Proxy For Returns Research Articles

Comparative Analysis Of Stock Prices, Stock Returns, And Stock Liquidity Before And After The Stock Split In Banking Companies Listed On The Idx In 2021-2023

This research seeks to compare stock prices, abnormal returns (as a proxy for stock returns), and trading volume activity (TVA) (as a proxy for liquidity levels) before and after a stock split. Utilizing an event study approach, observations were conducted on the average stock prices, abnormal returns, and TVA for five days before and five days after the stock split. Secondary data were employed with purposive sampling techniques. The data utilized in this study comprise the stock split announcement dates, which are treated as the event date (t+0), the daily closing stock prices of companies undergoing stock splits within the observation period, the daily traded share volume, the total shares outstanding, and the daily Composite Stock Price Index (IHSG). The sample consisted of three banking companies listed on the IDX that carried out stock splits between 2021 and 2023. The results reveal no significant differences in stock prices, abnormal returns, and TVA before and after the stock split.

ANALISIS PENGARUH OPERATING CASH FLOW, PROFITABILITAS, SALES GROWTH, FIRM SIZE, DAN LEVERAGE TERHADAP PREDIKSI KONDISI FINANCIAL DISTRESS

The phenomenon of PKPU (Application for Insolvency and Delayed Debt Payment) on some issuers in the IDX appears to indicate financial problems (financial distress). The research was conducted to test and analyze the impact of operating cash flow, profitability, sales growth, firm size, and leverage on the prediction of financial distress conditions in sub-sector companies heavy construction and civil engineering registered in the IDX in 2020-2022. The sampling techniques used are purposive samplings with samples obtained of 60 data. The quantitative method is used in this study through an associative approach using secondary data as well as using double linear analysis with the SPSS version 22 test tool. The results of this study show that the profitability variables with proxy return on asset have a significant impact on financial distress, while the operating cash flow, sales growth, firm size, and leverage variables of proxy debt to asset ratio have no influence on financial stress. The implications of this study are expected to inform investors to always do financial analysis first before making decisions in the heavy construction and civil engineering subsectors.

Credit market conditions, expected return proxies, and bank stock returns

We evaluate the performance of expected return proxies during extreme credit market conditions and extreme phases of business cycles when realized returns on banks stocks are large in absolute value. We construct three sets of expected return proxies for individual bank stocks: (i) characteristic-based proxies; (ii) standard risk-factor-based proxies; and (iii) risk-factor-based proxies in which betas depend on firm characteristics. Based on the newly developed minimum error variance (MEV) criterion (Lee et al., 2020), the best performing expected return proxy is the risk-factor-based model that allows betas to vary with firm characteristics. We also examine whether these three expected return proxies can capture actual returns during either extreme credit market or extreme business-cycle conditions. We find that both risk-factor-based proxies explain returns better than characteristic-based proxies during these periods.

Nexus between investor returns of Nigerian deposit money banks and integrated reporting with the moderating role of profit after tax

Integrating reporting strives to address issues with corporate reporting procedures and hold businesses responsible for their local surroundings, as well as additional stakeholders impacted by their operations in producing returns for investors. This study employed Nigerian deposit money banks to examine whether investor returns with profit after tax and integrated reporting are statistically and significantly related. Ex post facto research methodology was applied. Purposive sampling was used to sample ten Nigerian deposit money banks. Data were taken from the annual reports of the chosen banks. The international integrated reporting framework of 2021 checklist was utilized to extract integrated reporting data using the unweighted content analysis method. The integrated reporting disclosure index was used as a proxy for integrated reporting. Market price per share, dividend per share, and price-earnings ratio were used as proxies for investor returns. Profit after tax was used as a moderating variable. The results indicate that with the moderating variable, which is Profit after tax, integrated reporting and price-earnings ratio are related to coefficients of 9.9585. Integrated reporting and dividend per share are related to coefficients of 3.151612. Integrated reporting and market price per share are related to coefficients of 36.7535. Dividend per share and integrated reporting disclosure are significantly related to p-values of 0.001. Market price per share and integrated reporting disclosure are significantly related to p-values of 0.002. This study concluded that integrated reporting and investor returns are statistically and significantly related to the moderating role of Profit after tax of Nigerian deposit money banks. AcknowledgmentThe involvement of those who helped make this study successful is acknowledged below. We appreciate your involvement.

The Dominant Effect of Profitability, Business Risk, Company Size and Leverage on Tax Avoidance with Good Corporate Governance as a Moderator

This study aims to prove which variable has the most dominant influence between the variable Profitability with a proxy for Return on Assets, Business Risk, Company Size/UP and Leverage with a debt-to-asset ratio (DAR) to ETR/Tax Avoidance. Corporate governance moderates variable profitability, business risk, firm size, and leverage with tax avoidance. Twenty-eight manufacturing companies were the object of research and listed on the IDX, and for three years, there were 84 companies as samples. The research method is a quantitative method that is analyzed using statistical applications. Meanwhile, based on statistical data, the results obtained on the variable Firm/UP Size have the most dominant influence compared to those studied on tax evasion. Meanwhile, the business risk variable with the most dominant tax avoidance with good corporate governance as a moderator has a role, while the leverage variable with tax avoidance with good corporate governance has no role. This research has implications in the field of financial ratios and taxation, and for further research

Innovation and financial performance: an European evidence

Purpose- The purpose of this study is to explore the relationship between innovation and financial performance in the context of European listed companies. Starting from the initial thesis of Schumpeter, this topic attracts the interest of academics and managers because innovation is included among the factors capable of influencing the value, profitability and competitive advantage of companies. The empirical evidence in this regard appears divergent: the existing literature shows positive or negative impacts or indicates the absence of a relationship between innovation (summarised in research and development expenditure) and financial performance. Methodology- The study employs correlation analysis in order to figure out the existence of a link between innovation and financial performance. In accordance with the literature review, we use R&D expenses divided by sales as proxy of innovation and return on equity (ROE), return on capital employed (ROCE), EBITDA margin and profit margin as measures of financial performance. Data are obtained form the Amadeus Bureau van Dijk database and refers to the year 2020. Given the need to consider companies for which all the quantities mentioned are available for 2020, the final sample is made up of n. 224 European listed companies. Findings- Pearson's correlation coefficient with EBITDA margin is 0.027, with ROA is 0.016, with Net profit margin is 0.034 and with ROE is 0.025, highlighting a weak positive relationship between the independent variable and each dependent variables (that means the R&D activities will increase the profitability of firms on the same financial year). However the p-value, higher than the α=0.05 threshold, makes the correlation coefficient not statistically significant. The analysis reveals that innovation, measured by the ratio R&D espenses to sales, does not show any correlation with financial performance instantly, that is on the same financial year. Our results are consistent with the branch of studies according to which R&D activity has no effects on company performance. Conclusion- The analysis conducted does not prove the existence of a significant relationship between innovation and financial performance. A possible explanation can be found in the circumstance whereby the effect of research and development activities, as well as for all intangible assets, on the performance of companies is mainly observable in the medium-long term (what is known in the literature as the “lagged effect” of intangible assets on performance); therefore limiting the analysis to just one year does not allow us to fully grasp the impact itself. The conclusion reached is not to be understood in an absolute sense since innovation can also be measured by other indicators other than research and development expenses, such as the use of ICT, graduate employees, etc. Hence the possibility of further research developments and points of reflection considering the impact of R&D on the firm’s long-run performance and including other factors in the analysis. Keywords: Innovation, firm performance, financial performance, listed companies JEL Codes: G30, L29, O30,

MARKET REACTION TO ECONOMIC PERFORMANCE, GOVERNANCE AND CORPORATE SOCIAL ENVIRONMENTAL RESPONSIBILITY (Study on SRI-Kehati Index Constituents)

Market reactions, proxied by abnormal returns, are used as a measure of company value concerning economic, social, and environmental performance, in conjunction with corporate governance. Company performance that supports sustainability, coupled with quality governance and ethical principles, can enhance investor confidence in the stock market, as reflected by abnormal returns. This research aims to analyze the influence of social and environmental contributions per share value, economic contribution per share, governance, size, and sales growth on market reactions using abnormal return proxies, with governance acting as a moderator of the relationship between social and environmental contributions and market reactions. The sample for this research comprises companies that have consistently remained constituents of the SRI-KEHATI BEI index from 2015 to 2019. Sample selection utilized purposive sampling, resulting in 18 companies and a total of 90 observed research objects. The analysis technique employed is multiple linear regression on panel data, utilizing Eviews. Based on the analysis results, it is concluded that the value of social and environmental contributions per share does not significantly affect market reactions, while economic contributions do. Governance and company size do not significantly affect market reactions, whereas sales growth has a positive impact. Furthermore, governance does not moderate the relationship between the value of social and environmental contributions and market reactions, nor does economic contributions moderate this relationship. The moderation of economic contributions on governance and market reactions yields a negative effect. The managerial implication of this research underscores the importance for managers to innovatively communicate the value of the company's social and environmental contributions to the public in quantifiable financial terms. This approach enables the measurement of the company's social contribution and facilitates public acceptance and understanding, thereby emphasizing the values, goals, and benefits of the company's contributions.

Reaksi Pasar atas Pelaksanaan Serah Terima Presidensi Group of Twenty (G20) Indonesia

On 30-31 October 2021 the Group of Twenty (G20) carried out the handover of the presidency to Indonesia in Rome, Italy. The purpose of this study was to examine the reaction of the capital market on the handover of the Indonesian G20 presidency. Measurement of market reaction in this study using abnormal return proxies. The population used is all companies on the Indonesia Stock Exchange. The sampling method uses non-probability sampling with a purposive sampling technique. The samples used were 673 companies. The data analysis technique used is one sample t-test. The results of data analysis showed positive reactions occurred for five days, and negative reactions occurred for one day. The conclusion of this study is that the market reacted positively to the handover of the Indonesian G20 presidency.

Revisit the Use of Index Returns as the Proxy of Market Return in CAPM

This study compares the performance of the capital asset pricing model (CAPM), which uses a mean-variance optimal portfolio, and the Jakarta Composite Index (JCI) as the market return proxy. The data samples are monthly stock returns of Kompas 100, LQ45, and IDX30 index from September 2012-August 2022. The expected returns of assets are calculated using the CAPM with rolling regression methodology based on each index's 2-5 years period. The mean-squared errors for each sample group are calculated to determine the CAPM performance. Although the market indexes have a sub-optimal risk and return profile according to their position on the efficient frontier diagram, this study finds that the JCI as the market proxy results in better CAPM performance than the optimal portfolio. However, the beta results from using JCI as the market proxy are also consistently higher than those using an optimal portfolio, leading to the overestimation bias of the asset risk. Since most studies in CAPM testing use the market index as the market return proxy, particularly JCI in Indonesia, this study provides new insight into the challenges of using the optimal portfolio as the market return proxy.

THE EFFECT OF SHORT-TERM DEBT, LONG-TERM DEBT, TANGIBILITY, SALES GROWTH, FIRM SIZE, AND DEBT TO ASSET RATIO ON THE PERFORMANCE OF MANUFACTURING COMPANIES

This study aims to obtain empirical evidence regarding the effect of short-term debt, long-term debt, tangibility, sales growth, firm size, and debt to asset ratio on the performance of manufacturing companies listed on the Indonesia Stock Exchange for the 2019-2021 period. The amount of data in this study was 243 samples with purposive sampling method. The test used in this study is the classical assumption test and uses multiple linear regression methods, and data processing using EViews 12 and IBM SPSS 26. The dependent variable in this study is company performance with the proxy Return on Asset (ROA), where the results obtained are sales growth has a positive effect on company performance, firm size and tangibility have a negative effect on company performance, and short-term debt, long-term debt, and debt to asset ratio have no negative effect on company performance.

Zakat Funds, Non-Halal Funds, Islamic Social Reporting On The Islamic Commercial Banks Performance And Reputation

This study aims to show how the influence of zakat funds, non-halal funds, and Islamic social reporting (ISR) on the performance and reputation of Islamic commercial banks. This type of research uses a quantitative approach. The research population is Islamic commercial banks (ICB) in Indonesia registered with the financial services authority (FSA) for the 2016-2020 period; 14 ICB samples were obtained using the saturated sample technique. The data used is secondary data derived from the annual report of each bank. Data analysis techniques using structural equation modelling (SEM) with the help of AMOS 26 software include classic assumption tests, model feasibility, and hypotheses. The results of this study indicate that zakat funds and ISR do not affect bank performance as a proxy for return on assets (ROA). However, non-halal funds significantly negatively affect ROA. Zakat funds do not affect the company's reputation proxied by market share. However, non-halal funds significantly negatively affect market share, and ISR significantly positively affects market share. This research can contribute to proving whether signalling theory, stakeholder theory, and sharia enterprise theory can strengthen or weaken the influence of zakat funds, non-halal funds, and ISR on the performance and reputation of ICB and can become reference material for Islamic banks to improve their performance and reputation.

Pricing Climate Change Exposure

We estimate the risk premium for firm-level climate change exposure among S&P 500 stocks and its time-series evolution between 2005 to 2020. Exposure reflects the attention paid by market participants in earnings calls to a firm’s climate-related risks and opportunities. When extracted from realized returns, the unconditional risk premium is insignificant but exhibits a period with a positive risk premium before the financial crisis and a steady increase thereafter. Forward-looking expected return proxies deliver an unconditionally positive risk premium with maximum values of 0.5%–1% p.a., depending on the proxy, between 2011 and 2014. The risk premium has been lower since 2015, especially when the expected return proxy explicitly accounts for the higher opportunities and lower crash risks that characterize high-exposure stocks. This finding arises as the priced part of the risk premium primarily originates from uncertainty about climate-related upside opportunities. In the time series, the risk premium is negatively associated with green innovation; Big Three holdings; and environmental, social, and governance fund flows and positively associated with climate change adaptation programs. This paper was accepted by Colin Mayer, Special Section of Management Science on Business and Climate Change. Funding: Funding is provided by the Deutsche Forschungsgemeinschaft [Grant 403041268 – TRR 266] (L. van Lent and R. Zhang), the Institute for New Economic Thinking (L. van Lent), the 111 Project [Grant B18033] (R. Zhang), the Shanghai Pujiang Program (R. Zhang), and the Ministry of Education Project of Key Research Institute of Humanities and Social Science (R. Zhang). Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2023.4686 .

Approximate extraction of late-time returns via morphological component analysis

A fundamental challenge in acoustic data processing is to separate a measured time series into relevant phenomenological components. A given measurement is typically assumed to be an additive mixture of myriad signals plus noise whose separation forms an ill-posed inverse problem. In the setting of sensing elastic objects using active sonar, we wish to separate the early-time return from the object's geometry from late-time returns caused by elastic or compressional wave coupling. Under the framework of morphological component analysis (MCA), we compare two separation models using the short-duration and long-duration responses as a proxy for early-time and late-time returns. Results are computed for a broadside response using Stanton's elastic cylinder model as well as on experimental data taken from an in-air circular synthetic aperture sonar system, whose separated time series are formed into imagery. We find that MCA can be used to separate early and late-time responses in both the analytic and experimental cases without the use of time-gating. The separation process is demonstrated to be compatible with image reconstruction. The best separation results are obtained with a flexible, but computationally intensive, frame based signal model, while a faster Fourier transform based method is shown to have competitive performance.

Analysis of Optimal Portfolio Formation During the Covid-19 Pademic Using the Capital Asset Pricing Model (CAPM) Model for IDX-30 Shares in the 2020 Period

The study used the quantitative descriptive research design. The research population comprised all the stocks listed in the IDX30 index published biannually with a total of 30 stocks. The variables in the study were stock return, market return, stock risk, and market risk. The calculation of the expected return used the capital asset pricing model.The results of the study to find out the optimal portfolio of stocks by using capital asset pricing model were as follows. (1) The stock that made up the optimal portfolio were those of (1 adalah TBIG ( Tower Bersama Infrastructure Tbk.), MDKA (Merdeka Copper Gold Tbk.) dan UNTR ( United Tractor Tbk ) 2) The composition of the proportion of funds formed by using the Composite Stock Price Index as the market return proxy was allocated for the stocks of, 23% allocated for the stocks of TBIG ( Tower Bersama Infrastructure Tbk.) , 45%, allocated for the stocks of) MDKA (Merdeka Copper Gold Tbk.), 32%. allocated for the stocks of UNTR ( United Tractor Tbk ).

The Role of Collateralizable Asset, Profitability and Operating Cash Flow on Dividend Policy: A Study on ASEAN Non-Financial Companies

Purpose of the study: This study examines the role of collateralizable assets, profitability, and operating cash flow on dividend policy. Methodology: In this study, researchers used data obtained from the OSIRIS database, which processes data from each exchange in the country studied and compiled a panel data set of ASEAN non-financial companies. Main Findings: The results of this study found that profitability and operating cash flow significantly affect dividend policy, namely, securing assets that can be guaranteed. Individual collateral assets do not affect dividend policy. Meanwhile, using the proxy return on assets, profitability has a positive effect on dividend policy, and operating cash flow also significantly influences dividend policy, but the impact is negative. Research limitations/implications: With this research can maintain its profitability value so that it can take future dividend policies that benefit investors or companies themselves. Novelty/Originality of this study: This study focuses on collateralizable assets, profitability, and cash flow operations. This has been done because we are very interested in the phenomenon. After all, as we know, this collateral asset is an asset that can be pledged, and so we want to see if a dividend policy can cover this collateral. Because it must be high collateral, it must be able to signal to the company that the company has a high asset value, making it management's responsibility not to be afraid to pay dividends. policies.

Approximate extraction of late-time returns via morphological component analysis

A fundamental challenge in acoustic data processing is to separate a measured time series into relevant phenomenological components. In the setting of sensing elastic objects using active sonar, we wish to separate the early-time returns (e.g., returns from the object's exterior geometry) from late-time returns caused by elastic or compressional wave coupling. Under the framework of morphological component analysis (MCA), we compare two separation models using the short-duration and long-duration responses as a proxy for early-time and late-time returns. Results are computed for broadside geometries using Stanton's elastic cylinder model as well as experimental data taken from an in-air circular synthetic aperture sonar (AirSAS) system, whose separated time series are formed into imagery. We find that MCA can be used to separate early and late-time responses in both the analytic and experimental cases without the use of time-gating. The separation process is demonstrated to be robust to noise and compatible with AirSAS image reconstruction. The best separation results are obtained with a flexible, but computationally intensive, frame based signal model, while a faster Fourier Transform based method is shown to have competitive performance.

Effect of Financial Performance and Company Size on Share Value

The goal of this study is to see how financial performance and company size affect share value in real estate and property companies listed on the Indonesia Stock Exchange between 2015 and 2019. The population of this study consists of all Indonesian real estate and property companies. For data collection, the official website documentation of the Stock Exchange is used. The purposive sampling method was used to collect 19 company samples. According to the study's findings, the activity variable as a proxy for asset turnover and the firm size variable have a negative and significant effect on stock value, whereas the profitability variable as a proxy for return on equity and leverage as a proxy for debt to equity have a positive and significant effect.

How Does Non-Financial Performance Affect Firm Value? An Empirical Study in Indonesia

The purpose of this study was to determine the effect of financial performance on firm value by using social responsibility as a moderating variable. This research was conducted at the Indonesia Stock Exchange (IDX) using a unit of analysis of manufacturing companies that have gone public. Financial performance and corporate value are measured using the proxy return on assets (ROA) and Tobin's Q, while the moderating variable for disclosure of social responsibility is measured using the corporate social disclosure index (CSDI). The number of N samples selected was 445 companies in 2018–2020. The sampling method used purposive sampling. To explain this effect, Multiple Regression Analysis (MRA) was used. The results of the study show that financial performance has a positive effect on firm value, while social responsibility has no effect. This research shows the novelty and originality of non-financial performance, which looks almost the same as previous studies, but is actually fundamentally different. An important finding in this study is that corporate social responsibility (CSR) acts as a moderating variable that strengthens the effect of financial performance on firm value. Keywords: corporate social responsibility disclosure, financial performance, firm value, moderating variable, multiple regression analysis. DOI: https://doi.org/10.55463/hkjss.issn.1021-3619.60.68

ANALISIS FAKTOR KEUANGAN TERHADAP NILAI PERUSAHAAN JASA TRANSPORTASI YANG TERDAFTAR DI BURSA EFEK INDONESIA

This study aimed to analyze and determine liquidity, profitability, leverage and firm size on firm value in transportation service companies. It used dependent variable is company value as proxy of Price Book Value (PBV) and independent variables such as liquidity as proxy of Current Ratio (CR), profitability as proxy of Return on Assets (ROA), leverage as proxy of Debt to Equity Ratio (DER) and company size as proxy of Change in Assets (SIZE). This study uses secondary data obtained from from the Indonesia Stock Exchange (IDX) for the period 2016-2020, with a population of transportation companies listed on the Indonesia Stock Exchange (IDX) with the sample of transportation companies in the period 2016-2020. It was taken by using purposive sampling method, where they were selected based on the criteria. The data were analyzed using a descriptive analysis, classical assumption test and multiple linear regression analysis with SPSS 25. The results indicated that liquidity (CR), profitability (ROA) and company size (SIZE) have no effect on company value, while leverage (DER) has a positive effect on company value.

The Influence of Bank Characteristics on Financial Performance with Intellectual Capital as Intervening Variable (Study on National Commercial Banks in Indonesia)

This study aims to examine the effect of bank characteristics on financial performance using 7 financial proxies on bank characteristics from market concentration of third party funds (HDPK), credit market concentration (HLOA), capital adequacy (CAR), bank liquidity (LDR), bank efficiency. (BOPO), non-performing loans (NPL), leverage (LEV), and Financial Performance with the proxy of Return On Assets (ROA) as the dependent variable and Intellectual Capital as the Intervening variable. The method of data collection in this study is to collect secondary data. This research is focused on National Commercial Banks in Indonesia. The results of this study obtained that there is a significant effect between Bank Characteristics on Financial Performance with a T-Statistic of (5.360 > 1.96) and a coefficient value of 0.838. The effect of bank characteristics on intellectual capital has a significant effect with a T-statistic of (4,089 > 1.96) and a coefficient value of 0.626. Furthermore, the influence of Intellectual Capital on Financial Performance does not have a significant T-statistical effect of (0.304 < 1.96) and the coefficient value is -0.058.