scholarly journals INVESTMENTS IN COMPANIES WITH NEGATIVE EQUITY: THE RETURN IS WORTH THE RISK?

2021 ◽  
Vol 14 (2) ◽  
pp. 229-250
Author(s):  
José Antonio Cescon ◽  
Roberto Frota Decourt ◽  
Luciana de Andrade Costa
Keyword(s):  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Investment Portfolio ◽  
Academic World ◽  
Risk And Return ◽  
One Year ◽  
Stock Indexes ◽  
Risk Investment ◽  
The Universe ◽  
Similar Risk

This study analyzed the return and risk of an investment portfolio, composed only of shares of companies listed in B3 that presented Negative Equity (NE), in the period from 1998 to 2019. Considering the Efficient Market Hypothesis (FAMA, 1970), the rationality of investors, the stock market on the stock exchange, in relation to companies with PLN, theoretically should not be active or provide abnormal positive returns to investors, since, technically, companies would be insolvent. The method used was to build a portfolio for assets that had at least one year of trading on the stock exchange and had NE in this period. The number of shares (assets) was fluctuating, starting with 2 and ending with 44 shares. The results of the Portfolio were compared to a risk-free investment (Interbank Deposit Certificate – CDI) and a similar risk investment (Brasil 50 Index - IBrX50), this as a control portfolio. The results found indicate that it is possible to obtain abnormal positive results, but do not meet the risk and return ratio when compared to a risk-free investment. However, when compared to other risky investments, investing in companies with NE may make sense, since a portfolio with no judgment criteria presents a more attractive risk and return ratio than stock indexes. This study contributes to the literature, as it brings to the academic world the universe of companies with NE, notably concerning the returns that these companies can provide to investors and, also for being an unprecedented study in this approach in Brazil.

scholarly journals Sell in May and Go Away or Just Another January Effect? Studied of Anomaly in Indonesia Stock Exchange

2020 ◽  
Vol 1 (1) ◽  
pp. 45-56
Author(s):  
Restu Hayati ◽  
Mimelientesa Irman ◽  
Lintang Nur Agia
Keyword(s):  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
January Effect ◽  
Rate Of Return ◽  
Efficient Market ◽  
Risk And Return ◽  
High Return ◽  
Return Anomaly ◽  
The Relationship

Sell in May and go away is a phenomenon of return anomaly that starts in May and lasts until October. These months are called the worst months of stocks. Conversely, the months of November to April are often referred to as the best months of the stock where a higher rate of return is achieved throughout the year. Although it has not been proven academically, this phenomenon has been mentioned by various media in Indonesia such as Kontan, CNN Indonesia, and Tempo Business which are predicted to correct the JCI throughout 2017.  The purpose of this study is to prove the phenomenon of sell in May and go away on the Indonesia Stock Exchange, and find out whether the average best return of the month is affected by the high return in January.  The results prove that even though the average returns increase in November-April was due to the high return in January, but there was no sell in May and go away on the Indonesia Stock Exchange. Under these conditions, the direction of the relationship between risk and return is the opposite that directs the Indonesia Stock Exchange to the efficient market hypothesis.

scholarly journals INVESTMENT PORTFOLIO OPTIMIZATION BY APPLYING A GENETIC ALGORITHM-BASED APPROACH

Ekonomika ◽  
2017 ◽  
Vol 96 (2) ◽  
pp. 66-78 ◽  
Author(s):  
Petras Dubinskas ◽  
Laimutė Urbšienė
Keyword(s):  
Genetic Algorithm ◽  
Portfolio Optimization ◽  
Stock Exchange ◽  
Optimization Approach ◽  
Investment Portfolio ◽  
Market Index ◽  
Key Issues ◽  
Genetic Algorithm Approach ◽  
One Year ◽  
Investment Portfolio Optimization

The investment portfolio optimization issues have been widely discussed by scholars for more than 60 years. One of the key issues that emerge for researchers is to clarify which optimization approach helps to build the most efficient portfolio (in this case, the efficiency refers to the minimization of the investment risk and the maximization of the return). The objective of the study is to assess the fitness of a genetic algorithm approach in optimizing the investment portfolio. The paper analyzes the theoretical aspects of applying a genetic algorithm-based approach, then it adapts them to practical research. To build an investment portfolio, four Lithuanian enterprises listed on the OMX Baltics Stock Exchange Official List were selected in accordance with the chosen criteria. Then, by applying a genetic algorithm-based approach and using MatLab software, the optimum investment portfolio was constructed from the selected enterprises. The research results showed that the genetic algorithm-based portfolio in 2013 reached a better risk-return ratio than the portfolio optimized by the deterministic and stochastic programing methods. Also, better outcomes were achieved in comparison with the OMX Baltic Market Index. As a result, the hypothesis of the superiority of a portfolio, optimized on the basis of a genetic algorithm, is not rejected. However, it should be noted that in seeking for more reliable conclusions, further research should include more trial periods as the current study examined a period of one year. In this context, the operation of the approach in the context of a market downturn could be of particular interest.

scholarly journals DIVERSIFIKASI SAHAM DENGAN MODEL MARKOWITZ SEBAGAI DASAR PENETAPAN PORTOFOLIO OPTIMUM (Studi kasus pada Sektor Perbankan di Bursa Efek Indonesia)

2019 ◽  
Author(s):  
Veronica Dwi Anggraeni ◽  
Aan Soelehan
Keyword(s):  
Central Asia ◽  
Stock Price ◽  
Banking Sector ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Minimal Risk ◽  
Risk And Return ◽  
Markowitz Model ◽  
One Year ◽  
High Level

Rational investors will invest their funds in stocks efficiently, which stocks that have a high returnwith minimal risk. It case may be to combine the two assets into the optimal shares. The sample in thisstudy using the active stocks in the Indonesia Stock Exchange. The objective of this research is todiversify the stock in the banking sector to establish a optimum portfolio of Markowitz’s model.The results showed there where 15 stocks that become candidates portfolio of 30 stocks studiedby method of analysis of Markowitz. Their conclusion is that a rasional investor would invest fund intothe optimal portfolio. The satisfaction of investor in invest their funds to the optimal portfolio which is thefirst factor in an optimal portfolio to get the optimal, so the highest utility is from 5 stock in a bankingsector and there are Bank Mayapada Tbk. which has a utility of 73,38%, Bank Rakyat Indonesia Tbk.which has a utility of 36,31%, Bank Central Asia Tbk. which has a utility of 36,56%, Bank CapitalIndonesia Tbk. which a utillity of 30,86%, Bank Tabungan Pensiun Nasional Tbk. which has a utility of32,59%. Shares of the stock price file obtained from a one year study period in 2011.from the results ofresearch conducted it can be concluded that there are significant differences between the utility of 5 stockfrom the 30 stock of list in a banking sector. So the optimal portfolio in this study is formed by stocks thathave the highest return at a relatively high level of risk.The differences between risk and return is the coeficient varian of the 5 stock suggest fromthehighest utility, so the result is the little coeficient varian to get the optimal return as a compare betweenrisk will accept. And Bank Central Asia Tbk. which has a coeficient varian of 171,22%, with returnshares of 37,11%, and varian share of 0,33%, which has a expectation of varian shares of 5,77%.Keyword: Stock Diversification, Markowitz model, Optimum Portfolio

تحليل العائد والمخاطر لأسهم المحفظة الاستثمارية لعينة المصارف التجارية العراقية الخاصة للمدة 2015-2019

2021 ◽  
Vol 2021 (71) ◽  
pp. 223-245
Author(s):  
احمد عباس محمد ◽  
ا.م.د اثير عباس عبادي
Keyword(s):  
Standard Deviation ◽  
Statistical Methods ◽  
Commercial Banks ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Investment Portfolio ◽  
Beta Coefficient ◽  
One Year

The importance of the research lies in revealing the ability of private Iraqi commercial banks to maximize bank returns by attracting investments in the Iraq Stock Exchange, and the aim of the research is to how to manage the investment portfolio of private Iraqi commercial banks in the Iraq Stock Exchange and in a manner that achieves the highest return and the least risk, in addition In order to know which of those banks has an optimal portfolio, the research assumed that there was an effect of forming an investment portfolio in maximizing the return and reducing the risks for the banks. Statistical methods such as the variance rate, standard deviation and (beta) coefficient were used in measuring the return and risk of stocks to analyze the data. In the fluctuation of the achieved return of shares and the achieved return of the market from one year to another within the period, as well as the change in risk for bank shares from one year to another and during the period and the researcher made some proposals in the form of recommendations to increase the effectiveness of these banks in their investments, the most important of which was how to manage the investment portfolio in banks and increase investment awareness The investors and the need to adhere to the instructions of the Iraq Stock Exchange, as well as work to attract harm Invest in order to increase circulation in the market.

Risk and Return of Retail Sukuk and Retail Bond in Indonesia Period 2008-2017 (Comparative Study)

2020 ◽  
Vol 15 (1) ◽  
Author(s):  
Rahma Yudi Astuti ◽  
Asad Arsya Brilliant Fani
Keyword(s):  
Standard Deviation ◽  
Comparative Study ◽  
Stock Exchange ◽  
Secondary Data ◽  
Bond Market ◽  
Bond Pricing ◽  
Risk And Return ◽  
Underlying Asset ◽  
The Real ◽  
The World

Sukuk and Bonds has differences and similarities. Fundamental differences between sukuk and bonds are first, underlying asset in every sukuk issuance, concept of profit loss sharing and the use of Islamic contracts. Whereas conducted research in practice of differences between sukuk and bonds are still an on-going discussion. This study aims to add the evidence in the discussion regarding whether there is differences between sukuk and bonds in the world of practice, provide investment preferences as well as educating investors in choosing sukuk or bonds as a sustainable and smooth instrument. The method used is Mann Whitney U-Test to test whether there is a different between yield to maturity (return) and standard deviation (risk) of both instruments. Using secondary data of Retail Sukuk (SR) and Retail Bonds (ORI) period 2008-2017 obtained from Indonesia Stock Exchange, Indonesia Bond Market Directory and Indonesia Bond Pricing Agency. The result shows that there is no significance difference of retail sukuk return and risk with retail bonds in Indonesia. Besides retail bonds are show higher return than retail sukuk because of higher coupon and longest mature date. While, retail sukuk is more stable rather than bonds as it backed up by the real underlying asset. Keywords: Retail Sukuk (SR), Retail Bonds (ORI), Yield to Maturity

scholarly journals Price adjustments on the Johannesburg Stock Exchange for unexpected and dramatic news events: An empirical analysis

1989 ◽  
Vol 20 (3) ◽  
pp. 119-128 ◽  
Author(s):  
N. Bhana
Keyword(s):  
Empirical Analysis ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Short Term ◽  
Johannesburg Stock Exchange ◽  
Price Adjustments ◽  
Weak Evidence ◽  
News Events ◽  
One Year

The objective of this study is to determine whether companies listed on the Johannesburg Stock Exchange overreacted to unexpected favourable and unfavourable company-specific news events during the period 1970 - 1984. The JSE appears to be inefficient in reacting to the announcement of unfavourable news; economically significant abnormal returns up to one year following the event are observed. The JSE does not appear to overreact to news of a favourable nature, there is only weak evidence of short-term overreaction. The selling pressure caused by panic selling could depress prices well below levels justified by the unfavourable news. The magnitude of the overreaction to unfavourable news is sufficient to enable astute investors to outperform the market by taking positions in these securities. Knowledge of the pattern of market overreaction can also be of value to investors for transactions that are to take place anyway.

Abstract 223: Impact of Differences in Once- vs Twice-Daily Medications Adherence on the Risk of Bleed and Stroke in Non-Valvular Atrial Fibrillation: Analysis of Randomized Trials and Claims Data Sources

2017 ◽  
Vol 10 (suppl_3) ◽  
Author(s):  
Colleen A McHorney ◽  
Eric D Peterson ◽  
Mike Durkin ◽  
Veronica Ashton ◽  
François Laliberté ◽  
...  
Keyword(s):  
Atrial Fibrillation ◽  
Stroke Risk ◽  
Claims Data ◽  
Meta Analysis ◽  
Oral Anticoagulants ◽  
Once Daily ◽  
Cardiovascular Medications ◽  
One Year ◽  
The Impact ◽  
Similar Risk

Background: In non-valvular atrial fibrillation (NVAF) patients, those receiving once-daily (QD) versus twice-daily (BID) non vitamin-K antagonist oral anticoagulants (NOACs) may have better medication adherence. The impact on stroke and bleed risk is not known. Objective: To estimate the impact of adherence differences between QD vs BID therapies on bleed and stroke risks in NVAF patients. Methods: The relation between adherence (proportion of days covered [PDC]) for QD vs BID NOACs and one year bleed risk was modeled using claims data from Truven Health Analytics MarketScan databases (7/2012-10/2015). Next, the relation between adherence and bleeding was calibrated to match that seen in the placebo and NOAC arms of previous randomized controlled trials (RCTs). Finally, we used adherence rates for QD (PDC=0.849) and BID (PDC=0.738) cardiovascular medications from a meta-analysis (Coleman et al.). These rates were used in the calibrated model to estimate bleeds. An analogous method was applied to evaluate the impact of QD vs BID adherence on stroke risk. Results: The relation between PDC and risks of bleed and stroke was modeled using claims data (N=65,022) and calibrated using RCTs. In the calibrated model, compared with BID dosing, QD dosing was associated with 81 fewer strokes (34% reduction) and 14 more bleeds (6% more) per 10,000 patients/year (Figure). Conclusion: Among NVAF patients, better adherence to QD dosing was associated with a significantly lower stroke risk of QD but similar risk of bleed.

scholarly journals Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets

2010 ◽  
Vol 9 (1) ◽  
pp. 34-51
Author(s):  
Grzegorz Mentel
Keyword(s):  
Capital Markets ◽  
Stock Exchange ◽  
Risk Measures ◽  
Market Risk ◽  
Investment Risk ◽  
Financial Instruments ◽  
Investment Portfolio ◽  
Warsaw Stock Exchange ◽  
Financial Portfolio

Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets In the article the author has presented the methodology of assessment of market risk connected with investing in all sorts of financial instruments such as: shares, bonds and other derivatives, e.g. RiskGrade (RG). The measure has been introduced by RiskMetrics. The article presents the application of RiskGrades methodology while choosing the optimum investment portfolio for a Polish investor who invests in shares in the Warsaw Stock Exchange. Moreover, some other risk measures have been discussed which describe the efficiency of the optimum financial portfolio.

scholarly journals THE FACTORS OF INITIAL RETURN RELATED TO IPO COMPANIES ON THE INDONESIA STOCK EXCHANGE

2019 ◽  
Vol 4 (2) ◽  
pp. 119-135
Author(s):  
Glynae Widyawati ◽  
Bambang Juanda ◽  
Trias Andati
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Share Price ◽  
Optimal Capital Structure ◽  
Financial Factors ◽  
Initial Return ◽  
Optimal Capital ◽  
One Year ◽  
Secondary Shares ◽  
Observation Period

Companies that conduct IPOs will increase company’s value with an optimal capital structure. Initial return is a profit that investors can obtain from the initial share price is lower than the opening price of the secondary shares on the first day. Underpricing conditions occurs because the initial stock price is lower than the secondary stock price on the first day. This study aimed to analyze factors that impact initial returns on companies that conduct IPOs on the Indonesia Stock Exchange, analyze the effects of financial factors (ROE, DER, and BI Rate) and non-financial factors (professional auditors and underwriters) on initial returns to companies conducting IPOs in IDX, and how the behavior of investors towards those analysis. The linear regression data processing using SPSS 16 produced result that only the BI Rate variable which affected the initial return on the seven days, 30 days, and one year after the IPO observation period. The statistical results show the best r-square value is 17.6 percent, which means that the independent variables can be used to explain the effect to the initial return on 17.6 percent.

scholarly journals The Effect of Environmental Disclosure and Performance on Profitability in the Companies Listed on the Stock Exchange of Thailand (SET)

2021 ◽  
Vol 19 (1) ◽  
pp. 66-72
Author(s):  
Indah Fajarini Sri Wahyuningrum ◽  
Muhammad Ihlashul Amal ◽  
Suci Sularsih
Keyword(s):  
Environmental Performance ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Iso 14001 ◽  
Company Size ◽  
Analysis Tool ◽  
Environmental Disclosure ◽  
Time Period ◽  
One Year

The main objective of this study is to determine the empirical evidence of the effect of environmental disclosure, environmental performance, company age, and company size on profitability. The purposive sampling method was used to determine the sample of companies and obtained 85 companies from a total population of 100 large companies listed on the Thailand Stock Exchange (SET) in 2018. The data analysis technique used was multiple linear regression analysis using analysis tool IBM SPSS Statistics version 26. The results of this study prove that environmental disclosure has a significant positive effect on profitability. Environmental performance and company size have a significant negative effect on profitability. On the other hand, company age is not proven to have a significant effect on profitability. Based on the research results, it can be concluded that more extensive environmental disclosure is able to increase the achievement of profitability. However, company age is not a factor affecting profitability. Meanwhile, company size and environmental performance as measured by total assets and the existence of ISO 14001 certifications are proven to reduce the level of company profitability. This study also has several limitations, including the time period which is limited to only one time period, namely 2018. It is expected that further studies can expand the time period by more than one year. This is since using a time period of more than one year can illustrate the effect of environmental disclosure and environmental performance, company age and company size on the profitability achieved by the companies.  In addition, it is expected that the results of this study can provide input to companies to be more concerned regarding company performance activities, especially on the environment because there are still many companies that have low levels of environmental disclosure even though environmental disclosure in Thailand is still voluntary.

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