scholarly journals Information Content of Implicit Spot Prices Embedded in Single Stock Future Prices: Evidence from Indian Market

2017 ◽  
Vol 16 (2) ◽  
pp. 169-187 ◽  
Author(s):  
Rajesh Pathak ◽  
Thanos Verousis ◽  
Yogesh Chauhan
Keyword(s):  
Stock Returns ◽  
Information Content ◽  
Stock Exchange ◽  
Jel Classification ◽  
Spot Price ◽  
Spot Prices ◽  
Pricing Errors ◽  
Pricing Error ◽  
The Difference ◽  
Cost Of Carry

This study examines the information content of pricing error, measured by the difference between the implied price computed using the cost of carry model and the spot price of Single Stock Futures (SSFs), traded on National Stock Exchange (NSE), India. The returns of portfolios, based on ranking of such pricing errors, are investigated. The consistency of results is verified by controlling for established risk factors, that is, market, size, value and momentum premium, and idiosyncratic factors such as firm’s liquidity and size. Our study reveals that the pricing error is a priced risk factor that contains incremental information about stock returns of day t, and not beyond. We conclude that implied spot prices from stock futures market are useful for traders to profit in the spot market. JEL Classification: G120, G130

Pricing of Futures Contracts

2018 ◽  
Author(s):  
Timothy A. Krause
Keyword(s):  
Fair Value ◽  
Commodity Futures ◽  
Futures Contracts ◽  
Spot Price ◽  
Futures Prices ◽  
No Arbitrage ◽  
Spot Prices ◽  
Cost Of Carry ◽  
Contract Expiration ◽  
The Cost

This chapter examines the relation between futures prices relative to the spot price of the underlying asset. Basic futures pricing is characterized by the convergence of futures and spot prices during the delivery period just before contract expiration. However, “no arbitrage” arguments that dictate the fair value of futures contracts largely determine pricing relations before expiration. Although the cost of carry model in its various forms largely determines futures prices before expiration, the chapter presents alternative explanations. Related commodity futures complexes exhibit mean-reverting behavior, as seen in commodity spread markets and other interrelated commodities. Energy commodity futures prices can be somewhat accurately modeled as a generalized autoregressive conditional heteroskedastic (GARCH) process, although whether these models provide economically significant excess returns is uncertain.

scholarly journals Perbandingan Pengaruh Laba dan Value Added pada Return Saham

2019 ◽  
pp. 1038
Author(s):  
Gentha Putri Wardana ◽  
Dewa Gede Wirama
Keyword(s):  
Stock Returns ◽  
Information Content ◽  
Stock Exchange ◽  
Economic Value ◽  
Value Added ◽  
Theoretical Implication ◽  
Performance Measure ◽  
Company Performance ◽  
Relative Information ◽  
Relative Information Content

The information of value added is considered to be a better company performance measure and has better association on stock returns compared to earning information that is often used. This study aims to compare the relative information content of earnings and value added in explaining stock returns. This research conducted on all companies listed on the Indonesia Stock Exchange in 2013-2017. 308 samples were taken using random sampling method. The data analysis technique was simple linear regression. It was found that EVA and FVA as proxies of value added outperformed earnings. EVA is also found to be more associated with stock returns compared to FVA. The theoretical implication is in addition to references to further research regarding company performance measurement and stock returns. The practical implications is a matter of consideration for investors to make investment decisions and reference for corporate in financial decision making according to preferences of shareholders. Keywords: Earning, economic value added, financial value added, stock return, relative information content  

scholarly journals The Effect of Leverage, Board of Commissioner, Foreign Ownership, Company Age, and Company Size Towards the Disclosure of Corporate Social Responsibility (CSR) Implementation

2016 ◽  
Vol 1 (1) ◽  
pp. 27-33
Author(s):  
Clara Cahyani ◽  
Rosita Suryaningsih
Keyword(s):  
Corporate Social Responsibility ◽  
Stock Exchange ◽  
Manufacturing Sector ◽  
Financial Statements ◽  
Foreign Ownership ◽  
Jel Classification ◽  
Company Size ◽  
Regression Approach ◽  
The Difference ◽  
Corporate Social

Objective - The objective of this research is to examine the effect of leverage, board of commissioner, foreign ownership, company age and company size towards the disclosure of CSR implementation. Leverage was measured by debt to asset ratio (DAR), board of commissioner was measured by the number of commissioners, company age was measured by the difference of research year and listing year, and company size was measured by the in total asset. Methodology/Technique - This research usesthe published reports and financial statements of 55 companies listed in the manufacturing sector of the Indonesia Stock Exchange from the period of 2013-2014. Selection was based on purposive sampling. Data were analyzed using the multiple regression approach. Findings - The results showed that leverage that was measured by the DAR, board of commissioners, foreign ownership, company age, and company size, all simultaneously, have a significant effect towards the disclosure of CSR implementation. The board of commissioner has a positive significant effect towards the disclosures of CSR implementation while leverage that was measured by DAR, foreign ownership, company age, and company size have no effect towards the disclosures of CSR implementation. Novelty - This research proves that bigger companiestend to implement CSR more broadly so the disclosure of CSR implementation can be on a wider scope too. Type of Paper Empirical Keywords: Board of Commissioner; Company Age; Company Size; Disclosure of CSR Implementation; Foreign Ownership; Leverage. JEL Classification: M14, M21.

scholarly journals Analisis Perbedaan Return Portofolio Saham Dengan Metode Beta Historis Dengan Beta Akuntansi

2019 ◽  
Vol 15 (2) ◽  
pp. 211
Author(s):  
Lestari Lestari ◽  
Atty Erdiana
Keyword(s):  
High Risk ◽  
Stock Returns ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Statistical Test ◽  
High Rate ◽  
The Difference ◽  
The Right ◽  
Portfolio Structure

This study has the right to select securities that have a high risk of being included in the portfolio structure. High-security securities will offer a high rate of return. Portfolios by choosing high-risk securities that are advantageously seen from the investor's perspective.The object of this study is the Indonesian Stock Exchange. The data needed are price data for the Composite Stock Price Index (CSPI) from 2014 to 2017. The analysis of the technique used is beta estimation as a measure of risk with the historical beta method. While the analysis to test the difference in stock returns with historical beta and accounting accounts using the Paired Sample T statistical test. The results are that there are no differences in stock returns with historical beta and accounting beta from companies that go public on the Indonesia Stock Exchange (IDX).

scholarly journals Prospectus disclosure and the stock market performance of initial public offerings (IPOs): the case of Thailand

2016 ◽  
Vol 13 (4) ◽  
pp. 160-179
Author(s):  
Kulabutr Komenkul ◽  
Mohamed Sherif ◽  
Bing Xu
Keyword(s):  
Stock Returns ◽  
Initial Public Offerings ◽  
Initial Public Offering ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Jel Classification ◽  
Ipo Underpricing ◽  
Stock Market Performance ◽  
Wide Range

This study examines if the prospectus disclosure of the motives for an initial public offering (IPO) explains the long-run performance of equity issuers using hand-collected data for 245 IPOs from the Stock Exchange of Thailand (SET), and also the Market for Alternative Investments (MAI), in the 12-year period between 2001 and 2012. The stock returns of the IPOs were investigated using cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR). The authors find a significant impact for the level of use-of-proceeds disclosure on IPO underpricing, and further that the ex-ante uncertainty and signalling hypotheses explain the IPO underpricing phenomenon in the Thai IPO market. Furthermore, Thai firms citing investment needs show significant positive abnormal returns after the offering, but issuers that state general corporate purposes and debt payments motives underperform. The authors provide evidence that the offering size and bull-market conditions significantly affect the IPO pricing and the strategic disclosure of information in the prospectus. Our results are robust, having been subjected to a wide range of sensitivity checks. Keywords: Prospectus disclosure, IPO performance, Thailand. JEL Classification: G14, G30, G32

Piecewise Linier Model Untuk Manajemen Laba: Investigasi Sebelum dan Sesudah Implementasi IFRS pada Perusahaan Manufaktur di Bursa Efek Indonesia

2015 ◽  
Vol 2 (01) ◽  
pp. 97-105
Author(s):  
Rizki Fitrah Ramadhani ◽  
Nurmala Ahmar ◽  
Nuraini Rokhmania
Keyword(s):  
Earnings Management ◽  
Linear Model ◽  
Stock Exchange ◽  
Piecewise Linear ◽  
Financial Statements ◽  
Jel Classification ◽  
Manufacturing Companies ◽  
Piecewise Linear Model ◽  
Before And After ◽  
The Difference

A B S T R A C T This study aimed to examine differences in accrual earnings management by using piecewise linear model of approaching the companies listed on the Indonesian Stock Exchange (BEI) before and after the implementation of IFRS. Samples are 108 manufacturing companies. Year study was conducted during the period 2011 to calculate before the implementation of IFRS and 2013 to calculate after the implementation of IFRS. Criteria in the selection of the research object, among others, the company that serves the complete financial statements, the company does not move the sector, does not cease trading companies, as well as companies that serve the financial statements with the currency. The research proves the difference in accrual earnings management with Piecewise Linear Model approach in 2011 and in 2013. A B S T R A K Penelitian ini bertujuan untuk menguji perbedaan manajemen laba akrual dengan menggunakan model piecewise linear mendekati perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) sebelum dan setelah pelaksanaan IFRS. Sampel adalah 108 perusahaan manufaktur. Tahun penelitian ini dilakukan selama periode 2011 untuk menghitung sebelum pelaksanaan IFRS dan 2013 untuk menghitung setelah pelaksanaan IFRS. Kriteria dalam pemilihan objek penelitian, antara lain, perusahaan yang melayani laporan keuangan yang lengkap, perusahaan tidak bergerak sektor, tidak menghentikan perdagangan perusahaan, serta perusahaan yang melayani laporan keuangan dengan mata uang. Hasil penelitian membuktikan adanya perbedaan manajemen laba akrual dengan Piecewise Linear pendekatan Model pada tahun 2011 dan pada tahun 2013. JEL Classification: G14

Rational–Irrational Investor Sentiments and Emerging Stock Market Returns: A Comparison from Turkey

2017 ◽  
Vol 16 (3) ◽  
pp. 219-245 ◽  
Author(s):  
Sidika Gulfem Bayram
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Risk Premium ◽  
Stock Exchange ◽  
Jel Classification ◽  
Market Returns ◽  
Dynamic Interactions ◽  
Stock Market Returns ◽  
Dynamic Relationship ◽  
The Impact

This study investigates the dynamic relationship between rational and irrational consumer-business sentiments and stock returns in an emerging stock market, Turkey. Consumer and business sentiments are divided into two components: rational and irrational sentiments. Then, the dynamic interactions and the impact of the sentiments on stock returns are examined. The fundamental economic variables used in the study consist of business conditions, economic risk premium, country risk, exchange rate risk, country growth rate, inflation rate, and terms of trade. The results show that Istanbul Stock Exchange (ISE)-100 index returns are positively and significantly affected by the rational sentiments of both consumers and businesses. JEL Classification: G02, G12, G150

scholarly journals Piecewise Linier Model Untuk Manajemen Laba: Investigasi Sebelum dan Sesudah Implementasi IFRS pada Perusahaan Manufaktur di Bursa Efek Indonesia

2015 ◽  
Vol 2 (01) ◽  
pp. 97-105
Author(s):  
Rizki Fitrah Ramadhani ◽  
Nurmala Ahmar ◽  
Nuraini Rokhmania
Keyword(s):  
Earnings Management ◽  
Linear Model ◽  
Stock Exchange ◽  
Piecewise Linear ◽  
Financial Statements ◽  
Jel Classification ◽  
Manufacturing Companies ◽  
Piecewise Linear Model ◽  
Before And After ◽  
The Difference

A B S T R A C T This study aimed to examine differences in accrual earnings management by using piecewise linear model of approaching the companies listed on the Indonesian Stock Exchange (BEI) before and after the implementation of IFRS. Samples are 108 manufacturing companies. Year study was conducted during the period 2011 to calculate before the implementation of IFRS and 2013 to calculate after the implementation of IFRS. Criteria in the selection of the research object, among others, the company that serves the complete financial statements, the company does not move the sector, does not cease trading companies, as well as companies that serve the financial statements with the currency. The research proves the difference in accrual earnings management with Piecewise Linear Model approach in 2011 and in 2013. A B S T R A K Penelitian ini bertujuan untuk menguji perbedaan manajemen laba akrual dengan menggunakan model piecewise linear mendekati perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) sebelum dan setelah pelaksanaan IFRS. Sampel adalah 108 perusahaan manufaktur. Tahun penelitian ini dilakukan selama periode 2011 untuk menghitung sebelum pelaksanaan IFRS dan 2013 untuk menghitung setelah pelaksanaan IFRS. Kriteria dalam pemilihan objek penelitian, antara lain, perusahaan yang melayani laporan keuangan yang lengkap, perusahaan tidak bergerak sektor, tidak menghentikan perdagangan perusahaan, serta perusahaan yang melayani laporan keuangan dengan mata uang. Hasil penelitian membuktikan adanya perbedaan manajemen laba akrual dengan Piecewise Linear pendekatan Model pada tahun 2011 dan pada tahun 2013. JEL Classification: G14

scholarly journals Sell in May and Go Away in Small & Big Companies on Indonesia Stock Exchange

2018 ◽  
Vol 2 (2) ◽  
pp. 106-110
Author(s):  
Restu Hayati ◽  
Poppy Camenia Jamil
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Small Companies ◽  
Average Return ◽  
The Difference

The study was conducted to prove the occurrence of market abnormalities phenomena, namely, sell in May and go away on the Indonesian Stock Exchange (IDX). By distinguishing stocks based on their size from stock prices as indicators, it is expected to see more accurate results in revealing this phenomenon. The hypothesis in this study is that there are differences in stock returns in May-October and November-April. The results of the study prove that there are no differences in stock returns in May-October and in November-April both in small companies and large companies. Although it is proven that there is no sell in may affect and go away on the IDX, the difference in average stock returns in May-October and Nov-April in small companies is -1.56%, indicating that small companies have a negative average return. While the difference in the average return of large companies in May-Oct and Nov-Apr is 0.09%.

Pengaruh The Day Of The Week Effect, Week Four Effect dan Rogalsky Effect terhadap Return Saham Lq-45 di Bursa Efek Indonesia

2015 ◽  
Vol 2 (01) ◽  
pp. 43-54
Author(s):  
Yunisa Rahardian Saraswati ◽  
Cicik Setiorini ◽  
Dhea Agatha Cornelia
Keyword(s):  
Stock Returns ◽  
Analysis Of Variance ◽  
Stock Exchange ◽  
Jel Classification ◽  
T Test ◽  
Day Of The Week ◽  
One Way Anova ◽  
Paired T Test

A B S T R A C T This study aims to examine the existence and influence of the effects of trade (the day of the week effect), the effect of the fourth week (week four effect), and the effect Rogalsky (Rogalsky effect) on stock returns. This research samples are 41 active stocks wich is listing in LQ-45 index in Indonesia Stock Exchange over a period of 2013. The statistic methods which are used to test hypotheses are one way anova, and paired t-test. The results show that the day of the week effect and week four effect exist in Indonesia Stock Exchange. But Rogalsky effect does not exist in Indonesia Stock Exchange during Januari-Desember 2013. A B S T R A K Penelitian ini bertujuan untuk menguji keberadaan dan pengaruh dampak perdagangan (hari efek minggu), efek dari minggu keempat (empat minggu efek), dan efek Rogalsky (efek Rogalsky) terhadap return saham. Ini sampel penelitian adalah 41 saham aktif CHITIN listing di LQ-45 Indeks di Bursa Efek Indonesia selama periode 2013. Pengujian hipotesis dilakukan dengan analysis of variance, dan t-test. Hasil penelitian menunjukkan bahwa pengaruh hari dalam satu minggu dan pengaruh minggu keempat efek terjadi di Bursa Efek Indonesia. Tapi efek Rogalsky tidak terbukti di Bursa Efek Indonesia selama Januari - Desember 2013. JEL Classification: G14, G30

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