scholarly journals Capital Gains Overhang with a Dynamic Reference Point

2020 ◽  
Vol 66 (10) ◽  
pp. 4726-4745
Author(s):  
Christopher Riley ◽  
Barbara Summers ◽  
Darren Duxbury
Keyword(s):  
Stock Prices ◽  
Reference Point ◽  
Trading Volume ◽  
Reference Points ◽  
Capital Gains ◽  
Share Price ◽  
Purchase Price ◽  
Cross Sectional ◽  
Market Data ◽  
Salient Points

Financial models incorporating a reference point, such as the Capital Gains Overhang (CGO) model, typically assume it is fixed at the purchase price. Combining experimental and market data, this paper examines whether such models can be improved by incorporating reference-point adjustment. Using real stock prices over horizons from 6 months to 5 years, experimental evidence demonstrates that a number of salient points in the prior share price path are key determinants of the reference point, in addition to the purchase price. Market data testing is then undertaken by using the CGO model. We show that composite CGO variables, created by using a mix of salient points with weights determined in the experiment, have greater predictive power than the traditional CGO variable in both cross-sectional U.S. equity-return analysis and when analyzing the performance of double-sorted portfolios. In addition, future trading volume is more sensitive to changes in the composite CGO variables than to the traditional CGO, further emphasizing the importance of adjusting reference points. This paper was accepted by Tyler Shumway, Finance.

Assessment of Asymmetric Information Cost in Indian Stock Market: A Sectoral Approach

2020 ◽  
pp. 097215091986508
Author(s):  
Aritra Pan ◽  
Arun Kumar Misra
Keyword(s):  
Asymmetric Information ◽  
Stock Prices ◽  
Trading Volume ◽  
Share Price ◽  
Return Volatility ◽  
Information Cost ◽  
Market Conditions ◽  
Price Variation ◽  
Bid Ask Spread ◽  
The Impact

Bid-ask spread, along with profit, also encompass the impact of asymmetric information cost and order processing cost. Asymmetric information influences stock prices with varying degree of investors’ perception. Estimation of asymmetric information cost and its determinants have been explored significantly under low-frequency trading. The literature hardly attempts to study asymmetric information cost under high-frequency trading (HFT). Asymmetric information cost significantly influences bid-ask spread, and hence the nature of its impact under different market conditions needs to be analyzed under HFT. The study attempts to estimate asymmetric information cost in HFT and analyze its determinants under different industry sectors and market conditions. The study followed Affleck-Graves et al. (1994 , The Journal of Finance, 49(4), 1471–1488) model to estimate the asymmetric information cost using 5 minutes interval data for a period of 82 trading days. Information gets reflected in equity through the movement in price, variation in trading volume, and return volatility. The study has found share price, traded volume, return volatility and trading frequency as the major determinants of asymmetric information cost in different market conditions. The findings of the study have significant implications for market microstructure for trading, lowering information asymmetry in market and enhancing market quality.

scholarly journals An Anatomical study for localisation of Zygomatic branch of Facial nerve and Masseteric nerve – An aid to nerve coaptation for facial reanimation surgery: A cadaver based study in Eastern India

2017 ◽  
Vol 50 (01) ◽  
pp. 074-078
Author(s):  
Ratnadeep Poddar ◽  
Alipta Bhattacharya ◽  
Iman Sinha ◽  
Asis Kumar Ghosal
Keyword(s):  
Facial Nerve ◽  
Reference Point ◽  
Copper Wire ◽  
Anatomical Study ◽  
Cross Sectional Study ◽  
Reference Points ◽  
Circular Area ◽  
Cross Sectional ◽  
Facial Reanimation ◽  
Masseteric Nerve

ABSTRACT Context: In cases of chronic facial palsy, where direct neurotisation is possible, ipsilateral masseteric nerve is a very suitable motor donor. We have tried to specifically locate the masseteric nerve for this purpose. Aims: Describing an approach of localisation and exposure of both the zygomatic branch of Facial nerve and the nerve to masseter, with respect to a soft tissue reference point over face. Settings and Design: Observational cross sectional study, conducted on 12 fresh cadavers. Subjects and Methods: A curved incision was given, passing about 0.5cms in front of the tragal cartilage. A reference point “R” was pointed out. The zygomatic branch of facial nerve and masseteric nerve were dissected out and their specific locations were recorded from fixed reference points with help of copper wire and slide callipers. Statistical Analysis Used: Central Tendency measurements and Unpaired “t” test. Results: Zygomatic branch of the Facial nerve was located within a small circular area of radius 1 cm, the centre of which lies at a distance of 1.1 cms (±0.4cm) in males and 0.2cm (±0.1cm) in females from the point, ‘R’, in a vertical (coronal) plane. The nerve to masseter was noted to lie within a circular area of 1 cm radius, the centre of which was at a distance of 2.5cms (±0.4cm) and 1.7cms (±0.2cm) from R, in male and female cadavers, respectively. Finally, Masseteric nerve's depth, from the masseteric surface was found to be 1cm (±0.1cm; male) and 0.8cm (±0.1cm; female). Conclusions: This novel approach can reduce the post operative cosmetic morbidity and per-operative complications of facial reanimation surgery.

scholarly journals ANALISA FAKTOR-FAKTOR YANG MEMPENGARUHI HARGA DAN PERKEMBANGAN SAHAM SYARI’AH DI INDONESIA

2015 ◽  
Vol 3 (2) ◽  
Author(s):  
Eka Sri Wahyuni
Keyword(s):  
Quantitative Analysis ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Share Price ◽  
Purchase Price ◽  
Economic Variables ◽  
Library Research ◽  
Technical Factors ◽  
Highly Correlated

Eka Sri Wahyuni; The purpose of this study was to determine the factors - factors that affect stock prices and the development of Shari'ah in Indonesia. The method used in this library research. The results in this study is the movement of the stock price is affected by many factors. There are micro factors, there are also macro. In addition, the factors that affect stock price consists of fundamentals and technical factors. The fundamental factors are very important, because the share price is highly correlated with the company's ability to create future profits for shareholders. While technical factors are stock prices affected by movements in the share purchase price, number of shares traded and other data sourced from the market. Both fundamental and technical factors used as a quantitative analysis to determine the previous data on interest rates, economic variables and the value of stocks. This analysis is very important for investors to make a decision to invest in shares.Key Word: Stock Price Sharia, Islamic Shares Number of Transactions

scholarly journals The Outbreak of COVID-19 and Islamic Stock Market Responses in Indonesia

The Winners ◽  
2021 ◽  
Vol 22 (2) ◽  
Author(s):  
Rianda Rizky Permata ◽  
Budi Purwanto ◽  
Wita Juwita Ermawati
Keyword(s):  
United States ◽  
Influencing Factors ◽  
Stock Prices ◽  
Trading Volume ◽  
The United States ◽  
Test Methods ◽  
Short Term ◽  
Cross Sectional ◽  
Fiscal Stimulus ◽  
Market Responses

The research intended to analyze the overreaction phenomenon in Islamic stocks due to COVID-19 as well as the influencing factors by utilizing different test methods and cross-sectional regression. The research employed data on the daily stock prices from August 9th, 2019 to October 26th, 2020 on the Jakarta Islamic Index (JII) and the stocks utilized during the period of events. The sample of this research utilized seven events related to COVID-19. The findings of this research reveals that the announcement of COVID-19 transmission and lockdown (Event 2) causes overreaction in winner stocks. Meanwhile, the overreaction phenomenon of loser stock is due to the announcement of the United States fiscal stimulus (Event 5) and the announcement of the PSBB (Event 6). Furthermore, the new normal announcement event (Event 7) triggers overreaction in the winner and loser stocks. The results indicate that Islamic stocks continue to have several transactions which are prohibited by the Fatwa DSN MUI in the short term. In this case, the variables that impact the overreaction phenomenon are shown to be substantially and negatively linked to leverage and market capitalization, while trading volume significantly influences and has a positive correlation with the overreaction phenomenon.

scholarly journals Dividend clientele, new insights, and new questions: the Brazilian case

2009 ◽  
Vol 8 (1) ◽  
Author(s):  
Jairo Laser Procianoy ◽  
Rodrigo S. Verdi
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Market Price ◽  
Capital Gains ◽  
Capital Gains Tax ◽  
Abnormal Volume ◽  
Abnormal Trading Volume ◽  
Signaling Hypothesis ◽  
Dividend Tax

This paper analyzes the dividend clientele effect and the signaling hypothesis in the Brazilian stock market between 1996 and 2000. During this period, the dividend tax was zero and the capital gains tax varied between zero and 10%. Brazilian firms face two information regimes, which allow us to test the signaling hypothesis. From a sample of 394 observations studied, 39% show a first ex-dividend day stock price higher than the price on the last cum-dividend day. The market price is higher for unanticipated dividends but, even with pre-announced dividends, stock prices are higher than the expected level, which is inconsistent with the clientele hypothesis. We also find evidence of a positive abnormal volume around the unanticipated dividend date, which is consistent with the signaling hypothesis, but no abnormal trading volume around pre-announced dividend dates. Our findings are inconsistent with the clientele hypothesis but provide support for the signaling hypothesis.

scholarly journals Estimation of the Diagnostic Value of the Shape of Trigeminal Nerves and Their Neurovascular Relationships in the Diagnosis of Trigeminal Neuralgia

2020 ◽  
Vol 100 (6) ◽  
pp. 339-346
Author(s):  
A. V. Bakunovich ◽  
V. E. Sinitsyn ◽  
E. A. Mershina ◽  
Yu. A. Grigoryan
Keyword(s):  
Trigeminal Neuralgia ◽  
Reference Point ◽  
Diagnostic Value ◽  
Reference Points ◽  
Control Group ◽  
Cross Sectional ◽  
Predictive Values ◽  
Anatomical Characteristics ◽  
The Cross ◽  
Trigeminal Nerves

Objective: to estimate the diagnostic value of the anatomical characteristics of the intracisternal portions of the trigeminal nerves and adjacent arteries in diagnosing classical trigeminal neuralgia (TN).Material and methods. Fast Imaging Employing Steady-state Acquisition (FIESTA) using an isotropic MRI sequence was used to analyze the anatomical characteristics of the intracisternal portions of the trigeminal nerves and adjacent arteries in 133 patients, including 86 patients aged 55±11 years with clinically and surgically verified TN and in 47 patients aged 51±16 years in the control group. The investigators measured the cross-sectional areas of the trigeminal nerves at 5 mm from the pons cerebelli, the ratio of the largest-to-smallest nerve diameters at similar points, the distance to the adjacent arteries, and that between the closest neurovascular contact (NVC) point and the pons cerebelli. Characteristic curves (CC) were constructed and reference points with the highest specificity were selected with an acceptable sensitivity level for all parameters. Positive and negative predictive values (PPV and NPV, respectively) are determined for each reference point.Results. The area under the CC was equal to 0.77 for the ratio to the diameters of the trigeminal nerves near the pons cerebelli. At a reference point of 1.89, the sensitivity/specificity (Se/Sp) ratio was 0.57/0.82 with a PPV of 0.74 and an NPV of 0.83. The area under the curve for the cross-sectional areas of the trigeminal nerves at the pons cerebelli was 0.76. The reference point with an area of 3.65 mm2 yielded a Se/Sp ratio of 0.52/0.8 with a PPV of 0.51 and an NPV of 0.91. The distance to the adjacent artery gave an area under the CC of 0.72. The Se/Sp ratio at a reference point of 1.65 mm turned out to be 0.53/0.789 at a PPV of 0.55 and an NPV of 0.92. The area under the CC for the distances between the NVC point and the pons cerebelli was 0.75. The reference point of 4.05 mm with a Se/Sp index of 0.6/0.78 was characterized by a PPV of 0.77 and an NPV of 0.94.Conclusion. All the analyzed anatomical parameters showed an acceptable diagnostic value in diagnosing TN. Certain reference values of the parameters can be used to diagnose TN with the highest acceptable specificity at the maximum NPV to reduce frequent false-positive results. 

scholarly journals Pengaruh Rasio Likuiditas, Solvabilitas, Profitabilitas Terhadap Harga Saham Subsektor Perkebunan Yang Terdaftar Di Bursa Efek Indonesia

2021 ◽  
Vol 4 (2) ◽  
pp. 540-546
Author(s):  
Eka Sholeha Thea ◽  
Hari Sulistyo
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Sampling Technique ◽  
Multiple Linear Regression Analysis ◽  
Capital Gains ◽  
Share Price ◽  
Coefficient Of Determination ◽  
Negative Effects

Share Price is a reflection of the successful management of the company. A high share price will provide benefits, namely in the form of capital gains and a better image for the company so that it will attract investors to invest in the company. This study aims to determine whether there is an influence between liquidity, solvency and profitability on stock prices either partially or simultaneously. The research sample taken was 11 companies from a total of 19 plantation subsector companies that were listed on the Indonesia Stock Exchange in 2016-2018 with the sampling technique used was purposive sampling technique. The research method used is descriptive and verification, where descriptive uses descriptive statistics and verification uses multiple linear regression analysis and the coefficient of determination. The results of this study partially Current Ratio has no effect on stock prices, Debt to Equity Ratio has a negative effect on stock prices and Return on Equity has negative effects on stock prices. Keywords: Stock Price, Liquidity, Solvency, Profitability

scholarly journals The Ex-Day Phenomenon and Share Price Performance on Emerging Markets

2017 ◽  
Vol 11 (1) ◽  
pp. 16-36
Author(s):  
Viktoria Cherkasova ◽  
Vladimir Petrukhin
Keyword(s):  
Trading Volume ◽  
Explanatory Power ◽  
Empirical Support ◽  
Capital Gains ◽  
Share Price ◽  
Disposition Effect ◽  
Capital Gains Tax ◽  
Tax Rate ◽  
Microstructure Characteristics ◽  
Price Performance

We study share price performance at the ex-dividend date and its relation to trading volume and a set of factors corresponding to different explanatory theories. Among the investigated factors that may have impact on the ex-dividend date share price are dividend yield, capital gains tax rate and dividends tax rate, transaction costs, market microstructure characteristics, market stock risk, and the disposition effect. The research was conducted using the panel data of companies from the BRIC zone for the period of 2005-2015. According to the obtained results, dividend capturing and disposition effect theories are likely to have explanatory power for the ex-day phenomenon for our sample. Tax theory and dividend clientele theory have not found empirical support.

scholarly journals The Relationship of Stock Prices and Stock Market Performance Ratios in Companies Trading on Borsa Istanbul: An Application in Companies with the Highest Trading Volume

2021 ◽  
Author(s):  
Bilgehan Tekin ◽  
Seda Nur Bastak
Keyword(s):  
Regression Analysis ◽  
Stock Market ◽  
Stock Prices ◽  
Trading Volume ◽  
Market Price ◽  
Share Price ◽  
Panel Regression ◽  
Market Prices ◽  
Positive Direction ◽  
Stock Market Performance

In this study, the effect of certain ratios that investors pay attention to on stock prices in Borsa Istanbul is examined. For this purpose, 30 of the stocks with which the investors traded the most were taken as a sample. In the study, 30 companies with the highest average trading volume in the analysis period were selected according to their transactions in Borsa Istanbul. The study covers the period between 2010: 1Q-2019: 4Q. Variables included in the study are stock market price, P/E ratio, trading volume, market to book ratio, beta, free float percentage. In this study, it has been tried to understand at what level the stock market prices of companies' publicly traded stocks are affected by the indicators that emerge as a result of the transactions realized in the stock exchange, rather than the ratios discussed within the scope of financial analysis and ratio analysis, examples of which are very common in the literature. Panel regression analysis was performed in the study. Before proceeding to the panel regression analysis, preliminary tests were carried out and the model was tried to be given its most suitable form. For this purpose, multicollinearity tests, cross section dependency test, second generation unit root tests, varying variance test, panel regression model selection were made. The model created in the last stage was estimated. As a result of the study, it was seen that the Price/Earnings, Transaction Volume, Market Value/Book Value and Beta variables were significantly effective on the stock market prices of the companies' stocks. Among these variables, BETA affects negatively, while other variables affect positively. The variable with the highest effect on the share price is the negative BETA coefficient and the positive direction is the trading volume.

scholarly journals ANALISIS PERBANDINGAN HARGA SAHAM DAN VOLUME PERDAGANGAN SAHAM SEBELUM DAN SESUDAH PENGUMUMAN COVID-19 DI INDONESIA (Studi Pada Indeks Saham LQ-45 Di Bursa Efek Indonesia)

2021 ◽  
Vol 1 (2) ◽  
Author(s):  
Aviana Putri Iswanti ◽  
Aprilina Susandini
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Stock Exchange ◽  
Share Price ◽  
Rank Test ◽  
Share Prices ◽  
First Case ◽  
Significant Difference ◽  
Before And After ◽  
Signed Rank Test

The Covid-19 case in Indonesia was first announced on March 2, 2020. This study aims to determine whether there is a significant difference in share prices and share trading volume before and after the announcement of Covid-19 in Indonesia on LQ-45 shares on the Indonesia Stock Exchange. . The research data were taken 14 days before and 14 days after the announcement of the first case of Covid-19 in Indonesia. The data analysis was processed with descriptive statistics, the One Sample Kolmogorov-Smirnov Test, and the Wilcoxon Signed Rank Test. From the results of data processing, it shows that there is a significant difference in stock prices before and after the announcement of the first Covid-19 case in Indonesia. This is indicated by a significance value of 0.00 0.05. Where the share price has decreased compared to before the announcement of the Covid-19 case. Meanwhile, the trading volume of shares also shows a significant difference. Where the significance value is 0.00 0.05. The volume of stock trading after the announcement shows an increasing value.

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