scholarly journals ANALISIS PENGARUH KINERJA KEUANGAN DAN VARIABEL MAKROEKONOMI TERHADAP RETURN SAHAM SUBSEKTOR PERKEBUNAN

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Faizul Mubarok ◽  
Hermanto Siregar ◽  
Nunung Nuryartono
Keyword(s):  
Stock Return ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Least Square ◽  
Systematic Effect ◽  
Arbitrage Pricing Theory ◽  
Macroeconomic Variables ◽  
Result Show ◽  
Pricing Theory ◽  
Exchange Data

EVA and MVA are used to indicate the creation of value in an investment. Arbitrage Pricing Theory (APT) explained that macroeconomic variables have a systematic effect on return. The aim of this study is to analyze and to measure the effect of financial performance and macroeconomic variables on the stock return of estate plantation sub-sector at Indonesia Stock Exchange. Data are processed by using panel data, analysis which consist of six companies which are listed on the estate plantation sub-sector and using quarterly data from 2007 to 2013. By using the Pooled Least Square (PLS) the result show that the variables of MVA, oil, inflation, interest rate and crisis have significant effects on the stock return of estate plantation sub-sector while the variables of MVA and the world oil price do not have significant effect on the stock return of estate plantation sub-sector.DOI: 10.15408/sjie.v3i2.2058

Penggunaan Arbitrage Pricing Theory Untuk Menganalisis Return Saham Syariah

2017 ◽  
Vol 9 (1) ◽  
pp. 68-84
Author(s):  
Gusni Gusni ◽  
Suskim Riantani
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Factor Loading ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Variable Model ◽  
Pricing Theory

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

scholarly journals The Effect of Green Innovation on Financial Performance With Environmental Dynamism As Moderating Variable

2021 ◽  
Vol 58 (1) ◽  
pp. 5228-5234
Author(s):  
Andi Hidayatul Fadlilah Et al.
Keyword(s):  
Financial Performance ◽  
Environmental Degradation ◽  
Stock Exchange ◽  
Secondary Data ◽  
Environmentally Friendly ◽  
Partial Least Square ◽  
Least Square ◽  
Environmental Dynamism ◽  
Green Innovation ◽  
Result Show

Introduction: The Company claims that the product is finally categorized as environmentally friendly, but industrial entities do not provide sufficient explanation regarding their efforts to reduce environmental degradation. Purpose: The purpose of this paper is to determine influence of the green innovation on financial performance as well as through environmental dynamism as a moderating variable. Method: The data used in this research are secondary data involving 246 companies listed on the Indonesian Stock Exchange for the period 2012-2018. The data used in this study were analyzing using partial least square and carried out with the help of software Warp PLS 6.0. Finding: The result show that the green innovation has a positive significant effect on financial performance. Originality:  The result also show environmental dynamism strengthens of green innovation on financial performance

An Empirical Assessment of CAPM, Market Model and APT: Evidence from the Greek Stock Market

2006 ◽  
Vol 7 (1) ◽  
pp. 87-118
Author(s):  
Petros Messis ◽  
George Emmanuel Iatridis ◽  
George Blanas
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Market Model ◽  
Expected Returns ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Total Risk ◽  
Pricing Theory ◽  
Athens Stock Exchange ◽  
Better Than

This paper uses three models to estimate the financial performance of 33 securities traded on the Athens Stock Exchange (ASE). To estimate the expected returns, this study uses the Capital Asset Pricing Model (CAPM), the Market Model, and the Arbitrage Pricing Theory (APT). There is significant evidence that the APT performs better than the CAPM and the Market Model, while the differences between the CAPM and the Market Model appear not to be significant. The three models are tested for a five-year period from 2000 to 2005. Total risk is significantly negatively related to returns during down markets, while this relationship is positive but not significant in up markets. There is evidence that, apart from the market risk, other risk factors that influence the stock returns are the inflation rate and the exchange rate.

scholarly journals The effect of corporate performance on the stocks in the companies doing IPO

2016 ◽  
Vol 19 (1) ◽  
pp. 125
Author(s):  
Suherman ◽  
Danni Winadi ◽  
Gatot Nazir Ahmad
Keyword(s):  
Stock Return ◽  
Firm Growth ◽  
Corporate Social Performance ◽  
Stock Exchange ◽  
Social Performance ◽  
Abnormal Returns ◽  
Least Square ◽  
Holding Period ◽  
Significant Difference ◽  
Corporate Social

This study tries to (1)to examine the difference of corporate social performance (CSP) between the old IPO firms and the new IPO firms, and (2)to investigate the influence of corporate social performance (CSP) on stock return. Corporate social performance (CSP) is measured using NH approach and stock return is measured using cumulative abnormal returns (CAR) and holding-period returns (HPR). The sample covers 75 IPO firms listed on the Indonesia Stock Exchange between 2011 and April 2015. Our study employs independent sample test and ordinary least square (OLS) regression to analyze the research models. The results show that 1) there is significant difference in corporate social performance (CSP) between the old IPO firms and the new IPO firms, and 2)CSP has positive and significant effect on stock return, controlling for firm size, firm growth, institutional ownership and managerial ownership. Robustness tests support the results. Investor should pay much more attention on the old IPO firms and corporate social performance (CSP). Firms that are going to sell IPO stocks, specifically for young firms, should concern more on social responsibilities.

scholarly journals CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia

2020 ◽  
Author(s):  
Cung Huck Khoon ◽  
Ahmadu Umaru Sanda ◽  
G.S Gupta
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Kuala Lumpur ◽  
Pricing Models ◽  
Market Index ◽  
Asset Pricing Models ◽  
Monthly Return ◽  
Pricing Theory

This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and the arbitrage pricing theory, APT. A comparison was performed along the lines of Chen (1983) and the results showed the APT to perform better than the CAP/ in explaining the variations in cross section of returns. The implication for investors is that the market index is but one of several sources of risk, which should be taken into account in any decision governing investment in the stock market.  

scholarly journals Does Credit Rating Matter on Risk Disclosure?

2021 ◽  
Vol 39 (12) ◽  
Author(s):  
Bunyamin Bunyamin ◽  
Dwi Nita Aryani ◽  
Imama Zuchroh ◽  
Suko Raharjo
Keyword(s):  
Data Analysis ◽  
Annual Report ◽  
Credit Rating ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Least Square ◽  
Hypotheses Testing ◽  
Risk Disclosure ◽  
Ordinary Least Square ◽  
Public Banks

This research investigates the partial and simultaneous the influence of leverage, profitability, credit rating on risk disclosure. This research involved thirteen public banks on the Indonesia Stock Exchange in 2014-2019. Risk disclosure is measured by counting risk keywords in each annual report. The panel data analysis was employed to test the effect of Leverage (X1), Profitability (X2), and Credit Rating (X3) on Risk Disclosure (Y). Hypotheses testing used multiple linear regression or OLS (Ordinary Least Square). The finding indicates that Leverage and Credit Rating do not influence Risk Disclosure. Leverage, Profitability, and Credit Rating simultaneously influence Risk Disclosure. 

scholarly journals The Effect of Inventory Turnover Period on the Profitability of Listed Nigerian Conglomerate Companies

2020 ◽  
Vol 11 (2) ◽  
pp. 287
Author(s):  
Sunusi Garba ◽  
Boudiab Mourad ◽  
Muhammad Adamu Chamo
Keyword(s):  
Data Analysis ◽  
Inventory Management ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Analysis Data ◽  
Least Square ◽  
High Demand ◽  
Listed Firms ◽  
Management Measures ◽  
Inventory Turnover

This study analyses the association concerning inventory turnover management and Nigerian conglomerate firms’ profitability. The study is used a historical panel data analysis. Data were generated from the yearly accounts of listed firms from 2007 to 2016. The population of the study consists of six conglomerate firms registered on the Nigerian Stock Exchange. Feasible generalized least square (FGLS) regression was utilized as tools of analysis in the study. The findings establish that inventory turnover management affects Nigerian conglomerate companies’ profitability inversely associated to the profitability of the listed conglomerate firms in Nigeria. The study suggests that there must be regular stock-taking to determine eventually, the slothful stocks to dodge over venture in such stocks (if any). Furthermore, if there is no high demand for the goods the inventory needs to be reduce that are obsolescence. Management should also implement an extraordinary inventory management measures.

scholarly journals Macroeconomic variables and the cross-section of Johannesburg Stock Exchange returns

2000 ◽  
Vol 31 (1) ◽  
pp. 31-43 ◽  
Author(s):  
Paul Van Rensburg
Keyword(s):  
Stock Exchange ◽  
Seemingly Unrelated Regression ◽  
Arbitrage Pricing Theory ◽  
Cross Sectional ◽  
Macroeconomic Variables ◽  
Explanatory Variables ◽  
Johannesburg Stock Exchange ◽  
Variable Approach ◽  
Unrelated Regression ◽  
Market Factors

This study adopts the Chen, Roll Ross prespecified variable approach to priced arbitrage pricing theory factor (APT) identification on the Johannesburg Stock Exchange (JSE). It is observed that the dichotomy in the return generating processes underlying South African mining and industrial shares leads to cross-sectional correlations in the residual errors of linear factor models that do not employ factor analytically extracted explanatory variables. As a result, a 'two residual market factor' approach is introduced in this study. Employing the iterated non-linear seemingly unrelated regression technique of McElroy Burmeister (1988), it is found that the rand gold price, the rate on long bonds, the Dow-Jones Industrial Index and the level of gold and foreign exchange reserves together with the Industrial and All-Gold residual market factors represent priced sources of risk within the framework of the APT over the period 1985 to 1995. The pricing relationships estimated are found to be inconsistent with those implied by the capital asset pricing model. These results are robust across the 'unconstrained intercept' and 'zero beta' cross-sectional model specifications. The findings of the study, however, imply that the influence of macroeconomic variables on the JSE is most parsimoniously expressed in the two factor APT model of Van Rensburg Slaney (1997).

scholarly journals Perbandingan Keakuratan Metode Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Return Saham (Studi pada Perusahaan Sektor Barang Konsumsi dan Sektor Pertambangan yang Terdaftar di Indeks Saham Syariah Indonesia (ISSI) Peri

2018 ◽  
Vol 1 (2) ◽  
pp. 233-240
Author(s):  
Yetti Afrida Indra
Keyword(s):  
Asset Pricing ◽  
Stock Return ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship. The measure of risk that is an indicator affecting stock in CAPM is indicated by the variable β (beta). The bigger the β of a stock, the greater the risk it contains. This model links the expectation return rate of a risky asset with the risk of the asset in a balanced market condition. The population in this study is the stock price data of companies in the consumption sector and the mining sector listed on the Indonesia Sharia Sharia Index (ISSI) period 2013-2016. Based on the results of research and statistical tests, a more accurate model in predicting future ISSI stock returns is more accurate than the Arbitrage Pricing Theory (APT) model, because MADCAPM (0.0835) value MADAPT (0,5070). Furthermore, based on data processing with MannWhitney test shows that H0 is rejected, in the sense that there is a significant difference of accuracy between Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in predicting ISSI stock return. This is evidenced by the significance value (Sig) (0.002) smaller than (α) 0.05.Keywords: Comparison, Accuracy, Capital Asset Pricing Model (Capm), Arbitrage Pricing Theory (Apt), Stock Return.

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