Stock investment analysis, idiosyncratic risk and abnormal return

Purpose Corporate responsibility perceptions from stakeholders are becoming more difficult to manage. This is in part because of large amount of social media being projected to stakeholders on a daily basis. In light of this, the purpose of this paper is to examine the relationship between corporate responsibility framing from the social media perspective firm’s performance as defined by abnormal-return (defined as the difference between a single stock or portfolios return and the expected return) and idiosyncratic-risk (defined as the risk of a particular investment because of firm-specific characteristics). Design/methodology/approach Hypotheses are developed through agenda-setting theory and stakeholder and shareholder viewpoints. The research model is tested using sentiment analysis from a collection of social media from several industries. Findings The results provide support that three corporate responsibility social media categories (economic, social and environmental-framing) will have different impacts (delayed, immediate) on abnormal-return and idiosyncratic-risk. This study finds differences between immediate (one-day lag) and delayed (three-day lag) associations on abnormal-return and idiosyncratic-risk. Originality/value This study also suggests differences between the amount and sentiment of corporate responsibility social media framing on abnormal-return and idiosyncratic-risk. Finally, results identify interaction effects between different corporate responsibility social media categories.

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Pendalaman Materi: Laporan Keuangan sebagai Dasar Analisis Investasi Saham

ACADEMICS IN ACTION Journal of Community Empowerment ◽

10.33021/aia.v1i2.917 ◽

2020 ◽

Vol 1 (2) ◽

pp. 109

Author(s):

Ika Pratiwi Simbolon ◽

Imas Nurani Islami ◽

Vita Elisa Fitriana

Keyword(s):

Community Service ◽

Financial Statements ◽

School Principal ◽

Investment Analysis ◽

Public Understanding ◽

Discounted Cash Flow ◽

Implementation Phase ◽

Stock Investment ◽

Service Activities ◽

Questions And Answers

This community service activities aims to deepen public understanding in making financial records and reporting correctly and making the financial statements as a basis for investment analysi. The investment analysis method used is a discounted cash flow model to determine whether the investment is undervalued or overvalued. The community in this activity are students of SMK Bina Nasional Informatika, North Cikarang. The implementation phase of this activity includes a field survey, coordination with the school principal, the implementation of a financial report socialization program as a basis for stock investment analysis, and preparation of the report. The socialization activity went smoothly attended by 28 Accounting students in class XII. Socialization participants seemed enthusiastic about the material provided. This can be seen from the beginning to the end of the event, all participants followed well. Based on the results of interviews, questions and answers and direct observations, community service activities have increased the knowledge of students by as much as 80% about how to prepare good financial statements and conduct stock valuations using financial statements.

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Economy, psychology and stock investment: analysis of variables that participate in the process of decision making

International journal of psychological research ◽

10.21500/20112084.744 ◽

2012 ◽

Vol 5 (1) ◽

pp. 5-17

Author(s):

David Pascual Ezama ◽

Beatriz Gil-Gómez De Liaño ◽

Barbara Scandroglio

Keyword(s):

Decision Making ◽

Psychometric Properties ◽

Stock Exchange ◽

Investment Analysis ◽

Investor Behavior ◽

Individual Investors ◽

Individual Investor ◽

Stock Investment ◽

Lack Of Information ◽

The Relationship

The ININBE questionnaire has been recently validated in order to measure the variables that affect individual investor behavior in stock exchange. The lack of information about the methodology, items selection and psychometric properties of the instruments used in other researches has shown the necessary to elaborate and validate a questionnaire. In the present work we have applied the ININBE questionnaire to 257 individual investors. We have found interesting results about the relationship between the “psychological” and “economical” variables with individual investor’s characteristics.

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Modeling and Estimation of Cumulative Abnormal Return using VECM

Financial Risk and Management Reviews ◽

10.18488/journal.89.2021.71.36.49 ◽

2021 ◽

Vol 7 (1) ◽

pp. 36-49

Author(s):

Sri Ambarwati ◽

Eka Sudarmaji ◽

Herlan Masrio ◽

Ismiriati Nasip

Keyword(s):

Initial Public Offering ◽

Abnormal Return ◽

Stock Exchange ◽

Idiosyncratic Risk ◽

Cointegration Analysis ◽

Cumulative Abnormal Return ◽

Firm Level ◽

Long Run ◽

Short Run ◽

Public Offering

This paper examined how firm-level idiosyncratic risk varies over time. It affected initial public offering (IPO) in the presence of pump-and-dump and flipping trends during the early trading of IPO stocks in the Indonesia Stock Exchange. The paper used the IPO data taken from 181 companies during the year 2015-2019. It revisited the relationship between Cumulative Abnormal Return thirty-days (CAR30D) and Cumulative Abnormal Return five-days (CAR5D) and the Characteristics (IPO Floating shares, IPO Fund and Price) and Macroeconomics Condition (Inflation rate). It also used the cointegration analysis and VECM model. The paper found that Both LnFloat and LnPrice had causal evidence in the long-run causality or short-run with Cumulative Abnormal Return thirty days (CAR30D). We also noted that idiosyncratic risk exposure depends on IPO characteristics. It was crucial for firms going public in hot-issue markets, undervalued IPOs, and high idiosyncratic-risk issues. The model suggested that those series should cointegrate firstly. However, the variable of LnIPOFund had causal evidence in the short-run causality only.

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ANALISIS INVESTASI SAHAM PERUSAHAAN GO PUBLIC SEKTOR PERTANIAN DI BURSA EFEK JAKARTA

EKUITAS (Jurnal Ekonomi dan Keuangan) ◽

10.24034/j25485024.y2007.v11.i3.2245 ◽

2017 ◽

Vol 11 (3) ◽

pp. 391

Author(s):

Artie Arditha ◽

Endang Asliana

Keyword(s):

Capital Market ◽

Stock Price ◽

Human Error ◽

Stock Exchange ◽

Portfolio Analysis ◽

Investment Analysis ◽

Statistical Software ◽

Stock Investment ◽

Stock Investments ◽

Stock Price Movements

Investors, in a capital market, have to observe and analyze the companies’ stock price movements in order to minimize the risk in having stock investments. One of the techniques in analyzing companies’ performance is the stock investment analysis or portfolio analysis. By using the portfolio analysis, this research finds out the best combination of stock investment of PT PP London Sumatera Tbk. (LSIP) and PT Astra Agro Lestari Tbk. (AALI), as go public agricultural companies listed in Jakarta Stock Exchange. After finding the best combination of stock investment of those companies, this research also finds out whether the combination is at the optimum portfolio which would be on the least risk and a particular return or on the highest return and a particular risk. The research was held in 2006 and the data was taken from January 2004 to December 2005. The data was processed by using statistical software in order to minimize the human error. The result shows that there are two best combinations of stock investment on those companies. Those combinations are at the optimum portfolio. The first combination shows 30% of stock investment in LSIP and 70% stock investment in AALI, while the second combination shows 20% stock investment LSIP and 80% stock investment AALI. Investors should choose one of these combinations, because according to the research, these combinations would give them the best return at the least risk.

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A Fuzzy Cognitive Map-Based Bi-Directional Inference Mechanism: An Application to Stock Investment Analysis

Intelligent Systems in Accounting Finance & Management ◽

10.1002/(sici)1099-1174(199703)6:1<41::aid-isaf119>3.0.co;2-j ◽

1997 ◽

Vol 6 (1) ◽

pp. 41-57 ◽

Cited By ~ 53

Author(s):

KUN CHANG LEE ◽

HYUN SOO KIM

Keyword(s):

Cognitive Map ◽

Investment Analysis ◽

Fuzzy Cognitive Map ◽

Inference Mechanism ◽

Stock Investment

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ANALISIS TEKNIKAL DENGAN MENGGUNAKAN MOVING AVERAGE CONVERGENCE-DIVERGENCE DAN RELATIVE STRENGTH INDEX PADA SAHAM PERBANKAN

Jurnal Ilmu Keuangan dan Perbankan (JIKA) ◽

10.34010/jika.v11i1.5896 ◽

2021 ◽

Vol 11 (1) ◽

pp. 51-65

Author(s):

Suryanto Suryanto

Keyword(s):

Moving Average ◽

Descriptive Analysis ◽

Investment Decisions ◽

Technical Analysis ◽

Relative Strength ◽

Investment Analysis ◽

Analysis Method ◽

Strength Index ◽

Stock Investment ◽

Before And After

ABSTRACT Stock investment is an investment that has a high risk. An investor needs to do an investment analysis before deciding to invest. Investment analysis can be carried out using both fundamental and technical approaches. Technical analysis is often an option because it is fast and easy to apply. This study aims to examine the level of differences in the use of technical analysis with the moving average convergence-divergence (MACD) method and the relative strength index (RSI) as a means of making stock investment decisions. The research method used in this research is the descriptive analysis method. This research was conducted on a group of banking stocks that are included in LQ45. The results showed that there was no difference between the price of the buy signal and the sell signal before and after using the MACD and RSI methods. The results also show that there is no difference between the buy signal and the sell signal between MACD and RSI. Therefore, it can be stated that for the same object and period, the MACD and RSI methods produce the same investment decisions (buy signal and sell signal). Keywords: technical analysis, MACD, RSI, buy signal, sell signal ABSTRAK Investasi saham merupakanjenis investasi yang memiliki resiko tinggi. Seorang investor perlu melakukan analisis investasi sebelum memutuskan untuk berinvestasi. Analisis investasi dapat dilakukan dengan menggunakan pendekatan fundamental dan teknikal. Analisis teknikal seringkali menjadi pilihan karena cepat dan mudah diterapkan. Penelitian ini bertujuan untuk menguji tingkat perbedaan penggunaan analisa teknikal dengan metode moving average convergence-divergence (MACD) dan relative strength index (RSI) sebagai alat pengambilan keputusan investasi saham. Metode penelitian yang digunakan dalam penelitian ini adalah metode analisis deskriptif. Penelitian ini dilakukan pada sekelompok saham perbankan yang termasuk dalam LQ45. Hasil penelitian menunjukkan bahwa tidak ada perbedaan harga antara sinyal beli dan sinyal jual sebelum dan sesudah menggunakan metode MACD maupun RSI. Hasil penelitian juga menunjukkan bahwa tidak ada perbedaan antara sinyal beli dan sinyal jual antara MACD dan RSI. Dengan demikian dapat dikatakan bahwa untuk objek dan periode yang sama, metode MACD dan RSI menghasilkan keputusan investasi yang sama (sinyal beli dan sinyal jual). Kata kunci: analisa teknikal, MACD, RSI, sinyal beli, sinyal jual

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ANALISIS INVESTASI SAHAM PERUSAHAAN GO PUBLIC SEKTOR PERTANIAN DI BURSA EFEK JAKARTA

EKUITAS (Jurnal Ekonomi dan Keuangan) ◽

10.24034/j25485024.y2007.v11.i3.400 ◽

2018 ◽

Vol 11 (3) ◽

pp. 391-410

Author(s):

Artie Arditha R ◽

Endang Asliana

Keyword(s):

Capital Market ◽

Stock Price ◽

Human Error ◽

Stock Exchange ◽

Portfolio Analysis ◽

Investment Analysis ◽

Statistical Software ◽

Stock Investment ◽

Stock Investments ◽

Stock Price Movements

Investors, in a capital market, have to observe and analyze the companies’ stock price movements in order to minimize the risk in having stock investments. One of the techniques in analyzing companies’ performance is the stock investment analysis or portfolio analysis. By using the portfolio analysis, this research finds out the best combination of stock investment of PT PP London Sumatera Tbk. (LSIP) and PT Astra Agro Lestari Tbk. (AALI), as go public agricultural companies listed in Jakarta Stock Exchange. After finding the best combination of stock investment of those companies, this research also finds out whether the combination is at the optimum portfolio which would be on the least risk and a particular return or on the highest return and a particular risk. The research was held in 2006 and the data was taken from January 2004 to December 2005. The data was processed by using statistical software in order to minimize the human error. The result shows that there are two best combinations of stock investment on those companies. Those combinations are at the optimum portfolio. The first combination shows 30% of stock investment in LSIP and 70% stock investment in AALI, while the second combination shows 20% stock investment LSIP and 80% stock investment AALI. Investors should choose one of these combinations, because according to the research, these combinations would give them the best return at the least risk.

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