Input Data:
The Foreign Response Coefficient for predicting stock excess stock return of companies having a market capitalization above IDR 20 trillion on the Indonesia Stock Exchange. The method comprises determining a constant and providing a projection model coefficient utilizing historical data regarding the ratio of purchase value to sales value of stocks by foreign investors (FRC) to predict excess returns. The present invention simplifies the process of estimating future returns and provides a practical and efficient analytical tool for scholars, investors and financial analysts.
The Foreign Responses Coefficient is determined using the formula:
ERi,t = -0.0014 + 0.0026 · Fri,t
Where:
ERi,t = Excess Return Projection for stock i in year tFri,t = The Value of Foreign Buy divided by The Value of Foreign Sell