THE LEVEL OF INVESTMENT IN RESEARCH AND DEVELOPMENT BY FIRMS WITH FOREIGN TRADING CAPITAL AND ITS IMPACT ON STOCK RETURNS: APPLICATION OF THE BIST SUSTAINABILITY INDEX

2021 ◽  
Vol 6 (32) ◽  
pp. 1928-1933
Author(s):  
Ahmet KARACA
Keyword(s):  
Research And Development ◽  
Stock Returns ◽  
Sustainability Index ◽  
Foreign Trading

scholarly journals The Impact of Corporate Sustainability Index on BIST Sustainability Index

2020 ◽  
Vol 9 (2) ◽  
pp. 375-390
Author(s):  
Luan VARDARI ◽  
Rrezarta GASHI ◽  
Hana GASHI AHMETI
Keyword(s):  
Stock Returns ◽  
Industrial Revolution ◽  
Corporate Sustainability ◽  
Negative Effects ◽  
The Unconscious ◽  
Sustainability Index ◽  
Important Benefit ◽  
The Social ◽  
Context Data ◽  
The Impact

Mass production, which started with the industrial revolution, caused both the unconscious consumption of the resources and the damages to the ecological system after the production. In this respect, the concept of sustainability, which is one of the most important conception of responsibility, is gradually gaining value in terms of protecting resources and transferring them to future generations. (Mori and Christodoulou, 2012: 94-106). Sustainability In the first place, it has started to be used mostly in the management of natural resources; later, it was used in different fields such as sectoral practices and energy tourism (Diaz - Baltciro, Voces, Romero, 2011: 761-773). Today, the expectations of the society from the enterprises have changed compared to the past. These changing expectations lead businesses to new searches. The most important concept that guides these quests is to be sustainable. The concept of sustainability for enterprises gains a new dimension in the form of corporate sustainability”. For corporate sustainability, it is possible for organizations to achieve individual results only to a certain extent. Because companies are affected to a great extent by all kinds of economic, social and even cultural formations occurring in their environment (Kuşat, 2012: 238). The most important benefit of sustainability indices is that it leads to improvements in transparency without the need for regulations, better understanding of the social and environmental impacts of companies and guiding them to reduce the negative effects of company activities. The BIST Index serves as a guide for companies on what to measure, what needs to be developed and what can be explained. Thus, it creates opportunities for companies to see social and environmental risks and opportunities and to manage their sustainability performances correctly. The index, on the other hand, provides information to investors and the community about the sustainability performance of companies. The aim of this study is whether the BIST Sustainable Index makes a difference for companies compared to BIST 100. "Does the BIST Sustainability Index really make a difference?" will be examined. In this context, data between 2014-2018 of BIST Sustainability and BIST 100 index will be examined. Based on the results obtained in the study, it shows that there is no strong evidence of the impact of inclusion in the BIST Sustainability Index on the stock returns of companies. At the same time, the BIST Sustainability Index has been shown to have similar returns to the BIST 100 Index. Key Words: Sustainability Index, BIST, Corporate.

scholarly journals ADVERTISING, RESEARCH AND DEVELOPMENT, AND CAPITAL MARKET RISK: HIGHER RISK FIRMS VERSUS LOWER RISK FIRMS

2012 ◽  
Vol 13 (4) ◽  
pp. 724-744 ◽  
Author(s):  
Miao-Ling Chen ◽  
Chi-Lu Peng ◽  
An-Pin Wei
Keyword(s):  
Research And Development ◽  
Stock Returns ◽  
Capital Market ◽  
Lower Risk ◽  
Idiosyncratic Risk ◽  
Senior Management ◽  
Limited Resources ◽  
Advertising Research ◽  
Senior Executives ◽  
Firm Risk

This study examines how a firm's advertising and R&D affects the firm's β-risk and idiosyncratic risk, which are metrics of interest to both finance executives and senior management. Due to the existence of a non-normal and heteroscedasticity dataset, we use quantile regression to analyze the sample to understand the full behavior of our non-normally distributed datapoints. The evidence of this study shows that: (1) Advertising is significantly associated with lower β-risk for firms with lower, median and higher β-risk. (2) R&D significantly increases β-risk for firms with median and higher β-risk firms. (3) Advertising is significantly associated with lower idiosyncratic risk for firms with higher idiosyncratic risk. (4) R&D is significantly associated with higher idiosyncratic risk for firms with median and higher idiosyncratic risk. In summary, our evidence shows that both advertising and R&D have a stronger effect on firms with higher β- and idiosyncratic risk than on those with lower β- and idiosyncratic risk, respectively. Our findings are useful to help both management executives and investors. Firm managers can allocate limited resources more efficiently to reduce their firm risk; investors could exert their influence on firm's senior executives to make decisions that are beneficial to stock returns.

scholarly journals PENGARUH PRAKTIK AKUNTANSI DENGAN PRINSIP KEHATI-HATIAN (PRUDENTIAL PRINCIPLE) TERHADAP KUALITAS LABA DAN TINGKAT PENGEMBALIAN SAHAM (STUDI EMPIRIS PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BEI)

2017 ◽  
Vol 13 (2) ◽  
Author(s):  
Ana Septiani
Keyword(s):  
Research And Development ◽  
Stock Returns ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Financial Statements ◽  
Total Sample ◽  
Multiple Linear Regression Analysis ◽  
Observation Data ◽  
Manufacturing Company

Abstract  The financial statements provide information that contains performance and financial position of a company. The financial statements conform to the principles of accounting in accordance with generally accepted standards to be useful to users in decision making of economic. The financial statements that are useful are the financial statements of good quality and can be an indicator for future earnings in order to maximize the stock return and optimize the benefits for all stakeholders.This research is quantitative. The purpose of this study was to obtain empirical evidence about the effect of accounting practices with the prudential principle on the quality of earnings and stock returns. Variable measurement using indicators that are adapted to journal the adoption of this research that Penman and Zhang (2002), among others subscore consisting of inventory reserve, research and development reserves and advertising reserves, used to measure the accounting practices with the prudential principle, Qscore used to measure quality earnings and returns are used to measure stock returns. The population in this study are all companies listed on the Indonesia Stock Exchange period 2012 to 2014. The sample period is a manufacturing company that has made the convergence of IFRS. Total sample was 84 manufacturing company's financial statements every period of observation so that the total samples analyzed were as 252 manufacturing company financial statements for three periods of observation. Data analysis was performed with the classical assumption and hypothesis testing with multiple linear regression analysis. Statistical program in this study using SPSS 22. The results showed that subscore is the inventory reserves, research and development reserves and advertising reserves on accounting practices with the prudential principle to produce earnings quality is good, besides the results also showed that the stock market can "adapt" to new information one of which is the change in the quality of corporate profits caused by the research and development reserves on the accounting practices with the prudential principle in manufacturing.

Investors' Reactions to the Announcement of New Constituents of BIST Sustainability Index

2017 ◽  
pp. 270-289 ◽  
Author(s):  
Levent Çıtak ◽  
Veli Akel ◽  
Ersan Ersoy
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Abnormal Returns ◽  
Event Window ◽  
Sustainability Index ◽  
Cumulative Abnormal Returns ◽  
Significant Difference ◽  
Index Stock

This study investigates the reaction of investors to the announcement of firms included in BIST Sustainability Index. Stock returns of BIST 50 firms, which are also constituents of BIST Sustainability Index, with those of BIST 50 firms that could not qualify for inclusion in BIST Sustainability Index, are compared. Based on mean/median tests, no significant difference between various returns of two groups of firms is found. Except for interval 0 to +4 days, the findings of event study indicates no significant abnormal returns for BIST Sustainability Index Constituents in the event window of 10 days surrounding the announcement day, but indicates significant positive cumulative abnormal returns for intervals 0 to +4 days, 0 to +5 days, 0 to +7 days, 0 to +8 days, 0 to +9 days and 0 to +10 days, which is an indication that investors valued the BIST Sustainability Index Constituents a few days after the announcement by investing in the stocks of these firms.

The R&D Premium and Takeover Risk

2015 ◽  
Vol 91 (3) ◽  
pp. 955-971 ◽  
Author(s):  
Ji-Chai Lin ◽  
Yanzhi (Andrew) Wang
Keyword(s):  
Research And Development ◽  
Stock Returns ◽  
Firm Valuation ◽  
Jel Classifications

ABSTRACT To explain why firms with high research and development (R&D) intensity offer their investors higher stock returns, we argue that (1) high R&D capacity relative to firm valuation makes R&D-intensive firms attractive takeover targets, and that (2) the higher takeover probability leads their investors to face higher takeover risk, as proposed by Cremers, Nair, and John (2009), and require higher returns. We find evidence consistent with our hypothesis. Furthermore, we find that takeover probability also relates to large R&D increases, but not to innovation efficiency. Accordingly, we expect and find that takeover risk helps to explain the premium associated with large R&D increases, but not the innovation efficiency premium previously documented. JEL Classifications: G12; O31.

scholarly journals Does Innovation Explain the Skewness of Stock Returns?

2021 ◽  
Vol 24 (2) ◽  
pp. 12-31
Author(s):  
Ahmed Baig ◽  
Hassan Anjum Butt ◽  
Abrar Fitwi ◽  
Joey Smith
Keyword(s):  
Research And Development ◽  
Stock Returns ◽  
Fixed Effects ◽  
Stock Return ◽  
Stock Exchanges ◽  
Firm Level ◽  
Input And Output ◽  
Development Expenditure ◽  
Using Data ◽  
The Impact

This paper investigates the impact of firm-level innovation on the skewness of stock returns. Using data on a broad sample of equities from the major US stock exchanges, we find that innovative companies exhibit strong positive skewness. Our results are robust to both input and output measures of innovation as we find that increases in both firm-level research and development expenditure (R&D), as well as the number of patents, are positively associated with future stock return skewness. Our results hold using both systematic and idiosyncratic measures of skewness while controlling for various stock characteristics, time, and industry-fixed effects.

Behavioral and Rational Explanations of Stock Price Performance around SEOs: Evidence from a Decomposition of Market-to-Book Ratios

2010 ◽  
Vol 45 (4) ◽  
pp. 935-958 ◽  
Author(s):  
Michael G. Hertzel ◽  
Zhi Li
Keyword(s):  
Research And Development ◽  
Stock Returns ◽  
Stock Price ◽  
Cash Holdings ◽  
Capital Expenditures ◽  
Growth Opportunities ◽  
Growth Option ◽  
Price Performance ◽  
Investment Opportunities

AbstractWe examine the extent to which investment opportunities and/or mispricing motivate equity issuance and contribute to post-issue stock underperformance. We decompose market-to-book ratios into misvaluation and growth option components and find that issuing firms are both overvalued and have greater growth opportunities relative to nonissuers. Firms with greater growth opportunities invest more in capital expenditures and research and development (R&D) after issuance but do not experience lower post-issue stock returns. In contrast, issuing firms with greater mispricing tend to decrease long-term debt and/or increase cash holdings and do earn lower returns. Our findings are consistent with behavioral explanations for post-issue stock price underperformance.

scholarly journals The effect of Dow Jones Sustainability Index on Consumer Sentiment Index

2017 ◽  
Vol 14 (1) ◽  
pp. 89-95 ◽  
Author(s):  
Nikolaos Sariannidis ◽  
Grigoris Giannarakis ◽  
Xanthi Partalidou ◽  
Bakas Evangelos
Keyword(s):  
Stock Returns ◽  
Consumer Confidence ◽  
Conditional Heteroskedasticity ◽  
University Of Michigan ◽  
Consumer Sentiment ◽  
Socially Responsible ◽  
Policy Makers ◽  
Sustainability Index ◽  
Dow Jones Sustainability Index ◽  
The University

This study intends to investigate whether stock returns affect the consumer sentiment. In particular, socially responsible companies are incorporated in the sample in order to capture the specification of socially responsible investors. For this reason, the University of Michigan Consumer Confidence Index is used as a proxy for consumer confidence, while data from Dow Jones Sustainability Index US is employed as a proxy for socially responsible companies for the period 1999-2016. The generalized autoregressive conditional heteroskedasticity model applied and illustrated that stock returns affect positively the consumer confidence. The result has important implications for investors and policy makers.

scholarly journals Does the Stock Market Value Inclusion in a Sustainability Index? Evidence from Borsa Istanbul

2020 ◽  
Vol 12 (2) ◽  
pp. 483 ◽  
Author(s):  
Mustafa K. Yilmaz ◽  
Mine Aksoy ◽  
Ekrem Tatoglu
Keyword(s):  
Stock Returns ◽  
Performance Measures ◽  
Corporate Sustainability ◽  
Market Value ◽  
Positive Association ◽  
Institutional Ownership ◽  
Company Performance ◽  
Total Risk ◽  
Sustainability Index ◽  
The Impact

This study examines the relationships between corporate sustainability (CS) performance of the companies (proxied by inclusion in sustainability index) listed in Borsa Istanbul (BIST, Istanbul, Turkey) and market-specific company performance measures over the period of 2014–2017. The results show that there is no strong evidence of the effect of inclusion in or exclusion from the BIST Sustainability Index (BIST SI) on stock returns and systematic risk (betas) of companies. However, the results reveal that inclusion in the BIST SI reduces the total risk of the companies and protects them from stock declines in case of a severe crisis by improving their resilience compared to other companies not included in the BIST SI. Although no significant link is found concerning the impact of the companies’ inclusion on the level of foreign ownership, a positive association is noted between BIST SI inclusion and the level of institutional ownership.

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