Stock jump, underperformance and undervaluation: evidence from emerging market

Rudiawarni, Felizia Arni and Sulistiawan, Dedhy and Frendy, Frendy (2023) Stock jump, underperformance and undervaluation: evidence from emerging market. International Journal of Monetary Economics and Finance, 15 (6). pp. 527-541. ISSN 1752-0479; E-ISSN 1752-0487

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Abstract

This paper examines the ability of underperforming and undervalued stocks to stimulate stock jumps. Our study also considers firm’s systematic risk as an important factor stimulating positive skewness of return which proxied for the stock jump. Using Indonesian data from 2016 until 2018, our findings show that underperforming stocks generally experience a positive stock jump in the subsequent period. Overperforming stocks that are undervalued also produce higher positive skewness of return. Our findings show that undervalued high-risk stocks are likely to trigger a stock jump. These findings have practical implications for both risk-averse and risk-seeking investors.

Item Type:	Article
Uncontrolled Keywords:	stock jump; underperformance; undervaluation; risk.
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Business and Economic > Department of Accounting
Depositing User:	Felizia Arni Rudiawarni 31129
Date Deposited:	26 Jan 2023 03:31
Last Modified:	15 Jul 2024 02:17
URI:	http://repository.ubaya.ac.id/id/eprint/43187

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