Journal articles on the topic 'Stocks – Rate of return'
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1
Yu, Han. "Research on Stock Return Rate." Frontiers in Business, Economics and Management 2, no. 1 (July 15, 2021): 8–15. http://dx.doi.org/10.54097/fbem.v2i1.28.
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There is a certain relationship among stock return rate, market return rate and risk-free interest rate, which is worth discussing, and it is helpful for us to analyze stocks and evaluate their prices. I have found that the market return rate and risk-free rate have correlation through multiple regression, and other stock's return rate can affect the target stock to some extent. The stock return rate is positively related to the market interest rate and inversely related to the risk-free interest rate.
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Dai, Zhonglan, Douglas A. Shackelford, and Harold H. Zhang. "Capital Gains Taxes and Stock Return Volatility." Journal of the American Taxation Association 35, no. 2 (May 1, 2013): 1–31. http://dx.doi.org/10.2308/atax-50509.
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ABSTRACT This paper presents an empirical investigation of the impact of capital gains taxes on stock return volatility. We predict that the more stock returns are subject to capital gains taxation, the greater the increase in return volatility following a capital gains tax rate cut due to reduced risk-sharing in firms' cash flows between shareholders and the government. Consistent with this prediction, we find larger increases in the return volatility for more appreciated stocks than for less appreciated stocks and for non-dividend-paying stocks than for dividend-paying stocks after both 1978 and 1997 capital gains tax rate reductions. The findings imply that capital gains taxes convey a heretofore overlooked benefit of lower stock return volatility.
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Yu, Jing Long, Tse Mao Lin, and Xin Hui Wu. "Does Brexit Have a Bullish or Bearish Effect on the Taiwan Stock Market?" International Journal of Economics and Financial Research, no. 73 (July 11, 2021): 90–101. http://dx.doi.org/10.32861/ijefr.73.90.101.
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Using the event study method to analyze one year of daily trading data of formal and Over-The-Counter (OTC) stocks in Taiwan, this study investigates whether the Brexit referendum led to abnormal returns, as well as the financial characteristics of the stocks, and the influential financial variables. The Taiwan stock market had negative abnormal returns on the day of the Brexit referendum. The high-abnormal return group was more significantly affected than the low-abnormal return group. The book-to-market ratio, price-to-earnings ratio, yield rate, average foreign shareholding ratio, and stocks overbought and oversold had a more significant impact on the low-abnormal return group. Abnormal returns were generated mostly in the OTC (Over-The-Counter) market. This event affected financial stocks more significantly than electronics and information technology stocks. The effects on formal stocks, OTC (Over-The-Counter) stocks, and the overall market were the most significant for the turnover rate and stocks overbought and oversold, yield rate, and turnover rate and book-to-market ratio, respectively. The results confirm that the model of the impact of a special event on the behavioral response in the Taiwan stock market can be used to predict changes in stock market prices when a special event occurs in the future.
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Alecia Ferrari, Erric Wijaya,. "Stocks Investment Decision Making Capital Asset Pricing Model (CAPM)." Jurnal Manajemen 24, no. 1 (March 2, 2020): 93. http://dx.doi.org/10.24912/jm.v24i1.621.
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Investment in the capital market generally has a higher rate of return compared to investing in the financial market. Investors sometimes get difficulty in determining which stocks will produce a large return with a small risk. The method used to describe the application of CAPM in this research is done by grouping the efficient, yet inefficient stocks of the banking sector based on the CAPM method. The method in the sample selection was a purposive sample method and obtained 40 banking sector companies listed on the Indonesia Stock Exchange (IDX) during the period of August 2016 - July 2018. The results of this study indicate that there are 31 efficient stocks out of 40 stocks in banking sector. It can be seen that there are 31 banking stocks with a positive average rate of returns and 9 banking stocks with a negative average rate of returns. Meanwhile, the implication of this study is that banking sector shares have efficient shares, since the average rate of return is higher than the expected returns.
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Zhang, Xiao-Jun. "Book-to-Market Ratio and Skewness of Stock Returns." Accounting Review 88, no. 6 (June 1, 2013): 2213–40. http://dx.doi.org/10.2308/accr-50524.
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ABSTRACT: This study demonstrates that stocks with low book-to-market ratios, also known as glamour stocks, have significantly more positive skewness in their return distributions compared to the return distributions of value stocks with high book-to-market ratios. The premium (discount) investors apply to these glamour (value) stocks also correlates significantly with the difference in return skewness. These findings suggest that the value/glamour-stock puzzle is partially explained by investor preference for positive skewness in stock returns. Such preference for skewness, which is consistent with investors having inverse S-shaped utility functions, is observed in such consumer behaviors as lottery purchases and gambling. This paper further documents significant predictive power of accounting-based measures, such as the book rate of return, with respect to the skewness of stock returns. Data Availability: Data are available from sources identified in the paper.
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Utami, Ratna, and Maha Putra Kusuma Nugraha. "Analisis Kinerja Saham Syariah Dan Pengaruhnya Terhadap Respon Pasar Pada Perusahaan Yang Tercatat di Jakarta Islamic Indeks." Jurnal Reviu Akuntansi dan Keuangan 1, no. 2 (October 12, 2011): 161. http://dx.doi.org/10.22219/jrak.v1i2.520.
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The purposes for this research to describe performance stock of sharia and its influence on market response to the companies listed on the Jakarta Islamic Index (JII). In this research, researchers will describe the condition of the stock performance of sharia with approach the rate of return and risk. The population of research is Islamic stocks listed in the JII for the period December 2008-November 2010 and sampled in this study a total of 17 issuers of sharia using purposive sampling. The unit of analysis in the research is the performance of the stock by using the excess return and excess return to beta ratio, rate of return based on expected return and risk (beta). For to see the effect in response to market, units of analysis used is technical analysis with approach to stock trading volume and high and lows, as well as using non-parametric analysis to see how investors choise stocks sharia evenly. The result of study show total of 17 issuers provide the return on stocks is positive. Excess return, there are 16 competent stock to be invested and based on counting of excess return to beta, 16 sharia stocks is good to invested and has good performance. Islamic stock performance in Jakarta Islamic Index has an influence on the market response is significantly. Keywords: Stock Performance on JII, Returns and Risk, Market Response.
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Hatem, Ben Said. "How Can We Measure Stock Market Returns? An International Comparison." International Business Research 10, no. 5 (April 24, 2017): 121. http://dx.doi.org/10.5539/ibr.v10n5p121.
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The aim of our empirical work is to identify how we can measure stock returns. Stocks returns are approximated as the growth rate of market share price. We use two measures of stocks returns; return on assets, ROA, and return on equity, ROE. As a control variable, we use firm age. Our samples consists of 186 firms from United Kingdom and 186 firms from Ukraine studied over a period of 4 years from 2007 to 2010. To this end, we estimate three models. Using the data panels methodology, we conclude that return on equity approximates better socks returns for United kingdom and Ukraine. We could not however find evidence on a significant association between return on assets and stock returns.
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IQBAL, KAZI, and SIBAN SHAHANA. "Stylized Facts of the Statistical Properties of Risk and Return of the Dhaka Stock Exchange: 1991-2015." Bangladesh Development Studies XLII, no. 4 (March 21, 2021): 83–110. http://dx.doi.org/10.57138/rqwj2951.
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While the role of financial market, particularly the stock market, in promoting economic growth through efficient allocation of capital is well recognised, the investors of the developing economies have little knowledge about the return and risk of the markets they operate in. To this end, we compile a security level historical data for the period 1991-2015 for Dhaka Stock Exchange and identify some important stylized facts about the return and risk. Descriptive statistics of disaggregated stock data suggest that while the daily rate of returns swing up and down over decades, the volatility tends to increase over time. Manufacturing stocks outperform other sectors both in return and volatility. Similarly, older stocks earn better return with lesser risks than the newer stocks. Several standard tests confirm that the distribution of daily returns is not normal; it does not follow random walk and the market is not efficient. Overall, there is a risk return trade-off and this trade-off varies significantly with sectors, age and quality of the stocks.
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Nanna Sugiyanto, Fransiskus Xaverius, Shinta Ningtiyas Nazar, and Kansas Syafrizal. "Inflasi dan Suku Bunga terhadap Return Saham Subsektor Perbankan Indeks KOMPAS100 2015 – 2019." E-Jurnal Akuntansi 31, no. 6 (June 26, 2021): 1604. http://dx.doi.org/10.24843/eja.2021.v31.i06.p20.
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The consider pointed to decide & to demonstrate experimentally the impact of swelling & intrigued rate on the stock return of the keeping money subsector stock within the KOMPAS100 record. Analyst utilized control factors, to be specific PER & PBV. This sort of investigate classified as quantitative inquire about & utilizing auxiliary information. The populace in this study are stocks within the KOMPAS100 record 2015-2019 & utilized purposive testing strategy coming about 9 stocks of the keeping money subsector of KOMPAS100 list 2015-2019 as the test. The examination method utilized in this inquire about is numerous straight relapse. The comes about demonstrate that the expansion & intrigued rate factors at the same time impact stock return with PER & PBV as control factors. The expansion variable does not have a significant effect on stock returns. Intrigued rate variable incorporates a critical negative impact on stock returns. PER & PBV as control factors have no critical impact on stock return.
Keywords: Inflation; Interests; Stock Return; Indeks KOMPAS100.
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Amaroh, Siti, and Chanif Nasichah. "Risk-Return Analysis on Optimum Portfolio Selection of Islamic Stocks." Equilibrium: Jurnal Ekonomi Syariah 9, no. 1 (June 4, 2021): 65. http://dx.doi.org/10.21043/equilibrium.v9i1.9433.
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<p><em>This study aims to determine the optimum portfolio category and analyze the risk-return on a formed portfolio. Data was taken from eighteen listed companies indexed by Jakarta Islamic Index during 2015-2018. Stock returns are calculated based on the closing price at the end of each month in the period. Sharia Certificate of Bank Indonesia is a proxy of risk-free return, while the market return is measured by the value of the Jakarta Islamic Index. Stocks are sorted by the value of excess return to beta (ERB) from highest to lowest, and to obtain optimal stock portfolio candidates, and the ERB value must be compared with the cut-off rate value. Seven issuers qualify for forming the optimum portfolio of shares. The results show that the optimum portfolio return is greater than the expected return and the expected risk-free return. When compared between individual stock returns and portfolio stock returns, some individual stocks provide higher returns than portfolio returns. However, the risk of individual shares was also higher than the risk of the portfolio. This finding proves that risk can be reduced optimally in Islamic stocks selection by forming an optimum portfolio.</em></p>
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Hasan, Nurain, Frendy A. O. Pelleng, and Joanne V. Mangindaan. "Analisis Capital Asset Pricing Model (CAPM) Sebagai Dasar Pengambilan Keputusan Berinvestasi Saham (Studi pada Indeks Bisnis-27 di Bursa Efek Indonesia)." JURNAL ADMINISTRASI BISNIS 8, no. 1 (March 25, 2019): 36. http://dx.doi.org/10.35797/jab.8.1.2019.23498.36-43.
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The purpose of this study were: (1) To help investors pick efficient and inefficient stocks, (2) Investors know which stocks that have an optimal return and appropriate risk, (3) Investors know about CAPM metodh in determining the best investment decisions. CAPM is a model for estimating returns earned on risky securities or as a benchmark in evaluating the rate of return on an investment. The samples were selected by purposive sampling technique, the samples were determined by the specific criteria: (1) Companies listed on the Indonesia Stock Exchange belonging to the Business-27 stock index (2) Companies whose shares are included in the Business-27 stock index consistenly. The selection criteria in this study is choosing the efficient stocks in which individual return > expected return (Ri>ERi). Efficient collection of shares must be a priority in investment decisions made only efficient stocks that can be purchased. The results of this study indicate that: There are 18 stocks included on Efficient shares ie AKRA, BBCA, BBNI, BBRI, BMRI, CPIN, GGRM, INDF, INTP, PGAS, SMGR. These shares have a Ri> ERi value, investment decisions should be taken by investors was to buy efficient stocks. Based on data analysis there is a non-linear relationship between systematic risk and expected stock returns.
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Kamal, Javed Bin. "Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model." Financial Assets and Investing 3, no. 3 (September 30, 2012): 29–42. http://dx.doi.org/10.5817/fai2012-3-3.
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The paper aims at constructing an optimal portfolio by applying Sharpe’s single index model of capital asset pricing in different scenarios, one is ex ante stock price bubble scenario and stock price bubble and bubble burst is second scenario. Here we considered beginning of year 2010 as rise of stock price bubble in Dhaka Stock Exchange. Hence period from 2005 -2009 is considered as ex ante stock price bubble period. Using DSI (All share price index in Dhaka Stock Exchange) as market index and considering daily indices for the March 2005 to December 2009 period, the proposed method formulates a unique cut off point (cut off rate of return) and selects stocks having excess of their expected return over risk-free rate of return surpassing this cut-off point. Here, risk free rate considered to be 8.5% per annum (Treasury bill rate in 2009). Percentage of an investment in each of the selected stocks is then decided on the basis of respective weights assigned to each stock depending on respective ‘β’ value, stock movement variance representing unsystematic risk, return on stock and risk free return vis-à-vis the cut off rate of return. Interestingly, most of the stocks selected turned out to be bank stocks. Again we went for single index model applied to same stocks those made to the optimum portfolio in ex ante stock price bubble scenario considering data for the period of January 2010 to June 2012. We found that all stocks failed to make the pass Single Index Model criteria i.e. excess return over beta must be higher than the risk free rate. Here for the period of 2010 to 2012, the risk free rate considered to be 11.5 % per annum (Treasury bill rate during 2012).
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Hidayat, La Rahmad, Djoko Setyadi, and Musdalifah Azis. "Pengaruh Inflasi dan Suku Bunga dan Nilai Tukar Rupiah serta Jumlah Uang Beredar terhadap Return Saham." FORUM EKONOMI 19, no. 2 (January 10, 2018): 148. http://dx.doi.org/10.29264/jfor.v19i2.2121.
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This research is to examine the effect of inflation, interest rate, exchange rate and money supply on stock returns LQ 45 listed on the Indonesia Stock Exchange. The object of this research is the return - shares out of the category LQ 45 years of research by 2010-2015. Its Sampling using purposive sampling and get the 24 stocks that meet the criteria of 45 stocks LQ 45 as a sample. Thus, the number of samples studied was 144 shares for 6 years. The method used is multiple linear regression analyzes that examine whether or not a significant variable - the independent variable on the dependent variable. Based on the results known that R indicates that there is an ideal relationship of Inflation, Interest Rate, Exchange Rate and Money Supply toward to Return shares in LQ 45. R square indicates that the variable inflation rates, interest rates, the value of exchange rate and the money supply can explain the variable return shares at LQ 45 index. Based on F test indicates the same that the variable inflation rate, interest rate, exchange rate and money supply have a significant influence on shares returns in LQ 45 listed on Indonesia Stock Exchange. The results of T test showed that the rate of inflation significant and negative effect on shares returns and interest rates positive and significant effect on shares returns while exchange Rate and the money supply no significant effect on shares returns in LQ 45 Listed on Indonesia Stock Exchange.Keywords: stock return, Inflation, Interest Rate, Exchange Rate, Money Supply.
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Abdul Jabar, Ahmad Karim, and Iwan Fahri Cahyadi. "Pengaruh Exchange Rate, Inflasi, Risiko Sistematis Dan BI Rate Terhadap Return Saham Syariah Di Jakarta Islamic Index (JII) Periode 2015-2018." MALIA: Journal of Islamic Banking and Finance 4, no. 1 (September 25, 2020): 12. http://dx.doi.org/10.21043/malia.v4i1.8409.
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<p class="Default"><em>This research aims to determine the effect of variable exchange rate, inflation, systematic risk, and bi rate partially on the return of sharia stocks in the Jakarta Islamic Index (JII). In addition, to know the effect of variable exchange rate, inflation, systematic risk, and BI rate simultaneously on the return of sharia stocks in Jakarta Islamic Index (JII) period 2015-2018. This type of research is quantitative research with secondary data sources. The sampling method uses the purposive sampling method. This research data uses sharia stock data listed in Jakarta Islamic Index period 2015-2018. The method of data analysis used is to use multiple linear regression analysis methods. The results of this study show that partially variable exchange rate (X1) negatively and significantly affects the return of sharia stocks with a value of t-count > t-table (2.482 > 1,998) and a significant rate of 0.016 > 0.05, while inflation also negatively and significantly affects the return of sharia stocks with a value of t-count > t-table (2,600 > 1,998) and a significant level of 0.012 < 0.05, and systematic risk (X3) affects the return of sharia stocks with a value of t-count > t-table (2.038 > 1.998) and a significant level of 0.046 < 0.05, while the BI rate (X4) negatively and significantly affects the return of sharia stocks, with a value of t-count > t-table (2.412 > 1,998) and a significant level of 0.019 < 0.05. Simultaneously indicates that the exchange rate, inflation, systematic risk, and BI rate significantly affect the return of sharia stocks with a value of F-count > F-table (2.810 > 2.52) with a significance value of 0.033.</em></p>
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WONG, HOCK TSEN. "REAL EXCHANGE RATE RETURNS AND REAL STOCK PRICE RETURNS IN THE STOCK MARKET OF MALAYSIA." Singapore Economic Review 64, no. 05 (December 12, 2016): 1319–49. http://dx.doi.org/10.1142/s0217590816500387.
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This study examines the relationships between real exchange rate returns and real stock price returns in the stock market of Malaysia. The Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and Dickey and Fuller (DF) unit root test statistics show that all the variables examined are found to be stationary in the first differences. The constant conditional correlation (CCC)-multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model shows that real exchange rate return of Malaysian ringgit against the United States dollar (RM/USD) and real stock price return of Kuala Lumpur Composite Index (KLCI) are found to be negative and significantly correlated. However, there is insignificant correlation between real exchange rate return of Malaysian ringgit against Japanese Yen (RM/¥) and real stock price return of KLCI. Moreover, the CCC-MGARCH models show that real exchange rate returns and real stock price returns of some stocks are found to be significantly correlated. The KPSS unit root test statistics show that the time invariant conditional variances of real exchange rate returns and real stock price returns are mostly found to be stationary in the levels. There is no evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price return of KLCI but some evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price returns. There is a link between the exchange rate market and the stock market in Malaysia but not every real stock price return is significantly linked with real exchange rate return.
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Miasary, Seftina Diyah. "PENERAPAN VECTOR AUTOREGRESSIVE (VAR) DALAM MEMPREDIKSI RETURN SAHAM DI INDONESIA." Jurnal Edukasi dan Sains Matematika (JES-MAT) 8, no. 2 (September 30, 2022): 171–80. http://dx.doi.org/10.25134/jes-mat.v8i2.6225.
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The rate of return (return) and risk are inseparable in investing activities. One equilibrium model that describes the relationship between return and risk assumes that the expected return is influenced by more than one macroeconomic factor. Furthermore, the causal relationship between stock returns and macroeconomic factor returns was analyzed using VAR. The application of VAR in this study is to predict stock returns through the stages of checking data stationarity, determining the optimal lag length, testing Granger causality between variables, estimating VAR model parameters and Portmanteau diagnostic tests, and predicting stock returns. The results show that the VAR (1) model is the most appropriate model to describe the relationship between stock returns and macroeconomic factor returns with a significant model owned by BBCA, ICBP, INTP, KLBF, and SMGR stocks. Furthermore, the VAR (1) model is used to predict the five stock returns. The prediction results show that INTP's stock returns are negative while the returns of the other four stocks are positive. This shows that INTP shares experienced a capital loss, while the stock returns of BBCA, ICBP, KLBF, and SMGR experienced capital gains
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Lioui, Abraham, and Paulo Maio. "Interest Rate Risk and the Cross Section of Stock Returns." Journal of Financial and Quantitative Analysis 49, no. 2 (March 10, 2014): 483–511. http://dx.doi.org/10.1017/s0022109014000131.
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AbstractWe derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money. The model explains well the cross section of stock returns in addition to the excess market return. The interest rate factor is priced and seems to drive most of the explanatory power of the model. In this model, both value stocks and past long-term losers enjoy higher average (excess) returns because they have higher interest rate risk than growth/past winner stocks. The model significantly outperforms the nested models (capital asset pricing model (CAPM) and consumption CAPM (CCAPM)) and compares favorably with alternative macroeconomic models.
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Nurmala, Nurmala. "Analisis Pengembalian Keputusan Investasi Saham Dengan Pendekatan Capital Asset Pricing Model (CAPM) pada Perusahaan Perbankan Terdaftar di Bursa Efek Indonesia." BALANCE Jurnal Akuntansi dan Bisnis 2, no. 2 (October 24, 2018): 215. http://dx.doi.org/10.32502/jab.v2i2.1173.
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ABSTRACT The investors chose the banking shares because the management of this banking is overseen and regulated by Financial Services Authority in a transparent manner. This banking world will always be professional and transparent in managing public funds. It certainly will provide trust and positive value in the eyes of the community. The problem of this research is how to make Stock Investment Decision in accordance with Capital Asset Pricing Model (CAPM) Method on Banking Companies registered in Indonesia Stock Exchange. The purpose of this research is to analyze the decision of stock investment in accordance with Capital Asset Pricing Model (CAPM) method in Bankingcompanies registered in Indonesia Stock Exchange.The method used in this research is descriptive quantitative method and data are collected by documentation technique. The data analysis technique is used to calculate Individual Shares Return Rate (Ri), Risk Free Return (Rf), Market Rate (Rm), Premium Risk (Rp), expected Return Rate {E (Ri)}, and to help the efficiency and the decision of Stock Investments.Based on the results of the research, it can be seen that the risk with the lowest expected stock return is 0.340 and the highest expected rate of return is equal to 0.00532. There are 25 companies stocks included in the category of efficient stocks and 13 companies stocks included in the category of inefficient stocks among 38 companies stocks taken as this research sample. These stocks have greater Ri value than E (Ri) or [Ri> E (Ri)]. The investment decision taken by the investor is to buy the stocks.
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Damayanti, Sari Minjari. "Analisis Pengaruh Variabel-Variabel Makroekonomi terhadap Tingkat Pengembalian di Pasar Modal Periode 2000 -2011 dengan Membandingkan Hasil Estimasi OLS, GLS dan MLE." Binus Business Review 5, no. 1 (May 30, 2014): 267. http://dx.doi.org/10.21512/bbr.v5i1.1215.
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The factors in macroeconomic gives enormous influence on the fluctuation rate of return on stocks that is reflected in the stock price movement in the stock market. Movements in excess of the normal state, such as those caused by the global economic crisis, from the macro variables will create specific shocks on the capital markets, which will affect the value of the return on stocks in the capital market. To determine the effect of the factors or macroeconomic variables on the return of the index shares on BEI, empirical tests are accurately performed on these variables. This study has two main objectives: first to test how much the influence of macroeconomic variables on the return of the shares in the Indonesian Stock Exchange (BEI). Second, empirical research testing of variables using three different estimation methods, namely, Ordinary Least Squares (OLS), Generalized Least Square (GLS) and Maximum Likelihood Estimation (MLE) to find out how much the estimation accuracy of the three methods. The empirical result shows that there is a significant relationship between composite stock returns BEI and three macroeconomic variables, the consumer price index (inflation rate), exchange rate and interest rate of SBI. These results indicate that the three macro variables that affect the rate of return on the stock market.
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Novriyani, Novriyani. "INFLATION AND INTEREST RATE WITH EXCHANGE AS INTERVENING VARIABLES : ON STOCK RETURN." Jurnal Manajemen dan Bisnis 10, no. 2 (December 31, 2021): 68–79. http://dx.doi.org/10.34006/jmbi.v10i2.350.
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This research aims to find out Interest Rates and Inflation With Exchange Rates As Intervening Variables: Stock Returns. This type of research uses secondary data. The population of manufacturing companies listed on the Indonesia Stock Exchange (IDX) in 2014-2020. Sampling techniques used purposive sampling. The research population is a company registered with PT. IDX and sample of 8 companies. The data analysis method used is Path Analysis with SPSS. The results explained that inflation has a positive and insignificant effect on stock returns. Interest rates have a positive and insignificant effect on stock returns. Inflation has a positive and significant effect on the exchange rate. Interest rates have a positive and significant effect on the exchange rate. Inflation and return of stocks through exchange rates have a positive and significant effect on the exchange rate. Interest rates and stock returns through exchange rates have a negative and significant effect on the exchange rate. exchange rates have a positive and significant effect on stock returns.
Keywords : Inflation, Interest Rate, Stock Return and Exchange Rate
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Tandiontong, Mathius, and Margaretha Sitompul. "The Influence of Financial Distress Using Altman Z-Score, The Beta of Stocks and Inflation To The Stock Return." GATR Journal of Finance and Banking Review 2, no. 2 (March 27, 2017): 21–27. http://dx.doi.org/10.35609/jfbr.2017.2.2(4).
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Objective - Stock is one securities among other securities, as a high risk instrument. Stock classified as high risk due to reflection in the uncertainty of the rate of return to be received by investors in the future. The purpose of this research is to examine of financial distress as measured by the Altman Z-Score, systematic risk as measured by beta stocks and macroeconomic measured by inflation on stock returns Manufacturing Company listed on the Stock Exchange 2008-2012 period Methodology/Technique - From 133 companies listed, 75 companies are taken as sample by using purposive sampling technique. Panel data regression analysis shows that the overall effect of variables is equal to 28.7%. Findings - Partially, the variables that affect the stock returns are financial distress with Altman Z-Score, beta stocks and inflation. Novelty - Financial distress with the measurement using the Altman Z-Score. Type of Paper: Empirical Keywords: Stock return; Financial distress; Altman Z-Score; Systematic risk; Beta stocks and Inflation JEL Classification: E44, F14, G01.
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Mehrara, Mohsen, Yazdan Gudarzi Farahani, Farzan Faninam, and Abbas Rezazadeh Karsalari. "The Effect of Macroeconomic Variables on the Stock Market Index of the Tehran Stock Exchange." International Letters of Social and Humanistic Sciences 71 (July 2016): 17–24. http://dx.doi.org/10.18052/www.scipress.com/ilshs.71.17.
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This paper examines the relationship between stock market index and macroeconomic policies (Fiscal and Monetary) on Iran's economy using quarterly data in the period 1999-2013. This study employed cointegration test and vector autoregressive models (VAR) to examine relationships between the stock market index and the macroeconomic variables. The empirical results reveal that a positive money shock can increase stocks return. According to impulse responses, the government expenditure had a slight impact on stocks return in the short term. But the government expenditure has a positive effect on exchange index in long run. Also the effect of taxes on the stock's price index is negative, so that it reaches its maximum level after the third lag and then alleviates. The GDP shock has positive effect on the stock's price index. Increase in production level leads to increase in earnings and profitability, leading to a positive response from stocks index. Therefore the results showed that the macroeconomic variables such as inflation, exchange rate and GDP have significant effects on Tehran exchange price index. So the hypothesis that the improving economic factors can have a useful role in the booming capital market is confirmed. Also the effect of fiscal policy factors such as tax revenues and government expenditures is more than monetary policy factors on stock returns.
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Wulandari, Try. "Analisis Pengaruh Varian dan Tingkat Suku Bunga Terhadap Return Saham Studi pada perusahaan IDX30 BEI." MBIA 20, no. 3 (February 9, 2022): 235–47. http://dx.doi.org/10.33557/mbia.v20i3.1512.
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Abstract
This study aims to analyze the effect of stock variants and Bank Indonesia interest rates on stock returns. The method used is multiple linear regression with 30 companies listed on the IDX30 index in the period January-December 2020. The sampling technique used purposive sampling. The results showed that stock variants had a significant positive effect on stock returns, while the Bank Indonesia interest rate had a negative effect on stock returns. The results of this study are supported by the results of multiple linear regression tests by comparing the t statistical value. This research is expected to be taken into consideration by investors in making investment decisions and become additional literature in the field of market risk analysis on stock returns
Keywords: Interest rate, return stocks, variant stocks
Abstrak
Penelitian ini bertujuan untuk menganalisis pengaruh varian saham dan suku bunga Bank Indonesia terhadap return saham. Metode yang digunakan adalah regresi linear berganda dengan 30 perusahaan yang terdaftar pada indeks IDX30 pada periode Januari-Desember tahun 2020. Teknik pengambilan sampel menggunakan purposive sampling. Hasil penelitian menunjukkan bahwa varian saham berpengaruh positif signifikan terhadap return saham sedangkan tingkat suku bunga Bank Indonesia berpengaruh negatif terhadap return saham. hasil penelitian ini didukung oleh hasil uji regresi linear berganda dengan membandingkan nilai t statistik. penelitian ini diharapkan dapat menjadi bahan pertimbangan investor dalam membuat keputusan investasi dan menjadi literatur tambahan dalam bidang analisis risiko pasar terhadap return saham.
Kata kunci: return saham, suku bunga, varian saham
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Chiang, Gengnan, and Chin-Chi Liu. "Searching for the Sustainably Profitable Stocks: Evidence on S&P 500 Companies." Accounting and Finance Research 6, no. 1 (January 23, 2017): 89. http://dx.doi.org/10.5430/afr.v6n1p89.
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Using a balanced panel dataset of 214 firms from S&P 500 during 2001-2012, the main purpose of this study is to search for the possibility of the sustainably profitable stocks by utilizing a nonlinear panel smooth transition regression (PSTR) model. We document three important empirical findings on this study. First, we show that the concurrent total asset growth rate and the change in EPS positively correlate with the market adjusted stock returns, while one-year lagged market-to-book asset ratio (MBA) had negative impact on market adjusted stock returns. Second, we find that most value stocks remained in the same regime over the sample period and the annual average market-adjusted return of these value stocks is 7.80%, approximately 10.56% higher than growth stocks. Third, we further report that 116 valued firms in our sample are most likely to be sustainably profitable stocks over the entire sample period and the annual average market-adjusted return of these stocks is 6.53%. Especially now, with an investment environment that has been somewhat ungenerous in offering returns, we expect these interesting findings provide rich implications for institutional investors to design profitable and effective investment strategies.
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Shah, Syed Zulfiqar Ali, Zafar Mueen Nasir, and Muhammad Naeem. "Can Common Stocks Provide Hedge against Inflation? Evidence from SAARC Countries." Pakistan Development Review 51, no. 4II (December 1, 2012): 435–48. http://dx.doi.org/10.30541/v51i4iipp.435-448.
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The theory says that if stocks provide an effective hedge against inflation then the effect of expected inflation should be compensated in the form of nominal stock return. As Fisher Hypothesis (1930) concluded that nominal expected return on a security is a function of expected inflation rate as well as expected real interest rate. Bodie (1976) worked on Fisher Hypothesis and found that actual nominal return depends on expected and unexpected inflation rates and also it depends on expected and unexpected nominal returns. According to Geske and Roll (1983) a positive relationship exists between stock returns and inflation, based on the assumption that securities represent claims on real assets. When there is an increase in rate of inflation, it is expected that prices of real assets will also rise, thereby improving the value of securities representing a claim on such real assets. We found that various studies in this area reported against the hypothesis, showing a negative relationship between the two. However, certain other studies support the theory asserting that the relationship existing between stock returns and inflation is positive. While the negative relationship between inflation and stock return is against the theory, negative results have led to formation of hypothesis such as tax augmented hypothesis. The tax augmented hypothesis states that when we deduct tax from the stock returns, their relationship with inflation tends to get negative as the quantum and rate of taxes also rise along with inflation. This hypothesis also opines that initial researcher did not consider the tax impact when they were empirically testing the relationship between stock returns and inflation.
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Wahyudi, Rahmat. "Analisis Faktor Fundamental dan Risiko Sistematik terhadap Harga Saham dengan Profitabilitas sebagai Variabel Intervening." Journal of Business and Economics (JBE) UPI YPTK 7, no. 3 (September 25, 2022): 388–94. http://dx.doi.org/10.35134/jbeupiyptk.v7i3.189.
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This study aims to determine the effect of Earning Per Share (EPS), Current Ratio (CR), Exchange Rate and Interest Rate Risk on stock price movements with Return On Assets (EPS) as an intervening variable on property stocks listed on the Indonesia Stock Exchange 2017 -2021. The sample in this study was taken by purposive sampling method on property stocks listed on the Indonesia Stock Exchange 2017-2021. The number of samples used as many as 158 companies. The analytical method of this research is using multiple linear regression analysis method. The results of this study indicate that partially Earning per Share (EPS), has a significant effect on Return On Assets (ROA), Current Ratio (CR) has a significant effect on Return On Assets (ROA), Exchange Rates have a significant effect on Return On Assets (ROA)., Interest Rate Risk has a significant effect on Return On Assets (ROA), Earnings per Share (EPS) has a significant effect on Stock Prices, Current Ratio (CR) has a significant effect on Stock Prices, Exchange, Risk Interest has a significant effect on stock prices, Return on Assets (ROA) has a significant effect on stock prices, Earning per Share (EPS) has no significant effect on stock prices through Return On Assets (ROA) as an intervening variable, Current Ratio (CR) has no effect significant effect on stock prices through Return On Assets (ROA) as an intervening variable, exchange rate has an effect s significant no effect on stock prices through Return On Assets (ROA) as an intervening variable and Interest Rate Risk has no significant effect on stock prices through Return On Assets (ROA) as an intervening variable on property stocks listed on the Indonesia Stock Exchange 2017-2021.
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Javed, Sarfaraz, Baaeth Atallah Aldalaien, Uvesh Husain, and Mohammed Shahfaraz Khan. "Impact of Federal Funds Rate on Monthly Stocks Return of United States of America." International Journal of Business and Management 14, no. 9 (August 5, 2019): 105. http://dx.doi.org/10.5539/ijbm.v14n9p105.
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This study examines the impact of federal funds rate on monthly stocks return of the United States of America. The study made use of secondary data from 31st January 1980 to 31st December 2009 gotten from Fred Economic Data and Economic Research Federal Reserve Bank of St. Louis and the Ordinary Least Square Method was applied to perform the analysis using Eviews 9.0. The findings of this study reveal that before the crisis, the rate of interest significantly predicted monthly stock return while during the crisis; the rate of interest did not significantly predict monthly stock return. In addition, the growth rate of industrial production significantly predicted monthly stock return with while FFR did not significantly predict monthly stock return. Likewise, change in FFR significantly predicted monthly stock return while the growth rate of industrial production did not significantly predict monthly stock return.
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Selvi, Andesta, Adam Mohamad, and Feunsri Suhel. "Changes in Macroeconomic Conditions and Capital Return in Indonesia." Modern Economics 23, no. 1 (October 27, 2020): 187–93. http://dx.doi.org/10.31521/modecon.v23(2020)-30.
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Abstract. This study is focused on looking at conditions of macroeconomic changes that have an impact on the activity of the Islamic capital market, particularly on the return of Islamic stocks listed in the Jakarta Islamic Index. This empirical evidence is related to variable macroeconomic changes, namely changes in inflation, rupiah exchange rate, money supply, foreign exchange reserves, Indonesian Syariah Bank Certificates (SBIS) and interest rates on sharia stock returns for the period January 2014-December 2019 obtained from Financial publications. Service Authority (OJK) and Bank Indonesia. The analysis technique used is quantitative analysis using multiple regression analysis tools. Purpose. This study aims to examine the influence of changes in inflation, changes in the rupiah exchange rate, changes in the money supply, changes in SBIS, changes in foreign exchange reserves and changes in interest rates on the return of Indonesian Islamic stocks. Results. The results of this study are (1) Variable Changes in Inflation, Changes in the Amount of Money Supply, Changes in Foreign Exchange Reserves, Changes in SBIS have a positive and significant effect on Stock Returns listed on the Jakarta Islamic Index, (2) changes in exchange rates have a negative and significant effect on Stock Returns listed in Jakarta Islamic. Index, (3) the Interest Rate variable has no effect on Stock Returns listed on the Jakarta Islamic Index. Conclusion. The approach used by each variable starts with the conventional followed by the study of Islamic macroeconomics, in order to provide a philosophy of science and economics that refers to Baqir Sadr in the Iqtishaduna book. In this study, researchers examined macroeconomic variables on sharia stock returns to prioritize people’s welfare and pay close attention to every investment process based on sharia principles. Therefore the public, entrepreneurs, investors and company performance must pay attention to information regarding changes in inflation, changes in the rupiah exchange rate, changes in the money supply, changes in Bank Indonesia Sharia Certificates (SBIS), changes foreign exchange reserves, and changes in interest rates in order to minimize risks for both investors and entrepreneurs. This variable can affect the movement of the capital market so that the return on Islamic stocks also has an effect. Keywords: Stock Return; Inflation Change; Rupiah Exchange Rate; Change in Amount of Money Supply; Change in Bank Indonesia Sharia Certificate; Change in Foreign Exchange Reserves; and Change in Interest Rates.
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Sangh, Neeraj. "Static Systematic Risk Profile of Nifty 100 Stocks: A Year on Year Analysis of Beta." GIS Business 12, no. 5 (September 22, 2017): 75–83. http://dx.doi.org/10.26643/gis.v12i5.3346.
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Beta Coefficient, as a measurement statistic of systematic risk of securities, was initially explained by Sharpe as a slope of simple linear regression function using rate of return on a market index as independent variable and a securitys rate of return as dependent variable. National Stock Exchange (NSE), the leading stock exchange of India, practice this ordinary least square (OLS) regression based single index market model for disseminating beta coefficients of prominent NIFTY 100 stocks. OLS regression based index model presumes that beta coefficients of securities should remain stable for accuracy of predicted returns. Brenner and Smidt (1977) emphasized the importance of having accurate beta forecast mainly because of (i) understanding risk-return relationships in capital market theory and (ii) extensive usage of beta in making investment decisions. The objective of this paper is to examine year on year stability of beta coefficients of NIFTY 100 index stocks.
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Maitra, Debasish, and Varun Dawar. "Return and Volatility Spillover among Commodity Futures, Stock Market and Exchange Rate: Evidence from India." Global Business Review 20, no. 1 (November 21, 2018): 214–37. http://dx.doi.org/10.1177/0972150918803801.
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This article aims to investigate return and volatility spillover among commodity, stock and exchange rate markets. The article further looks into whether there is any change in return and volatility spillover during the crisis and post-crisis periods and whether there is any in the behaviour of spillover changes between agro and non-agro based commodities. The study uses Vector Auto Regression followed along with by Granger causality are to understand the causality of returns. We have performed multivariate volatility model to study the volatility co-movement of different assets. Unidirectional return spillover from the Multi Commodity Exchange (non-agro commodity) to stock indices and exchange rates is found. Stock indices are found to influence exchange rates to return; whereas the only dollar explains the return in stock indices. Equity markets have been found to have a return spillover on NCDEX (agro commodity) during the post-crisis period. However, each asset market is found to have volatility spillover effects on the other asset market. Commodity indices have more spillover effects on stocks.
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Khaddafi, Muammar, and Ferdiansyah Ferdiansyah. "ANALISIS PERBANDINGAN RETURN DAN RISK (STUDI PADA SAHAM SYARIAH DAN SAHAM KONVENSIONAL LQ45 PERIODE (2012-2016)." Jurnal Akuntansi dan Keuangan 5, no. 1 (February 2, 2017): 33. http://dx.doi.org/10.29103/jak.v5i1.1811.
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This study aims to analyze the comparison of Return and Risk study in syariah Stocks and convensional stocks LQ45 Indeks in companies listed on the Indonesia Stock Exchange by using Purposive Sampling by comparing the rate of return and risk of these shares. The method used is the Independent Sample T-test and comparing the performance of mutual funds using the Jensen Test during the period 2012-2016, the results showed that there was no significant difference between the rate of return and risk of the Syariah Stock and Conventional Stock Index during the 2012-2016 period.
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Min, Jae Hoon. "Are Korea individual investors irrational in initial public offering (IPO) market? An explanation from the winner’s curse perspective." Asian Academy of Management Journal of Accounting and Finance 18, no. 1 (July 29, 2022): 33–58. http://dx.doi.org/10.21315/aamjaf2022.18.1.2.
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Individual investors are often regarded as irrational sentiment investors whose investment behaviour is affected by psychological factors. This study measures the actual investment return of individual investors who participated in initial price offering (IPO) stock investment in the Korean market from the short-term and long-term perspective and investigates the relationship with IPO characteristics that affect the investment sentiment of individual investors. Even though the underpricing of IPO stocks on the first day of listing on average reached 31% over the past 13 years, individual investors in the Korean stock market earned very little actual return on IPO stock investment. The market-adjusted return on IPO stock investment on the first day was about −0.5%, and even if they held IPO stocks for one year after listing, it was only 3.4%. The so-called winner’s curse, in which individual investors are allocated relatively many overvalued stocks appears to be present in the Korean IPO market. The allocation of IPO stocks by individual investors depends on several factors that reflect individual investors’ sentiment, such as past performance of previous IPOs, past industrial returns, institutional investors’ investment intent, offering size, an upward revision of the offer price, and issuing firm’s financial soundness. It was found that the higher the individual allocation rate, the lower the short-term investment return on the first trading day, confirming the winner’s curse risk of individual investors. However, in the long run, a reversal of returns was observed, in which the long-term returns of IPO stocks with high individual allocation rates rose. In order to mitigate the winner’s curse risk, it is desirable to reform IPO pricing mechanisms and allocation rules in a way that reduces the asymmetry of information between institutional and individual investors and reflects the subscription demand of individual investors.
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Gou, Xiaoju, and Limei Bie. "Research on Investment Preference and the MAX Effect in Chinese Stock Market." Journal of Systems Science and Information 4, no. 6 (December 25, 2016): 519–33. http://dx.doi.org/10.21078/jssi-2016-519-15.
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AbstractInvestors prefer to invest the stocks with high history returns, which results in that the return of the stock with high history maximum return is often lower than that with low history maximum return, i.e., the MAX effect. We show that the MAX effect is also significant in China stock market, that is, there is a significant negative relationship between maximum return and expected return. We then conduct portfolio analysis and Fama-Macbeth cross-sectional regression and find that range of price and turnover rate can explain the MAX effect in a certain extent, idiosyncratic volatility and idiosyncratic skewness cannot explain the negative relationship between maximum return and expected return. Moreover, maximum return explains the idiosyncratic volatility puzzle partially.
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Mulyaningsih, Sri, and Jerry Heikal. "Investment Decision Using Capital Asset Pricing Model (CAPM) in Indonesia’s Banking Sector." Journal of Economics, Finance and Accounting Studies 4, no. 4 (September 30, 2022): 19–27. http://dx.doi.org/10.32996/jefas.2022.4.4.3.
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The focus of this research was to determine and investigate the application of the Capital Asset Pricing Modeling (CAPM) technique in analyzing investment decisions in particular banking stocks that specialize in digital banking operating models. Investors generally follow the IT or digital sector (Tech stocks) due to the sector's track record of delivering high returns and the promise for even greater returns in the future. In the banking sector, investors continue to pursue digital bank stocks as their holdings because they believe they may create value and expand. Six digital banking stocks were chosen for this study, all of which are listed on the Indonesian Stock Exchange and have an observation period of April 2021 to March 2022. These stocks are Bank Jago Tbk, Bank Neo Commerce Tbk, Bank Danamon Tbk, Bank Permata Tbk, Bank BTPN Tbk, and Bank OCBC NISP Tbk. This research uses linear regression analysis to determine the beta coefficient for the Capital Asset Pricing Modeling (CAPM) method and compares the expected return to the stock market's rate of return during the observation period in order to further differentiate between undervalued and overvalued stocks. The study found that two of the six digital banking companies had higher returns than expected (undervalued/efficient stocks), namely Bank Jago and Bank Neo Commerce, with the remaining four categorized as overvalued/inefficient.
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Tirmizi, Syed Muhammad Ali, Haider Ali, and Sharif Ullah Jan. "Petroleum and Food Sectors Lost Stock Returns against Investments in PSX." Global Management Sciences Review VI, no. I (March 30, 2021): 99–111. http://dx.doi.org/10.31703/gmsr.2021(vi-i).10.
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The impact of exchange rate exposure and market return on stock returns of petroleum and food sectors PSX listed firms has been investigated empirically. Two econometric models formulated based on the Jorion approach of the two-factor model have been analyzed for petroleum and food sectors stock returns, market return and exchange rate (i.e., USD) for the study period 2005-2012, which represent an era of military regime proceeded by the democratic government of Pakistan Peoples Party. A sample of 37 petroleum and food sectors listed firms have been evaluated by applying the unit root test and OLS multiple regression. Further, the Quandt-Andrews test of unknown breakpoint has been applied, which showed an extended structural break during the period 2007 to 2010. Additionally, the results revealed that the coefficients of exchange rate and market return are negatively related to petroleum and food sectors stock returns. Therefore, investors must take precautions before investing funds in stocks of food and petroleum sector firms.
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Liang, Samuel Xin. "The Driving Forces of Stock Returns in Hong Kong." Accounting and Finance Research 8, no. 4 (September 2, 2019): 1. http://dx.doi.org/10.5430/afr.v8n4p1.
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We comprehensively investigate what drives stock returns in Hong Kong stock market which has been consistently ranked as one of the most important markets for IPOs. We find that Hong Kong inflation rate is a systematic pricing factor across stocks after controlling for Fama-French three-factor. It is different from the U.S. market and other developed markets that the momentum, dividend yield, cash-flow yield, earnings yield, and return-reversal factors are not significant pricing factors for stock returns in Hong Kong. Our Fama-MacBeath (1973) regressions show that a stock’s value (cash-flow yield and book-to-market ratio) is the strongest predictor of stock returns in Hong Kong after controlling for market, value, and size factors and macroeconomic factors.
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Setyawati, Irma, Molina Molina, Muhani Muhani, and Irennizha Eka Widya Nurul Huda. "Kelayakan Investasi dengan Pendekatan Capital Asset Pricing Model Untuk Saham Kapitalisasi Terbesar di Bursa Efek Indonesia." Jurnal Kajian Ilmiah 21, no. 3 (September 24, 2021): 329–40. http://dx.doi.org/10.31599/jki.v21i3.722.
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The purpose of this study is to determine the feasibility of investing in stocks with the largest capitalization on the Indonesia Stock Exchange. This study was analyzed using the Capital Asset Pricing Model approach. The data used is secondary data, namely the stock price and trading volume of companies indexed LQ45 for the period August 2019 – July 2021, the Composite Stock Price Index, and the Bank Indonesia 7 Days Repo Rate. The analyzed companies are 5 (five) companies that have the largest trading volume during the study period. The results of the study that PT. Aneka Tambang (Persero), Tbk has the highest rate of return. While the other two companies have negative returns, namely Perusahaan Gas Negara, Tbk and Telkom Indonesia (Persero) Tbk. Stocks of PT. Aneka Tambang (Persero), Tbk has the largest level of risk, while the company whose stocks have the smallest level of risk is Telkom Indonesia (Persero) Tbk. The excess returns of almost all stocks are positive, meaning that they are worth investing in, namely the stocks of PT. Aneka Tambang (Persero), Tbk, Perusahaan Gas Negara, Tbk, Tower Bersama Infrastructure Tbk. and stocks of Bank Rakyat Indonesia (Persero), Tbk. Inappropriate investment in stocks of Telkom Indonesia (Persero) Tbk. Stocks that are eligible to be purchased by investors are stocks that have a positive excess return.
Keywords: Capital Asset Pricing Model, Investment, LQ45, Stocks.
Abstrak
Tujuan penelitian ini untuk mengetahui kelayakan investasi pada saham kapitalisasi terbesar di Bursa Efek Indonesia. Penelitian ini dianalisis dengan pendekatan Capital Asset Pricing Model. Data yang digunakan adalah data sekunder, yaitu harga saham dan volume perdagangan perusahaan terindeks LQ45 periode Agustus 2019 – Juli 2021, Indeks Harga Saham Gabungan, dan Bank Indonesia 7Days Repo Rate. Perusahaan yang dianalisis adalah 5 (lima) perusahaan yang memiliki volume perdagangan tersebesar selama periode penelitian. Hasil penelitian bahwa PT. Aneka Tambang (Persero), Tbk mempunyai tingkat pengembalian paling tinggi. Sedangkan dua perusahaan lainnya mempunyai tingkat pengembalian negatif, yaitu Perusahaan Gas Negara, Tbk dan Telkom Indonesia (Persero) Tbk. Saham PT. Aneka Tambang (Persero), Tbk mempunyai tingkat risiko terbesar, sedang perusahaan yang sahamnya mempunyai tingkat risiko terkecil adalah Telkom Indonesia (Persero) Tbk. Excess return hampir semua saham bernilai positif, artinya layak untuk diinvestasikan, yaitu saham PT. Aneka Tambang (Persero), Tbk, Perusahaan Gas Negara, Tbk, Tower Bersama Infrastructure Tbk. dan saham perusahaan Bank Rakyat Indonesia (Persero), Tbk. Investasi yang tidak layak ditanamkan pada saham Telkom Indonesia (Persero) Tbk. Saham yang layak untuk dibeli oleh investor adalah saham karena memiliki excess return positif.
Kata kunci: Capital Asset Pricing Model, Investasi, LQ45, Saham
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Ho, Wen-Rong Jerry, C. H. Liu, and H. W. Chen. "Research of Building Intelligent Investment Decision Mode for Investment Portfolio — Using Taiwan Electronic Stock as an Example." Review of Pacific Basin Financial Markets and Policies 13, no. 04 (December 2010): 621–45. http://dx.doi.org/10.1142/s0219091510002104.
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This research uses all of the listed electronic stocks in the Taiwan Stock Exchange as a sample to test the performance of the return rate of stock prices. In addition, this research compares it with the electronic stock returns. The empirical result shows that no matter which kind of stock selection strategy we choose, a majority of the return rate is higher than that of the electronics index. Evident in the results, the predicted effect of BPNN is better than that of the general average decentralized investment strategy. Furthermore, the low price-to-earning ratio and the low book-to-market ratio have a significant long-term influence.
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Gniadkowska-Szymańska, Agata. "The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries." e-Finanse 13, no. 4 (December 1, 2017): 136–48. http://dx.doi.org/10.1515/fiqf-2016-0042.
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AbstractEach type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an ‚illiquidity premium’. In this paper I present various factors which have an effect on liquidity by presenting the results of research concerning relations between liquidity and stock return on the Warsaw Stock Exchange (WSE) and Nasdaq stock exchanges in Tallinn, Riga and Vilnius.
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Chen, Ran. "An empirical study of COVID-19's stock returns to the whole industry in the US stock market." Advances in Economics and Management Research 1, no. 1 (May 18, 2022): 166. http://dx.doi.org/10.56028/aemr.1.1.166.
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Based on the daily stock data of 49 industry classification data in Kenneth R. French database, this paper adopts the Fama-French five-factor model and adopts multiple linear regression method to empirically study the changes of stock return impact factors of 49 us industries before and after COVID-19. The results show that the marginal effects of market risk factors and investment style factors on stock returns weaken, while the marginal effects of market value factors and value factors increase. The influence of profit factor on stock return is not significant. Post-pandemic, the market favors small-cap stocks, value stocks, and conservative portfolios. Specific to the industry level, the small market value and value stock portfolio of the hotel and catering industry bring greater excess returns; The rare metal industry of high market value, growth stock portfolio excess return is greater; Textile industry value stocks, investment style aggressive portfolio to get better returns. Based on this, when the "black Swan" event comes, we should pay attention to grasp the switch of investment style in order to achieve better returns. At the same time, specific to each industry investment strategy should be different.
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Ammad, Muhammad, Muhammad Sohail Alam Khan, and Brekhana Gul. "Comparison of Market, Size and Value Premium of Random Samples in KSE and Non KSE 100 Companies." Global Management Sciences Review V, no. III (September 30, 2020): 146–54. http://dx.doi.org/10.31703/gmsr.2020(v-iii).16.
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This study is directed towards the identification of key risk variables that explains the variations in expected stocks’ returns and gives rise to Risk Premium for taking an extra riskin addition to the opportunity cost of risk free rate incorporated in stocks’ returns. For this purpose, monthly returns of 37 companies (randomly 20 samples selected from KSE and non KSE-100 each) listed on the Karachi Stock Exchange were calculated for a period covering six years from January 2008 up till December 2013. The excess return (portfolio return minus risk-free rate) on these 37 companies is sorted in six size and value portfolios. KSE 100 Index was used as a proxy for benchmark Index, and six months T-bills’ yield was used as a proxy for the risk-free rate. Regression results strongly evidenced size and value premium as factors explaining the variations in expected returns for the multi factor model. The variation explained by these factors found more in non KSE-100 than KSE. This study strongly supported two factors (SMB
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MUHAMMAD TAHIR KHAN, ASAF KHAN, DR. ADNAN AHMAD, and OBAID ULLAH BASHIR. "Impact of Macroeconomic Factors on Stock Returns of KSE 100 Index." Journal of Business & Tourism 4, no. 1 (November 6, 2021): 133–45. http://dx.doi.org/10.34260/jbt.v4i1.95.
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Positive moment of stock return is an important component for investors, the intension of this study was to examine the impact of macroeconomic variables on stock return. The monthly stocks price data of 15 firms was taken from the period of January 2008 to December 2012. The results revealed that there was a positive impact of exchange rate on stock return, while inflation rate and interest rate had a significant negative impact on stock return. The results of variance decompositions revealed that out of three macroeconomic variables Inflation rate showed greater forecast error for KSE 100 Index
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Wibowo, Doni Teguh, Adita Nafisa, and RM Mahrus Alie. "HASIL DAN RISIKO PORTOFOLIO BERBASIS SINGLE-INDEX MODEL SEBAGAI STRATEGI INVESTASI PADA PASAR MODAL." DIALEKTIKA : Jurnal Ekonomi dan Ilmu Sosial 4, no. 1 (April 9, 2019): 96–121. http://dx.doi.org/10.36636/dialektika.v4i1.288.
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ABSTRACTThis research aims to analyze how much the return and risk level of stocks listed on index LQ45, index shares, in order to determine the portofolio optimal using a single index model, to analyze the combination of stocks included in the portofolio optimal to give return and risk portofolio.The investment decision process is a continuous decision process. This investment decision process goes on and on until the best investment decision. Stock return is income that is expressed as a percentage of the initial capital investment, profits can be in the form of return that have already or expected. Realized return is a profit that has occurred, calculated based on historical data which is also useful as a basis for determining expected profits and risk in the future. Beta is a measure of the systematic risk of a stock portofolio relative to the market risk. General, beta measures the sensitivity of the profit level of a stock against the level of profit sensitivity of a market portofolio. Beta stocks are very useful to measure how much the level of courage of investors about risk. To anticipating the risk that will be faced by investors, a method is needed to minimize the risk, while still optimizing the return to be obtained. To minimize risk and optimize the return of the investments is to diversify stocks, namely to arrange an portofolio optimal consisting of stock instruments traded on the IDX, while the method is an optimal portofolio based on a single index model, this method is calculation the stocks to help investors to determine whether a stocks can be included in the portofolio optimal and determine which stock combinations provide to optimal return. In addition to, forming a portofolio and stock combination investors are expected to make investment strategies in the capital market both active strategies or passive strategies.From the results of the analysis of the study of 45 stocks incorporated in the LQ45 index there were 37 liquid stocks from January 2017 to December 2017, obtained 14 stocks from 37 stocks formed in the portofolio optimal based on the cut off point value of 0.81883 with a return portofolio rate of 13.16 % with risk portofolio level of 0.000047%, this risk is smaller than investment in individual stocks directly. That on individual stocks the higher the risk value, the higher the level of return.Key words: return, risk, single index model, portofolio optimal, and investment strategies
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Guenther, David A., and Richard Sansing. "The Effect of Tax-Exempt Investors and Risk on Stock Ownership and Expected Returns." Accounting Review 85, no. 3 (May 1, 2010): 849–75. http://dx.doi.org/10.2308/accr.2010.85.3.849.
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ABSTRACT: We investigate how shareholder taxes and risk preferences affect both a stock’s expected return, which reflects the capitalization of the dividend tax penalty into stock price, and the fraction of a firm’s stock held by tax-exempt investors. Our model demonstrates that the dividend tax capitalization effect reflects the weighted average tax rate of all investors, where the weighting depends on investors’ risk tolerances. This weighted average tax rate is not affected by the fraction of stock held by tax-exempt investors; however, tax-exempt investor ownership can be correlated with the weighted average tax rate if differences in tax-exempt investor ownership for different stocks reflect differences in investor risk tolerances for those stocks. Our empirical tests are consistent with the model’s predictions, and provide an equilibrium framework for interpreting prior empirical studies in accounting.
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Gusni, Gusni, and Suskim Riantani. "Penggunaan Arbitrage Pricing Theory Untuk Menganalisis Return Saham Syariah." Jurnal Manajemen 9, no. 1 (June 1, 2017): 68–84. http://dx.doi.org/10.31937/manajemen.v9i1.598.
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Arbitrage Pricing Theory (APT) is one of model that can be used to quantify the risk for investors in order to produce capital gain.There are two empirical models are used in implement the APT: the factor loading model (FLM) and the macro variable model (MVM). Model used in this research was MVM as used by Chen, Roll dan Ross (1986), and Chen, Hsieh dan Jordan (1997). The purpose of this study is to capture the application of APT in Jakarta Islamic Index (JII) using macroeconomic variables (inflation, exchange rate, and interest rate) as the determinants of Syariah stock return and found macro economics variables having powerful effect to the Syariah stock return. To achieve the objectives of this study, a total of 11 listed syariah firms of Jakarta Islamic Index (JII) in Indonesia Stock Exchange were selected by using purposive sampling method from the period of 2009 to 2014. Multiple linear regression has been conducted to capture the application of APT in analized determinants of Syariah stock return. The result shows that only interest rate has effect to the syariah (JII) stock return. Meanwhile inflation and exchange rate have no effect to the syariah stock return. Emperical results clearly indicate that application of APT in justifying returns on Syariah stocks is still weak.
Keywords: Arbitrage Pricing Theory, Exchange Rate, Inflation, Interest Rate, Stock Return
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VÕ THỊ THÚY, ANH, and HẢI NGUYỄN THANH. "On Effects of Macroeconomic Factors on Rate of Return on Stocks on HoChiMinh Stock Exchange." Journal of Asian Business and Economic Studies 218 (October 1, 2013): 48–61. http://dx.doi.org/10.24311/jabes/2013.218.02.
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Using factor model and fixed or random effect approaches, this article studies the factors affecting the rate of return on the stocks listed on the Vietnamese stock market. The results show that the rate of return is affected by the two factors: inflation and the Nikkei index as an indicator of regional economy. The impact of inflation is much more powerful. The strongest impact of the unexpected inflation is found in industrial sector and consumption while enterprises with good business performance only suffer a milder effect. The impact of Nikkei index on local stocks is rather weak but less dispersed.
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Yuliarti, Atika, and Lucia Ari Diyani. "The Effect of Firm Size, Financial Ratios and Cash Flow On Stock Return." Indonesian Accounting Review 8, no. 2 (December 28, 2018): 229. http://dx.doi.org/10.14414/tiar.v8i2.1313.
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Stocks are kinds of financial instruments with high returns that have high levels of uncertainty. Before decide to invest the investor needs to formulate the expected rate of return. Companies with good financial performance will increase the value of the company so that the company's stock price increases and stock return also increases. The purpose of this research was to determine the effect of Firm Size, Return On Equity, Market Book Ratio, Current Ratio, Cash Flow from Operating Activities, Cash Flow from Investing Activities and Cash Flow from Financing Activities to Stock Return. The object of research used were seven pharmaceutical industry companies listed in BEI period the 2011-2016 with multiple analysis methods. The results of this study indicate that partially Market Book Ratio has a significant positive effect on Stock Return and Cash Flow from Financing Activities has a significant negative effect on Stock Return while Firm Size, Return On Equity, Current Ratio Cash Flow from Operating and Investing Activities have no significant effect on Stock Return. All variables in this study simultaneously have a significant effect on Stock Return.
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AMELIAH, VIKY, KOMANG DHARMAWAN, and I. NYOMAN WIDANA. "MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH." E-Jurnal Matematika 6, no. 4 (November 28, 2017): 241. http://dx.doi.org/10.24843/mtk.2017.v06.i04.p172.
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In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH. The data used in this study is secondary data in the form of daily closing price (daily close price), JII price index and monthly SBI rate. All data were processed using matlab 13. The research sample consisted of 6 flagship shares for the period of 2013-2017 ie ADHI, SMGR, UNTR, BSDE, ICBP, KLBF. The conclusion of the research is the beta of each stock including aggressive beta because beta greater than 1. For return CAPM GARACH and CAPM EGARCH obtained Kalbe Farma stock (KLBF) has small beta and big return means GARCH and EGARCH model equally Can predict that stock KLBF shares the least risk and large returns among the six stocks.
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Situmorang, Ria Epelina, Di Asih I. Maruddani, and Rukun Santoso. "PEMBENTUKAN PORTOFOLIO SAHAM DENGAN METODE MARKOWITZ DAN PENGUKURAN VALUE AT RISK BERDASARKAN GENERALIZED EXTREME VALUE (Studi Kasus: Saham Perusahaan The IDX Top Ten Blue 2017)." Jurnal Gaussian 7, no. 2 (May 30, 2018): 212–23. http://dx.doi.org/10.14710/j.gauss.v7i2.26655.
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In financial investment, investors will try to minimize risk and increase returns for portfolio formation. One method of forming an optimal portfolio is the Markowitz method. This method can reduce the risk and increase returns. The performance portfolio is measured using the Sharpe index. Value at Risk (VaR) is an estimate of the maximum loss that will be experienced in a certain time period and level of trust. The characteristics of financial data are the extreme values that are alleged to have heavy tail and cause financial risk to be very large. The existence of extreme values can be modeled with Generalized Extreme Value (GEV). This study uses company stock data of The IDX Top Ten Blue 2017 which forms an optimal portfolio consisting of two stocks, namely a combination of TLKM and BMRI stocks for the best weight of 20%: 80% with the expected return rate of 0.00111 and standard deviation of 0.01057. Portfolio performance as measured by the Sharpe index is 1,06190 indicating the return obtained from investing in the portfolio above the average risk-free investment return rate of -0,01010. Risk calculation is obtained based on Generalized Extreme Value (GEV) if you invest both of these stocks with a 95% confidence level is 0,0206 or 2,06% of the current assets. Keywords: Portfolio, Risk, Heavy Tail, Value at Risk (VaR), Markowitz, Sharpe Index, Generalized Extreme Value (GEV).
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Selvi, Andesta, Adam Mohammad, and Suhel. "Changes in Macroeconomic conditions and capital Return in Indonesia." MIR (Modernization. Innovation. Research) 11, no. 3 (October 27, 2020): 320–28. http://dx.doi.org/10.18184/2079-4665.2020.11.3.320-328.
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Purpose: this study aims to examine the influence of changes in inflation, changes in the rupiah exchange rate, changes in the money supply, changes in SBIS, changes in foreign exchange reserves and changes in interest rates on the return of Indonesian Islamic stocks.Methods: this study is focused on looking at conditions of macroeconomic changes that have an impact on the activity of the Islamic capital market, particularly on the return of Islamic stocks listed in the Jakarta Islamic Index. This empirical evidence is related to variable macroeconomic changes, namely changes in inflation, rupiah exchange rate, money supply, foreign exchange reserves, Indonesian Syariah Bank Certificates (SBIS) and interest rates on sharia stock returns for the period January 2014 – December 2019 obtained from Financial publications. Service Authority (OJK) and Bank Indonesia. The analysis technique used is quantitative analysis using multiple regression analysis tools.Results: the results of this study are (1) Variable Changes in Inflation, Changes in the Amount of Money Supply, Changes in Foreign Exchange Reserves, Changes in SBIS have a positive and significant effect on Stock Returns listed on the Jakarta Islamic Index, (2) changes in exchange rates have a negative and significant effect on Stock Returns listed in Jakarta Islamic. Index, (3) the Interest Rate variable has no effect on Stock Returns listed on the Jakarta Islamic Index.Conclusions and Relevance: the approach used by each variable starts with the conventional followed by the study of Islamic macroeconomics, in order to provide a philosophy of science and economics that refers to Baqir Sadr in the Iqtishaduna book. In this study, researchers examined macroeconomic variables on sharia stock returns to prioritize people's welfare and pay close attention to every investment process based on sharia principles. Therefore the public, entrepreneurs, investors and company performance must pay attention to information regarding changes in inflation, changes in the rupiah exchange rate, changes in the money supply, changes in Bank Indonesia Sharia Certificates (SBIS), changes foreign exchange reserves, and changes in interest rates in order to minimize risks for both investors and entrepreneurs. This variable can affect the movement of the capital market so that the return on Islamic stocks also has an effect.