scholarly journals THREE FACTOR MODEL DAN KEPEMILIKAN ASING TERHADAP TINGKAT RETURN

2012 ◽  
Vol 11 (2) ◽  
Author(s):  
Richard Irawan ◽  
Werner R. Murhadi
Keyword(s):  
Stock Markets ◽  
Factor Model ◽  
Developed Countries ◽  
Foreign Ownership ◽  
Market Liberalization ◽  
Panel Data Regression ◽  
Data Regression ◽  
Stock Market Liberalization ◽  
Fama And French ◽  
Positive Effect

Indonesian government issued various regulations and policies of market liberalization and provide the widest opportunities both local and foreign investors to trade. Stock market liberalization should improve market efficiency is similar to the stock markets of developed countries. Intensive research conducted by Fama and French succeeded in explaining the performance of stocks in developed countries with three factors model approach. This study tried to model the stock markets of Indonesia and the added factor of foreign ownership is considered by some to dominate price movements. This study used a sample of 269 firms from 2008 to 2011 period. The study uses panel data regression. The results showed the market factor, size and book-to-market has a positive effect on returns while foreign ownership factors do not affect significantly.

scholarly journals An Empirical Assessment of the Q-Factor Model: Evidence from the Karachi Stock Exchange

2017 ◽  
Vol 22 (2) ◽  
pp. 117-138 ◽  
Author(s):  
Humaira Asad ◽  
Faraz Khalid Cheema
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Small Firms ◽  
Factor Model ◽  
Stock Exchange ◽  
Emerging Market ◽  
Developed Countries ◽  
Q Factor ◽  
Fama And French ◽  
Using Data

This paper tests the validity of the q-factor model on stocks listed on the Karachi Stock Exchange in Pakistan. The q-factor model is an investment-based factor model that explains stock returns based on market, profitability, investment and size factors and it tends to outperform the traditional CAPM, the Fama and French (1993) three-factor model and Carhart (1997) four-factor model, with some exceptions. While the model has been tested using data from stock markets in developed countries, the dynamics of emerging stock markets are significantly different, warranting a reapplication of the model to average stock returns in a developing market. We use data from the Karachi Stock Exchange to test the model in an emerging market context. The results show that, as firms increase their investment, their stock returns decline. Hence, a firm’s investment is conditional on a given level of profitability. The size effect is strongly significant for small firms, but absent for large firms. Finally, the study identifies new factors that give a better understanding of returns in the context of an emerging economy such as Pakistan.

scholarly journals The Determination of Concentration and Type of Ownership on Bank Performance and Risks in Indonesia

Society ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 191-203
Author(s):  
Yacobo P Sijabat ◽  
Michael Jeffri Sinabutar ◽  
Heni Hirawati ◽  
Axel Giovanni
Keyword(s):  
Regression Analysis ◽  
Stock Exchange ◽  
Foreign Ownership ◽  
Ownership Concentration ◽  
Bank Performance ◽  
Panel Data Regression ◽  
Data Regression ◽  
Bank Risks ◽  
Positive Effect

This research aims to examine the determination of concentration and type of ownership on the performance and risks of banks listed on the Indonesia Stock Exchange (IDX) for the period 2000-2018. This research was quantitative research using panel data regression analysis methods. The main characteristic of panel data regression analysis is the use of the Hausman test. Data were obtained and collaborated from several data providers such as Osiris, Bloomberg, and the Financial Services Authority (Otoritas Jasa Keuangan or OJK) website. Secondary data were collected from 42 banks listed on the Indonesia Stock Exchange (IDX) using a purposive sampling technique. The data was processed using Stata software. The ownership concentration was measured using the Herfindahl-Hirschman Index (HHI) and foreign and domestic ownership as the proxy using the dummy variable. To measure bank performance, this research was used ROA and ROE proxy while the standard deviation of returns was used to measure bank risks. The results of the research showed that there was no effect of ownership concentration on bank performance. Also, domestic ownership has a positive effect on bank performance. In terms of risks, ownership concentration has a positive effect on bank risks. The more concentrated the ownership of the bank, the bank will more at risks. Besides, foreign and domestic ownership affects bank risks. Foreign ownership has a positive effect on bank risks. The level of foreign ownership of the bank affects bank risks. High foreign ownership puts the bank at risk.

scholarly journals Determinan Islamic Social Report Disclosure Industri Barang Konsumsi yang terdaftar di Indeks Saham Syariah Indonesia (ISSI)

2020 ◽  
Vol 10 (3) ◽  
pp. 170-181
Author(s):  
Nur Nugrahani Setiawati ◽  
Sigid Eko Pramono ◽  
Endri
Keyword(s):  
Consumer Goods ◽  
Foreign Ownership ◽  
Stock Index ◽  
Annual Reports ◽  
Analysis Model ◽  
Social Report ◽  
Panel Data Regression ◽  
Content Analysis Method ◽  
Data Regression ◽  
Positive Effect

This study aims to analyze the influence of company size, muslims on board, women on board, company age, foreign ownership, Islamic securities, profitability, liquidity, leverage against Islamic Social Report disclosures of listed Consumer Goods Industries in Indonesia Sharia Stock Index (ISSI) in 2011-2017. The sample consists of 23 listed Consumer Goods Industries in Indonesia Sharia Index (ISSI) in 2011-2017. Annual reports were analyzed by content analysis method and Panel Data Regression Analysis Model was used to test hypotheses. The analysis shows that company's size, company's age, profitability have a significant positive effect on disclosure of the Islamic Social Report (ISR) in Consumer Goods Industries. Meanwhile, muslims on board, women on board, foreign ownership, Islamic securities, liquidity, leverage have no significant effect towards the disclosure of Islamic Social Report on Consumer Goods Industries.

A Study of Multilayered Profitability Analysis by Using DuPont Model: Evidence from Indian Pharmaceutical Industry

2021 ◽  
pp. 097215092199305
Author(s):  
Pinku Paul
Keyword(s):  
Panel Data ◽  
Pharmaceutical Industry ◽  
Profit Margin ◽  
Pharmaceutical Firms ◽  
Sustainable Performance ◽  
Profitability Analysis ◽  
Panel Data Regression ◽  
Data Regression ◽  
Negative Effect ◽  
Positive Effect

Profitability is used as a prime indicator to measure the sustainable performance of an organization. The current study made an attempt to apply the DuPont model to investigate the multilevel profitability determinants for the pharmaceutical industry of India. The study also estimates an empirical model to predict the association of profitability with factors such as profit margin, asset utilization, leverage, interest load and tax load of firms in the pharmaceutical industry of India. For this purpose, a dataset for 170 companies from 2010–2011 to 2018–2019 was analysed initially by using panel data regression followed by stepwise panel data regression. The study successfully applied and tested the DuPont model with respect to the firms of the pharmaceutical industry in India. It was found that the factors such as profit margin, asset utilization and leverage had a significant positive effect on the firms’ profitability and the factor interest load had a significant negative effect on the firms’ profitability. The tax load does not have an impact on the profitability of the pharmaceutical firms in India. These findings are expected to provide a guide for understanding the profitability of the firms in a better way.

scholarly journals Pengaruh Capital Intensity, Liquidity dan Sales Growth Terhadap Agresivitas Pajak

2021 ◽  
Vol 9 (3) ◽  
Author(s):  
Fanny Nisadiyanti ◽  
Willy Sri Yuliandhari
Keyword(s):  
Coal Mining ◽  
Sample Selection ◽  
Capital Intensity ◽  
Sales Growth ◽  
Tax Aggressiveness ◽  
Panel Data Regression ◽  
Data Regression ◽  
The Impact ◽  
Research Period ◽  
Positive Effect

The purpose of this study s to find out the impact of capital intensity, liquidity and sales growth on tax aggressiveness. This study uses a population in the coal mining sub-industry corporate listed on the IDX from 2016 to 2019 period. The sample selection technique used is purposive sampling, 14 coal mining sub-industry corporate were selected and the research period was 4 years. Therefore, as many as 56 samples were obtained in this study. The data analysis method used is panel data regression analysis using EViews 11 software. The results show that capital intensity, liquidity and sales growth affect tax aggressiveness simultaneously. Partially, liquidity has a positive effect on tax aggressiveness, while capital intensity and sales growth do not affect tax aggressiveness.

scholarly journals Conservative Working Capital Policy: Can it Increase Profitability and Sustainable Growth Rate?

2021 ◽  
Vol 12 (3) ◽  
pp. 5630-5637
Author(s):  
Sunardi Sunardi Et. al.
Keyword(s):  
Growth Rate ◽  
Manufacturing Sector ◽  
Sustainable Growth ◽  
Working Capital ◽  
Financing Policy ◽  
Panel Data Regression ◽  
Data Regression ◽  
Sustainable Growth Rate ◽  
Investment And Financing ◽  
Positive Effect

The objective of this study is to investigate the effect of conservative working capital policy on profitability and examine the effect of conservative working capital policy on sustainable growth mediated by profitability in the manufacturing sector in Indonesia. This study involves 133 manufacturing firms in Indonesia during the 2013-2018 period. Data are analyzed using panel data regression with random effects estimation models. The result of this study showed that conservative working capital policy, both investment and financing policy, has proven to have a positive effect on sustainable growth rate. Besides, this study also proved that profitability has a positive effect on SGR. Furthermore, there was the effect of conservative working capital policies on the level of sustainable growth through profitability. This study not only contributes to expanding knowledge about the relationship between working capital policies, profitability and sustainable growth rates, but also has relevant implications for firm managers to improve firm performance to be able to grow sustainably

scholarly journals PENGARUH LEVERAGE, INTENSITAS ASET TETAP, DAN UKURAN PERUSAHAAN TERHADAP AGRESIVITAS PAJAK

2021 ◽  
Vol 14 (2) ◽  
pp. 417-427
Author(s):  
Eka Ridho Nur Rochmah ◽  
Rachmawati Meita Oktaviani
Keyword(s):  
Firm Size ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Significant Positive Effect ◽  
Manufacturing Companies ◽  
Tax Aggressiveness ◽  
Panel Data Regression ◽  
Data Regression ◽  
Fixed Assets ◽  
Positive Effect

This study aims to determine the effect of leverage, fixed asset intensity, and firm size on tax aggressiveness. The population in this study are manufacturing companies listed on the Indonesia Stock Exchange (IDX) for the 2017-2020 period. The sample of this research was taken using non-probability sampling method with purposive sampling technique and certain criteria. The method used in this research is panel data regression analysis. The results of this study indicate that leverage has a significant positive effect on tax aggressiveness, while the intensity of fixed assets has no effect on tax aggressiveness, and firm size has a significant positive effect on tax aggressiveness. The implications of the results of this study provide input to companies in making decisions to minimize the tax burden paid so that companies can be more aggressive towards taxes.

scholarly journals EXPORT BEHAVIOUR OF MANUFACTURING FIRMS IN INDONESIA, 1990-2000

2010 ◽  
Vol 12 (2) ◽  
pp. 227-242
Author(s):  
Sahminan Sahminan ◽  
Yati Kurniati
Keyword(s):  
Foreign Ownership ◽  
Manufacturing Firms ◽  
Lower Proportion ◽  
Manufacturing Industries ◽  
Firm Level ◽  
Panel Data Regression ◽  
Level Data ◽  
Data Regression ◽  
Export Behaviour ◽  
Firm Level Data

This paper examines export behaviour of manufacturing firms in Indonesia. We use firm-level data from survey of medium and large Indonesian manufacturing industries over the period 1990-2000. Using panel data regression technique, we find the following regularities. First, there is a persistency in the firm’s decision to export as well as proportion of exported output. Second, higher wage, larger number of production employment, higher productivity and higher share of foreign ownership lead to higher probability of a firm to export. Third, higher wage leads to higher proportion of exported output. However, higher productivity or higher share of foreign ownership leads to lower proportion of exported output. Fourth, while real exchange rate does not significantly affect the probability of firms to export, it significantly affects the proportion of exported output. Fifth, both probability to export and proportion of exported output was significantly much lower during the 1997/1998’s Asian crisis. Finally, looking at the export behaviour across industries, the estimation results show that there is a variation of export behavior across industries.Keywords: Export, manufacture, Indonesia.JEL Classification: F14, F13, D21

scholarly journals PENGARUH KINERJA KEUANGAN TERHADAP RISIKO KEBANGKRUTAN BANK UMUM SYARIAH DI INDONESIA (METODE ALTMAN Z-SCORE MODIFIKASI PERIODE 2011-2017)

2018 ◽  
Vol 4 (2) ◽  
pp. 166
Author(s):  
Luluk Afiqoh ◽  
Nisful Laila
Keyword(s):  
Capital Adequacy ◽  
Z Score ◽  
Return On Assets ◽  
Analysis Techniques ◽  
Panel Data Regression ◽  
Capital Adequacy Ratio ◽  
Data Regression ◽  
Negative Effect ◽  
Score Method ◽  
Positive Effect

This research aims to find out the influence of financial performance measured using the Capital Adequacy Ratio variable, Financing to Deposit Ratio, Leverage, Bank Size, Loan to Asset Ratio and Return on Assets to the risk of sharia bank bankruptcy in Indonesia calculated using the Altman Z-Score method Modification. This study uses a quantitative approach with panel data regression analysis techniques. The results of this study show partially the variable Capital Adequacy Ratio, Financing to Deposit Ratio, Bank Size has a significant positive effect, the variable Loan to Asset Ratio Leverage has a significant negative effect, and Return on Asset has a positive and insignificant effect. Nevertheles the variable Capital Adequacy Ratio, Financing to Deposit Ratio, Leverage, Bank Size, Loan to Asset Ratio and Return on Asset have a significant effect on the value of Altman Z-Score as a measure of the risk of bankruptcy in Islamic commercial banks in Indonesia.

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