Fama and French Three Factor Model (Published)
This study seeks to investigate the application of FF3FM in the Nigerian stock market. The study examined the behaviour of stock returns in relation to market beta, firm size (market equity), and book-to-market equity (BE/ME) factors. Sixty- eight (68) sample size was selected from all stocks quoted on the Nigerian Stock Exchange (NSE) from 2013 to 2022. Time series regression analysis was adopted. Monthly excess portfolio returns were regressed on firm size, excess market returns and book-to-market-equity ratio. The findings showed a strong correlation between book-to-market equity variables, firm size, and excess stock market returns and predicted portfolio returns. This suggests that the variation in stock returns in the Nigerian stock market can be explained by the FF3FM.
Keywords: CAPM, Stock Return, asset pricing, excess market returns and book to market equity ratio.
The Influence of Mergers and Acquisitions on Financial Performance and Stock Return of Indonesian Banks (Published)
Business environment has changed rapidly due to dynamic changes in the current global era. Merger and acquisition activities are not a new phenomenon in the business world, and it’s an important business phenomenon. One of the changes that can be seen from the merger and acquisition activities are company’s financial performance and stock return. The purpose of this study is to analyze banks financial performance with financial ratios before and after mergers and acquisitions, analyze the effect of mergers and acquisitions on bank financial performance and analyze the factors that influence the success of mergers and acquisitions. This research used Kolmogorov-Smirnov normality test and Wilcoxon test and logistic regression. The results showed that ROA, OER, NPL, NIM and LDR improved after mergers and acquisitions. Mergers and acquisitions also affect the differences in ROA, OER, NPL, NIM, and LDR before and after mergers and acquisitions. Factors that affect the success of mergers and acquisitions are foreign ownership, acquisition percentage and firm size when viewed the success of merger and acquisition from bank’s ability to increase its net profit. In addition, when viewed from the stock returns obtained factors that affect the success of a merger and acquisition are foreign ownership, the percentage of acquisitions and industry relatedness.
Keywords: Financial Performance, Merger and Acquisition., Stock Return