Predicting returns with financial ratios: Evidence from Indonesian Stock Exchange

Indrayono, Yohanes

doi:10.5267/j.msl.2019.6.003

Cited by 10 publications

(9 citation statements)

References 17 publications

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“…Saving is completely risk-free (Khresiat, 2019). "Return on investment (ROI) is described as "the profits generated by the capital owner in exchange (Ahmed et al 2021) for putting up his business for the benefit (Anwar & Balcioglu, 2016) of others for a specific period of time," or " ( Shabbir & Muhammad, 2019) the price paid for absorbing risks or uncertainty factors" (Indrayono, 2019). The more the investor's drive to increase his or her profits, the larger the hazards for the investment.…”

Section: Literature Reviewmentioning

confidence: 99%

Stock investment: Factors influencing stock exchange in banking sector

Sabah¹,

Anwer²,

Mohammad³

et al. 2022

IJAEMS

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Mainly, the purpose of this research is to investigate the factors that influence stock market investment in Kurdistan, specifically in Erbil. Emerging markets can also benefit from these marketplaces in order to improve their economies; however, certain emerging countries may be inexperienced with the procedure at this point in time. If you are a business searching for profitable investment options, the stock exchange is an excellent choice. Because these markets are where monetary transactions take place, investors often take their chances in these markets based on research into projected earnings and risks associated with those investments. Due to the enormous risks involved with high-revenue investments, most investors prefer low-risk, low-revenue enterprises instead of high-revenue ones. The current research was conducted in a quantitative manner, which was then examined. The research was carried out in the Iraqi city of Erbil. Following the distribution of 95 surveys, only 82 questionnaires were received and properly completed by the researcher. An investigation into the elements that influence stock market investing was carried out by the researcher using single regression analysis. Following that, there is a strong relationship between supply and demand, which is represented by the economy factor, which is represented by a third component called competition, and finally the political aspect, which is represented by the lowest value. According to the data, supply and demand appear to have a significant impact on the amount of money invested in Kurdistan's stock exchange.

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Section: Literature Reviewmentioning

confidence: 99%

Stock investment: Factors influencing stock exchange in banking sector

Sabah¹,

Anwer²,

Mohammad³

et al. 2022

IJAEMS

View full text Add to dashboard Cite

show abstract

“…Bannigidadmath and Narayan (2015) found evidence of sectoral short-term return predictability (for sectoral indices) over market return predictability by tracking financial ratios in India. Indrayono (2019) showed for Indonesia that returns can be predicted using the price-book-value ratio. A few studies on the predictability of returns with selected market indicators have also been conducted in Poland.…”

Section: Literature Reviewmentioning

confidence: 99%

Predictability of Stock Returns in Central and Eastern European Countries

Pietraszewski

2022

Folia Oeconomica

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Stock return predictability in highly developed countries has both empirical and theoretical justification in financial literature. The article aims to answer the question if market valuation ratios that relate share prices to various accounting quantities have any predictive power for long-term stock index returns on investments in capital markets of some Central and Eastern European countries, namely the Czech Republic, Hungary, Poland, and Russia. Heteroskedasticity and autocorrelation-consistent estimators with a small-sample degrees of freedom adjustment were used in regressions to track the overlapping data problem and small sample bias. The results of an investigation show that some of these ratios, such as price to a ten-year moving average of real earnings, commonly known as the cyclically adjusted price earnings (CAPE) ratio, price to estimated profits, market to book value and price to sales revenues have a strong predictive power for cumulative returns mainly over long horizons. On the other hand, price to one-year earnings, dividend yield or price to cash flow ratios prove to be quite poor predictors. Following the arguments of behavioural finance, we conclude that the evidence obtained in the study proving a fairly significant link between current values of market ratios and future cumulative returns indicates a certain degree of ineffectiveness of the analysed markets during the examined period.

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“…That is, Free Cash Flow FCF/Share . Number of Share Outstanding = 3) P/B Ratio (X 3 ): Price-to-Book (P/B) Ratio compares a company's current market value to its book value [14]. And the book value is defined as the value of Journal of Mathematical Finance all assets minus liabilities owned by a company.…”

Section: Varmentioning

confidence: 99%

Analytical Predictive Modeling: Impact of Financial and Economic Indicators on Stock

K.¹,

Tetteh-Bator²,

Tsokos³

2022

JMF

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Stock price prediction is considered as an important task and is of great attention as predicting stock prices successfully may lead to attractive profits for investors. Information Technology Sector of S&P 500 is one of the most sought after business segments in S&P 500 and is one of the most attracting areas for many investors due to high percentage annual returns on investment over the years. We used Microsoft Corp. (MSFT), one of the leading companies of the Information Technology Sector Index of S&P 500 information to build a non-linear real data-driven analytical model which accurately predicts the Weekly Closing Price (WCP) of the stock with predictive accuracy of 99.3% using six financial, four economic indicators and their two way interactions as the attributable entities that drive the stock returns. We rank the statistically significant indicators and their interactions based on the percentage of contribution to the WCP of the stock that provides significant information for the beneficiary of the proposed predictive model. We present a unique way for feature selection when multicollinearity presents in the multiple regression dataset using L1-regularization based on supervised machine learning algorithm.

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Predicting returns with financial ratios: Evidence from Indonesian Stock Exchange

Cited by 10 publications

References 17 publications

Stock investment: Factors influencing stock exchange in banking sector

Stock investment: Factors influencing stock exchange in banking sector

Predictability of Stock Returns in Central and Eastern European Countries

Analytical Predictive Modeling: Impact of Financial and Economic Indicators on Stock

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