Variable Returns Research Articles

Analysis Of Return On Assets And Dividend Payout Ratio On Stock Performance

This study aims to determine the Analysis of Return on Assets and Dividend Payout Ratio on Stock Performance (Case Study of Pharmaceutical Companies Registered on the Indonesia Stock Exchange for the 2017-2022 period). The population in this study were 12 pharmaceutical companies listed on the IDX and 6 samples. Companies with 6 years of data. The sampling method used is the non-random sampling method. The data analysis method used is multiple linear regression analysis to determine the effect of profitability, market ratios and interest rates on stock prices. Testing data was carried out using IBM SPSS Statistics 25 Software. From the results of the regression analysis test, it is obtained that the t value is - 2.049 with a significance level of 0.048 (0.048 <0.05) so that the variable Return on Assets (X1) has a significant effect on stock prices, which means H1 is acceptedFrom the results of the regression analysis test, it was obtained that the t value was 1.478 with a significance level of 0.149 (0.149 > 0.05), so the dividend payout ratio (X2) variable did not significantly affect stock prices, which means H2 was rejected. From the results of the regression analysis test, the calculated f value was obtained. of 3.631 with a significance level of 0.038 (0.038 <0.05) then the variables Return on Assets and Dividend Payout Ratio have a simultaneous and significant effect on stock prices, which means H3 is accepted. Keywords : Profitability, Market Ratio, Stock Prices

Effect of risk and incentives on contracts: The case of farm operators in Iowa

AbstractLongitudinal data on Iowa landowner–operator contracts are used to examine how the mean, variance, and skewness of expected farmland returns affected contract terms from 2008 to 2019. To control for unobserved operator risk preferences and ability as a fixed effect, the sample includes operators with multiple contracts. Our empirical work shows that farmland with lower variance is more likely to be rented for cash, whereas land with highly variable returns is more likely to be custom contracted. [EconLit Citations: L14, Q15]

Realized semibetas in the Australian stock market

ABSTRACT This study examines the explanatory power of the CAPM and downside risk asset pricing models (the downside beta and the realized semibeta models) for the next-month firm-level cross-sectional stock return variation in the Australian stock market. We show that the CAPM beta, downside beta, semibeta BetaNP, and semibeta BetaNN negatively predict future stock returns, which is inconsistent with the findings in the original study by Bollerslev, Patton, and Quaedvlieg (2022). The BetaNN measures the individual stock movement in the same direction as the downward stock market, while BetaNP measures individual stock downward with the upward stock market. These findings are robust, not subsumed by conventional cross-sectional asset pricing factors, and consistent with the existing Australian downside risk study.

Cross-exchange crypto risk: A high-frequency dynamic network perspective

Cross-exchange crypto trading presents inherent risks, particularly for centralized exchanges. Investors observe exacerbating crypto volatility and counterparty risk and would like to quantify these elements of crypto trades. The multiple exchanges require a multivariate view on the structures of risk spillover across exchanges. Here, a Multivariate Heterogeneous AutoRegression (MHAR) model is designed and analyzed, accommodating the stylized facts of crypto markets, including 24/7 trading and the long-memory effect on return variations. The proposed MHAR approach clearly reveals the intensity of interconnectedness among exchanges during extreme events, e.g., the Bitcoin market. Additionally, one observes extremely volatile eigenvector centralities of Futures Exchange Ltd (FTX), suggesting potential implications for its bankruptcy. Furthermore, portfolios that account for the dynamics of partial correlations or eigenvector centralities offer promising results in terms of risk measures.

The decomposition of efficiency in parallel network production models

Kao (2012) proposed a method to decompose DMU efficiency into sub-unit efficiencies for parallel production systems. We provide a numerical example showing that the proposed method can yield negative sub-unit efficiency scores under variable returns to scale, against common sense and standard postulates requiring this score to be non-negative. As a solution, we propose a decomposition based on the directional distance function that does not suffer from this problem. In particular, we recognize that the overall inefficiency of the DMU is composed of the sub-units technical inefficiencies and a reallocation inefficiency component. The proposed method can be also applied to non-convex technologies, therefore providing a more general method to implement such a decomposition. Given the connection between the directional distance function and slack-based efficiency measurement, the method can easily be extended to this case as well.

The Effect of Asset Valuation Method, Auditor Quality, Characteristics of the Board Commissioners and Audit Committee on Stock price Synchronicity

Stock price synchronicity refers to the extent to which firm-specific information is absorbed in stock prices relative to market-wide information. If return variations are more synchronized with market information, then stock price synchronicity decreases which is indicating lower quality of financial reports. This research examines the effect of asset valuation methods, auditor quality, characteristics of the Board of Commissioners and the Audit Committee on the synchronicity of stock price of manufacturing companies listed on the Indonesia Stock Exchange in 2020-2022. A total of 490 observations were available for hypothesis testing. The results show that the quality of the auditor and the size of the Board of Commissioners have negative effects on stock price synchronicity. On the other hand, the asset valuation method, the independence of the Board of Commissioners and the Audit Committee have no effect on stock price synchronicity of. The practical contribution of this research is that companies need to consider hiring more commissioners and Big Four accounting firms to increase the credibility of financial reports.

Allocating the fixed cost as a complementary input in two-stage system: A DEA approach

The existing research on fixed cost allocation (FCA) in two-stage system data envelopment analysis (DEA) models typically regards the fixed cost as an additional input for each decision-making unit (DMU). However, these models overlook the prevalent real-world scenario where fixed costs act as complementary inputs in actual production processes. This study proposes a general two-stage network DEA model that incorporates the fixed cost as a complementary input to optimize the allocation scheme. First, we construct a functional relationship between the efficiency scores of DMUs and their allocated fixed costsusing a modified super-efficiency DEA model, which effectively classifies DMUs and solves infeasible solutions within the variable returns to scale (VRS) framework. Then, we propose a fair and unique allocation model based on fairness and efficiency maximization principles. Specifically, we allocate fixed costs based on the operational scale for inelastic DMUs while equitably increasing the efficiency scores for elastic DMUs. Finally, a numerical example and an empirical study on subsidy allocation among 30 provinces demonstrate the rationality and acceptability of our approach.

Efficiency and Performance of Top Indian Pharmaceutical Firms: A Comparative Analysis

The Indian pharmaceutical industry has made significant strides in the past five decades and is an important contributor to the provision of quality healthcare services in any economy. This paper studies the efficiency of selected top ten pharmaceutical companies by applying Data Envelopment Analysis (DEA) under constant return to scale (CRS) model and variable returns t ale (VRS) model. The inputs used in the study are assets, salaries, and wages. The outputs used are Return on Asset, and Net Profits. The study found Divis Laboratories and Sun Pharma to be most efficient under CRS and Sun Pharma was found to be most efficient under VRS models during 2019 – 2023. Seven pharmaceutical companies were working under Increasing returns to scale, two were working under constant returns to scale and one was performing under decreasing returns to scale. Return on assets, Net Profit margin and Return on Capital Employed Ratio were used to study financial performance of the pharmaceutical companies. Abbot India had the highest return on assets (17.948%). Divis Labs had the highest Net Profit Margin (27.76%). Mankind Pharma led in Return on Capital Employed (27.524%), This result further adds to the result provided by DEA. Companies found to be efficient by DEA were found to have high performance standards. Also, through the regression analysis the impact of variables Return on Capital Employed (ROCE) and Net profits margin (NPM) on Return on Asset (ROA) was studied. Returns on Assets (ROA) are 93.6% dependent on Net profits margin and Return on Capital Employed. There is significant (p-value = 0.000) relationship between Return on Asset (ROA), Net profits margin (NPM) and Return on Capital Employed (ROCE).

Modeling banking efficiency in the MENA region between 2017 and 2021: Data Envelopment Analysis approach

In this paper, we applied the Data Envelopment Analysis model under the assumption of variable returns to scale and output orientation to measure the efficiency of banks belonging to 12 MENA countries during the period 2017-2021. We divided the banks into two classes, conventional banks comprising 59 banks belonging to 11 countries and Islamic banks comprising 22 banks belonging to 7 countries. Concerning the 59 conventional banks, the results showed that the percentage of CCR-efficient conventional banks is low and does not exceed 16% and the average CCR-efficiency score reached 90% during the study period. We also found that Qatar is the only country whose conventional banks are BCC-efficient for all 5 years in a row, and that their CCR-efficiency scores are the highest, whereas conventional banks in Morocco and Jordan have the lowest average CCR-efficiency scores. For the 22 Islamic banks, the results showed that the percentage of CCR-efficient Islamic banks was low, at just 14%, and that their average CCR-efficiency score was 64%. We also found that Qatar is the only country whose Islamic banks are on average CCR-efficient over the 5 years, and that Moroccan Islamic banks have the lowest average CCR-efficiency score, reaching 36%.

Intraday volatility patterns from short-dated options

We propose a nonparametric estimator for the deterministic periodic component of volatility from short-dated options within an in-fill asymptotic setting. The estimator uses options with zero and one day to expiration sampled at high-frequency during a trading day. At each point in time, we aggregate the options to form nonparametric estimates of conditional risk-neutral expectations of future integrated return variation for the two available option tenors. A suitable ratio of these estimates removes the stochastic components of the conditional expectations of future volatility, up to asymptotically higher-order terms, and allows to form estimates of the deterministic periodic component of volatility. We derive a Central Limit Theorem for the estimator, with its rate of convergence determined from the mesh of the strike grid and the length of the time to expiration of the options. The newly-developed estimation procedure is applied to S&P 500 index options data.

PENGARUH ANALISIS PROFITABILITAS & LIKUIDITAS TERHADAP HARGA SAHAM SEKTOR ENERGI 2017-2022

The movement of shares can provide advantages and disadvantages to investors. This can be influenced by several things, both internal and external to the company. Fundamental analysis has become highly crucial for both individual and organizational investors. This study examines the effect, whether the variables Return On Equity, Return On Assets, Net Profit Margin, Earning Per Share, and Current Ratio are able to affect stock prices. After obtaining data on the Osiris database and testing with the latest version of Smart Partial Least Square 4.0, it was found that the variables Return On Assets, Return On Equity, Net Profit Margin and Current Ratio do not impact stock prices, while the Earning Per Share variable has an influence on stock prices. stock price.

Pengaruh Return on Asset (ROA) dan Debt to Equity Ratio (DER) Terhadap Price to Book Value (PBV) Pada Perusahaan Sub Sektor Makanan dan Minuman yang Terdaftar Di Bursa Efek Indonesia Periode 2016-2022

Company value is one of the important elements that need to be maximized for the prosperity of shareholders so that shareholders can invest their capital in the company. The purpose of this study was to measure and analyze the effect of Return On Asset (ROA) and Debt to Equity Ratio (DER) on Price to Book Value (PBV) in Food and Beverage Sub-Sector companies listed on the Indonesia Stock Exchange. This study uses associative methods that are quantitative data. The analytical method used is descriptive test, classical assumption test, multiple linear regression analysis, t test, F test and the coefficient of determination. The data used is secondary data obtained by 13 companies in the published annual reports. Based on the results of the study, it shows that the Return On Asset (ROA) and Debt to Equity Ratio (DER) variables have a partial effect on Price to Book Value (PBV). Variables Return On Assets (ROA) and Debt to Equity Ratio (DER) have an effect on Price to Book Value (PBV) simultaneously.

Influence of Internal Factors and External Factors on Non Performing Financing in Islamic Commercial Banks

This study aims to see the effect of the variables Return on Assets (ROA), Capital Adequacy Ratio (CAR), Operating Costs and Operating Income (OCOI), Financing to Deposit Ratio (FDR), inflation and Gross Domestic Product (GDP) on Non-Performing Financing (NPF) for Islamic commercial banks in Indonesia for the 2018-2022 period. This type of research uses quantitative research methods. The analytical tool used is multiple linear regression analysis using E-views version 10 software. The sample in this study is Islamic Commercial Banks in Indonesia. The results showed that simultaneously the variables ROA, CAR, OCOI and FDR had a significant effect on Non-Performing Financing (NPF), while simultaneously, the variables Inflation and GDP did not have a significant effect on Non-Performing Financing (NPF). Partially CAR, OCOI, and FDR have a significant effect on Non-Performing Financing (NPF), whereas ROA, Inflation and GDP have no effect on Non-Performing Financing (NPF). Internal factor variables have an effect of 88.2% on Non-Performing Financing (NPF), while 11.8% are influenced by other variables not examined. External factor variables have an effect of 3.1% on Non-Performing Financing (NPF), while 96.9% are influenced by other variables not examined.

Relationship between fintech by Google search and bank stock return: a case study of Vietnam

Due to the ongoing global debate regarding the relationship between fintech and banks, including developing countries, this study aims to investigate this relationship in the case of Vietnam, an emerging nation. The study analyzes the relationship between fintech search and bank stock returns, which are measures of fintech and banks, respectively. The time series data for fintech and bank stock returns were obtained from Google Trends and Vietstock, respectively. Exploratory factor analysis was utilized to derive the fintech variables, while the bank stock return variable was calculated using a basket of eight listed banks from 2017w46 to 2021w46. The results were estimated using the vector autoregression and Granger causality method and validated with the copula method. A key finding of this study is the presence of a simultaneous negative change and bidirectional causality between bank stock returns and fintech lending. Furthermore, several other interesting findings were discovered: (1) the causal relationship from fintech to bank stock returns is weaker compared with the opposite direction; (2) unidirectional causality exists between different types of fintech, such as influence from FinFintech to FinLending, from FinPayment to FinLending and FinWallet, from FinMoney to FinFintech, from FinWallet to FinLending, and from FinProduct to FinFintech; and (3) there is an equal occurrence of simultaneous increase or decrease between bank stock returns and certain types of fintech, specifically between BankReturn and FinPayment, BankReturn and FinLending, as well as BankReturn and FinWallet. These findings shed light on the complex relationship between fintech and banks, offering insights that contribute to our understanding of this dynamic interplay in the context of Vietnam’s emerging fintech landscape.

Financial Sustainability Perusahaan BUMN Sektor Transportasi Laut: DER Sebagai Variabel Mediasi

The concept of sea toll is one of the maritime transportation programs or strategies implemented by the government in improving inter-island relations and supporting economic growth. So that financial sustainability is important related to the sustainability of the policy. This study uses an independent variable, namely Return On Assets (ROA) with a dependent variable Financial Sustainability with Debt To Total Equity (DER) as a mediation variable. The purpose of this study is to see the effect of Debt To Total Equity (DER) in mediating the variable Return On Assets (ROA) on Financial Sustainability. This research uses the object of research of state-owned companies engaged in sea transportation, namely PT. PELNI and PT. ASDP. Data is obtained from financial statements. The results show that the result of two-tailled probality value is 0.20127969 > 0.05. The results can be concluded that Debt to Total Equity (Z) does not mediate Return on Asets (ROA) to financial sustainability.

The Effect of Contributed Capital Mix on Dividend Policy: Testing Life Cycle Theory in The Covid-19 Pandemic Era

Objective: This study aims to test whether life cycle theory is relevant in the era of the Covid-19 pandemic crisis. Specifically, whether the contributed capital mix has a significant effect on dividend policy. Theoretical framework: In this study, we tested the life cycle theory and whether it is relevant to the COVID-19 pandemic situation. The dividend policy of a corporation should be determined by where it is in its life cycle. Mature, well-established businesses usually give dividends. Method: We studied 66 companies in the non-cyclical consumer sector listed on the Indonesia Stock Exchange during the pandemic period from 2020 to 2022. The dependent variables used in this study are in the category of dividend payers and non-dividend payers. As for the independent variables, we use the variables return on assets, sales growth, rete, MarCap, Papen, teta, and cash holding. We use the logistic regression method with the data panel. Results and conclusion: It is statistically found that life cycle theory is relevant to some contributed capital mixes such as rete, MarCap, Papen, and cash holding. Meanwhile, ROA, SGR, and teta have no significant effect on dividend policy paying dividends or not but still have a positive relationship direction. Implications of the research: The life cycle hypothesis is being tested in the context of the pandemic era in this investigation. A better knowledge of how company financial decisions are impacted by economic crises may result from the results, regardless of whether they confirm or refute the life cycle theory. In terms of strategic financial planning, the research may provide financial managers with useful advice. It will assist them in understanding how to modify capital structure and dividend policies in response to economic shocks such as the COVID-19 pandemic. Originality/value: Studying Life Cycle Theory in the context of a pandemic enhances the research's theoretical components. It exhibits the willingness to adapt well-established ideas to unusual and intricate circumstances, which may result in a more thorough comprehension of the dynamics underlying corporate financial decisions.

The Evaluation and Significance of Smart City Projects in Korea: Targeting Enterprises within the Smart City Association Convergence Alliance

This study identified, analysed, and prioritised significant factors for standardising the Korean smart city project evaluation system. We analysed the efficiency and productivity of companies currently providing smart city services, considering both policy and practical aspects. The prioritisation of smart city planning reflects the latest trends in South Korea, where urban planning is moving towards smart city planning. Furthermore, public–private and private–private partnership capacity-building highlights the importance of business scalability. This shows that smart city services are only stabilised when the private sector is involved in and leads the project, rather than focusing on public development. The feasibility of building intelligent facilities indicates that smart city projects should be implemented after securing cost–benefit feasibility. The results were used as the basis for an evaluation system, showing that, in smart city convergence alliances, small- and medium-sized enterprises achieved the highest efficiency by reducing inputs to 81% and 86% under the assumptions of constant and variable returns to scales, respectively. As the operational aspect is more problematic than the technical aspect, policy alternatives are necessary for smooth business progress, including increased flexibility of laws and institutions and the activation of policies that temporarily relieve regulations for smart city projects.

The Moderating Role BOPO of CAR, NPL, NIM and LDR on Banking Stock Returns on the Indonesian Stock Exchange

This research aims to determine and prove the partial and simultaneous influence of Capital Adequency Ratio (CAR), Non Performing Loans (NPL), Net Interest Margin (NIM), Loan to Deposit Ratio (LDR), Operating Costs Operating Income (BOPO) on Stock returns. The second objective is to prove whether BOPO moderates the relationship between Capital Adequency Ratio (CAR), Non Performing Loan (NPL), Net Interest Margin (NIM), Loan to Deposit Ratio (LDR) and Operating Costs and Operating Income (BOPO) on stock returns. This research uses an associative quantitative approach model, namely research to test the influence of the independent variable on the dependent variable. The population used in this research was 43 banks that were included and registered on the IDX for the 2018-2022 period. The sampling technique used uses the Purposive Sampling technique, namely that samples are taken based on certain criteria so that 20 banks are obtained with an observation period of 5 years so that 100 observation data are obtained. The data analysis technique uses Moderating regression where data analysis will use residual testing. Hypothesis testing uses the t test, F test and residual test. The results of this research prove that CAR, NIM, LDR partially have no effect on stock returns. The NPL and BOPO variables partially influence stock returns. Based on the simultaneous test, it can be concluded that the variables CAR, NPL, NIM, LDR and BOPO simultaneously have a significant effect on stock returns. The residual test results show that BOPO does not moderate the relationship between CAR, LDR, NIM and NPL on the Return variable.

Level of technical efficiency and associated factors among health centers in East Gojjam Zone, Northwest Ethiopia: an application of the data envelopment analysis

BackgroundBesides the scarcity of resources, inefficient utilization of available health service resources has been the bottleneck to deliver quality health services in Ethiopia. However, Information regarding the efficiency of health service providers is limited in the country. Health service managers and policy makers must be well informed about the efficiency of health service providers and ways of using limited resources efficiently to make evidence-based decisions. This study aimed to assess the level of technical efficiency and associated factors among health centers in East Gojjam Zone, Northwest Ethiopia.MethodsA facility-based cross-sectional study was conducted among 27 randomly selected health centers in East Gojjam zone, Northwest Ethiopia, from October 30, 2022, to April 30, 2023. Using an interviewer-administered questionnaire and document review checklist, health centers’ data was collected and entered to Epi-Data version 4.6. The data was exported to Microsoft office excel and Stata version 14 for analysis. A two-stage output-oriented data envelopment analysis with a variable return to scale assumption was employed to determine the level of technical efficiencies. Finally, the tobit regression model was applied to identify the associated factors at 5% level of significance.ResultsIn this study, 59.3% of the health centers were technically efficient. The mean technical efficiency score of the health centers was 0.899 ± 0.156. Inefficient health centers could provide more 22, 433 outpatient visits, 1,351 family planning visits, 155 referral services, 206 skilled deliveries and 385 fully vaccinations of children if they were technically efficient as their peer health centers for the same year. From the tobit regression, the catchment population and number of administrative staffs were statistically significant determinants of the technical efficiency of health centers.ConclusionsThe mean technical efficiency of the health centers in East Gojjam zone, Northwest Ethiopia was high. However, nearly half of the health centers were technically inefficient, which indicates the exitance of a space for further improvements in the productivity of these health centers. Employing excess number administrative staffs (above the optimal level) should be discouraged and selecting appropriate sites where the health centers to be constructed (to have large catchment population coverage) could improve the productivity of health centers.

Inputs-Oriented VRS DEA in dairy farms.

This paper aims to examine the efficiency of Mexico's dairy farms within its four regions of Tlaxcala Stated. The Envelopment Data Analysis (DEA) applied to the variable returns to a scale model (VRS) for the year 2020. Also, Examine the statistical accuracy of efficiency estimation using bootstrap resampling techniques. The results reveal that Tlaxcala's dairy farm efficiency, on the other hand, was adversely influenced by three inputs (costs): cost of investment in livestock, the total annual cost for feeding, reproduction, diseases and treatments, preventive medicine, sanitation, milking, fuel, and total labor. The efficiency distribution among farms using VRS, CRS, and FDH technologies reveals varying patterns. Under VRS and CRS, the majority of farms exhibit high efficiency within the 0 to less than 0.2 range, while FDH displays a broader distribution, with notable efficiency at 1 and across various ranges. These findings highlight the diverse landscape of efficiency levels across different technological approaches within the agricultural sector, offering valuable insights for optimization strategies and resource allocation. The utilization of Bootstrap methodology enhances the reliability of efficiency assessments by providing robust statistical techniques that accommodate non-normal data distributions. By incorporating Bootstrap, decision-makers can obtain more accurate estimates of efficiency levels and confidence intervals, thereby making informed decisions regarding resource allocation and optimization strategies within the agricultural sector. As part of the study, provided The Policy suggestions.