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All Journal Indonesian Capital Market Review The South East Asian Journal of Management
Joshi, Himanshu
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Economics, Econometrics & Finance

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Determinants and Prediction Accuracy of Price Multiples for South East Asia: Conventional and Machine Learning Analysis Joshi, Himanshu; Chauha, Rajneesh
Indonesian Capital Market Review Vol. 12, No. 1
Publisher : UI Scholars Hub

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The present study evaluates determinants of price multiples and their prediction accuracy usingordinary least square (OLS) regression and machine learning-based shrinkage methods for the South East Asian markets. Price multiples examined in the research are price to earnings (P/Es), price to book (P/B), and price to sales (P/S). Data has been collected from Thomson Reuters Eikon. The study recommends that the P/B ratio is the best price multiple for developing a price-based valuation model. Beside fundamental determinants of the multiple, various firm-level control variables, namely, firm size, cash holding, strategic holding, stock price volatility, firms’ engagement in Environment, Social, and Governance (ESG) activities, dividend yield, and net profit margin impact firm’s P/B multiple. Positive coefficients of consumer non-cyclical and healthcare dummies indicate a preference for defensive stocks by the investors. Application of machine learning-based shrinkage methods ensures the accuracy of prediction even with out-of-sample forecasting.
Cash holding or Net Debt, What is Relevant for Indonesian Firms? Joshi, Himanshu
The South East Asian Journal of Management Vol. 13, No. 1
Publisher : UI Scholars Hub

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Paper investigates the firm level determinants of cash holdings by Indonesian firms. It also examines net debt as substitute measure for cash holding in firm’s financial policies. Sample comprises of 483 Indonesian companies listed on Indonesia stock exchange. Study finds that firms with robust cash flows, and higher cost of capital hold more cash. Firms holding greater noncash liquid assets have moderate cash holdings. Cash holding is most relevant for financially constrained firms, and growth firms. Net debt appears to be most relevant element for low growth firms. No hedging firms are indifferent about their cash holdings and net debt.
Moderating Role of Financial Characteristics in Sectoral Performance During the Period of Economic Disruption: Evidence from the Covid-19 Pandemic Joshi, Himanshu; Joshi, Bhavya
Indonesian Capital Market Review Vol. 15, No. 2
Publisher : UI Scholars Hub

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The exogenous shock of the Covid-19 pandemic disrupted the equity market worldwide, however its impact on the sectoral returns varied. Sectors like aviation, hospitality, and retail were the worst affected because of imposed lockdowns. Contrarily, technology, e-commerce, pharmaceutical, and biotech sectors thrived for the same reasons. The present study evaluates the impact of covid-19 disruption on firms from diverse sectors and examines the moderating effect of firm’s financial characteristics on sectoral performance by establishing a causal relationship between the firm's cumulative abnormal returns generated during the various phases of the pandemic and their sectoral and financial characteristics using data for 317 firms listed on the National Stock Exchange of India. Results indicate that the firm's financial characteristics such as cash holdings, dividends, asset tangibility and analyst coverage moderate the impact of the Covid-19 pandemic on sectoral performance. Findings provide evidence in support of the role of information asymmetry during economic disruptions.
Co-Authors Chauha, Rajneesh Joshi, Bhavya