Comparison of the Return of Investment from Securities Screening Using Financial Ratios and Security Trading Methods: Evidence from Thailand

This research aims to study investment in the Stock Exchange of Thailand based on historical financial ratios, namely, the return on equity (ROE) and price-earnings ratio (P/E), and screening securities together with buy-and-sell timing using technical analysis tools for stock selection to build a stock trading model. This research utilizes financial statement data from the companies listed in the Stock Exchange of Thailand from 2014 to 2018, selecting the stocks to invest using Greenblatt's Magic Formula and identifying buy-and-sell timing by a simple moving average (SMA). The stocks were reselected annually from 2014 to 2018. The study compared returns from 3 methods; it was found that the portfolio that identified buy-and-sell timing by technical analysis tools, the 6-month simple moving average, had the best performance, followed by the 12-month simple moving average and buy-and-hold portfolio, consecutively.

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Kinerja Merger dan Akuisisi pada Perusahaan Go Public

Telaah Bisnis ◽

10.35917/tb.v17i1.43 ◽

2017 ◽

Vol 17 (1) ◽

Author(s):

Retno Ika Sundari

Keyword(s):

Firm Performance ◽

Abnormal Return ◽

Stock Exchange ◽

Merger And Acquisition ◽

Financial Ratios ◽

Distribution Data ◽

Return On Equity ◽

Book Value ◽

Future Performance ◽

Price Earnings Ratio

This research aims to examine the effect of merger and acquisition firm performance at Indonesia Stock Exchange. Firm performance is measured by financial ratios: current ratio, quick ratio, return on investment, return on equity, debt to equity ratios, fixed assets turnover, operating profit margin, price book value, price earning ratio, and abnormal return around announcement date of merger and acquisition. Sample of this research is determined by purposive sampling method, consist of 27 Indonesia Stock Exchange excluded banking that did merger and acquisition from period of 2006-2011. This research analysis used Wilcoxon Signed Ranked Test for abnormal distribution data. The result of this research showed that financial ratios at 1 year before and 1 year after merger and acquisition are not all significant, except abnormal return variable, price book value and price earnings ratio indicated different significantly. This result indicated that merger and acquisition did not provide synergy for firms. Market reaction indicated that investor influenced by merger and acquisition of the firms and they believed that the announcement will give them hope about better future performance.

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PENGARUH CURRENT RATIO, RETURN ON EQUITY DAN EARNING PER SHARE TERHADAP RETURN SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA TAHUN 2010 – 2019

JURNAL ILMIAH EDUNOMIKA ◽

10.29040/jie.v5i1.1879 ◽

2021 ◽

Vol 5 (1) ◽

Author(s):

Susi Lusiana

Keyword(s):

Data Collection ◽

Stock Returns ◽

Stock Return ◽

Stock Exchange ◽

Financial Statements ◽

Financial Ratios ◽

Manufacturing Companies ◽

Current Ratio ◽

Return On Equity ◽

Earnings Per Share

The study of this research is to determine the effect of returning shares in manufacturing companies. This study uses the financial ratios contained in the company's financial statements. The financial ratios used in this study are the current ratio, return on equity, and earnings per share to stock returns in manufacturing companies listed on the Indonesian stock exchange in 2010-2019. This type of research used in this research is quantitative and the analytical method used is purposive sampling using SPSS 21 as many 10 manufacturing companies in the food, beverage, textile, rubber goods (tires), fisheries, and agriculture sectors. Data collection techniques are used by retrieving data through the website www.idx.co.id. The results showed that Current Ratio (CR) has a positive and significant effect on Stock Returns, Return On Equity (ROE) has a positive and significant effect on Stock Returns, and Earning Per Share (EPS) has a negative and significant effect on Stock Return.

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PENGARUH DEBT RATIO, DIVIDEN PAY OUT RATIO, RETURN ON EQUITY, PERUMBUHAN LABA, UKURAN KORPORASI, DAN PERPUTARAN KAS OPERASI TERHADAP PER (Studi Di Korporasi Sektor Manufaktur yang Listing di Bursa Efek Indonesia Jangka Waktu 2009 – 2012)

KEBERLANJUTAN ◽

10.32493/keberlanjutan.v4i1.y2019.p970-993 ◽

2019 ◽

Vol 4 (1) ◽

pp. 970

Author(s):

Herlambang Herlambang

Keyword(s):

Stock Exchange ◽

Significance Test ◽

Debt Ratio ◽

Manufacturing Companies ◽

Individual Parameter ◽

Dividend Payout ◽

Return On Equity ◽

Earnings Growth ◽

Independent Variables ◽

Price Earnings Ratio

The mean of this research is examine influence debt ratio, dividend payout ratio variable, return on equity variable, earnings growth, size, and operating cash flow on price earning ratio (PER) in finance and manufacturing companies in Indonesia Stock Exchange in the period of year 2009 to 2012. The population in this study is the company in the sector manufacturing listed on the Indonesia Stock Exchange period of year 2009 to 2012. Samples were taken by purposive sampling and obtained 45 companies in the manufacturing sector as sample. Linear Regression Analysis with Simultaneous Significance Test (F statistic Test) and Individual Parameter Significance Test (Test Statistic t) is an analytical technique used in this study. The results showed that the independent variables of the debt ratio variable, size together significantly influence the price earnings ratio (PER) in the financial sector companies in the BEI and the independent variables of the dividend payout ratio and earnings growth together significantly influence price earnings ratio (PER) at manufacturing companies listed on BEI. These results support data obtained from the World Bank regarding Indonesia's economic growth in 2012 on the production side, manufacturing performance is quite strong. This increase was achieved by the relatively large performance domestic sectors such as those in processed foodstuffs, processed various beverages and processed various tobacco products (increasing 10.4% year on year) as well as fertilizer yields, yields from chemicals and rubber products (increased by 15.4% from year to year).

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The Impact of Accounting Fundamentals and Macroeconomic Indicators on Manufacturing Companies' Stock Prices

Journal La Bisecoman ◽

10.37899/journallabisecoman.v2i3.404 ◽

2021 ◽

Vol 2 (3) ◽

pp. 22-29

Author(s):

Van hyung Shih ◽

Chien Hoang

Keyword(s):

Stock Prices ◽

Stock Exchange ◽

Secondary Data ◽

Manufacturing Companies ◽

Return On Equity ◽

Price Earnings Ratio ◽

Macroeconomic Indicators ◽

Beneficial Impact ◽

The Impact ◽

Stock Values

The aim of this research is to ascertain if accounting fundamentals and macroeconomic indicators have an effect on stock prices. In this research, a quantitative method was used. The population of this research includes manufacturing firms listed on the Stock Exchange, with a sample size of ten companies collected through secondary data during the 2019-2020 quarter. Scale of data measurement using a ratio scale. The findings indicated that inflation and interest rate macroeconomic variables had little impact on stock values. Fundamentals of Accounting The return on equity and the price-earnings ratio both have a substantial beneficial impact on company prices

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Kinerja Keuangan, Abnormal Return Sebelum dan Setelah Pengumuman Merger

Agregat Jurnal Ekonomi dan Bisnis ◽

10.22236/agregat_vol1/is1pp73-93 ◽

2017 ◽

Vol 1 (1) ◽

pp. 73

Author(s):

Farid Addy Sumantri

Keyword(s):

Financial Performance ◽

Abnormal Return ◽

Stock Exchange ◽

Abnormal Returns ◽

Profit Margin ◽

Current Ratio ◽

Return On Equity ◽

Net Profit ◽

Before And After ◽

Price Earnings Ratio

This study aims to examine the differences infinancial performance and abnormal returns in the period before and after the announcement of the merger of the companies listed on the Stock Exchange in the period 2004-2013. In this study the measurement of financial performance using four financial ratios which are the current ratio (CR), the net profit margin (NPM), return on equity(ROE) and price earnings ratio (PER), while the abnormal return is measured using the market return and the actual return. This study used purposive sampling in the sampling study. Company samples tested here are 8 companies from various different types of industries. Hypothesis testing is performed using paired sample t test with a confidence level of 5%. The test results of financial performance in the proxy with the current ratio (CR), the net profit margin (NPM), return on equity (ROE) and price earnings ratio (PER) its how sthe difference before and after the announcement of the merger on the companies listed on the Stock Exchange period 2004-2013.

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ANALISIS FAKTOR-FAKTOR TERHADAP UNDERPRICING SAHAM PERDANA

Jurnal Bisnis dan Akuntansi ◽

10.34208/jba.v19i2.277 ◽

2018 ◽

Vol 19 (2) ◽

pp. 251-258

Author(s):

INDRA ARIFIN DJASHAN

Keyword(s):

Multiple Regression ◽

Firm Size ◽

Stock Exchange ◽

Multiple Regression Model ◽

Firm Age ◽

Return On Equity ◽

Price Earnings Ratio ◽

Underwriter Reputation ◽

Equity Ratio ◽

Auditor Reputation

This research aims to determine the effect of firm age, firm size, return on equity, debt to equity ratio, price earnings ratio, auditor reputation and underwriter reputation on the level of underpricing. And to determine which variables are the most dominant effect on the IPO. Underpricing as measured by the initial return is the dependent variable in this research. This research was conducted with the support of the data Indonesia Stock Exchange (IDX), which is the company doing an IPO in 2009 until 2012. Sampling was conducted using a non-probability sample selection method (purposive sampling) resulted in 68 companies as the study sample. Multiple regression model was used to test the relationship between the dependent and independent variables. The results of multiple regression analysis showed that the variables auditor reputation and underwriter reputation on underpricing significantly affect the direction of the negative coefficients for both variables. While variable firm age, firm size, return on equity, debt to equity ratio, price earnings ratio proved to have no significant effect on the occurrence of underpricing.

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NEPSE in Bollinger Bands

National Accounting Review ◽

10.3934/nar.2021023 ◽

2021 ◽

Vol 3 (4) ◽

pp. 439-451

Author(s):

Rashesh Vaidya ◽

Keyword(s):

Line Graph ◽

Moving Average ◽

Investment Decision ◽

Technical Analysis ◽

Fiscal Year ◽

Daily Return ◽

Market Return ◽

Clear Signal ◽

Analysis Tools ◽

Graphical Presentation

<abstract> An investor uses the graphical presentation of Bollinger Bands to get signals of the ups and downs, as well the volatility of the market from the expansion and tightening of the UBB and LBB, reflecting higher and lower volatility. The percent (%) b helps determine the opportunities during extreme periods from the market, looking at the concentration of line graph at the value "0" or "1" reflecting the bearish and bullish trend, respectively. The Bandwidth Index was able to picture out the bullish trend with a squeeze at the upper band. The positive unimodality of Q for NEPSE daily return for the period of the fiscal year 1998–1999 to the fiscal year 2019–2020 indicated normality for the market return. Nevertheless, the results for the trading signals based on the Bollinger bands are seen as useful for an investor by giving a clear signal to "buy" or "sell". At the same time, relying only on Bollinger Bands with a specific period MA, i.e. the Bollinger Bands with a shorter moving average (MA) shows higher fluctuations and vice-versa, hence, could show false signals while choosing inappropriate MA, therefore, help of other technical analysis tools should be taken while going for an investment decision. </abstract>

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PENGARUH SIKLUS BISNIS, KAPASITAS HUTANG PROFITABILITAS DAN NILAI PASAR TERHADAP REAKSI PASAR PADA PERUSAHAAN MANUFAKTUR DI BURSA EFEK INDONESIA

Media Riset Akuntansi Auditing & Informasi ◽

10.25105/mraai.v11i1.1030 ◽

2011 ◽

Vol 11 (1) ◽

pp. 57

Author(s):

Winston Pontoh

Keyword(s):

Stock Price ◽

Stock Exchange ◽

Market Value ◽

Return On Equity ◽

Coverage Ratio ◽

Earnings Per Share ◽

Price Earnings Ratio ◽

Equity Ratio ◽

Debt Capacity ◽

Operating Leverage

Invesments for stocks has a high risk compared with the other investments. Ability of company to make earnings is very demanded by investors in their investments to get dividend and maximized capital gain.The ability of company can be view by some aspects, there are, business cycle by Degree of Operating Leverage (DOL), debt capacity by Debt to Equity Ratio (DER) and Interest Coverage Ratio (ICR), profitability by Return on Equity (ROE) and Earnings Per Share (EPS), and market value by Price Earnings Ratio (PER).The objectives ofresearch are to analyze effect ofDegree of Operating Leverage (DOL), Debt to Equity Ratio (DER), Interest Coverage Ratio (ICR), Return on Equity (ROE), Earnings Per Share (EPS), dan Price Earnings Ratio (PER) to market stock price. The research use data of audited financial statements of manufacturing company from Indonesia Stock Exchange (Bursa Efek Indonesia) in period 2007 till 2009.The results show that as partial, DOL, ROED, PER, EPS, and DER significantly effect to market stock price, than ICR. Simultaneously, DOL, ROED, ICR, PER, EPS and DER significantly effect to market stock price.Keywords : Degree of Operating Leverage (DOL), debt capacity by Debt to Equity Ratio (DER) and Interest Coverage Ratio (ICR), profitability by Return on Equity (ROE) and Earnings Per Share (EPS), and market value by Price Earnings Ratio (PER)

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Equity Analysis in Buying Company Shares on the Philippine Stock Exchange

Summer - GATR Journal of Finance and Banking Review ◽

10.35609/jfbr.2018.3.4(4) ◽

2018 ◽

Vol 3 (4) ◽

pp. 60-66

Author(s):

Prince T. Medina ◽

Mary Caroline N. Castaño ◽

Tomas S. Tiu

Keyword(s):

Stock Exchange ◽

Moving Average ◽

Technical Analysis ◽

The Philippines ◽

Asia Pacific ◽

Investment Behavior ◽

Fundamental Analysis ◽

Chi Square ◽

Chi Square Test ◽

Relative Valuation

Objective - Less than 1% of the population in the Philippines has invested in the stock market (PSE, 2016). The Philippine Stock Exchange (PSE) has been in operation since 1927 and is one of the oldest in the Asia Pacific. The primary objective of this research is to examine the investing techniques of online users using technical and fundamental analysis. Methodology/Technique - A chi-square test is used to determine if there is a significant difference between the expected frequencies and the observed frequencies in one or more categories. The research probes the relationship of the demographic profiles of respondents and their investment behavior using the Friedman's test. Findings - The descriptive statistics show the frequency counts of 418 observations and the corresponding chi-square test for the distribution-free data. The analysis of variance by ranks was used to reflect the Friedman test for the hierarchy of perception of the respondents per given variable. The chi-square test (χ2 (df = 4, ρ = 0.001) = 53.603) shows that actual observations on the relative valuation (86, 48, 130, 99, and 55) is significantly different from a uniform fit of 84 observations at 4 degrees of freedom and 5% level of significance. Novelty – Hence, the study concluded that investors prefer a relative valuation equity selection strategy using fundamental analysis. Furthermore, the study concludes that the moving average (36, 11, 80, 95 and 196) is preferred by investors using technical analysis. Type of Paper - Empirical. Keywords: Fundamental Analysis; Technical Analysis; Investment Behavior; Philippine Stock Exchange; Relative Valuation; Moving Average. JEL Classification: G10, G14, G19.

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Effectiveness of Technical Analysis Signals Around the Earning Announcements in Malaysian Stock Market

International Journal of Engineering & Technology ◽

10.14419/ijet.v7i3.21.17104 ◽

2018 ◽

Vol 7 (3.21) ◽

pp. 109

Author(s):

Kelvin Lee Yong Ming ◽

Mohamad Jais

Keyword(s):

Stock Market ◽

Stock Exchange ◽

Moving Average ◽

Technical Analysis ◽

Relative Strength ◽

Kuala Lumpur ◽

Earning Announcement ◽

Strength Index ◽

Corporate Announcements ◽

Technical Indicator

Technical analysis is an analysis that widely applied by the investor in the stock market. However, various corporate announcements could cause the market to react, and the most significant corporate announcement is the earnings announcement (1). Thus, this study examines the effectiveness of technical analysis signals around the earning announcements dates in Malaysian stock market. In doing so, this study applied and tested four technical indicators, namely Simple Moving Average (SMA), Relative Strength Index (RSI), Stochastic (K line), and Moving Average Convergence/Divergence (MACD) in Malaysian stock market. The sample of this study consisted of 30 largest capitalization companies from the main market of Kuala Lumpur Stock Exchange (KLSE). Meanwhile, the sample period covered from 2nd January 2014 to 31st March 2016. This study found that Moving Average Convergence/Divergence (MACD) significantly produced higher returns as compared to the other technical indicator before the earning announcement dates in financial year 2014 and 2015. The combined indicator of MA-MACD also found to have higher return in financial year 2015. The findings conclude that the technical analysis signals can be used to generate returns before earning announcement dates.

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