scholarly journals ANALISIS EFISIENSI PENENTUAN PORTOFOLIO SAHAM PERUSAHAAN MANUFAKTUR DI PT. BURSA EFEK INDONESIA (BEI)

2017 ◽  
pp. 38-56
Author(s):  
Jonner Pangaribuan
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Efficient Frontier ◽  
Positive Influence ◽  
Optimal Portfolio ◽  
Manufacturing Companies ◽  
Technical Documentation ◽  
Expected Return ◽  
Portfolio Return

companies, as well as the influence of optimal portfolios and efficient manufacturing companies on stock returns in IDX. Benefits gained for investors itself is as an input to invest in stocks is optimal. The population in this study are all companies listed on the Stock Exchange, and the samples used are as many as 152 shares of manufacturing companies are divided into two portfolios based on market capitalization and value of corporate assets. Data collection techniques used by technical documentation, that the financial statements of companies that have previously run for two years ie from 2002 to 2003 observations. The data analysis technique used is multiple linear regression. Based on the results of the regression can be concluded that the higher the premium market significantly increases the risk of a stock portfolio of manufacturing companies. Regression coefficient for the independent variable on the dependent variable ERM portfolio return has a positive influence on the company. From the observations made, the optimal portfolio is the portfolio to be done based on the value of assets, particularly as it offers a great asset portfolio return of 55 percent with a 100 percent risk. Obviously the determination of the optimal portfolio for an investor to do and are applied in the efficient frontier curve is in accordance with the preferences of the investor returns and are willing to bear the risk. Therefore, investors should consider the investment shares of SBI level, analyzing the stock price and the expected return on a portfolio that is offered, as well as selecting a portfolio of shares in accordance with the preferences of the investor.

scholarly journals FACTORS AFFECTING OPERATING CASH FLOW TO STOCK RETURN THROUGH STOCK PRICE

2018 ◽  
Vol 5 (2) ◽  
Author(s):  
Aprih . Santoso
Keyword(s):  
Stock Returns ◽  
Cash Flow ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Financial Statements ◽  
Manufacturing Companies ◽  
Operating Cash Flow

Abstract : Companies need funds in order to carry out operations such as the financing of production activities, pay employees, pay other expenses related to the operation of the company. One way to obtain these funds is to attract investors to invest in companies in the form of stock, but in making this investment is certainly not easy for investors, because investors need consideration beforehand to find out how the company's performance. The purpose of this study was to examine and analyze the effect of operating cash flow to stock return through stock price at companies listed on the Stock Exchange Year 2012-2015. The data used in this study dala are secondary data from the financial statements of companies listed on the Indonesia Stock Exchange period 2012 - 2015. The data are in the form of financial statements can be obtained from the Indonesian Capital Market Directory (ICMD), the IDX website www.idx.co. id as well as from various other sources to support this research. The population in this research is manufacturing companies listed on the Stock Exchange the period 2012 - 2015. The samples taken by the sampling technique used purposive sampling.From the test results and analysis of the data it can be concluded that operating cash flow directly and indirectly has no effect on stock returns through stock prices showed no significant results. Keywords :  Operating Cash Flow, Stock Price, Stocks Return

scholarly journals Analisis Portofolio Optimal Saham Indeks Lq-45 Dengan Model Indeks Tunggal Di Bursa Efek Indonesia

2017 ◽  
Vol 5 (2) ◽  
Author(s):  
ALMUNFARIJAH ALMUNFARIJAH
Keyword(s):  
Central Asia ◽  
Stock Returns ◽  
Optimal Portfolio ◽  
Risk Level ◽  
Portfolio Risk ◽  
Expected Return ◽  
Minimum Risk ◽  
High Return ◽  
The Difference ◽  
Portfolio Return

Rational investors  invest in efficient stocks, the stocks that have  high return with minimum risk. The sample in this study using the stocks in the group LQ-45 index during the period February 2013-July 2013. The purpose of the study was to establish the optimal portfolio and to know the difference between stock returns and the risk of candidate and non-candidate portfolirn On Equity (ROE).The results showed there were 15 stocks that become candidate in a portfolio out of 45 stocks studied with the cut of point value -2.7-7. Optimal portfolio is formed by 15 stocks that have excess returns to beta (ERB) which is greater than the risk-free return (Rf).The largest proportion of funds owned by PT Kalbe FarmaTbk i.e 16,2 %, and the smallest proportion of the funds owned by PT Bank Central Asia Tbk i.e 0,1101288%. Rational investor would prioritize to invest in securities that have a the largest proportion of the funds, because of that large proportion of funds so we will be getting higher profit with the certain risks as well.Investors that will invest theirs funds into these 15 companies that have formes this optimal portfolio would get portfolio profit 2,1-7 and portfolio risk -2.7-7. That portfolio profit is not far different with the expected return of each individual stock. So despite using LQ-45 stocks that have the biggest marketing capitalization and the most liquid infact it has not guarante that investors would gain their expectation of getting portfolio return as what they expected.Risk portfolio of 2,1-7 is smaller than the risk level of each individual stock . Although the establishment of the optimal portfolio yield expected return of portfolio which is not much different with thereturn of individual stock,but still provide the benefit of diversification that is beneficial for reducing the risk of each individual stock

scholarly journals Desain Portofolio Optimal untuk Keputusan Investasi pada Fase Krisis Keuangan

2017 ◽  
Vol 16 (1) ◽  
pp. 68
Author(s):  
Deddy Saptomo ◽  
Insannul Kamil ◽  
Elita Amrina ◽  
Mego Plamonia
Keyword(s):  
Stock Price ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Arbitrage Pricing Theory ◽  
Expected Return ◽  
Macroeconomic Factors ◽  
The Us ◽  
Pricing Theory ◽  
The Global Financial Crisis

This research aims to design optimal portfolio with a case study of stocks listed on the Indonesia Stock Exchange (IDX) that conduct transactions in the period 2011-2015. The sample used were 396 companies listed on nine sectors in BEI. Arbitrage Pricing Theory (APT) method is used to determine the realized return, expected return, and efficient portfolio involving four macroeconomic factors (Stock Price Index (IHSG), interest rate of Indonesian Bank Certificates (SBI), Inflation and Exchange Rate of Rupiah against the US Dollar). Efficient portfolio is formed by 231 undervalued companies. While the optimal portfolio with the Excess Return to Beta (ERB) approach was formed by 42 companies with a ERB value greater than (or equal to) cut-off point (0,1912). Under the uncertainty of the investment climate due to the global financial crisis, the decision to make investments needs to be done carefully and consider various factors, including macroeconomic factors. This research has succeeded in designing an optimal portfolio that can be a guide for investors to determine investment decisions.

scholarly journals Desain Portofolio Optimal untuk Keputusan Investasi pada Fase Krisis Keuangan

2017 ◽  
Vol 16 (1) ◽  
pp. 069
Author(s):  
Deddy Saptomo ◽  
Insannul Kamil ◽  
Elita Amrina ◽  
Mego Plamonia
Keyword(s):  
Stock Price ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Arbitrage Pricing Theory ◽  
Expected Return ◽  
Macroeconomic Factors ◽  
The Us ◽  
Pricing Theory ◽  
The Global Financial Crisis

This research aims to design optimal portfolio with a case study of stocks listed on the Indonesia Stock Exchange (IDX) that conduct transactions in the period 2011-2015. The sample used were 396 companies listed on nine sectors in BEI. Arbitrage Pricing Theory (APT) method is used to determine the realized return, expected return, and efficient portfolio involving four macroeconomic factors (Stock Price Index (IHSG), interest rate of Indonesian Bank Certificates (SBI), Inflation and Exchange Rate of Rupiah against the US Dollar). Efficient portfolio is formed by 231 undervalued companies. While the optimal portfolio with the Excess Return to Beta (ERB) approach was formed by 42 companies with a ERB value greater than (or equal to) cut-off point (0,1912). Under the uncertainty of the investment climate due to the global financial crisis, the decision to make investments needs to be done carefully and consider various factors, including macroeconomic factors. This research has succeeded in designing an optimal portfolio that can be a guide for investors to determine investment decisions.

Determinants of stock return of property and real estate companies in the developing market

2021 ◽  
Vol 5 (2, special issue) ◽  
pp. 184-193
Author(s):  
Endri Endri ◽  
Dani Fahmi Amrullah ◽  
Haryo Suparmun ◽  
Hilda Mary ◽  
Maya Sova ◽  
...  
Keyword(s):  
Real Estate ◽  
Financial Performance ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Expected Return ◽  
Macroeconomic Risk ◽  
Property Price ◽  
Negative Effect

Macroeconomic risk factors can determine the expected return on property and real estate stocks (Khan, Khan, Ahmad, & Bashir, 2021), in addition to other factors: property prices (Das, Füss, Hanle, & Russ, 2020) and financial performance (Medyawati & Yunanto, 2017). This study aims to empirically prove the effect of interest rates (SB), exchange rates (KURS), commercial property price index (IHPK), return on assets (ROA), debt-to-equity ratio (DER), and current ratio (CR) on stock returns estimated using panel data regression model. The sample of this research is 23 companies from 63 companies in the property and real estate industry which are listed on the Indonesia Stock Exchange (IDX) during the 2015–2019 period. The empirical findings of this study prove that the ROA, CR, IHPK, and KURS variables have a negative effect on stock returns, while the SB variable has a positive effect. The level of corporate debt (DER) was not proven to determine stock returns. The exchange rate has the greatest influence on stock returns, and the fact does show that the Indonesian stock market is dominated by foreign investors, so that every time foreign currencies appreciate because they leave the stock exchange, the stock price immediately declines. The results of this study have implications for investors that investment decisions to buy shares of property and real estate companies must understand the changes that occur, especially macroeconomic variables and also the company’s financial performance

Pengaruh Kinerja Keuangan dan Good Corporate Governance (GCG) Terhadap Nilai Perusahaan

MBIA ◽  
2019 ◽  
Vol 17 (2) ◽  
pp. 1-10
Author(s):  
Rolia Wahasusmiah
Keyword(s):  
Corporate Governance ◽  
Firm Value ◽  
Sampling Method ◽  
Total Population ◽  
Annual Report ◽  
Stock Exchange ◽  
Secondary Data ◽  
Positive Influence ◽  
Manufacturing Companies ◽  
Good Corporate Governance

This study aims to determine the effect of financial performance and good corporate governance (GCG) on the value of companies in manufacturing companies listed on the stock exchange Indonesia. The type of data used is secondary data in the form of annual report 2016. Population used in this study are all companies listed on the Indonesia Stock Exchange (BEI). This research uses purposive sampling method with total population of 144 companies and sample of 31 companies. The results show that simultaneously ROA, OPM, NPM, KM, and KI have a positive influence on firm value. While partially ROA  have a positive influence on firm value. While OPM, NPM, KM, and KI have no positive influence on firm value).

ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

2019 ◽  
Vol 4 (2) ◽  
Author(s):  
Mochamad Andik Firmansyah
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Portfolio Risk ◽  
Expected Return ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Market Return ◽  
Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio  formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

Pengaruh Intellectual Capital, Profitabilitas, Dan Leverage Terhadap Nilai Perusahaan Pada Perusahaan Sektor Properti, Real Estate, Dan Konstruksi Bangunan Yang Terdaftar Di Bursa Efek Indonesia

2018 ◽  
Vol 9 (2) ◽  
pp. 1-14
Author(s):  
Haryani Chandra ◽  
Hamfri Djajadikerta
Keyword(s):  
Real Estate ◽  
Intellectual Capital ◽  
Firm Value ◽  
Stock Price ◽  
Stock Exchange ◽  
Value Added ◽  
Simple Random Sampling ◽  
Positive Influence ◽  
Public Companies ◽  
Equity Ratio

Go public companies have main purpose to increase firm value consistently. Increased firm value can reflect the increase in the prosperity of shareholders. The purpose of this research is to determine whether intellectual capital, profitability, and leverage have an influence on firm value. This research is expected to help companies to determine the focus on managing the factors those have an influence towards firm value and help investors and potential investors to make investment decisions. This research is conducted on firms listed in property, real estate, and building construction sector in Indonesia Stock Exchange during 2010 until 2015. Samples are selected by simple random sampling method. The research method used is the regression analysis. Intellectual capital is measured by value added intellectual coefficient (VAIC), profitability is measured by return on assets (ROA), leverage is measured by debt- to-equity ratio (DER), and firm value is measured by the year-end closing stock price. The results showed that intellectual capital, profitability, and leverage have partially a significant positive influence on firm value. In addition, intellectual capital, profitability, and leverage have significant influence simultaneously on firm value. Keywords: firm value, intellectual capital, leverage, profitability

PENGARUH EARNINGS PER SHARE, NET PROFIT MARGIN, DEBT TO EQUITY RATIO TERHADAP HARGA SAHAM

Equity ◽  
2015 ◽  
Vol 18 (1) ◽  
pp. 39
Author(s):  
Taufan Septiawan ◽  
Erna Hernawati
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Hypothesis Test ◽  
Sampling Technique ◽  
Profit Margin ◽  
Manufacturing Companies ◽  
Earnings Per Share ◽  
Net Profit ◽  
Equity Ratio ◽  
Positive Effect

This study was conducted to examine the effect of Earnings Per Share, Net Profit Margin, Debt to Equity Ratio toward Stock Price on manufacturing companies in Indonesia Stock Exchange during the years 2009-2012. The population consists of 36 companies and are used as a sample of 17  ompanies. Sampling technique using purposive sampling method. Data were tested by using multiple regression analysis and hypothesis test with 5% level of confidence. The research results that the variables Earnings Per Share (EPS) and Net Profit Margin (NPM) gives significantly positive effect on Stock Price. The other variables Debt to Equity Ratio is not significantly to Stock Price. We suggest for investors in Indonesia Stock Exchange that paying attention other factors that regards Stock Price because with those information they can make the best decision for their investments

Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers

2021 ◽  
pp. 097226292110225
Author(s):  
Rakesh Kumar Verma ◽  
Rohit Bansal
Keyword(s):  
Stock Returns ◽  
Financial Institutions ◽  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Developed Countries ◽  
Low Carbon ◽  
Bond Issue ◽  
The Government ◽  
The Impact

Purpose: A green bond is a financial instrument issued by governments, financial institutions and corporations to fund green projects, such as those involving renewable energy, green buildings, low carbon transport, etc. This study analyses the effect of green-bond issue announcement on the issuer’s stock price movement. It shows the reaction of the stock price after the issue of green bonds. Methodology: This study is based on secondary data. Green-bond issue dates have been collected from newspaper articles from different online sources, such as Business Standard, The Economic Times, Moneycontrol, etc. The closing prices of stocks have been taken from the NSE (National Stock Exchange of India Limited) website. An event window of 21 days has been fixed for the study, including the 10 days before and after the issue date. Data analysis is carried out through the event study method using the R software. Calculation of abnormal returns is done using three models: mean-adjusted returns model, market-adjusted returns model and risk-adjusted returns model. Findings: The results show that the issue of green bonds has a significant positive effect on the stock price. Returns increase after the green-bond issue announcement. Although the announcement day shows a negative return for all the samples taken for the study, the 10-day cumulative abnormal return (CAR) is positive. Thus, green-bond issues lead to positive sentiments among investors. Research implications: This research article will help the government issue more green bonds so that the proceeds can be utilized for green projects. The government should motivate corporations and financial institutions to issue more green bonds to help the economy grow. In India, very few organizations have issued a green bond. It will be beneficial if these players issue green bonds, as it will increase the firms’ value and boost returns to the investors. Originality/value: The effect of green-bond issue on stock returns has been analysed in some studies in developed countries. This is the first study to examine the impact of green-bond issue on stock returns in the Indian context, to the best of our knowledge.

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