scholarly journals Firm Size, Market Risk, and Stock Return: Evidence from Indonesian Blue Chip Companies

2019 ◽  
Vol 6 (2) ◽  
pp. 171-182
Author(s):  
Meutia Handayani ◽  
Talbani Farlian ◽  
Ardian Ardian
Keyword(s):  
Panel Data ◽  
Firm Size ◽  
Stock Return ◽  
Investment Decisions ◽  
Market Risk ◽  
Financial Reports ◽  
Common Effect ◽  
Effect Model ◽  
The Common ◽  
Blue Chip

This study examines the influence of firm size and market risk on the stock return of Indonesian high reliable companies. The samples are companies listed on the LQ45 between 2015 and 2017. There are 45 companies have been selected or 196 observations. The data was obtained from the financial reports and analysed by using regression for panel data method, namely the common effect model and the Chow test. The results demonstrate that  firm size has an effect on the stocks return, while market risk does not have effect on the stocks return of the blue chip companies. The results of this study are expected to help investors in making proper investment decisions toward bluechip Indonesian companies.

Risk Configuration of S&P 500 Industries: Sigma-risk and Alpha-risk Approximation

2017 ◽  
Vol 11 (2) ◽  
pp. 196-221
Author(s):  
Samet Günay
Keyword(s):  
Data Analysis ◽  
Panel Data ◽  
Stock Return ◽  
Service Industry ◽  
Risk Model ◽  
Panel Data Analysis ◽  
Internal Variable ◽  
Market Risk ◽  
Alpha Risk ◽  
Industry Risk

Since the pioneering studies of Mandelbrot, a great deal of interest has arisen for the parameters of fractal finance theory. With this in mind, the present study attempts to examine the risk composition of S&P 500 index industries through panel data analysis. In the modelling of industries’ stock return risk, we use internal and external variables which are related to the companies’ financial ratios and stock market movements. In the first section (sigma-risk) of the study, we model the stock return risk through standard deviation, while in the second section (alpha-risk), the alpha parameter of stable distributions has been used for the same purpose. Panel data analysis results demonstrate that in the sigma-risk model for the healthcare industry, there is a significant internal variable (roa) that negatively affects the industry risk. However, for the alpha-risk model, some significant variables are obtained for the service industry. Another important finding is the changing level of market risk under the two models. While in the sigma-risk model, the magnitude of the market (external) risk variable is high, under the alpha-risk model, we have seen that market risk is relatively low despite the fact that it still has the highest effect on industry risk. JEL Classification: C33, G10, G30, G32

scholarly journals Non-Performing Loan and Financial Stability of Banking Industry in Pakistan

2020 ◽  
Vol 9 (4) ◽  
pp. 347-356
Author(s):  
FAZLI RAHMAN KHAN ◽  
MUHAMMAD NISAR KHAN ◽  
SAIMA UROOGE
Keyword(s):  
Commercial Banks ◽  
Financial Stability ◽  
Secondary Data ◽  
Panel Data Models ◽  
Leverage Ratio ◽  
Common Effect ◽  
Effect Model ◽  
Banking Stability ◽  
The Common ◽  
The Stability

The objectives of this study to assess the state of financial stability of commercial banks in Pakistan and then estimate how good, bad and worst economic conditions would influence the stability. Our design of the study is a mix of techniques. Pakistan have not experienced financial crisis due to some shocks, therefore stress events and its effects not included in design. This study examines the effect of non-performing loans on financial stability empirically. Based on the above premise, this thesis investigates the association of financial stability with non-performing loans for all commercial banks of Pakistan for the period of 2014-2018. The study used the 27 commercial banks having 162 bank year observations. The study measured of financial stability (FS) through the financial leverage ratio and liquidity ratio using the common effect model. For the non-performing loans this study uses the non-performing loan ratio. Using secondary data that is panel in nature and applying panel data models for analysis, the study finds out that non-performing loans negatively associated with financial stability of commercial banks in Pakistan. Keywords: Loan, Finance, Banking, Stability, Pakistan.

Estimasi Fixed Effect Model dari Likuiditas Aset, Financial Leverage dan Likuiditas Saham di Indonesia

2019 ◽  
Vol 4 (3) ◽  
pp. 412
Author(s):  
Irdha Yusra ◽  
Awidi Mulfita
Keyword(s):  
Panel Data ◽  
Random Effect ◽  
Random Effect Model ◽  
Fixed Effect Model ◽  
Fixed Effect ◽  
Financial Leverage ◽  
Stock Liquidity ◽  
Common Effect ◽  
Effect Model ◽  
Asset Liquidity

<p><em>In investing, investors don’t assess the expected return, but also liquidity in shares. Because the aspect of liquidity is very important for investors to decide which stocks are attractive investments. This study aims to examine the effect of asset liquidity and financial leverage on stock liquidity. The population is all companies which are listed in Indonesia Stock Exchange in 2013-2017 periods. The sampling technique uses a purposive sampling method with predetermined criteria and obtained a sample of 58 companies with 290 observations. The data of the financial statement of the companies has been obtained from the official website of IDX. The analytical method used is regression analysis of panel data with the help of application E-Views 8. Panel data regression can be estimated using three models, namely Common Effect Model (CEM), Fixed Effect Model (FEM), and Random Effect Model (REM). From the results of the estimation model, it is found that FEM is the best model in this study. Furthermore, the results of the study show that asset liquidity has a positive and not significant effect on stock liquidity, while financial leverage has a negative and significant effect on stock liquidity.</em></p><p>Dalam berinvestasi, investor tidak hanya menilai dari return yang diharapkan, namun juga likuiditas pada saham. Karena aspek likuiditas sangat penting bagi investor untuk memutuskan mana saham yang menarik investasi. Penelitian ini bertujuan untuk menguji pengaruh likuiditas aset dan financial leverage terhadap likuiditas saham. Populasi dalam penelitian ini adalah perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) periode 2013-2017. Teknik pengambilan sampel menggunakan metode purposive sampling dengan kriteria yang telah ditentukan dan diperoleh sampel sebanyak 58 perusahaan. Data laporan keuangan diperoleh dari website resmi BEI. Metode analisis yang dipakai adalah analisis regresi data panel dengan bantuan aplikasi E-Views 8. Regresi data panel dapat diestimasi menggunakan tiga model, yaitu Common Effect Model (CEM), Fixed Effect Model (FEM), dan Random Effect Model (REM). Untuk mendapatkan model terbaik digunakan uji lanjut, yaitu Uji Chow dan Uji Hausman. Dari hasil estimasi model diperoleh bahwa FEM sebagai model terbaik dalam penelitian ini. Lebih lanjut, hasil penelitian menemukan bahwa likuiditas aset berpengaruh positif dan tidak signifikan terhadap likuiditas saham, sedangkan financial leverage berpengaruh negatif dan signifikan terhadap likuiditas saham.</p>

scholarly journals The Effect of Financial Condition on Firm Value: A Comparative Study

2021 ◽  
Vol 16 (2) ◽  
pp. 199
Author(s):  
Dwiyanjana Santyo Nugroho
Keyword(s):  
Regression Analysis ◽  
Firm Size ◽  
Firm Value ◽  
Random Effect ◽  
Random Effect Model ◽  
Analysis Model ◽  
Financial Reports ◽  
Financial Condition ◽  
Effect Model ◽  
The Difference

This study analyzes a company’s financial condition on firm value. We also evaluated the difference in firm value between corporate sectors affected and unaffected by the COVID-19 pandemic. The regression analysis model used is the random effect model as well as the difference-in-difference technique. The study uses data from the company’s interim financial reports for the first and second quarters of 2018, 2019, and 2020. We found that firm size and leverage influence firm values. This applies to companies in the affected sectors, such as hotel, restaurant, and tourism sub-sectors, and unaffected sectors, such as health, pharmacy, and telecommunication sub-sectors. We also found that firm values in affected and unaffected sectors, before and during COVID-19, do not significantly differ. Keywords: COVID-19, financial condition, firm value

scholarly journals Dividend Policy and Earnings Management: An Empirical Study of Pakistani Listed Companies

2011 ◽  
Vol 3 (2) ◽  
pp. 68-77
Author(s):  
Ahmed Arif ◽  
Mehwish Aziz Khan . ◽  
Ferheen Kayani . ◽  
Syed Zulfiqar Ali Shah .
Keyword(s):  
Earnings Management ◽  
Financial Management ◽  
Dividend Policy ◽  
Management Practices ◽  
Listed Companies ◽  
Best Interest ◽  
Cross Sectional ◽  
Common Effect ◽  
Effect Model ◽  
The Common

Dividend policy is one of the widely addressed topics in financial management. It is an important duty of a financial manager to formulate the company's dividend policy that is in the best interest of the company. Many a time financial managers are involved in earnings management practices with the intention of adjusting dividends. The present study has been carried out to scrutinize the effect of earnings management on dividend policy. The researchers have taken the data of 86 listed companies for the year 2004 to 2009. The researchers have measured the dividend policy by using dividend payout ratio while Modified Cross Sectional Jones Model (1995) has been employed to measure the earnings management. The results of the common effect model show that there is not any significant relationship among earnings management and dividend policy. Moreover, smaller companies are paying more dividends as compared to larger companies. This study reveals that involvement of managers is not for dividend policy. There might be some other motives behind the earnings management.

scholarly journals FIRM CHARACTERISTICS AND EARNINGS MANAGEMENT IN LISTED SINGAPOREAN CORPORATIONS

2021 ◽  
Vol 13 (2) ◽  
pp. 72-81
Author(s):  
Efva Octavina Donata Gozali ◽  
Ruth Samantha Hamzah ◽  
Chomsah Novianti Pratiwi ◽  
Marissa Octari
Keyword(s):  
Panel Data ◽  
Earnings Management ◽  
Firm Size ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Firm Characteristics ◽  
Analysis Method ◽  
Firm Age ◽  
Panel Data Regression ◽  
Data Regression

The study aims to examine the association of firms characteristics comprise of firm age, firm size, leverage, and profitability to earnings management (EM). The data is collected from listed Singaporean corporation in Singapore stock exchange (SGX) in the period of 2017 and 2018. Purposive sampling and panel data regression were employed as the sampling and analysis method, respectively. Our results are based on a large sample of 852 firm-year observations. The results show that firm age and firm size significantly affected EM, meanwhile, leverage and profitability indicate insignificant effects to EM. In addition, these results provide information to investors and potential investors regarding future investment decisions.

scholarly journals THE IMPACT OF FIRM LEVERAGE ON STOCK RETURN ON MANUFACTURING INDUSTRY

2019 ◽  
Vol 2 (1) ◽  
pp. 39-48
Author(s):  
Shaharudin Jakpar ◽  
Michael Tinggi ◽  
YU Qi Wong ◽  
Norshamsiah Samsudin
Keyword(s):  
Random Effects ◽  
Firm Size ◽  
Stock Return ◽  
Manufacturing Industry ◽  
Manufacturing Companies ◽  
Short Term ◽  
Financial Reports ◽  
Total Debt ◽  
The Impact

This paper seeks to provide evidence on the impact of firm’s leverage on its stock return. The analysis was implemented on the 30 manufacturing companies listed on Bursa Malaysia. The selected companies were estimated from the annual financial reports covering a period of five years (2011-2015). The random effects GLS regression was employed in carrying out this analysis. The result of the study reveals that only one variable which is short term debt has enough evidence and significant negatively related to stock return. However, other variables such as long-term debt, total debt to equity and firm size are found to be irrelevant with stock return.

Pengaruh Profitabilitas, Leverage, dan Growth Terhadap Kebijakan Deviden Pada Perusahaan Property, Real Estate, and Building Contruction yang Terdaftar di Bursa Efek Indonesia

2019 ◽  
Vol 4 (3) ◽  
pp. 399
Author(s):  
Afriyeni Afriyeni ◽  
Kartika Deas
Keyword(s):  
Panel Data ◽  
Real Estate ◽  
Random Effect ◽  
Random Effect Model ◽  
Fixed Effect Model ◽  
Dividend Payout ◽  
Common Effect ◽  
Effect Model ◽  
Equity Ratio ◽  
Asset Growth

<em>The purpose of this research is to test the influence of Profitability variable by using Return On Asset (ROA), Leverage by using Debt to Equity Ratio (DER), and Growth variable by using Asset Growth (AG), to the Dividend Payout Ratio (DPR) on companies Property, Real Estate, and Building Construction are listed in Indonesian Stock Exchange in 2013-2017 periods. In this research, the data used was obtained from the official IDX website</em>. <em>This research was included in explanatory research using a quantitative approach. The data analysis method used is regression analysis in panel data with the help of application E-Views 8. Panel data regression can be estimated using three models, namely Common Effect Model (CEM), Fixed Effect Model (FEM), and Random Effect Model (REM). From the result of the estimation model, it is found that REM is the best model in this study. The result showed that the profitability has a positive and significant effect on Dividend Payout Ratio, Leverage has a positive and significant effect on Dividend Payout Ratio, while Growth has a negative and hasn’t significant effect on Dividend Payout Ratio</em><div><em><br /></em></div><div><em>Tujuan dari penelitian ini adalah untuk menguji pengaruh variabel Profitabilitas dengan menggunakan <em>Return On Asset</em> (ROA), <em>Leverage</em> dengan menggunakan <em>Debt to Equity Ratio</em> (DER), dan variabel <em>Growth</em> dengan menggunakan <em>Asset Growth</em> (AG), terhadap Kebijakan Deviden dengan menggunakan <em>Dividend Payout Ratio</em> (DPR) pada  perusahaan <em>Property, Real Estate, and Building Contruction</em> terdaftar di Bursa Efek Indonesia pada periode 2013-2017. Dalam penelitian ini data yang digunakan diperoleh dari situs web resmi BEI. Penelitian ini termasuk dalam penelitian penjelasan dengan menggunakan pendekatan kuantitatif. Metode analisis data yang digunakan adalah analisis regresi data panel dengan bantuan aplikasi E-Views 8. Data panel regresi dapat diperkirakan menggunakan tiga model, yaitu <em>Common Effect Model</em> (CEM), <em>Fixed Effect Model</em> (FEM), dan <em>Random Effect Model</em> ( REM). Dari hasil model estimasi, ditemukan bahwa REM adalah model terbaik dalam penelitian ini. Hasil penelitian menunjukkan bahwa profitabilitas berpengaruh positif dan signifikan terhadap Kebijakan Deviden, <em>leverage</em> berpengaruh positif dan signifikan terhadap<em> </em>Kebijakan Deviden, sedangkan pertumbuhan berpengaruh negatif dan tidak signifikan terhadap Kebijakan Deviden</em></div>

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