Fair value disclosure, liquidity risk and stock returns

Roggi, Oliviero; Giannozzi, Alessandro

doi:10.1016/j.jbankfin.2015.04.011

Cited by 16 publications

(6 citation statements)

References 24 publications

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“…It can be concluded that the variable LDR has a significant effect on stock returns. This finding is supported by researches conducted by Roggi and Giannozzi (2015) and Zulbetti (2011), who found that the higher the LDR value indicates the higher profitability of companies and corporate profits. Besides, the percentage of LDR was significant due to a large percentage spread on loan interest and interest on third party funds.…”

Section: Effect Of Loan-to-deposit Ratio On Stock Returnsupporting

confidence: 62%

“…The higher the LDR, the better the bank liquidity and the optimum the banking performance, which can directly affect positively on stock return. This statement is supported by the results of researches conducted by Khaddafi and Syamni (2011), Kurniadi (2012), Roggi and Giannozzi (2015), and Zulbetti (2011). Other researches, conducted by Chen (2011), Niu (2016), Li and Ongena (2015), Kuspita (2011), Syauta and Widjaja (2009), however, found that LDR has no significant effect on stock return since the lower the LDR shows that banks are less effective in channeling credit because high loan interest will lower the customer interest in borrowing funds.…”

mentioning

confidence: 55%

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The Influence of Capital Adequacy Ratio, Loan-to-Deposit Ratio, and Net Interest Margin on Stock Return at Commercial Banks in Indonesia

Iskandar

2020

JAM

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The fluctuating conditions in the world economy have directly affected the investment to be uncertainty in several countries, including Indonesia whose investment was still not optimum, especially in the context of service companies such as banking companies. The less optimum investments that were closely associated with bank performance, especially with the stock return, encouraged this study to examine the effects of capital adequacy ratios, loan deposit ratios, and net interest margin on stock return at commercial banks in Indonesia. A total of 15 banks that met the criteria were taken as the sample. Data analysis was performed on banking companies listed on BEI (Indonesia Stock Exchange) in 2016-2018, employing the multiple regression analysis to test the proposed research hypotheses. The results showed that the capital adequacy ratio, loan-to-deposit ratio, and net interest margin significantly influence the stock return of banking companies.

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Section: Effect Of Loan-to-deposit Ratio On Stock Returnsupporting

confidence: 62%

mentioning

confidence: 55%

The Influence of Capital Adequacy Ratio, Loan-to-Deposit Ratio, and Net Interest Margin on Stock Return at Commercial Banks in Indonesia

Iskandar

2020

JAM

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“…Strengthening ownership concentration can effectively restrain managers and limit the influence of their self-interested behavior on corporate finance. This supplements research on Roggi and Giannozzi (2015), Safiullah and Shamsuddin (2018).…”

Section: Concentration Of Equity Is Positively Correlated With Enterp...mentioning

confidence: 59%

Do Largest Shareholders Incentively Affect Financial Sustainability Under Holdings Heterogeneity? Regulation/Intermediary of Financial Constraints Through Managerial Behavior Games

Zhang

2022

Front. Psychol.

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The real estate industry is characterized by a high degree of financial intensity and is more significant in certain areas. The relative enterprises require certain financial ability and large shareholders’ controlling power to support their survivals and competitiveness. However, due to the multiple adverse impacts of current state policies on banks and private capital, the problem of capital restraints of real estate has become increasingly serious. From a corporate governance perspective, this paper studies the interactions among financial constraints, ownership concentration and corporate performance under different shareholding states: by analyzing the quantitative characteristics of equity structure and searching for the appropriate range of the largest shareholder holding ratio, which has considered both the financial sustainability and characteristics. It is found that raising the ownership concentration could enhance supervision effect rather than encroachment, effectively ease the financial constraints and improve the performance of enterprises, both of which are significant under high ownership concentration. Financial constraints play a significant intermediary effect in absolute holdings and have obvious regulatory effects in decentralized equity. Also, the mechanisms of ownership concentration are reflected in the strengthening of corporate supervision, reduced agency costs, improved operating efficiency, and increased investment attractiveness. The adjusted behavior adds to the responsibility awareness rather than free-ride psychology, forming a dynamic game on financial decisions. Their financial sustainability in areas would provide a nationwide reference for governance reform and managerial behavior.

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“…Roggi & Giannozzi (2015) describe that the volume of negotiations weighted by the available shares for negotiation was used as a proxy for this variable and considered to be a precise form of liquidity, since it is given by market behavior. According to a survey of literature on liquidity by these authors, this proxy can capture the information desired, and negotiation decline for low liquidity companies in periods of crisis (Amihud, 2002;Lischewski & Voronkova, 2012;Roggi & Giannozzi, 2015). We believe that there is a tendency for a negative relation between the liquidity of the company in the stock exchange and the market value, and its corresponding returns on negotiated shares.…”

Section: Data Collection and Processingmentioning

confidence: 99%

Value Relevance of net income, other comprehensive income, and comprehensive income in Brazil

Bortoli¹,

Juaniha²,

Scarpin³

et al. 2020

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This paper uses the Ohlson Model to analyze whether Net Income (NI), Other Comprehensive Income (OCI), and Comprehensive Income (CI) are value relevant for market value and the return of shares of publicy-traded Brazilian companies. To maximize the robustness of the results, we inserted the following control variables for each model: equity per Share (EqPS), Size (S), Industry (I), EBITDA per Share (EbPS), Revenue per Share (RePS), Liquidity (L), and Gross Domestic Product Growth (GDPG). The control variables S, RePS, and GDPG were significant for the three models related to the value of the company. The control variables EqPS, EbPS, RePS, and L, on the other hand, were only significant for the three models related to stock returns. Our main variables (NI, OCI, and CI) were found to be statistically significant in five of the six regression models after data analysis in a fixed effect panel using robust standard errors. However, only the variables NI and CI were considered to be relevant in the expected direction, meaning that they offered a positive contribution in explaining the value of the company.

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Fair value disclosure, liquidity risk and stock returns

Cited by 16 publications

References 24 publications

The Influence of Capital Adequacy Ratio, Loan-to-Deposit Ratio, and Net Interest Margin on Stock Return at Commercial Banks in Indonesia

The Influence of Capital Adequacy Ratio, Loan-to-Deposit Ratio, and Net Interest Margin on Stock Return at Commercial Banks in Indonesia

Do Largest Shareholders Incentively Affect Financial Sustainability Under Holdings Heterogeneity? Regulation/Intermediary of Financial Constraints Through Managerial Behavior Games

Value Relevance of net income, other comprehensive income, and comprehensive income in Brazil

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