Stock Returns Research Articles

PENGARUH EARNING PER SHARE (EPS) DAN PRICE EARNING RATIO (PER) TERHADAP RETURN SAHAM PADA PT. JASA MARGA, TBK

Return is the result obtained from investment while shares are proof of ownership. This research aims to determine the effect of earning per share and price earning ratio on stock returns at PT. jasa marga Tbk, whichis listed on the Indonesia stock exchange for the 2007-2022 period. this research is associativeresearch. The sampling techniquein this research used purposive sampling with a population of 15 years and a sample of 1 year. The data analysis method used is the classic assumption test, which contains several tests including (normality test, multicollinearity test,autocorrelation test, and heteroscedasticity test). Multiple linear regression analysis using SPSS 26. Hypothesis testing (partial test, simultaneous test). The result of this research are thad thre is a negative and significant influence on earning per share (EPS) while the price earning ratio (EPS) has a significant influence on stock returns. Whice means that together (simultanceously) the EPS and PER variabels have a significant and influential effect on stock returns

The Asymmetric Effects of Oil Prices on Stock Returns: Evidence from Hanoi Stock Exchange, Vietnam

This study is devoted to investigating the asymmetric effects of oil prices on stock returns for Hanoi Stock Exchange (HNX). The data used in this study are weekly series of HNX-Index, WTI crude oil prices and geopolitical risks (GPRs) Index covering the period from January 2, 2010 to December 31, 2023. This study employed a nonlinear Autoregressive Distributed Lag (NARDL) bounds testing approach to estimate the short-term and long-term asymmetric effects of oil prices on the market returns. We found that in the short-term, oil prices have negative asymmetric effects on the market returns. Specifically, one percent increase in positive changes of oil prices immediately leads to 0.0085 percent decrease in the market returns. However, one percent increase in negative changes of oil prices is associated with 0.1487 percent decrease in the market returns. In the long-term, the estimated results confirm that both the negative and positive changes of oil prices have significantly negative effects on the market returns. Finally, the results obtained from the error correction model (ECM) indicate that 81.54 percent of the disequilibria from the previous week are converged and corrected back to the long-term equilibrium in the current week.

Production of energy from renewable sources and financial performance of European utilities: A panel-data analysis

Energy transition has become a priority for utilities worldwide.Renewable electricity generation represents one of the pillars of the European decarbonization policy and is included among eligible activities in the Taxonomy Regulation.The limited literature regarding the effects of investments in renewables on the financial performance of firms is fundamentally split in two lines: the first is focused on stock returns, the second concerns the determinants of the financial performance which is measured either through risk or accounting metrics. A limited set of studies has assessed the effects of investments in renewable power generation on the performance of utilities. In this article three linear regression analysis conducted on a panel-data composed of firm-year observations for 64 electric utilities from continental Europe between 2011 and 2020 are presented. The analysis has focused on: (i) profitability (Return-On-Asset), (ii) market valuation (Tobin's q) (iii) risk (Weighted Average Cost of Capital).The results show that the renewable generation share is significantly and positively correlated with the first two indicators, while not correlated with the cost of capital.This could represent a constraint to investments in renewable generation capacity with a negative impact on the achievement of the targets of the European decarbonization policy.

The time-varying interaction of northbound capital flows and stock market performance in China

This study employs the SV-TVP-SVAR model to investigate the dynamic interactions between northbound capital and stock market performance in China, highlighting the time-varying statistical relationships. The findings reveal that the influence of market returns on northbound capital is predominantly short-term, exhibiting negative feedback, which helps stabilize the market during periods of extreme volatility. However, during market reversals, northbound capital shows positive feedback, correlating with improving stock returns. Regarding predictability, while northbound capital provides some predictive power for stock returns, this influence diminishes quickly. The study further notes that retail investors tend to imitate the high-frequency trading patterns of northbound capital.

Exploring the coherency and predictability between the stocks of artificial intelligence and energy corporations

This paper employs wavelet coherence, Cross-Quantilogram (CQ), and Time-Varying Parameter Vector-Autoregression (TVP-VAR) estimation strategies to investigate the dependence structure and connectedness between investments in artificial intelligence (AI) and eight different energy-focused sectors. We find significant evidence of dependence and connectedness between the stock returns of AI and those of the energy-focused sectors, especially during intermediate and long-term investment horizons. The relationship has become stronger since the COVID-19 pandemic. More specifically, results from the wavelet coherence approach show a stronger association between the stock returns of energy-focused sectors and AI, while results from the CQ analysis show that directional predictability from AI to energy-focused sectors varies across sectors, investment horizons, and market conditions. TVP-VAR results show that since the COVID-19 outbreak, AI has become more of a net shock receiver from the energy market. Our study offers crucial implications for investors and policymakers.

CEO pay ratio versus financial performance in Polish public companies

In this paper, we aim to investigate the relationship between CEO pay ratio and corporate financial performance in Polish public companies. Using a sample of 259 companies listed on the Warsaw Stock Exchange, we demonstrate that links between the pay gap and accounting measures of performance differ from market ones. Our findings indicate a negative correlation between CEO pay ratio and return on sales. This implies that companies pay executives less during periods of high profitability, possibly to avoid the negative impact of excessive pay on firm performance. We also discover that the pay gap, measured by CEO pay ratio, is positively linked with Tobin’s Q and annual stock returns. A high CEO pay ratio signals strong incentives for top executives to perform, potentially leading to better strategic decisions and, consequently, higher Tobin’s Q ratios and annual stock returns.

Pengaruh Faktor Fundamental terhadap Return Saham Perusahaan Perbankan yang Terdaftar di Bursa Efek Indonesia Tahun 2019-2022

The purpose of study was find out and analyze the effect of the debt to equity ratio, return on assets and price to book value on stock return in banking companies which is listed on the Indonesian Stock Exchange 2019-2022. In this study using quantitative methods and data analysis method used is panel data analysis. The samples used in this study were 28 banking companies with a total periode of 4 years resulting in 112 data. The results showed that partially, the debt to equity ratio and return on assets has no significant effect on the stock return, while price to book value have a significant effect on the stock return. Simultaneously it shows that the debt to equity ratio, return on assets and price to book value have a significant influence on the stock return in banking companies which is listed on the Indonesian Stock Exchange 2019-2022. The results of the calculation of the coefficient of determination show that the debt to equity ratio, return on assets and price to book value have an influence on the stock return of 22.13% and the remaining 77.87% is influenced by other variables outside of this study.

Global uncertainties and stock returns under heterogeneous market conditions: Evidence from wavelet coherence analysis

Over the years, the world has faced numerous global uncertainties, each leaving a profound impact on the global economy and the financial market. This has increased the research on how these uncertainties affect various stocks. However, limited attention has been directed toward comprehending the combined influence of geopolitical risk, global policy uncertainty, and infectious disease equity market volatility on heterogeneous stock returns. This study sets out to investigate the impact of geopolitical risk (GPRH), global policy uncertainty (GPU), infectious disease equity market volatility (ID-EMV), and their correlations on stock returns in a heterogeneous market context, employing wavelet coherence analysis. The study's outcomes emphasize the temporal nature of these uncertainties’ effects on financial markets. Furthermore, our research shows that there is a stronger influence on stock returns from various markets when the combined effects of GPU, ID-EMV, and GPRH are taken into account than when the effects are taken into account separately. This implies that times when all of these factors are operating concurrently will see greater fluctuations in markets than times when only one of them acts in the market. The findings of the study provide significant insight into the complex relationship between economic indicators and stock market performance, allowing investors and policymakers to gain a better understanding of the dynamics of global financial markets.

A new economic policy uncertainty index for Brazil

This study has created a novel economic policy uncertainty (EPU) index for Brazil by analyzing the frequency of news articles published by the country’s major news portals. The measurement proposed here is based on news from different news outlets, unlike the similar index previously available, extracted by a web-scraping procedure. This research also evaluated the role of EPU in its relationship with stock returns in the Brazilian market, comparing the new index with the one previously available. The new measure showed a negative relationship with the return in excess of the risk-free rate, similar to that found using the previously existing index, but with a greater magnitude. Furthermore, the explanatory power of the regression model is substantially greater when the proposed measure is used. In this way, the study contributes not only by deepening the understanding of the relationship between uncertainty and stock returns but also by serving as a methodological subsidy for future research focusing on EPU in the country.

The Dissimilar Market Volatility in Neighboring Financial Markets: An Empirical Study Using A Multivariate Garch Model

ABSTRACT: Conventional knowledge of market volatility represents that two proximate financial markets operated in the same country would display a similar pattern in their time-varying volatility. In this paper, we propose that the heterogeneity in financial policy orientation of stock markets creates significant inter-market differences in terms of the volatility of stock returns, even if they are culturally and geographically linked to each other. For the empirical investigation of our proposition, the volatility data from two major stock exchanges in the Middle East, the Abu Dhabi Securities Exchange (ADX) and the Dubai Financial Market (DFM) are used. Both the ADX and DFM stock exchanges operate in the same country, the United Arab Emirates (UAE). The ADX is based in Abu Dhabi, the administrative capital, while the DFM is based in Dubai, the commercial and business hub of the UAE. They were both established in the year 2000, and their operational headquarters are located about 150 km from each other. This paper uses a multivariate GARCH model, in particular a diagonal VECH GARCH (1, 1) model to estimate volatility measures for stock returns between ADX-listed and DFM-listed stocks. The paper finds that the stock returns are significantly less volatile in the ADX compared to those in the DFM suggesting that the volatility transmission is incomplete between these two neighboring financial markets. This difference in volatility can potentially be attributed to the relatively conservative financial policies adopted by the oil-rich emirate of Abu Dhabi compared to the more market-oriented economic policies of Dubai, the country’s financial and commercial hub. Our findings have considerable implications for portfolio managers in ascertaining risk premiums when allocating investments across the two stock exchanges. For instance, this disparity in volatility should be taken into account by investors and policymakers when designing risk management strategies because it suggests that investors in the DFM may be exposed to higher levels of risk and uncertainty compared to their counterparts in the ADX. Investors operating in the DFM may require more robust risk management strategies, such as asset diversification and hedging, compared to their ASX counterparts.

Research on the Optimal Portfolio of New Energy Industry Based on Markowitz Model

Based on Markowitz's portfolio theory, the risks and returns of stocks can be obtained from calculating the historical data, ensuring effective returns with low risk by decentralized investment, which has a considerable degree of practical significance to China's public investment under the current situation. In recent years, the total market capitalization of the new energy industry and the attainable gains from it are growing rapidly, in which case investors need to analyze and evaluate the volatility to determine how to invest. This paper extracts the historical closing price of new energy automobile related industry 7 stocks from June 2018 to March 2024 through the SuperMind database and establishes the mean-variance model, showing the optimal portfolio of new energy industry in the market with short-selling and the market without short-selling and giving a practical investment proposal on weights allocation.

Is the Fama French model robust in the Chinese stock market?

Many previous studies have analyzed the different stock return models in various segments of the Chinese stock market. This essay analyzes the Fama-French five factors and three factors model in the main board, the second board, and STAR market. It finds that the three-factor models are efficient in all three markets expect for the STAR market, while the five-factor model is inefficient in testing the second board market alone and overall efficient in testing the mixed market and the STAR market. Furthermore, it is also found that the MKT factors are the most significant contributors to the portfolio excess return in all six situations. The HML and SML factors also exhibit constant relations with the portfolio return. Besides, it is found that HML and SMB factors are not significantly correlated with the stock’s performance on the STAR market. Overall, the relative efficiency of Fama French's three and five-factor model in explaining these markets is proved. Investors can use these two models to analyze the stock return and earn profit in the next period, and policymakers can also employ this model to understand the market and decide suitable fiscal and monetary policies.

A Literature Review of the Impact of Media Response on Business Operations

With the development of the network era, the impact of media attention on enterprises cannot be ignored. Media attention affects investor sentiment as well as a company's attention and resources. Media attention will made enterprises have to fulfill their social responsibilities and enhance their visibility and image. Stock yield is an important reflection of enterprise profitability, innovation and research is the main driving force on an enterprise development, and financing constraints have a direct impact on the financial decision-making and operational efficiency of enterprises. Based on this, this paper the positive and negative impacts of media attention on stock return, innovation and financing constraints, with a view to adding to the development of enterprises, suggesting that enterprises should not only make good use of media attention, plan strategies rationally and promote business growth, but also properly deal with possible negative impacts, avoid bad publicity to damage the development of enterprises.

A cross-sectional asset pricing test of model validity

ABSTRACT An out-of-sample cross-sectional regression coefficient test of alpha in asset pricing models is investigated. The test is straightforward, easy to implement, supported by statistical precedent in the literature, applicable to linear and nonlinear models, and supplements in-sample GRS alpha tests of average pricing errors. Using U.S. stock returns, consistent with model misspecification, we find that the CAPM as well as prominent multifactor models have significant alpha coefficients in cross-sectional regressions. We conclude that the cross-sectional distribution of alphas across test assets contains useful information about model validity.

Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data

We evaluate US market return predictability using a novel data set of several hundred ag- gregated firm-level characteristics. We apply LASSO, Elastic Net, Random Forest, Neural Net, Extreme Gradient Boosting, and Light Gradient Boosting Machine methods and find these models experience large prediction errors that lead to forecast failures. However, winsorizing and pooling machine learning model forecasts provides consistent out-of-sample predictability. To assess robustness, we apply machine learning methods to high-dimensional data for Canada, China, Germany and the UK as well as the Goyal–Welch data. All machine learning models we consider, except for the ensemble pooled methods, fail to significantly predict returns across our samples, highlighting the importance of pooling, evaluating additional economies, and the fragility of individual machine learning methods. Our results shed light on the sparsity versus density debate as the degree of sparsity and variable importance evolves over time.

On bank stock return spillovers in South Africa: Implications for portfolio hedging

The purpose of this study is to investigate the return spillovers among the five systemically important banks in South Africa. The study employs a time-varying parameter vector autoregression (TVP-VAR) framework utilising daily data between 2000 and 2024. A minimum return connectedness portfolio is constructed from the spillover indexes and compared with traditional portfolio optimisation methods in terms of risk reduction and reward-to-risk ratios. The research findings reveal that Capitec, the smallest bank in terms of assets, has weaker return connectedness with other banks while ABSA, FirstRand, Nedbank and Standard Bank are moderately connected. Moreover, the two largest banks in terms of assets, Standard and FirstRand, are more connected than any other pairwise connection in the network. During significant events such as national elections, the global financial crisis and the COVID-19 pandemic, system-wide connectedness increases.

The Volatility Spillover Between ESG and Stock Return in the Selected Countries of G7

The primary focus of this study is to analyse the impact of volatility spillover among Environmental, Social, and Governance (ESG) and stock returns in the group of seven (G7) countries. The study reveals that 62.80% of the shock to one index spreads to all other indices, including ESG, on average. Additionally, the study indicates that the TSX (Canada) and Dow Jones (United States) stock returns play a vital role as transmitters of shocks.

Analysis of Ramadhan Effect on Fast Moving Consumer Goods (FMCG) Sector Companies in Indonesia Sharia Stock Index 2020 - 2023

Indonesia is a country with a majority Muslim population and is listed as the first country with the largest Muslim population in the worl. With investment levels also increasing and a Muslim-majority population, this will greatly support researchers in conducting research related to sharia shares. This research investigates the existence of an anomaly effect. Where this effect is supported by religious situations and conditions, namely the month of Ramadan, so it is called the Ramadan effect which has also been widely documented by researchers, with the FMCG (Fast Moving Consumer Good) company sector indexed by Indonesian sharia shares from 2020 to 2023 as the object of this research. The GARCH method is the model used in this research. Introduced by Bollerslev in 1986. This research was conducted quantitatively using secondary data on daily closing stock prices. The results of this research show that there is no effect of Ramadan on returns or volatility in FMCG (Fast Moving Consumer Good) sector shares listed on the Indonesian Sharia Stock Index (ISSI). There are only 3 companies that have a Ramadan effect on stock returns, including PT Martina Berto Tbk., PT Prima Cakrawala Abadi Tbk., and PT Sekar Bumi Tbk., then on volatility there are also 3 companies that have a Ramadhan effect, including PT Pantai Indah Kapuk Dua Tbk. ., PT Sekar Bumi Tbk., and PT Kimia Farma Tbk.. However, it was found in this research that in the month of Ramadan all the returns of the companies studied produced positive values with the majority of volatility being low.

Analysis of Short-selling Effects Using KOSPI200 and KOSDAQ150 Indexing

Financial regulators often react to crises by restricting short-selling to stabilize the stock market. In response to the COVID-19 pandemic, the Korean government banned short-selling in 2020. Since 2021, it has allowed partial resumption only for stocks indexed in KOSPI200 and KOSDAQ150. This unique short-selling regime in Korea makes newly indexed or excluded stocks experience exogenous variations in their short-selling availability when the constituents of the two indices are updated. Using this quasi-natural experimental setting, we examine the impact of short-selling permission and ban. The results show that short-selling permission enhances stocks’ price efficiencies while short-selling permission and ban do not strongly influence stock return or volatility. Overall, this paper provides empirical evidence supporting the positive role of short-selling, further casting doubts on the reasons behind banning short-selling.

PENGARUH KEBIJAKAN DIVIDEN DAN PERENCANAAN PAJAK TERHADAP RETURN SAHAM

This study aims to identify the influence of dividend policy and tax planning on stock returns. This research is a type of quantitative research conducted through the analysis of the financial statements of companies in the energy sector listed on the Indonesia Stock Exchange (IDX) throughout the period 2019 to 2022. The number of samples used in this study is 72 samples from 18 energy companies listed on the Indonesia Stock Exchange through the use of the purposive sampling method and tested with Eviews12. The data used in this study is secondary data in the form of financial statements from each company that has become a research sample. The results of this study show that the Dividend Policy partially affects Stock Return and Tax Planning has no effect on Stock Return. Meanwhile, at the same time, Dividend Policy and Tax Planning have an effect on Stock Returns. The contribution of the research to the variables of Dividend Policy and Tax Planning on Stock Returns is 30%, while the remaining 70% is explained by other variables outside the research model. Keywords: Dividend Policy; tax planning; Return on Stock