scholarly journals Essays in financial accounting and banking

2017 ◽  
Author(s):  
Ανδρέας Τσάλας
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Stock Price ◽  
Structural Changes ◽  
Cash Flows ◽  
Common Finding ◽  
Accrual Anomaly ◽  
Managerial Performance ◽  
High Volatility ◽  
Influential Paper

In this thesis I examine two aspects of these issues that have been intensified form the onset of the financial crisis: the Accrual Anomaly in the Greek capital market and Non-Performing Loans (NPLs, hereafter) in the framework of the International Experience. The accrual anomaly was first tested by Sloan in his influential paper (1996). In that paper he present evidence that accruals are less persistent than cash flows and that investors fixate on earnings failing to correctly distinguish between their different properties. My results strongly suggest that low accrual firms did have higher future returns, actually quite higher returns that firms with high accruals, in an environment of extremely high volatility, structural changes in the economy, market crashes and fiscal crises. Total accruals are negatively related to future profitability and stock returns, and the earnings and stock price performance of accrual hedge portfolios provide a meaningful economic summary of this relationship. The findings suggest that growth is mostly responsible for the lower earnings persistence, while accounting distortions are probably not. The results suggest that growth determinants do not behave as substitutes to efficiency determinants in motivating the accrual effect on future stock returns in the Greek capital market. In particular, the findings indicate that the growth component is dominant, as is evidenced by both regressions and hedging portfolios, and, furthermore, it appears that the results are mainly driven by the post 2001 period. The empirical evidence on NPLs implies that both macroeconomic, namely GDP, unemployment and interest rate and bank-specific, i.e. bad management and luck too, skimping, moral haphazard, too big to fail and size effect, factors may influence loan portfolio quality. Additionally, a common finding of related studies is that problem loans evolve counter cyclically in relation to the broader macroeconomic environment. These results should be taken into serious consideration by regulators and policy makers. Bank performance and inefficiency indicators should be thought as crucial determinants of future problem loans. Therefore, regulators trying to determine which banks may face increased problems with future NPLs need to concentrate on managerial performance and procedures so as to prevent future financial vulnerability. The results are consistent with the increased growth of the Greek economy after the introduction of Euro and the subsequent opening up pf the Greek product and labor market, and, mostly, the liberalization of the financial sector. It appears that in times of crisis companies that cannot operate efficiently on their accruals jeopardize their future profitability: growth obviously works pro-cyclically while efficiency countercyclically.

An Analysis of the Sources of Value Loss Following Financial Restatements

2021 ◽  
pp. 0148558X2198991
Author(s):  
Philip K. Hong ◽  
Jaywon Lee ◽  
Sang-Hyun Park ◽  
Sukesh Patro
Keyword(s):  
Stock Returns ◽  
Cash Flow ◽  
Discount Rate ◽  
Stock Price ◽  
Cash Flows ◽  
Financial Fraud ◽  
Earnings Persistence ◽  
Flow Component ◽  
Financial Restatements ◽  
Value Loss

We decompose the total value loss around firms’ announcements of financial restatements into components arising from investors’ revisions in cash flows and discount rates. First, relative to population benchmarks, restatements represent circumstances in which the cash flow component becomes more important in explaining valuations. While we find significant contributions from both sources, with the cash flow component explaining more than 33% of the variation in stock returns surrounding restatement announcements, this component explains only 13% to 22% in comparable non-restating firms. When restatements are caused by underlying financial fraud, the discount rate impact becomes more important, explaining about 88% of return variation. On the contrary, the cash flow impact is relatively larger for firms with higher earnings persistence or restatements associated with errors. Our decomposition of the value loss helps explain returns in the post-announcement period. Firms with a higher relative discount rate impact experience a significant downward stock price drift after the initial announcement-related price decline. For firms with a higher relative cash flow impact, the evidence suggests the initial impact of the restatement announcement is more complete with no subsequent drift pattern. Our findings close gaps in the evidence on financial restatements and extend the literature on the drivers of stock price movements.

Revisiting the (Mis)Pricing of Accruals

2019 ◽  
Vol 4 (1) ◽  
pp. 141-156
Author(s):  
Bradley Lail ◽  
Robert C. Lipe ◽  
Han S. Yi
Keyword(s):  
Stock Returns ◽  
Null Hypothesis ◽  
Statistical Tests ◽  
Cash Flows ◽  
Data Availability ◽  
Investor Behavior ◽  
Reliability Measures ◽  
Accrual Anomaly ◽  
Earnings Components ◽  
Jel Classifications

Our paper examines inconsistent conclusions regarding the accrual anomaly and demonstrates the importance of aligning regression specifications with hypotheses. Richardson, Sloan, Soliman, and Tuna (2005) conclude that accruals are mispriced and the mispricing seems to increase as accrual reliability decreases. Barone and Magilke (2009) and Ball, Gerakos, Linnainmaa, and Nikolaev (2016) conclude that cash flows rather than accruals are mispriced. We show that the divergent conclusions come from misalignment between the null hypothesis and regression specification in Richardson et al. (2005) . In addition, analysis of the contemporaneous relations between stock returns and components of earnings supports an initial underreaction to cash flows by investors. We fail to detect links between the reliability measures in Richardson et al. (2005) and investor behavior once we align the statistical tests with the null hypothesis. Our reexamination of prior findings benefits accounting academics, standard setters, and others interested in how investors use earnings components. JEL Classifications: M41. Data Availability: All data used in this study are publicly available from the sources identified in the text.

scholarly journals Impact of Exchange Rate Volatility to Stocks’ Return in Indonesia: The Augmented Markov-Switching Egarch Approach

2020 ◽  
Vol 21 (2) ◽  
pp. 161-173
Author(s):  
Wasiaturrahma Wasiaturrahma ◽  
Dita Normalaksana Putri ◽  
Shochrul Rohmatul Ajija
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Foreign Exchange Market ◽  
Markov Switching ◽  
High Volatility ◽  
Volatility Regimes ◽  
The Exchange Rate ◽  
Exchange Rate Changes

The stock price is one indicator that represents the economic performance in a country. Changes in stock prices, including various factors, as an example, is the exchange rate changes as the representation from the foreign exchange market. The fluctuating exchange rate price also influences the volatility of the stock price. Furthermore, volatility has different high and low regime stages that will cause a disparate impact on the outcome of the relationship changes. This study aims to examine the presence of asymmetric volatility and its effects on the volatility of LQ45 stock returns, as well as the changes in exchange rates of Rupiah against USD from 1997 to 2017. Using the Augmented Markov Switching EGARCH  approach,  the  results  of  this  study  indicate  an  asymmetric  behavior  in  the  volatility  of LQ45 stock returns. High volatility regimes are more dependent and more unstable than low volatility regimes, and low volatility regimes dominate the duration compared to the high volatility regime. The good and bad news give different impact on LQ45 stock return volatility and exchange rate changes. Moreover, the unstable economies will respond faster than the stable economies in terms of facing the exchange rate changes.

scholarly journals PENGUJIAN ANOMALI PASAR (JANUARY EFFECT) DI BURSA EFEK INDONESIA

2019 ◽  
Vol 8 (9) ◽  
pp. 5571
Author(s):  
Ni Kadek Ema Yunita ◽  
Henny Rahyuda
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Secondary Data ◽  
January Effect ◽  
Test Results ◽  
Average Return ◽  
Abnormal Stock Returns

The January effect is a phenomenon of deviation from the form of efficient capital markets, where the average return in January is higher than in other months. The purpose of this research is to find out whether there is a January effect on the IDX30 index group companies on the Indonesia Stock Exchange in the period February 2013 to January 2018. This study uses secondary data in the form of monthly stock price data used closing price on the Indonesia Stock Exchange. The sample used was 17 companies. The test results using the SPSS program is a t-test which shows that there is no difference in abnormal stock returns in January with months other than January. So, it can be concluded that the phenomenon of the January Effect does not occur in the Indonesian capital market. Keywords: january Effect, abnormal return, IDX30 Index

scholarly journals PERHITUNGAN NILAI BETA DARI BEBERAPA SAHAM UNGGULAN DI INDONESIA DENGAN MENGGUNAKAN METODE GARCH

2016 ◽  
Vol 5 (2) ◽  
pp. 67
Author(s):  
NI KADEK PUSPITAYANTI ◽  
KOMANG DHARMAWAN ◽  
I PUTU EKA N. KENCANA
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Stock Price ◽  
Secondary Data ◽  
Capital Gain ◽  
Economic Factors ◽  
Risky Assets ◽  
Daily Data ◽  
The Capital Market

The objective of investment in the capital market is to acquire dividends and capital gain. The fact proves that the advantage of investation risky assets is uncertain . This is because of the difficulty in analyzing and predicting Return and stock losses due to factors that affect the movement of the stock price , such as economic factors , political , social , and security. The model can be used by investors in predicting stock returns expected that Generalized Autoregressive Conditional Heteroscedaticity (GARCH). In this study calculations beta value of some leading stocks in Indonesia by using Generalized Autoregressive Conditional Heteroscedaticity (GARCH) are presented . The data used this search is secondary data covering daily data sampled 5 shares of PT Unilever Indonesia Tbk , PT Indosat Tbk , PT Indofood Sukses Makmur Tbk , PT Telkom Indonesia Tbk , PT Holcim Indonesia Tbk. From the results described fifth beta value of these shares using the method GARCH beta greater than the market in the period from 23 September 2013 until 24 September 2014.

scholarly journals Asymmetrically Timely Loss Recognition and the Accrual Anomaly: Evidence From Pakistan’s Non-financial Sectors

2020 ◽  
Vol 10 (3) ◽  
pp. 1
Author(s):  
Amna Asim ◽  
Danish Ahmed Siddiqui
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Research Result ◽  
Negative Relationship ◽  
Cash Flows ◽  
Accrual Anomaly ◽  
Indicator Variable ◽  
Financial Firms ◽  
Conditional Conservatism ◽  
Timely Loss Recognition

An important role of Conditional conservatism is to align the timely expense recognition of revenue generated in terms of losses compared to the profit over negative components of accruals. Accrual anomaly shows asymmetric differential persistence for accruals and cash flows in years of economic gains rather than losses. The aim of this study to determine the asymmetric timely loss recognition and accrual anomaly of the non-financial firms listed at Pakistan Stock exchange (PSX). Top volume non-financial firms listed at PSX were taken for this study over a period of 2011 to 2018. The direct implication of this research on the pattern of pricing of accrual component of earning exhibits positive relationship of excess returns with accruals and stock returns; whereas negative relationship with earnings, market capitalization and indicator variable of profit firms. Overall, research result is consistent with Konstantinidi et al. (2015), the accrual effect on stock return is existent for earnings generated firms, while not apparent for loss firms. This evidence provides relevant information on the aspects of accrual anomaly and its association with the variables of conditional conservatism on the pricing of accrual during the profit years. 

scholarly journals Profitabilitas Sebagai Mediasi Struktur Modal dan Pertumbuhan Perusahaan Terhadap Return Saham Syariah

2021 ◽  
Vol 2 (02) ◽  
pp. 113-124
Author(s):  
Vina Marlisa ◽  
Suminar Suminar ◽  
Tunggu Ariana ◽  
Deska Lafairi Rera ◽  
Ratnasari
Keyword(s):  
Capital Structure ◽  
Stock Returns ◽  
Capital Market ◽  
Stock Price ◽  
Sampling Method ◽  
Structural Model ◽  
Research Data ◽  
Purposive Sampling ◽  
Price Indexes ◽  
Asset Growth

Pasar modal syariah memiliki peran penting pada sektor keuangan. Jakarta Islamic Index (JII) memiliki tingkatan kinerja lebih baik dibandingkan dengan indeks harga saham lainnya. Hal ini membuka peluang bagi investor untuk berinvestasi pada saham-saham syariah untuk meningkatkan return. Penelitian untuk menganalisis profitabiltias (ROE) sebagai mediasi pengaruh struktur modal (DER) dan tingkat pertumbuhan perusahaan (Growth) terhadap return saham syariah. Data dari empat belas perusahaan Jakarta Islamic Index (JII) selama periode tahun 2017-2019 dengan metode purposive sampling dianalisis menggunakan model struktural.  Profitabilitas memediasi struktur modal terhadap return saham dimana profitabilitas dipengaruhi secara positif oleh struktur modal dan mempengaruhi return saham secara negatif. Profitabilitas tidak sebagai pemediasi karena pertumbuhan aset tidak mempengaruhi laba perusahaan. The syariah capital market has an important role in the financial sector. The Jakarta Islamic Index (JII) which has a better level of performance compared to other stock price indexes. This opens up opportunities for investors to invest in Islamic stocks to increase returns. Research to analyze profitability (ROE) as mediation of the influence of capital structure (DER) and the growth rate of companies (Growth) on the return of Sharia stocks. The research data was obtained from fourteen companies listed on the Jakarta Islamic Index (JII) during the period 2017-2019 with the purposive sampling method analyzed using a structural model. Profitability mediates capital structure on stock returns where profitability is positively influenced by capital structure and negatively affects stock returns. Profitability is not a mediator because asset growth does not affect the company's profit.

PENGARUH INFORMASI LABA AKUNTANSI, ALIRAN KAS DAN KOMPONEN ALIRAN KAS TERHADAP HARGA SAHAM PADA PERUSAHAAN MANUFAKTUR DI INDONESIA

2005 ◽  
Vol 1 (2) ◽  
pp. 79
Author(s):  
Ferry Ferry ◽  
Erny Ekawati
Keyword(s):  
Stock Returns ◽  
Cash Flow ◽  
Stock Prices ◽  
Stock Price ◽  
Cash Flows ◽  
Negative Influence ◽  
Positive Influence ◽  
Financial Accounting ◽  
Statement Of Cash Flows ◽  
The One

Brfoo 1994, the one way measurcd pdormance of go public compa4y is earning afier tu, but on September 7, 1994 the Indonesian Institute olAccountants (IAI) published the statement of financial Accounting Standard (PSAK) No.2, "statement of Cash Flows" requires companiesto pubtish the statewent of cash flows beginning from January I, tggs. So investors had two kinds measurement of performance go public companies.The objective of study is to aplain the influence of informationcontent of accounting income, total cash Jlows, and components of cash flow with stock price in lidonesian manufacuring firms The accounting income is earning afiir ta,tc before extra ordinary item and discontinued operations and total cash flows is a sum of cash flow from operating activities, cash llow from investing activities, and cash tlow from financing activities.This study was constitute replicated study from Triyono and Yogiyanto (2000) about the association of information content of total cash flows, components of cash Jlows, and accoun:ting income with stock prices or stock returns. This study took sample frorn manufacnring firms lisfed in the Jakarta Stock Exciange @ni) from 1999-iOOZ tnoT"had pubtished aadited financial statement. Stock prices using monthly prices that hadended December 1999-2002. The statistics method used to test ltypotheses is a linier multiple regression. The model was considered: levek')odet.  The empirical results with using the first model levels about the influ. hence information of accounting income and total cash flows with stock prices can be explained accounting income gave positive influence and significant with stock prices whereas total cash flows gcMe negative and tlgnil*nt with stock prices. In the second model levels about the influ- ,i"i ,nyn *ation of cash flow from operating actiu.ities, cash flow from investing activities, and cash flow from financing octivities with stock pri, i* b" explained, separated total gash fl9ws into.yomponents. of 'cash flows gave negative influence and significant with stock prices "rp"ifolly iash ltoi from aperating octivities and c-ash flow from finincing activities. In the third model levels obout influence information of acciunting income and components of cash Jlows with stock prices irn be expliined, accounting income gave positive inlluence and significont with stock prices whereas companents of cosh tlows gNe negative influence and significant with stock prices'Keywords : accounting Income, cash Flows, components of cashflows, levels model

Stock Price, Earnings, and Book Value in Managerial Performance Measures

2005 ◽  
Vol 80 (4) ◽  
pp. 1069-1100 ◽  
Author(s):  
Sunil Dutta ◽  
Stefan Reichelstein
Keyword(s):  
Performance Measures ◽  
Measurement Errors ◽  
Stock Price ◽  
Economic Value ◽  
Weighted Average ◽  
Value Added ◽  
Relevant Information ◽  
Cash Flows ◽  
Accounting System ◽  
Managerial Performance

This paper develops a multiperiod principal-agent model in which a manager must be given incentives to undertake investments and to exert personally costly effort. Investments are “soft” (e.g., intangible assets) and therefore entail measurement errors for the accounting system as it seeks to separate investments from operating expenditures. This separation is of no concern to the stock market, which draws on its own information about future cash flows resulting from current investments. The firm's stock price, however, reflects all value-relevant information, parts of which are not incentive relevant. Optimal incentive provisions must combine “forward-looking” market information with “backward-looking” accounting information. Under certain conditions, optimal performance measures can be expressed as a weighted average of economic value added (residual income) and market value added.

scholarly journals Moderasi Perbedaan Opini terhadap Faktor-Faktor Kinerja Harga Saham pada Perusahaan Sektor Pariwisata Saat Pandemi Covid-19

2021 ◽  
Vol 31 (10) ◽  
pp. 2663
Author(s):  
I Gst Ayu Eka Damayanthi ◽  
Ni Ketut Lely Aryani Merkusiwati
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Performance ◽  
Tourism Sector ◽  
Differences Of Opinion ◽  
Positive Effect

An uncertain and crisis-prone economy has an impact on the capital market in Indonesia. This study aims to analyze the effect of profitability, leverage , liquidity and differences of opinion on stock price performance and the role of investors' differences of opinion in moderating the effect of profitability, leverage , and liquidity on stock price performance. The population in this study is the tourism sector companies listed on the Indonesia Stock Exchange. The number of research observations was 136 observations. Data analysis used moderated regression analysis. The results of the study of profitability and leverage have a positive effect on stock returns . Leverage  which has no significant effect on stock returns . The results of this study also do not prove that differences in investor opinions moderate the effect of profitability, leverage , liquidity on stock price performance, possibly because tourism sector companies are not very favored by investors so that stock prices do not move much during the Covid-19 pandemic. Keywords: Profitability; Leverage; Liquidity; Stock Price Performance.

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