scholarly journals The Multifactorial Pastor-Stambaugh model: explaining the impact of liquidity on the rate of return based on the example of the Warsaw Stock Exchange

Equilibrium ◽  
2017 ◽  
Vol 12 (2) ◽  
pp. 211
Author(s):  
Agata Gniadkowska-Szymańska
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Value Added ◽  
Rate Of Return ◽  
Warsaw Stock Exchange ◽  
Incremental Rate ◽  
Finance Theory ◽  
The Impact ◽  
The Relationship

Research background: The liquidity of assets in the financial market is under-stood gener-ally as costs, and the easiest way in which different types of assets can be converted into cash, or to put it simply, sold at the currently available price on the market. For a considerable period of time this category had not been duly considered in the framework of modern finance theory. As a result, a number of basic models constructed within the framework of this theory in its classical form did not include problems with liquidity. This applies to a number of aspects related to liquidity, with one of the most important being the relationship between the liquidity of trading in shares and the results obtained from these rates of return.Purpose of the article: The aim of the article is to determine whether the rate of return on shares increases with the increase in share liquidity and the incremental rate of return on this account decreases with increasing liquidity. The applied re-search methodology is similar to that described by Pastor and Stambaugh (2003). The model used in the empirical study is the expanded model of Fama and Francha (1993) for the liquidity factor.Methods: In this paper I present various factors which will affect the liquidity. The paper will also provide the results of research concerning the relations between spread and stock return on the Warsaw Stock Exchange (WSE). The evidence drawn from WSE stock returns over the period 2004–2012 indicates that Amihuda measure and other variables have a significant effect on stock return using the multifactorial Pastor-Stambaugh.Findings & Value added: In the case of the Polish market, it can be stated that in the analysis based on the Pastor-Stambaugh model not all the variables included in this model are statistically significant. However, directional parameters associated with liquidity risk were statistically significant in all analyzed periods, which allows us to confirm the hypothesis that liquidity has a significant influence on the rate of return on shares listed on the Stock Exchange in Warsaw.

scholarly journals The Impact of Corporate Cultural Behaviour on Common Stock Return: Some Implications for Corporate Governance

2018 ◽  
Vol 80 (1) ◽  
pp. 115-130
Author(s):  
Chamil W. Senarathne
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Common Stock ◽  
Listed Firms ◽  
It Impacts ◽  
Research Questions ◽  
The Impact ◽  
The Relationship

AbstractThis paper examines the relationship between common stock return and corporate cultural behaviour of twenty listed firms from Shanghai Stock Exchange. The particular research questions of this study include: whether corporate cultural behaviour impacts common stock returns and under what conditions it impacts shareholder expectations and corporate governance.

scholarly journals Does Financial Performance Matter? Evidence on the Impact of Liquidity and Firm Size on Stock Return in Indonesia

2020 ◽  
Vol 11 (4) ◽  
pp. 546
Author(s):  
Mochammad Chabachib ◽  
Ike Setyaningrum ◽  
Hersugondo Hersugondo ◽  
Intan Shaferi ◽  
Imang Dapit Pamungkas
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Significant Relationship ◽  
Stock Return ◽  
Stock Exchange ◽  
Mediating Effect ◽  
Return On Equity ◽  
Stock Investment ◽  
Equity Ratio ◽  
The Impact

In the modern era, stock investment can attract domestic investors or foreign investors. The objective is to invest their funds at the capital market that expect higher stock returns. The study aims to analyze factors that can affect stock returns and know the mediating effect of return on equity. The object of this research is the property and real estate sector that is listed on the Indonesia Stock Exchange from 2013 to 2018. This research used debt to equity ratio, current ratio, total asset turnover, firm size as independent variables and stock returns as dependent variables. Path analysis is used as reseach method tools with SMART PLS.The result says that debt to equity ratio and return on equity has a positive significant relationship with stock return, meanwhile firm size has a significant negative significant relationship with stock returns. Furthermore, return on equity can mediate the relationship between debt and equity ratios to stock returns.

Can Earnings Innovations Explain The Inverse Relationship Between Unanticipated Inflation And Stock Returns?

2011 ◽  
Vol 9 (2) ◽  
pp. 10 ◽  
Author(s):  
Jon A. Hooks
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Inverse Relationship ◽  
Explanatory Power ◽  
Earnings Forecast ◽  
Capitalization Rate ◽  
Relationship Of ◽  
The Impact ◽  
The Relationship ◽  
Unanticipated Inflation

Hooks (1991) argues that the explanatory power of unanticipated inflation in stock return models appears to result from the relationship of unanticipated inflation with the earnings capitalization rate and not the impact inflation has on the level or growth rate of earnings. Here we extend this line of investigation by examining the relationship between unanticipated inflation and the earnings innovation extracted from a univariate earnings forecast. We show that unanticipated inflation has no significant relationship with innovations in conventional earnings. However, we find that unanticipated inflation has a significant positive relationship with the magnitude of the earnings innovation during the 1955-85 period when earnings are adjusted to account for the effects of inflation on firms assets and liabilities.

scholarly journals PENGARUH DEBT TO EQUITY RATIO, RETURN ON ASSETS, PRICE EARNING RATIO DAN ECONOMIC VALUE ADDED TERHADAP RETURN SAHAM PADA PERUSAHAAN SUBSEKTOR PROPERTY DAN REAL ESTATE.

2018 ◽  
Vol 2 (1) ◽  
pp. 12-24
Author(s):  
Julyana Widjayanti ◽  
Risal Rinofah ◽  
Mujino Mujino
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Economic Value ◽  
Value Added ◽  
Sampling Technique ◽  
Economic Value Added ◽  
Return On Assets ◽  
Equity Ratio

This study aims to determinethe effect of Debt to Equity Ratio, Return On Assets, Price Earning Ratio, and Economic Value Added on Stock Returns on Property and Real Estate companies listed on the Indonesia Stock Exchange (BEI) for the 2014-2018 period. The sampling technique is purposive sampling. Samples were obtained from 11 Property and Real Estate companies listed on the Indonesia Stock Exchange (IDX) for the 2014-2018 period. Based on the results of data analysis shows that Debt to Equity Ratio and Return On Assets have a positive and significant effect on Stock Return, Price Earning Ratio and Economic Value Added have a negative and no significant effect on Stock Return. Together Debt to Equity Ratio, Return On Assets, Price Earning Ratio, and Economic Value Added have a positive and significant effect on Stock Return.    

scholarly journals Pengaruh Faktor Internal dan Eksternal Terhadap Return Saham Perusahaan Makanan dan Minuman di Bursa Efek Indonesia Periode 2008–2011

2019 ◽  
Vol 6 (2) ◽  
pp. 100
Author(s):  
Erric Wijaya ◽  
Tinjung Desy Nursanti
Keyword(s):  
Economic Growth ◽  
Interest Rate ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Negative Relationship ◽  
External Factors ◽  
Beverage Industry ◽  
Food And Beverage ◽  
The Impact

This study aims to look at the impact of internal and external factors to the stock return of food and beverage companies listed in the Indonesia Stock Exchange 2008 to 2011 period. The method used is the regression equation analysis of panel data using a common effect type.The results show that the internal factors such current ratio, debt to equity ratio and return on assets showed a positive and significant influence on the company's stock return of food and beverage industry in the BEI. While external factors namely SBI interest rate and economic growth showed a different result, where the SBI interest rate has a negative and significant relationship to the company's stock return, while economic growth has no significant negative relationship to the stock returns.

scholarly journals Opportunities and threats associated with an investment in shares of innovative companies — evidence from Polish capital market

2018 ◽  
Vol 9 (2) ◽  
pp. 225-244
Author(s):  
Tomasz L. Nawrocki
Keyword(s):  
Stock Exchange ◽  
Average Rate ◽  
Value Added ◽  
Investment Strategy ◽  
Efficiency Analysis ◽  
Rate Of Return ◽  
Investment Efficiency ◽  
Arithmetic Average ◽  
Information Diversity ◽  
Warsaw Stock Exchange

Research background: Since the Internet bubble, which took place at the turn of XX and XXI century, on the global capital markets, including Poland, one may note a growing interest in companies focusing on innovations and innovativeness. The main driver of this interest is the belief that in a longer term innovations and expenditures on research and development will translate into an increase in competitive advantage, financial results, and subsequently also the market value of companies. On the other hand, the attention should also be paid to the fact that innovative activity has also another, darker, side, which is identified with the far-reaching uncertainty about its final effects and the possibility of incurring losses, especially in financial dimension. At the same time, it should be noted that implementation of investment strategy regarding the shares of innovative companies is quite troublesome because of the lack of unified methodology for assessing corporate innovativeness and large information diversity in this area. Purpose of the article: The investment efficiency analysis of investment strategy regarding shares of companies perceived to be innovative with simultaneous focusing on the different cases of situation development in time. Methods: The research was carried out for companies listed on the main market of the Warsaw Stock Exchange, taking into consideration various time ranges of investment. The efficiency analysis of this investment strategy was conducted in the risk-return outlay with the use of such measures as: accumulated rate of return, arithmetic average rate of return, standard and semi-standard deviation, as well as coefficients of variation and semi-variation of rate of return and their inverses. Findings & Value added: The obtained results show that in shorter periods of time, inves-tors buy expectations connected with innovative companies and therefore, the efficiency of investment in their shares is relatively high, but in the longer term expectations are revised by companies’ financial results, which in turn often negatively affects the investment efficiency.

scholarly journals PENGARUH LABA AKUNTANSI, ARUS KAS OPERASI, ARUS KAS INVESTASI, ARUS KAS PENDANAAN, DAN UKURAN PERUSAHAAN TERHADAP RETURN SAHAM

2021 ◽  
Vol 16 (1) ◽  
pp. 1
Author(s):  
Meta Nursita
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Hypothesis Test ◽  
Cash Flows ◽  
Study Data ◽  
Company Size ◽  
Test Model ◽  
Operating Cash Flows ◽  
The Impact

This study aimed to examine the impact of accounting profit, operating cash flows, investment cash flows, financing cash flows and company size to stock returns on manufacturing firms sector for consumption by the corporate listed and registered under the Indonesia Stock Exchange within 2014 - 2016. This study employed Purposive Sampling method with a total of 39 companies taken as the sample in the present study. Data analysis process followed the following steps; descriptive statistical test, multicollinearity test, model fit test, regression model feasibility test, and hypothesis test. Statistical method used is panel data regression analysis. The result showed that accounting profit had partially significant impact on stock return; operating cash flows no had significant impact on stocks return; investment cash flows, and financing cash flows had no significant impact on stock return and company size had significant impact on stocks return. in addition, simultaneously, the results showed that the four aspects examined had statistically significant impact on stock return.

scholarly journals The effect of financial distress on stock returns, through systematic risk and profitability as mediator variables

Accounting ◽  
2021 ◽  
Vol 7 (7) ◽  
pp. 1717-1724 ◽  
Author(s):  
Mulyanto Nugroho ◽  
Donny Arif ◽  
Abdul Halik
Keyword(s):  
Stock Returns ◽  
Indirect Effect ◽  
Financial Distress ◽  
Latent Variables ◽  
Stock Exchange ◽  
Systematic Risk ◽  
P Value ◽  
Moderating Variables ◽  
The Impact ◽  
The Relationship

This study aims to determine the relationship between financial distress and systematic risk, the relationship between financial distress and profitability, the relationship between systematic risk and stock returns, the relationship between profitability and stock returns, and the indirect effect between financial distress and stock returns through systematic risk and company profitability. by collecting data on the Indonesia Stock Exchange on chemical companies and the element industry in 2018-2020. This study was conducted to find out the answers to the impact caused by the global economic turmoil. Using the PLS-SEM method and four latent variables, which are divided into one endogenous variable, two moderating variables and one exogenous variable, it is hoped that it can provide value for the statistical calculation activities carried out. This study uses a quantitative descriptive method with two moderating variables that link financial distress and stock returns. This study produces a specific indirect effect; the financial distress variable significantly impacts Stock Return through systematic risk and profitability variables with a p-value < 0.05. The main finding of this study is the significant impact of world economic turmoil that must be faced by creating systematic risk to convince. Investors and provide education to potential investors.

scholarly journals ANALISIS PENGARUH EVA DAN ROA TERHADAP RETURN SAHAM PADA INDUSTRI KONSUMSI DI BURSA EFEK INDONESIA

2013 ◽  
Vol 1 (1) ◽  
pp. 13
Author(s):  
Pungky Hapsari
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Economic Value ◽  
Value Added ◽  
Sampling Technique ◽  
Regression Coefficients ◽  
Economic Value Added ◽  
Analysis Model ◽  
Return On Assets

This study aimed to determine the effect of Economic Value Added (EVA) and Return On Assets (ROA) of stock returns on consumption listed companies on the Stock Exchange during the years 2006-2008. Purposive sampling technique with sampling and eventually acquired 29 companies that meet the criteria to be used as the study sample. The analysis model used in this study is the linear regression that aims to discover whether there is any empirical evidence of the influence of Economic Value Added (EVA) and Return On Assets (ROA) to stock return. The analysis showed that the simultaneous EVA and ROA significantly α = 5% of the stock return, but partially EVA no significant effect on stock returns. While ROA partially significant effect on stock returns. For regression coefficients show negative EVA while ROA is positive.

Doping scandals in professional cycling: impact on primary team sponsor’s stock return

2016 ◽  
Vol 17 (1) ◽  
pp. 37-55 ◽  
Author(s):  
Karen Danylchuk ◽  
Jelmer Stegink ◽  
Katie Lebel
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Grand Tour ◽  
Content Type ◽  
Time Period ◽  
Study Methodology ◽  
The Impact ◽  
The Relationship ◽  
Professional Cycling ◽  
Event Study Methodology

Purpose – The purpose of this paper is to examine the impact of doping scandals (n=25) in professional cycling Grand Tour events on the primary team sponsor’s daily stock return. Design/methodology/approach – Event study methodology. Findings – Overall it was found that during the time period and events under examination in this study doping scandals had no significant impact on the primary team sponsor’s stock returns. Originality/value – There is limited research to explain the economic impact of widespread doping in cycling and its commercial shareholders. This study addresses this gap by examining the relationship between doping scandals in professional cycling and the daily stock return of the involved team’s primary sponsor.

Sign in / Sign up

Export Citation Format

Share Document