Stock Return Predictability by using Market Ratio, Trading Volume, and Stock Variance

Tejosaputro, Klaudia Fraulein and Murhadi, Dr. Werner Ria and Sutejo, Bertha Silvia (2017) Stock Return Predictability by using Market Ratio, Trading Volume, and Stock Variance. In: Proceeding The 14th UBAYA International Annual Symposium on Management. Department of Management, Faculty of Business & Economics, Universitas Surabaya, Surabaya. ISBN 978-602-73852-1-4

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Abstract

The objective of this research is to examine the effect of financial ratios, such as book-to-market ratio, dividend-yield ratio, dividend-price ration, dividend-payout ratio, earnings-to-price ratio, cash flow-to-price ratio, trading volume, and stock variance, as the independent variable to stock return predictability on IDX Composite and 9 sectors listed on Indonesia Stock Exchange. This research uses quantitative perspective with linier regression and model in a panel data for all of the research’s observation that used in this research. The number of observation in this research are 1125, consists of 225 firms that has been enlisted on Indonesia Stock Exchange for 2011-2015 period. The result shows that book-to-market ratio, dividend-yield ration, cash flow-to-price ratio, and stock variance have positive significant effect on stock return predictability. Earnings-to-price ratio shows that it has a negative significant effect on stock return predictability, while dividend-payout and trading volume appear to be having no significant effect on stock return predictability Keyword: Stock return predictability, financial ratio, trading volume, stock variance

Item Type: Book Section
Uncontrolled Keywords: Stock return predictability, financial ratio, trading volume, stock variance
Subjects: H Social Sciences > HG Finance
Depositing User: Bertha Silvia Sutedja
Date Deposited: 25 Jul 2017 08:48
Last Modified: 21 Aug 2017 09:54
URI: http://repository.ubaya.ac.id/id/eprint/30424

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