Market Pricing of Fundamentals at the Shanghai Stock Exchange: Evidence from a Dividend Discount Model with Adaptive Expectations

AbstrakPenilaian saham digunakan untuk membandingkan antara nilai intrinsik dan nilai pasar saham, yang mana akhirnya akan dijadikan sebagai dasar keputusan investasi apakah investor akan menjual atau membeli saham. penelitian ini bertujuan untuk mengetahui dan manganalisa hasil dari perhitungan penilaiain saham menggunakan Dividend Discount Model (DDM) dengan model pertumbuhan konstan. Metode penelitian yang digunakan adalah deskriptif kuantitatif dengan objek penelitian pada perusahaan tekstil dan garmen yang terdaftar di Bursa efek Indonesia tahun 2018. Teknik pengambilan sampel menggunakan puposive sampling dan didapat 5 sampel penelitian. Hasil penelitian ini menunjukkan bahwa dari 5 perusahaan memiliki hasil yang berbeda, dimana saham BELL dan RICY berada dalam kondisi overvalued karena nilai intrinsik lebih rendah dibanding dengan nilai pasar, sedangkan pada saham PBRX, SRIL dan TRIS berada pada posisi undervalued karena nilai intrinsik lebih tinggi dibandingkan dengan nilai pasar.Kata Kunci: Nilai Saham, Dividend Discount Model.AbstractStock valuation uses to compare between intrinsic value and stock market value, which ultimately will be used as a basis for investment decisions whether investors will sell or buy shares. This study aimed to determine and analyze the results of stock valuation calculations using the Dividend Discount Model (DDM) with a constant growth model. The research method used is descriptive quantitative research objects in textile and garment companies listed on the Indonesia Stock Exchange in 2018. The sampling technique uses purposive sampling and obtained five research samples. The results of this study indicate that all of the five companies having different effects. Where BELL and RICY shares were in overvalued conditions because the intrinsic value was lower than the market value, while in PBRX, SRIL and TRIS stocks undervalued because the inherent value is higher than with market value.Keywords: Stock Valuation, Dividend Discount Model.

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Finding Size Factor and Value Factor in Indonesia Stock Exchange

Asian Social Science ◽

10.5539/ass.v14n7p63 ◽

2018 ◽

Vol 14 (7) ◽

pp. 63

Author(s):

Yudhistirangga Yudhistirangga ◽

Hermanto Siregar ◽

Trias Andati

Keyword(s):

Capital Market ◽

Stock Price ◽

Stock Exchange ◽

Composite Index ◽

Size Factor ◽

Market Pricing ◽

Book Value ◽

Market Capitalization ◽

Small Market ◽

Gathering Data

This study conducted by gathering data from Indonesia Stock Exchange (IDX) with 2 specifics model, Capital Market Pricing Model (CAPM) and Fama French 3 Factors Model (FF3FM). These model was estimated by classify 557 stocks in Jakarta Composite Index (JCI) to 6 classes: S/L class is class with small size and low Book to Equity (BE) to Market Equity (ME), S/M class is class with small size and medium in BE/ME, S/H class is class with small size and high in BE/ME, otherwise B/L class is class with big size and low in BE/ME, B/M class is class with big size and medium in BE/ME, B/H class is class with big size and high in BE/ME. With F test, t test and classic assumption test, best class and best model were B/L class and FF3FM. The result was confirmed size factor and value factor in Indonesia Stock Exchange (IDX). Size factor are confirmed in 3 classes (S/M, S/H and B/L), and value factor are confirmed in 4 classes (S/M, S/H, B/L and B/H). Therefore, classes with size and value factor are S/M, S/H and B/L. With BE/ME is 1/PBV and PBV indicating the stock price relative to its book value, so in Indonesia Stock Exchange the size factor and value factor confirmed in market with small market capitalization with low to medium in stock price relative to its book value and market with big market capitalization with high stock price relative to its book value.

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Market pricing of liquidity risk: evidence from China

China Finance Review International ◽

10.1108/cfri-01-2019-0013 ◽

2019 ◽

Vol 9 (4) ◽

pp. 554-566

Author(s):

Raheel Safdar ◽

Mirza Sultan Sikandar ◽

Tanveer Ahsan

Keyword(s):

Risk Factor ◽

Information Quality ◽

Factor Model ◽

Stock Exchange ◽

Liquidity Risk ◽

Market Liquidity ◽

Firm Level ◽

Cross Sectional ◽

Market Pricing ◽

Content Type

Purpose The purpose of this paper is to investigate whether liquidity risk (i.e. the returns’ vulnerability to the unexpected changes in overall market liquidity) is a priced risk factor in China. Moreover, it investigates the potential role of a stock’s information quality in reducing its liquidity risk during the period of post-non-tradable shares reforms in China. Design/methodology/approach The authors collect data of all the A-share issuing firms listed either on the Shanghai Stock Exchange or Shenzhen Stock Exchange during the period 2006–2016. The authors perform two-stage cross-sectional regression testing. First, the authors perform firm-specific time-series regressions of excess returns over Fama–French’s three-factor model and a liquidity factor. Second, to test whether firm-specific liquidity risk is a priced risk factor, the authors apply Fama and MacBeth’s regressions. Findings Firm-level asset pricing tests provide substantial evidence for market pricing of liquidity risk in China. The authors find a significant negative association between information quality and liquidity risk. The authors also find that the reduction in liquidity risk induced by better information quality is substantial enough to reduce required returns. These findings are robust to alternative measures of liquidity risk and information quality. Practical implications The study underscores that a policy initiative to enhance the information environment can significantly reduce the market volatility in China. Originality/value To the best of authors’ knowledge, this is the first study that considers the Shanghai Stock Exchange as well as Shenzhen Stock Exchange to investigate market pricing of liquidity risk in China.

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Test of FCFE Model and Dividend Discount Model in Book 4 Banking Companies Listed in Indonesia Stock Exchange

Proceedings of the 3rd Global Conference On Business, Management, and Entrepreneurship (GCBME 2018) ◽

10.2991/aebmr.k.200131.030 ◽

2020 ◽

Author(s):

R. Hendrawan ◽

T.Z. Rahayu

Keyword(s):

Stock Exchange ◽

Dividend Discount Model

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The effect of market pricing accrual, foreign ownership, financial distress, and leverage on the integrity of financial statements

Economic Annals ◽

10.2298/eka1817129m ◽

2018 ◽

Vol 63 (217) ◽

pp. 129-139

Author(s):

Melinda Malau ◽

Etty Murwaningsari

Keyword(s):

Financial Distress ◽

Stock Exchange ◽

Financial Statements ◽

Foreign Ownership ◽

Negative Influence ◽

Positive Influence ◽

Manufacturing Companies ◽

Market Pricing ◽

A Company ◽

Significant Positive Influence

The purpose of this research is to analyse the effect of market pricing accrual, foreign ownership, financial distress, and leverage on the integrity of financial statements, using multiple regression analysis and logistic regression. The research uses 363 samples, comprising the data of 121 manufacturing companies listed on the Indonesia Stock Exchange over three years, from 2013 to 2015. The results show that market pricing accrual has a significant positive influence on the integrity of financial statements, while a company?s leverage has a significant negative influence. Bankruptcy and foreign ownership have no significant effect on financial statements? integrity. Based on the research results, when assessing the integrity of financial statements a company?s stakeholders should pay most attention to market pricing accrual and the company?s leverage. In addition, regulators should produce standards or guidelines governing the company?s remit and responsibilities regarding financial statements.

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ANALISIS PENILAIAN HARGA SAHAM MENGGUNAKAN METODE DIVIDEND DISCOUNT MODEL (DDM) SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI (Studi pada Perusahaan yang termasuk dalam Indeks LQ-45 di Bursa Efek Indonesia Tahun 2013-2015).

Aplikasi Administrasi: Media Analisa Masalah Administrasi ◽

10.30649/aamama.v20i1.90 ◽

2018 ◽

Vol 20 (1) ◽

pp. 26

Author(s):

Vandara Vavras Setia

Keyword(s):

Stock Exchange ◽

Investment Decision ◽

Share Price ◽

Stock Valuation ◽

Descriptive Research ◽

Investment Companies ◽

Dividend Discount Model ◽

Quantitative Descriptive ◽

High Level ◽

Constant Growth

LQ-45 is a group share consisting of 45 shares of the elect with the level of market capitalization and liquidity level above the average for the other stocks. So LQ-45 became one of the most volatile due to the high level of liquidity and market activities. The share price berfluktuatif is a risk that must be faced by investors. Assessment of the share price can be done to minimize the risk of one price.This research aims to know and analyze the results from the calculation of the stock valuation using the Dividend Discount Model (DDM) as the basis for decision on investment companies including in the LQ-45 in Indonesia Stock Exchange the year 2013-2015. This research is classified as quantitative descriptive research and sampling used is purposive sampling. A sample of this research as much as 11 companies in accordance with the criteria.Based on the results of research and analysis of the data using the method Dividend Discount Models (DDM) not constant growth shows that the entire company in 2015 including overlavued category among others, ADRO, AKRA, ASII, ( BBCA, BBNI, BBRI, BMRI, CPIN, GGRM, UNTR, UNVR. While, 2013 and 2014 only one company including undervalued categories namely ASII. Investment decision that can be taken when have stocks including overvalued category, should be sold and when the shares including undervalued categories should be purchased or suspended when has. Keywords : Stock Valuation, Dividend Discount Models (DDM), Investment Decision.

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Market power and dividend policy: Evidence from firms listed in Tehran stock exchange

Environment Conservation Journal ◽

10.36953/ecj.2015.se1602 ◽

2015 ◽

Vol 16 (SE) ◽

pp. 7-14

Author(s):

Mehdi Ramezani ◽

Seyed Alireza Moosavi

Keyword(s):

Market Power ◽

Dividend Policy ◽

Stock Exchange ◽

Product Market ◽

Information Uncertainty ◽

Market Pricing ◽

Listed Firms ◽

Political Events ◽

Pricing Power ◽

The Impact

Dividend policy informs shareholders and investors how the financial situation of the firm is. Therefore, in situations where risk is always the determining factor for dividend policy, the company with the market power, can affect major changes in social, economic, and political events or have more successful responds toward them, and thus, is less exposed to systematic risk. Therefore, market power helps the firm to preserve firm-specific shocks from its product market or to reduce the information uncertainty that the investors of the firm face it. Hence, this study attempts to investigate the impact of product market pricing power on the firm's dividend policy. For this purpose, the data from 122 firms listed in Tehran Stock Exchange during 2009 to 2013 and Panel data model were used. The results showed that there is a reveres significant relationship between firm’s market power and the amount of dividend policy of listed firms in Tehran Stock Exchange.

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