Study on Announcement Effect of Stock Repurchase from the Perspective of Configuration Analysis

This paper takes the stock repurchase cases in 2018-2019 after the promulgation of the New Company Law as the research object. Using the qualitative comparative analysis method and PSO-ICA-GARCH model, we analyze the influencing factors of the stock repurchase announcement market reaction. Through the analysis of the degree of premium (DP), repurchase ratio (RR), natural logarithm of total assets (LAS), return on net assets (ROE), top 10 shareholder equity ratio (CR10), and executive shareholding ratio (MSL), it is found that the paths of high CAR stock repurchase effect include repurchase clause-oriented type and centralization-proportional matching type; the path of nonhigh CAR stock repurchase effect includes size-premium limit type, profit-proportion limit type, and repurchase clause limit type. Compared with GARCH model, it has higher separation accuracy and more accurate model prediction effect.

THE DETERMINANT FACTORS OF SOLVENCY ON SHARIA LIFE INSURANCE IN INDONESIA

ABSTRAKPenelitian bertujuan untuk menilai ada tidaknya pengaruh ukuran perusahaan, pertumbuhan kontribusi, hasil investasi, dan likuiditas terhadap solvabilitas yang diproksikan dengan Risk Based Capital pada Asuransi Jiwa Syariah di Indonesia secara parsial ataupun simultan. Penentuan sampel dengan metode purposive sampling dan ditemukan 10 perusahaan sampel. Dengan bantuan aplikasi Eviews9 melalui uji regresi data panel didapatkan persamaan RBC = -563.8638 + 44.05145 Ukuran + 1.922926 Kontribusi - 0.333289 Investasi + 0.911149 Likuiditas + e. Hasil penelitian menunjukkan keempat variabel bersama-sama memengaruhi solvabilitas. Ukuran perusahaan memiliki pengaruh positif signifikan sementara itu pertumbuhan kontribusi, hasil investasi, dan likuiditas menunjukkan tidak adanya pengaruh terhadap solvabilitas Asuransi Jiwa Syariah di Indonesia periode 2015-2019.Kata Kunci: Ukuran Perusahaan, Pertumbuhan Kontribusi, Hasil Investasi, Likuiditas, Solvabilitas, Asuransi Jiwa Syariah. ABSTRACTThe purpose of this study isto determine whether there is an effect of company size, premium growth, investment returns, and liquidity on solvency as proxied by Risk Based Capital on sharia life insurance in Indonesia partially or simultaneously. Determination of the sample by purposive sampling method found 10 sample companies. With the help of Eviews9 application through the panel data regression test, it is obtained the equation RBC = -563.8638 + 44.05145 Size + 1.922926 Contribution - 0.333289 Investment + 0.911149 Liquidity + e. The results showed that the four variables together affect solvency. Company size has a significant positive effect meanwhile the premium growth, investment returns, and liquidity shows no influence on the solvency of sharia life insurance in Indonesia period 2015-2019.Keywords: Company Size, Premium Growth, Investment Return, Liquidity, Solvency, Sharia Life Insurance.

Country-Level Size Effects in International Asset Pricing

This paper investigates whether small markets offer higher risk-adjusted expected returns using a large set of developed and emerging markets over a time span of up to four decades. The results show that expected returns are significantly lower in larger markets, an effect more pronounced in emerging rather than developed countries. The relationship between size effects and the level of market segmentation in emerging countries is further explored in the context of financial market integration. The size premium is strong and persistent over time independently of the (fading) segmentation premium documented in the literature. Markets size effects remain statistically and economically significant in the presence of various control factors and account for up to 1% per year in terms of expected returns in emerging countries.

DETERMINAN PROFITABILITAS PERUSAHAAN ASURANSI SYARIAH DI INDONESIA

ABSTRAKTujuan dari penelitian ini adalah untuk mengetahui hubungan company size, premium growth, investment, risk based capital, volume of capital, dan claim expense terhadap profitabilitas asuransi syariah di Indonesia. Pendekatan penelitian yang digunakan adalah kuantitatif dengan metode analisis meta. Penelitian ini menggunakan dua belas artikel sampel yang diterbitkan di Indonesia melalui Sinta Journal dan Google Scholar dengan periode empat tahun (2017-2020). Penelitian ini menunjukkan bahwa company size, premium growth, investment, dan volume of capital berpengaruh signifikan terhadap profitabilitas. Sementara itu risk based capital dan claim expense tidak memiliki pengaruh signifikan terhadap profitabilitas perusahaan asuransi syariah. Temuan dari penelitian ini memberikan implikasi bahwa perusahaan asuransi syariah perlu memperhatikan aspek company size, premium growth, investment, dan volume of capital serta dapat mempertimbangkan nilai risk based capital dan claim expense dalam mendukung peningkatan profitabilitas perusahaan sehingga kinerja perusahaan asuransi syariah di Indonesia menjadi lebih baik.Kata Kunci: Profitabilitas, Asuransi Syariah, Analisis Meta, Indonesia. ABSTRACTThe purpose of this study is to determine the relationship between company size, premium growth, investment, risk based capital, volume of capital, and claim expense on the profitability of Islamic insurance in Indonesia. This research applies a quantitative approach with meta-analysis methods. This study used twelve sample articles published in Indonesia through Sinta Journal and Google Scholar during the 2017-2020 period. This study shows that company size, premium growth, investment, and volume of capital have significant effect on profitability. Meanwhile, risk based capital and claim expense do not have significant effect on the profitability of Islamic insurance companies. The findings of this study imply that Islamic insurance companies in Indonesia need to pay attention to aspects of company size, premium growth, investment, and volume of capital and can consider the value of risk based capital and claim expenses in supporting the increase in company profitability so that the performance of Islamic insurance companies in Indonesia is better.Keywords: Profitability, Islamic Insurance, Meta-Analysis, Indonesia.

NON-LINEAR RELATIONSHIPS BETWEEN HOUSE SIZE AND PRICE

This study reexamines the relationship between house size and price by using the quantile regression model. Housing transactions data of the National Taipei University Special Zone in Taiwan are adopted, and the findings are as follows. First, the total price of a smaller housing unit will increase at a decreasing rate as its size increases. The decrease in marginal price might be due to the declining marginal utility of the property right. Secondly, the total price of a larger housing unit will increase at an increasing rate as its size increases. The size premium effect might be due to the influence of conspicuous consumption. Thirdly, housing with a lower square meter price is subject to greater price competitiveness in the market, and the price will increase at a decreasing rate as the size increases. Conversely, a housing unit with a higher square meter price will decrease at an increasing rate as its size increases. This might be due to the constraint imposed by the purchaser’s housing affordability. These findings clarify the nonlinear relationships between housing size and price, and provide very useful information for decision making of the developers, home purchasers, real estate appraisers, and the governments.

Investor Sentiments and Fama–French Five-Factor Premia

This study provides new insights to predict the excess return of a security. As if factor premia are getting influenced by the sentiments that means sentiments are ultimately affecting the excess return of a security. To meet the objective, a composite index developed by Baker and Wurgler is used as sentiment proxy. Monthly data are used from July 1965 to September 2015 in U.S. context. Granger casualty, Vector Autoregression (VAR), and Fama–Macbeth regression are applied to get the results. Results show that investor sentiments significantly drive the Fama factors’ premia: size premium and profitability premium. Sentiments also contain some information to explain the investment premia but fail to explain the market risk premium and value premium. Furthermore, results suggest that sentiments increase the explanatory power of model measured by R square. In short, this study suggests that investor sentiments play a role in explaining the Fama–French five-factor premia.

Small and Vulnerable

We provide broad-based evidence of a firm size premium of total factor productivity (TFP) growth in Europe after the Global Financial Crisis. The TFP growth of smaller firms was more adversely affected and diverged from their larger counterparts after the crisis. The impact was progressively larger for medium, small, and micro firms relative to large firms. It was also disproportionally larger for firms with limited credit market access. Moreover, smaller firms were less likely to have access to safer banks: those that were better capitalized banks and with a presence in the credit default swap market. Horseraces suggest that firm size may be a more important and robust vulnerability indicator than balance sheet characteristics. Our results imply that the tightening of credit market conditions during the crisis, coupled with limited credit market access especially among micro, small, and medium firms, may have contributed to the large and persistent drop in aggregate TFP.

Adjustment by size effect on the cost of equity: Pending practice in capital budget in Colombia

This research identifies and analyzes the implications of capital budgeting techniques implemented by large, medium and small companies, related to the use and calculation of the discount rate - emphasizing in the cost of equity, adjusting it with a size premium and the calculation method of the latter- differentiating between the procedure of family and non-family businesses and the types of projects. Additionally, the same procedure is used for the viability indicators of the projects given their relevance in capital budget. For this, a descriptive analysis accompanied by contingency tables is made to a group of 182 Colombian companies. The results show that (i) only 14% of SMEs that evaluate their projects (93) adjust the discount rate with a size premium, (ii) procedures to define capital budget are more informal in family companies, (iii) expansion and replacement projects are more evaluated by family businesses, while mergers and acquisitions are more evaluated by non-family businesses, and (iv) there is little transfer of knowledge from the academy to the company.

The Small-Sized Premium: Is It Really Relevant? Evidence from the European Equity Market

The valuation of a company reflects the expected return or equivalently, the cost of capital that investors demand in exchange for the risk assumed. Despite the ex-ante nature of the problem, the majority of empirical analysis has focused on factors explaining expected returns from an ex-post perspective. In this paper, we take a different approach and try to identify which factors are ex-ante included in discount rates, with particular attention to the so-called size premium. Starting from observed market capitalisations and company fundamentals, we obtain the implied cost of capital from the reverse engineering of a carefully designed fundamental valuation model. Panel data regressions are used to investigate the existence of a relation between the implied cost of capital and the firm’s size, including other control variables representative of the most cited asset pricing “anomalies”. Our sample comprises European non-financial stocks listed on primary markets, with half-yearly observations starting from the aftermath of the 2008 global financial crisis. Contrary to common wisdom, we find that the firm’s size has no tangible impact to explain the implied cost of capital.