Lower Stock Price Research Articles

The Effect of Dividend Yield on The Volatility of Stock Prices of IDX30 Index Companies Listed on the Indonesia Stock Exchange for the 2019-2023 Period

This study investigates the influence of Dividend Yield on Stock Price Volatility in companies included in the IDX30 index on the Indonesia Stock Exchange (IDX) during the 2019-2023 period. Utilizing secondary data from annual reports of IDX30 companies, panel data regression analysis was conducted to examine the relationship between the variables. The findings reveal that Dividend Yield positively affects Stock Price Volatility, contradicting the initial hypothesis. The results indicate that an increase in Dividend Yield leads to higher Stock Price Volatility, while a decrease in Dividend Yield results in lower Stock Price Volatility. This research provides valuable insights for investors in understanding the dynamics between dividend policies and stock price fluctuations.

Pengaruh ROA, ROE, dan EPS Terhadap Harga Saham Perbankan Buku III Yang Tercatat di BEI

The investment in the capital market is currently increasing among the public, emphasizing the urgency of providing financial literacy to enable individuals to make informed and intelligent investment decisions in the capital market. BUKU III was selected due to the relatively low per-share stock prices of the existing banks, allowing the public to have higher purchasing power. ROA, ROE, and EPS were chosen as the factors under review due to their widespread availability in financial reports, serving as a reference for the public in determining their investment choices. Previous studies focused on the impact of ROA, ROE, and EPS on stock prices in the BUKU IV (Tahir, Djuwarsa, and Mayasari, 2021). Their findings revealed that ROA had no significant independent influence on stock prices. Conversely, ROE and EPS, independently, significantly influenced stock prices in BUKU IV banks. Additionally, the simultaneous impact of ROA, ROE, and EPS affected the stock prices of BUKU IV banks. This study aims to explore whether ROA, ROE, and EPS exert influence on the BUKU III banks stock prices listed on the Indonesia Stock Exchange. The research method employed is the hypotheticodeductive method, utilizing quarterly data from 2018 to 2022, with a sample size of 5 companies. Data were collected from Stockbit, and the analysis methods used included t-tests, F-tests, and multiple linear regression analysis using Microsoft Office Excel and SPSS tools. The results indicate that ROA, ROE, and EPS do not have a partial or simultaneous impact on the stock prices of BUKU III banks.

Oil prices and the euro exchange rate

We use cointegration-based techniques to investigate the relationship between oil prices and the euro effective exchange rate taking also into account the influence of interest rates and stock prices. We find that higher oil prices cause a depreciation in the euro exchange rate (either nominal or real) in the short run. This suggests that during episodes of higher energy prices, the euro area consumer is faced with additional price pressures, as a depreciated euro causes import prices to further rise. Our study also indicates that as stock prices rise in the short and long term, the euro appreciates, while higher oil prices will likely result in overall higher policy rates and lower stock prices.

On the Robustness of Idiosyncratic Volatility Effect

The idiosyncratic volatility (IVol) effect is robust to restricting the sample to New York Stock Exchange (NYSE) firms (once the proper listing indicator is used) and to excluding from the sample small, illiquid, and low-price stocks. The idiosyncratic volatility effect is also unlikely to stem from the short-run reversal, as the IVol effect stays significant for about six months and seems stronger for high turnover firms, which do not exhibit short-term reversal. The IVol effect also does not seem to weaken postpublication. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.04140 .

Walk well and talk well: Impact of the consistency of ESG performance and disclosure on firms’ stock price crash risk

The debate on whether it is possible for firms to do well by doing good in either ESG performance or disclosure is still ongoing. Investigating the consequences of firms’ outstanding status in both their actions and words may provide some new insights into this debate. This study investigates how the consistency of ESG performance and information disclosure affects the corporate stock price crash risk. We find that the consistency of ESG and its three separate dimensions negatively affects the corporate stock price crash risk. ESG consistency contributes to lower stock price crash risk through the mechanisms of alleviating agency problems and increasing information transparency. Moreover, this negative relationship is pronounced for firms operating in environmentally sensitive industries and provinces with greater public environmental attention.

Fractional Trading

Abstract Fractional trading (FT)—the ability to trade less than a whole share—removes barriers to high-priced stocks and facilitates entry by capital-constrained retail investors. We observe a surge of tiny trades, measured using off-exchange one-share trades, among high-priced stocks compared to low-priced stocks after FT is introduced to the U.S. equity markets. These tiny trades, when coordinated during attention-grabbing events, are forceful enough to exert large price pressure on high-priced stocks. Further evidence suggests that FT can even fuel meme-stock-like trading frenzies and bubbles in high-priced stocks, for which the feedback effect likely plays a role. (JEL G10, G12, G14, G18, G32, G41)

International monetary spillovers to frontier financial markets: Evidence from Bangladesh

AbstractThis paper investigates international monetary spillovers to stock prices in Bangladesh, a frontier market that has been excluded from prior studies in the literature. Using daily stock price data for over 300 publicly traded firms in a high‐frequency event study framework, we find that contractionary monetary shocks originating from the US, euro area, and China lower stock prices, with Chinese monetary shocks having the largest impact. Contractionary shocks originating from India, on the other hand, lead to a statistically significant increase in stock returns. The positive response is driven by a small number of policy decisions. When these outlier decisions are removed from the sample, contractionary Indian monetary shocks lead to a decline in stock prices in line with spillovers from the other countries.

Biodiversity management and stock price crash risk

AbstractThis study explores the link between corporate biodiversity management and the risk of sudden declines in future stock prices, an area largely overlooked in empirical research despite the societal significance of biodiversity loss. We posit that robust corporate biodiversity efforts mitigate the suppression of negative information, consequently reducing the risk of abrupt stock price declines. Leveraging a global dataset and innovative biodiversity management metrics from Moody's ESG Solutions (former Vigero Eiris), our multivariate regression analysis demonstrates that companies with stronger biodiversity structures and actions exhibit lower stock price crash risk. In an additional analysis, we focus on environmental inspections as a possible conduit for releasing negative information on biodiversity management. Using a subsample of North American firms that were inspected by the U.S. Environmental Protection Agency (EPA), we find that firms which experience an inspection record an increase in their stock price crash risk.

Pengaruh Likuiditas, Profitabilitas dan Solvabilitas terhadap Harga Saham

The following research is carried out as a step in testing the suitability of the hypothesis that the company's liquidity, profitability, and solvency have an impact on the high and low stock prices. the author will use the independent variables in the form of the current ratio, return on assets, and debt to equity ratio, while the dependent variable will use the stock price of a manufacturing company. The following research will involve a sample of manufacturing companies that have been listed and remain actively marketed on the Indonesia Stock Exchange (IDX) in the period 2019 to 2021. The population we have selected includes around 181 companies. We will use the simple random sampling method to select the sample, which involves random selection from the existing population. A total of 22 companies will be sampled in the following research. The multiple regression statistical method will be used to analyze the relationship between various variables in manufacturing companies and the dependent variable that is to be predicted in the following research. In this study, the results found that simultaneously, the liquidity ratio, profitability ratio and solvency ratio did not have a statistically significant effect on the prediction of stock prices in the capital market. In addition, statistically, the liquidity ratio, profitability ratio and solvency ratio partially do not show a significant effect on estimating the price of shares in the capital market on the Indonesia Stock Exchange (IDX).
 Keywords: Liquidity, Profitability, Solvency, Stock Price, Manufacturing.

Danimer gets warning about low stock price

Danimer gets warning about low stock price

Pengaruh Likuiditas, Profitabilitas dan Solvabilitas Terhadap Harga Saham:


 The following research is carried out as a step in testing the suitability of the hypothesis that the company's liquidity, profitability, and solvency have an impact on the high and low stock prices. the author will use the independent variables in the form of the current ratio, return on assets, and debt to equity ratio, while the dependent variable will use the stock price of a manufacturing company. The following research will involve a sample of manufacturing companies that have been listed and remain actively marketed on the Indonesia Stock Exchange (IDX) in the period 2019 to 2021. The population we have selected includes around 181 companies. We will use the simple random sampling method to select the sample, which involves random selection from the existing population. A total of 22 companies will be sampled in the following research. The multiple regression statistical method will be used to analyze the relationship between various variables in manufacturing companies and the dependent variable that is to be predicted in the following research. In this study, the results found that simultaneously, the liquidity ratio, profitability ratio and solvency ratio did not have a statistically significant effect on the prediction of stock prices in the capital market. In addition, statistically, the liquidity ratio, profitability ratio and solvency ratio partially do not show a significant effect on estimating the price of shares in the capital market on the Indonesia Stock Exchange (IDX).
 Keywords: Liquidity, Profitability, Solvency, Stock Price, Manufacturing

Impact of human resource characteristics of internal accounting system on post-earnings announcement drift: Evidence from Korea

When companies invest in their internal accounting personnel, investors place greater trust in disclosed earnings information and highly regard a company’s information transparency. This results in prompt investment decisions regarding the company. Consequently, earnings information will be immediately reflected in stock prices, thereby reducing stock price drift. The purpose of this study is to examine the impact of investments in establishing and operating internal accounting systems on investors’ responses to the mitigation of stock price drift. The study focused on firms listed on the Korea Exchange from 2011 to 2018 and constructed a regression model using the cumulative abnormal return following earnings disclosure dates for 30, 60, and 120 days as the dependent variable, with the characteristics of internal accounting personnel as independent variables. The analysis reveals that companies with many internal accounting personnel and position experts, such as accountants, within their internal accounting control systems, experience a significantly lower stock price drift. The coefficients of the interaction terms between internal accounting personnel characteristics and standardized unexpected earnings are positive and significant at the 1% level for all cumulative abnormal return values. The findings of the study indicate that as efficiency is secured, stemming from the scale of personnel managing internal accounting control systems and their expertise, market investors’ understanding and trust of accounting information also increase. Investors, as information users, react promptly to the earnings information disclosed by the company, leading to a decrease in stock price drift. AcknowledgmentsThis work was supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2021S1A5A8070518).

Top Management Team Fault Lines and Stock Price Crash Risk: Evidence from China

Synopsis The research problem This study examined whether and how top management team (TMT) fault lines formed by diversity and division affect stock price crash risk (hereafter, crash risk). Motivation Prior studies have documented how a single characteristic or the demographic diversity of managers affects real economic activities. However, TMT fault lines, formed by the structure of executives’ demographic diversity, remain untapped in crash risk research. Given the potential monopoly of the TMT on information, it is important to determine whether TMT fault lines influence the distribution of bad news. This study therefore explored how TMT fault lines reduce crash risk through the private leakage of bad news by subgroups and the moderating role of analysts in this process. The test hypotheses We hypothesized that firms with a strong TMT fault line have low stock price crash risk. Moreover, subgroups divided by TMT fault lines have a greater chance of leaking bad news when firms are followed by more analysts, thereby reducing the stock price crash risk to a greater extent. Target population We examined 19,228 annual observations of Chinese publicly listed firms from 2008 to 2021. Adopted methodology We applied ordinary least squares (OLS) regression and moderation analysis to our study. Analyses We evaluated the microgovernance factors affecting crash risk from a novel perspective — internal TMT conflict. First, we performed regression analysis on a sample of Chinese publicly listed firms to determine whether TMT fault lines reduce crash risk and the effect of analysts on this relationship. Second, we performed cross-sectional variation tests for the main regression. Finally, we investigated the effect of a CEO-CFO coalition on crash risk, given that the unequal status of subgroups may reduce the monitoring capacity of any subgroup in a weaker position. Findings We found that TMT task-related fault lines are negatively associated with crash risk and positively moderated by analysts. Meanwhile, the TMT biodemographic fault lines do not have a significant influence on crash risk. We also demonstrated that the monitoring effect of TMT task-related fault lines is stronger when external governance is weaker. Finally, additional analysis implies that the monitoring effect of a CEO-CFO coalition fault line remains effective, but this effect is weaker.

Do firms manage their share prices to mitigate investor short-termism?

Recent work documents a behavioral tendency of investors to expect excessively high upside potential for low-priced stocks. These expectations expose low-priced firms to greater pressure for short-term performance because their poor earnings news leads to greater investor disappointment and larger stock price declines. Therefore, we hypothesize that firms with a long-term focus, such as those that invest heavily in research and development (R&D), avoid low share prices. Consistent with our hypothesis, we find that firms with higher R&D capital decide on a higher filing price in their initial public offering, are less likely to undergo a stock split once listed, and upon a stock split, choose a higher post-split price. We establish a causal link between firms' R&D and share price management by exploiting the exogenous increases in R&D expenditures induced by the staggered introduction of state-level R&D tax credits in the US. Our study suggests that firms with large R&D capital target high share prices to shield their long-term investments from investor short-termism.

The Effect of Capital Structure, Leverage, and Profitability on LQ45 Company Value Period 2020-2022

Objectives: Company value is an investor's prediction of how big the chance of success of a company is. The value of the company can be seen from the high and low stock prices. This study aims to determine the effect of capital structure, leverage, and profitability on firm value in LQ45 companies for the 2020-2022 period. Methodology: This study uses a quantitative approach using secondary data. The analysis technique used in this study is multiple linear regression. The data test used is the normality test, heteroscedasticity autocorrelation, and hypothesis testing. Finding: The results of the study show that partially capital structure has an effect on firm value with a significance value of 0.000<0.05, leverage has no effect on firm value with a significance value of 0.347>0.05 and profitability has an effect on firm value with a significance value of 0.000<0.05. While simultaneously the capital structure, leverage, and profitability affect firm value with a significant value of 0.000 <0.05.

Judicial independence and crash risk: Evidence from a natural experiment in China

This paper examines the impact of judicial independence on stock price crash risk. Employing the establishment of circuit tribunals in China as a shock to judicial independence and a difference-in-differences design, I find that increased judicial independence is associated with lower stock price crash risk. Further analysis suggests that timely disclosure of bad news is a potential mechanism through which judicial independence affects stock price crash risk. Cross-sectional tests indicate that the negative relationship between judicial independence and crash risk is more pronounced for firms located in areas with higher levels of local protectionism, firms with a stronger incentive to hoard more bad news, and firms with weaker external monitoring prior to the circuit tribunal implementation. Taken together, my findings suggest that judicial independence plays a disciplinary role in mitigating firms' bad-news-hoarding activities.

Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model

The article concerns the generalised Cox‑Ross‑Rubinstein (CRR) option pricing model with new formulas for changes in upper and lower stock prices. The formula for option pricing in this model, which is the Black‑Scholes type formula, and its asymptotics are presented. The aim of the paper is to analyse limiting cases of the obtained asymptotics using probability theory and later data from the Warsaw Stock Exchange. Empirical analyses of option pricing in the generalised CRR model confirm the calculated limits.

Betting against low nominal prices: Evidence from China

We offer evidence of a positive low-nominal-price return premium in China’s stock markets. We explain this by using Campbell and Vuolteenaho’s (2004) cash-flow and discount-rate betas. Low-priced stocks have high cash-flow that delivers high expected returns. The negative low-nominal-price return premium is negative in US markets and this discrepancy is attributed to reverse ranking of cash-flow betas for low-priced stocks. We find that high cash-flow risk for low-priced (high-priced) stocks in China (US) is associated with low price informativeness and analyst attention; the discrepancy of cash-flow betas in US and China is driven by book-to-market ratios and idiosyncratic volatility.

An Empirical Study on the Premium of Low-Priced Stocks in China's A-Share Market

Abstract This paper selects the data of China's A-shares from 2001 to 2020 to study the premium effect of low-cost stocks in China's A-share market from different sectors using multiple regression analysis. The research results show that there is a premium effect of low-cost stocks in each sector of the A-share market. The increase in the shareholding ratio of institutional investors and the attention of analysts can reduce the premium effect of low-cost stocks. JEL classification numbers: F832.5 Keywords: Low-priced stocks, Premium effect, Excess return, Financial anomalies.

Rumors in the sky: Corporate rumors and stock price synchronicity

Using hand-collected rumor clarification announcements from Chinese listed firms to identify corporate rumors, we find that rumored firms have lower stock price synchronicity (R2) than do firms without rumors. Channel analyses reveal that rumors reduce stock price synchronicity through elevating investor sentiment rather than stimulating informed trading. Additionally, the negative association between corporate rumors and stock price synchronicity is more evident among firms with more individual investors and higher information opacity. Moreover, corporate rumors are associated with higher analyst forecast errors and forecast dispersion. Overall, our evidence suggests that corporate rumors reduce stock price synchronicity by increasing investor irrationality.