning Ratio (PER), Debt to Equity Ratio (DER) and Return on Asset (ROA) significance influance stock return of 13 (thirteen) transportation company at BEI, while others are not significance.</em></p><p><em>The future result suggested to expand other fundamental factors and suggested to add more variabels so can get better result. </em><em></em></p>

Noise traders and smart money: Evidence from online searches

Traditional finance theory considers that the impact of noise traders' attention on asset prices is offset by attention from smart investors. This paper uses online search data to study the influence of noise traders and smart investors on stock returns and volatility. Adopting an original approach, we construct a proxy for smart investor attention based on investors' online search behavior provided by Wikipedia Page Traffic. We combine this new measure with a standard measure of noise traders' attention as proxied by Google Search Volume Index. We show for a sample of 87 French firms over the period 2008–2018 that only noise traders' attention influences stock returns. Noise traders' attention increases volatility by creating an extra risk that is priced into the market. Conversely, smart investors' attention decreases volatility because their presence stabilizes stock prices by reducing uncertainty. Our empirical results support a behavioral explanation of stock prices.

The effect of five price categories in tick size policy on trade and stock returns based on the LQ45 Index

The capital market has an influential role in the national economy of countries, including Indonesia. The capital market in Indonesia is regulated by the Indonesia Stock Exchange (IDX) with the new regulation number Kep-00113/BEI/12-2016 that focuses on five price categories of tick size. This study aimed to investigate the impact of five price categories in tick size policy on liquidity and volatility based on the LQ45 index and examine factors that influence stock return. This study was performed using a paired sample T-test and panel regression test. The result of the different test indicates a significant change in bid-ask spread, Depth, Depth to relative spread (DRS), volume, and volatility. The five price category in the tick size policy does not affect the depth. It is found that all the variables have a smaller value after the implementation of the tick size policy. The results of the panel regression test show that depth, volume, and volatility have a significant influence on stock returns, while the bid-ask spread, and DRS does not affect stock returns. The result of this study was expected to improve understanding of the tick size regulation to determine the best stock investment strategy. JEL Classification : G11, G12, G23, R53 DOI : https://doi.org/10.26905/jkdp.v23i1.2598

Analisis Pengaruh Faktor Fundamental terhadap Return Saham

Purpose this study to test empirically the influence of fundamental factors on Stock Return. Quantitative research, with purposive sampling method of property and real estate sector companies listed on the Indonesia Stock Exchange in 2014-2016 using the quarterly period. which meets the criteria has been selected as a sample of 23 companies to analyze data by techniques used in this study are multiple regression and hypothesis testing using t-test and F-test with a significant level of 5%. results of this research show that only partially Interest Rate that significantly influence the Return of Share, while the Current Ratio (CR), Total Asset Turn Over (TATO), Debt To Equity Ratio (DER), Net Profit Margin (NPM) and Inflation is not significant effect on Stock Return. While simultaneously Current Ratio (CR), Total Asset Turn Over (TATO), Debt To Equity Ratio (DER), Net Profit Margin (NPM), Interest Rate and Inflation significantly influence Stock Return. Keywords:   Fundamental Factors , Stock Return.

Influence of Working capital to total asset, EBIT to total asset, EBT to current liabilities, Sales to total asset and Springate Indeks on Stock Return Comparison from two Property & Real Estate and Food & Beverage Sectors Listed on Indonesia Stock Exc

This study aims to determin effect of Working capital to total assets, EBIT to total assets, EBT to current liabilities, Sales to total assets and Springate coefficient on Stock Return. The amount of data processed by food and beverage sector are 104 from 11 companies and 315 data from 37 companies in property and real estate sector. Data processing is done to answer 3 hypotheses. The results shows, Significance influence of EBIT on Total Asset on stock return for FnB sector and only working capital to Total Asset have significant influence on stock return for PnR sector. The influence of Working Capital towards Total Assets, EBIT to Total Assets , Net Profit Before Tax towards Current Liabilities, and Sales towards Total Assets on stock return is only 4.7% meaning that influence stock return greater than other factor. Also the influence of coefficient springate to return stock also small, only 7%

What does unconventional monetary policy do to stock markets in the euro area?

AbstractThis paper investigates the impact of the European Central Bank's unconventional monetary surprises on major European stock markets. Three measures for surprises are used: (a) the change in domestic 10‐year government bond yields, (b) the change in the spread between German and Italian (Spanish) 10‐year bond yields, and (c) the change in yields of a safe euro‐denominated asset, such as German bonds. I show that unconventional monetary policy surprises significantly influence stock returns. For instance, monetary decisions that cause a decrease in Italian (Spanish) sovereign spread led to an increase in the stock returns. In addition, I find that a positively surprising shock—a fall in the domestic bond yield and an increase in German interest rates—leads to higher stock returns. Finally, sovereign spreads seemed to have larger effects on stock returns both during crisis and postcrisis years.

EFFECTS OF BOARDROOM TUSSLE ON STOCK RETURN OF MALAYSIAN LISTED COMPANIES

Due to differences in opinions and goals, disagreement within the board of directors is common in corporate world. Conflicts in the boardrooms can occur not just between groups of shareholders trying to acquire controlling interest in a company, but also between executive and non-executive directors who represent different stakeholders. Reputation damaging effects model predicts that boardroom tussle events have negative influence on stock returns, whilst the concentration of ownership and control that followed after the tussles can reduce agency problem and positively influence stock returns. This research includes all the 30 events of boardroom tussles involving 10 public listed companies over the period from year 2014 to year 2017 that are announced in Bursa Malaysia website as the sample. This research applies paired-sample compare means ttest method with hypothesized mean difference value of zero to determine whether cumulative abnormal return (CAR) is significant over various event windows for boardroom tussles. Results show that CAR is generally positive before the announcement, but become negative thereafter. In addition, CAR of affected companies is significantly negative over the period of five trading days after the event, indicating that the Malaysian stock market might not be semi-strong form efficient. Stock traders can utilise public information on boardroom tussle to sell the shares of affected company and purchase back five trading days later to earn an abnormal profit.

PENGARUH KONDISI KEUANGAN PERUSAHAAN TERHADAP TINGKAT PENGEMBALIAN SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DALAM BURSA EFEK INDONESIA

This study aims to determine the effect of variable price book value, price earnings ratio, earnings per share and dividend pay out ratio on stock returns (stock returns) on manufacturing companies listing on the IDX for the 2014-2016 period.
 In this study, researchers used purposive sampling and obtained a sample of 72 samples. From the sample obtained, the writer uses multiple linear regression test to explain the relationship between these variables. The result stated that 18.2% of stock returns (stock returns) were influenced by price book value, price earnings ratio, earnings per share and dividend pay out ratio, the remaining 81.8% was influenced by other variables.
 Partial testing succeeded in proving price book value, earning per share and dividend pay out ratio had a significant effect on stock returns, while price earning ratio did not significantly influence stock returns. While testing simultaneously shows price book value, price earnings ratio, earnings per share and dividend pay out ratio has a significant effect on stock returns. 
 
 Keywords: price book value, earnings per dividend share pay out ratio stock return.

Determining Shares’ Internal Return: Fifty Leading Large-Cap Companies

This study aims to test and analyse the determinants of internal stock returns with annual data observation used from 2014–2015. Following are the types of quantitative research employed in this study. The population of 41 companies with their capitalisation is listed on the Indonesia Stock Exchange (IDX), and their capitalisations report have been consistent for two years. The non-probability sampling technique is purposive sampling. A data analysis using a regression regarding the fixed-panel effect has an R-squared value of 71.6% compared with other models. The results showed that the return on assets, return on equity, debt-to-equity ratio, firm size and growth simultaneously and significantly influence stock returns. Partially, all independent variables have a positive and significant effect on stock returns. Hence, it is advisable to add external factor variables, using sample companies within other industries.

Those prices are HOT! How temperature-related visual cues anchor expectations of price and value

For most humans, the local environment can have a major influence on their attitudes and behaviors. Whether it is the ambient smells (Mitchell et al., 1995), sounds (Spangenberg et al., 2005), color (Bellizzi and Hite, 1992) or warmth (Huang et al., 2014), the immediate surrounds play a part in how we feel and the decisions we make. It is no surprise, then, that weather also has the ability to shape what we think, feel and do. For example, research has shown weather can influence stock re-turns (Goetzmann and Zhu, 2005; Jacobsen and Marquering, 2008), retail sales (Starr-McCluer, 2000; Steele, 1951), food consumption (Bruno et al., 2017; Lucht and Kasper, 1999), helping behaviors (Cunningham, 1979; Rind, 1996) and willingness to pay (Murray et al., 2010). However, most of the existing research has typically examined the effects of actual weather (Bruno et al., 2017; Goetzmann and Zhu, 2005) and ambient temperature (Bruno et al., 2017; Murray et al., 2010). The current research aims to extend the findings in this area, with specific focus on the research undertaken by Murray et al. (2010) by testing a novel prediction that weather and temperature cues can lead to anchoring effects, thus influencing consumer behavior in a subtle and indirect manner. Specifically, building on the research by Murray et al.(2010), it is proposed that high (vs. low) temperature cues will increase higher levels of price valuations for a given product or service. In ad-dition to influencing evaluations of price or value, it is anticipated this anchoring effect will be moderated by impulsivity and positive affect will mediate the relationship.

PENGARUH MARKET SIZE, KINERJA PERUSAHAAN, NILAI PERUSAHAAN, LEVERAGE, DAN KESEMPATAN BERTUMBUH TERHADAP STOCK RETURN

The purpose of this research is to test and analyze empirically the influence of market size, firm performance, firm value, leverage, and growth opportunity toward stock return. The object of this research is coal mine sector companies that listed in Indonesia Stock Exchange period 2010-2014. The purposive sampling is used as sampling technique, where 8 companies met the criteria and were analyzed using Eviews8 panel data regressions with random effect model to test the hypothesis. The result of this research shows firm performance and firm value influence stock return.While market size, leverage and growrh opportunity do not influence stock return.

Pengaruh Tingkat Suku Bunga, Inflasi Dan Nilai Tukar Terhadap Return Saham Di Bursa Efek Indonesia

Return merupakan imbalan atas keberanian investor dalam menanggung risiko atas investasi yang dilakukannya. Return dapat memotivasi dan menarik investor untuk berinvestasi. Tingkat return yang diperoleh investor dipengaruhi oleh faktor mikroekonomi dan faktor makroekonomi. Pada penelitian ini faktor yang mempengaruhi return saham menggunakan faktor makroekonomi yakni, tingkat suku bunga, inflasi, dan nilai tukar. Penelitian ini bertujuan untuk mendapatkan bukti empiris mengenai pengaruh tingkat suku bunga, inflasi dan nilai tukar terhadap return saham. Penelitian ini dilakukan pada perusahaan property dan real estate di Bursa Efek Indonesia. Populasi yang digunakan yaitu seluruh perusahaan property dan real estate yang terdaftar di BEI periode 2013-2016. Metode penentuan sampel yang digunakan adalah menggunakan sampel jenuh. Analisis data yang digunakan yaitu uji regresi linear berganda. Berdasarkan hasil analisis penelitian ini ditemukan bahwa tingkat suku bunga berpengaruh positif dan tidak signifikan terhadap return saham. Pada inflasi berpengaruh negatif dan tidak signifikan terhadap return saham, sedangkan pada nilai tukar berpengaruh negatif dan signifikan terhadap return saham.
 
 Kata kunci: tingkat suku bunga, inflasi, nilai tukar, dan return saham.

Does OPEC news sentiment influence stock returns of energy firms in the United States?

This paper utilises commodity-specific news sentiment data on the Organisation of Petroleum Exporting Countries (OPEC) collected from Thomson Reuters News Analytics in the period 2003–2014 and examines the impact of foreign news sentiment on the financial performance of domestic firms in the energy sector. We find that in the US market, negative news on OPEC positively influences the stock returns of the US-listed firms. The effects of negative news sentiment on OPEC dominate our results. These results are robust in different subsectors of the oil and gas industry and in alternative specifications of oil prices and market volatility. We show that the effect is conditional on market risks and the types of news announcements made. The effect from negative news is stronger in periods of higher reserves, exports and production. However, at times of low consumer confidence and high imports, a positive OPEC news announcement negatively influences a US-listed energy firm's stock return. In the context of hedging and risk mitigation, our findings have important policy implications for investors and traders in the energy sector.

Hear Me Write: Does CEO Narcissism Affect Disclosure?

Through earnings announcements, conference calls, and other press releases, corporate executives have an opportunity to frame the narrative of financial disclosures. Numerous studies have shown that textual tone significantly influences stock returns, suggesting that through word choice, upper management may impact market reaction. In this study, we examine the influence of CEO personality traits on corporate disclosures by analyzing the tone of earnings announcements for a sample of Fortune 500 CEOs over nearly two decades. Our hypotheses are twofold: (1) that qualitative disclosures in firms with narcissistic leaders will be biased upward and (2) the bias will moderate as CEOs becomes older. Our empirical results support these hypotheses and suggest that more narcissistic CEOs tend to reinforce their grandiose self-image by issuing more positive earnings announcements but this desire wanes with CEO age. We also find that the stock market response to the tone of the earnings announcement is less pronounced for more narcissistic CEOs, suggesting the market takes into account the bias in narcissistic CEO announcements.

Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from U.S. States

We find that consumption risk is lower in states that implement countercyclical fiscal policies. Moreover, firms with an investor base that is concentrated in countercyclical states have lower stock returns, along with firms that relocate their headquarters to a countercyclical state. Therefore, countercyclical fiscal policies lower the consumption risk of investors and, consequently, their required equity return premium. This conclusion is confirmed by smaller declines in market participation during recessions in countercyclical states. Overall, the location of a firm’s investor base enables state-level fiscal policy to influence stock returns.