scholarly journals High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model

2020 ◽  
Vol 10 (04) ◽  
pp. 2050017
Author(s):  
Liao Zhu ◽  
Sumanta Basu ◽  
Robert A. Jarrow ◽  
Martin T. Wells
Keyword(s):  
Risk Factors ◽  
Asset Pricing ◽  
Factor Model ◽  
Financial Data ◽  
High Dimensional ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

The paper proposes a new algorithm for the high-dimensional financial data — the Groupwise Interpretable Basis Selection (GIBS) algorithm, to estimate a new Adaptive Multi-Factor (AMF) asset pricing model, implied by the recently developed Generalized Arbitrage Pricing Theory, which relaxes the convention that the number of risk-factors is small. We first obtain an adaptive collection of basis assets and then simultaneously test which basis assets correspond to which securities, using high-dimensional methods. The AMF model, along with the GIBS algorithm, is shown to have a significantly better fitting and prediction power than the Fama–French 5-factor model.

scholarly journals PENGUKURAN KINERJA PORTOFOLIO OPTIMAL CAPITAL ASSET PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) (Studi Kasus : Saham-saham LQ45)

2018 ◽  
Vol 7 (4) ◽  
pp. 419-430 ◽  
Author(s):  
Dedi Baleo Pasaribu ◽  
Di Asih I Maruddani ◽  
Sugito Sugito
Keyword(s):  
Asset Pricing ◽  
Capital Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

Investing is placing money or funds in the hope of obtaining additional or specific gains on the money or funds. The capital market is one place to invest in the financial field of interest to investor. This is because the capital market gives investor the freedom to choose securities traded in the capital market in accordance with the wishes of investor. Investor are included in risk averter, that means investor will always try to avoid risk. To avoid risk, investor try to diversify their investment. Diversification concept commonly used is portfolio. To maximize the return to be earned, the investor will invest his funds into several stocks in order to earn a greater profit. Capital Asset Pricing Model (CAPM) is a balance model that describes the relation of a risk with return more simply because it uses only one variable to describe the risk. Arbitrage Pricing Theory (APT) is a balance model that used many risk variables to see the relation of risk and return. With both models will be obtained a portfolio with each constituent stock is four stocks selected from 45 stocks in the LQ45 index. To find out which portfolio is the best performed a performance analysis using the Sharpe index. From the measurement result, it is found that the best portfolio is the CAPM portfolio with composite stock is PTBA with investment weight of 0.467%, BUMI with investment weight of 12.855%, ANTM with investment weight of 53.077% and PPRO with investment weight of 33.601%. Keywords: LQ45, portfolio, Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory                       (APT), Sharpe Index 

scholarly journals COMPROBACIÓN DEL COMPORTAMIENTO CAÓTICO EN BOLSA DE VALORES DE COLOMBIA

2013 ◽  
Vol 2 ◽  
pp. 41 ◽  
Author(s):  
Katherine Julieth Sierra Suárez ◽  
Juan Benjamín Duarte Duarte ◽  
Juan Manuel Mascareñas Pérez-Iñigo
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory ◽  
Theory Y

La hipótesis de eficiencia en los mercados bursátiles es uno de los supuestos básicos de los modelos de valoración de activos, tales como el Capital Asset Pricing Model y Arbitrage Pricing Theory, y sostiene que no es posible predecir los precios de un activo financiero, dado que se comportan aleatoriamente. Contrariamente, la hipótesis de mercado fractal afirma que los precios tienen estructura caótica, y podrían ser predichos a partir de modelos no lineales, rechazando así la hipótesis de mercado eficiente e invalidando los supuestos de los modelos valoración de activos. Este trabajo busca evidenciar el comportamiento caótico en el mercado bursátil colombiano con el fin de rechazar o aceptar la hipótesis de mercado eficiente, usando metodologías como: gráficos de precios, gráficos de recurrencia, dimensión de correlación, coeficiente de Hurst, exponente de Lyapunov y el test de Brock, Decher y Scehinkman. Los resultados revelan que los activos muestran indicios de comportamiento caótico para periodos al alza y aleatorio para periodos a la baja, apoyando así la hipótesis de mercado fractal. Estos hallazgos podrían respaldar el uso de modelos no lineales para la predicción de los precios en los periodos al alza y rechazar la eficiencia del mercado bursátil colombiano.

scholarly journals Analisis Perbandingan Keakuratan CAPM Dan APT Dalam Upaya Pengambilan Keputusan Investasi Saham Sektor Perbankan

2021 ◽  
Vol 7 (1) ◽  
pp. 42-50
Author(s):  
Arif Abdillah ◽  
Aditya Kristamtomo Putra
Keyword(s):  
Asset Pricing ◽  
Banking Sector ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

The Capital Asset Pricing Model and the Arbitrage Pricing Theory are a balance model that uses risk measurement variables to see risk correlations and returns. This research is descriptive quantitative. The purpose of this research is to find out how much the value of stock returns in the banking sector is calculated by the Capital Asset Pricing Model and Arbitrage Pricing Theory, looking for a more accurate model and how big is the difference in accuracy of the significant accuracy of the Capital Asset Pricing Model and Arbitrage Pricing Theory in making investment decisions in the banking sector. The population in this study is a banking company registered at Indonesia Stock Exchange during 2015-2018. The sample in this study amounted to 36 banking companies listed on the Indonesia Stock Exchange during 2015-2018. The sampling method is a non-probability sampling method that is purposive sampling technique. The results of this study indicate that the Capital Asset Pricing Model is better than the Arbitrage Pricing Theory and there is no difference in accuracy between the Capital Asset Pricing Model and the Arbitrage Pricing Theory in an investment decision making effort at banking sector.

scholarly journals Analisis Keakuratan Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Expected Saham pada LQ45

d'CARTESIAN ◽  
2017 ◽  
Vol 6 (1) ◽  
pp. 30
Author(s):  
Muhammad Irfan Ibrahim ◽  
Jullia Titaley ◽  
Tohap Manurung
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Expected Return ◽  
Asset Pricing Model ◽  
Pricing Theory

Para investor dalam pembelian saham pada dasarnya memiliki tujuan yang sama yaitu mengharapkan pengembalian (return) yang maksimal dan risiko seminimal mungkin. Untuk mengambil keputusan dalam investasi tersebut dengan memperhatikan harapan investor maka diperlukan prediksi yang akurat. Untuk memilih saham dari Pasar Modal, investor menilai dari expected return yang dihitung dari saham tersebut. Para investor dalam memilih portofolio saham sering dihadapkan dengan berbagai faktor yang relevan dalam mengestimasi expected return. Model yang sering digunakan dalam mengestimasi expected return saham berdasarkan faktor-faktor yang dianggap memengaruhi return saham adalah Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT). CAPM merupakan model untuk menentukan expected return saham pada keadaan equilibrium. APT mengasumsikan bahwa expected return saham dipengaruhi oleh berbagai faktor dalam perekonomian dan industri. Tujuan penelitian ini untuk mengetahui perbandingan tingkat keakuratan CAPM dan APT dalam mengestimasi expected return pada saham-saham yang terdaftar pada LQ45. Penelitian ini menggunakan data close price bulanan saham dengan periode Juni 2011-Juni 2016. Dari hasil penelitian ini, menunjukkan bahwa perbandingan keakuratan dari CAPM dan APT yang dilihat dari nilai Mean Absolute Deviation (MAD) yang memiliki selisih yang sangat kecil. Berdasarkan hasil uji-t Dua Sampel Independen dapat diambil kesimpulan yang menyatakan bahwa tidak terdapat perbedaan yang signifikan antara keakuratan CAPM dan APT dalam mengestimasi expected return saham yang terdaftar pada LQ45.Kata Kunci : CAPM, APT, Expected Return.

scholarly journals Los Modelos CAPM y APT para la valuación de empresas de Telecomunicaciones con parámetros operativos

2017 ◽  
Vol 4 (8) ◽  
Author(s):  
J. Saldaña ◽  
M. Palomo ◽  
M. Blanco
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory ◽  
Assets Appraisal

Key words: APT, capital, CAPM, financial expectations, operative factorsAbstract. One of the most important research topics in the financial area during de the last years has been the capital assets appraisal or the appraise of shares. This seeks two determine the explanatory factor of the rate of return for a specific portfolio. The CAPM (Capital Asset Pricing Model and the APT (Arbitrage Pricing Theory), both capital asset evaluation models, are hereby presented. The main characteristics of both models are the essential assumptions for their for there development, their statement and the practical test on the telecommunications portfolio using operational, financial and macroeconomicsvariable, and carried on with the purpose to be compare with reality.Palabras Clave: APT, capital, CAPM, expectativas financieras, factores operativosResumen. En el área de Finanzas, uno de los tópicos de investigación más importantes en os últimos años, ha sido la Valuación de Activos de Capital ó Valuación de Acciones. Esta pretende determinar los factores que explican la tasa de retorno de un portafolio determinado. El CAPM (Capital Asset Pricing Model) y el APT (Arbitrage Pricing Theory), los dos modelos de valuación de activos de capital desarrollados hasta ahora, son presentados aquí. Las características principales de ambos modelos que se explican aquí son lossupuestos necesarios para desarrollarlos, sus planteamientos y la prueba practica en el portafolio de telecomunicaciones, utilizando variables macroeconómicas, financieras y operativas, llevado a cabo para contrastarlos con la realidad.

scholarly journals Perbandingan Keakuratan Metode Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Return Saham (Studi pada Perusahaan Sektor Barang Konsumsi dan Sektor Pertambangan yang Terdaftar di Indeks Saham Syariah Indonesia (ISSI) Peri

2018 ◽  
Vol 1 (2) ◽  
pp. 233-240
Author(s):  
Yetti Afrida Indra
Keyword(s):  
Asset Pricing ◽  
Stock Return ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship. The measure of risk that is an indicator affecting stock in CAPM is indicated by the variable β (beta). The bigger the β of a stock, the greater the risk it contains. This model links the expectation return rate of a risky asset with the risk of the asset in a balanced market condition. The population in this study is the stock price data of companies in the consumption sector and the mining sector listed on the Indonesia Sharia Sharia Index (ISSI) period 2013-2016. Based on the results of research and statistical tests, a more accurate model in predicting future ISSI stock returns is more accurate than the Arbitrage Pricing Theory (APT) model, because MADCAPM (0.0835) value MADAPT (0,5070). Furthermore, based on data processing with MannWhitney test shows that H0 is rejected, in the sense that there is a significant difference of accuracy between Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in predicting ISSI stock return. This is evidenced by the significance value (Sig) (0.002) smaller than (α) 0.05.Keywords: Comparison, Accuracy, Capital Asset Pricing Model (Capm), Arbitrage Pricing Theory (Apt), Stock Return.

Asset Pricing Through Downside Risk Based Arbitrage Pricing Theory: Empirical Evidence from Pakistan Stock Exchange

2020 ◽  
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Downside Risk ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Risk Return ◽  
Pricing Theory

This study extends the downside risk applications in multifactor asset pricing model by incorporating the downside risk spillovers from economic and financial factors to stock returns. We amplify the conventional APT model by replacing the variance-based betas with semivariance based downside betas that better capture the risk volatilities in varying market conditions. The inclusion of downside risk betas based on semivariance and semideviation methods in the augmented asset pricing model improves both the theoretical and methodological applications relative to the limitations and restriction of conventional APT factors model. The mean-variance hypothesis replaced by meansemivariance hypothesis and asymmetric behaviour of stock returns distribution, empirically suggest the use of an alternative factors model. The models based on downside risk premia for asset pricing in emerging markets. The study tested the downside risk-return relationship based on the excess monthly stock returns of listed PSX firms and observed economic, financial and global factors representing spillover triangulation from 1997 to 2017. The findings of the study indicate that the augmented DR-APT model with pricing restrictions of unconditional linear factors method could not be deserted over the targeted period of study. The selected observed pricing factors except exports are significant enough for pricing the security returns in the augmented DR-APT Model. Findings of the panel regression, likelihood ratio tests and F-test corroborate DR-APT as a better model to price stock returns in volatile situations compare to conventional APT model. Our findings are consistent with the downside risk-return framework based on mean semi variance hypothesis and have implications for managers and decision markets that incorporate downside risk in asset valuation, cost of capital estimations, portfolio construction and investment analysis decisions. Key Words: Downside Risk, Semi variance, Semi covariance, Downside Beta, Downside risk-based Arbitrage Pricing Theory (DR-APT).

scholarly journals Persistence in the performance of South African unit trusts

2000 ◽  
Vol 31 (3) ◽  
pp. 120-129 ◽  
Author(s):  
J. F.C. Von Wielligh ◽  
E. V.D.M. Smit
Keyword(s):  
Asset Pricing ◽  
South African ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

The persistence of performance of the General Equity Unit Trusts and All Unit Trusts that traded in South Africa during the period January 1988 to December 1997 and January 1993 to December 1997, is analysed using three models of performance measurement, namely the Capital Asset Pricing Model, a two-factor Arbitrage Pricing Theory model and a three-factor Arbitrage Pricing Theory (APT) model developed in this study. The Capital Asset Pricing Model does not explain the relative returns of the different portfolios. Both APT models account for almost all of the cross-sectional variation in expected returns. It is shown that there is evidence of both short-term and long-term persistence in performance of South African unit trusts. It appears that the worst performing unit trust portfolio tends to stay the worst performer. The portfolio of unit trusts with an average monthly return may eventually become the top performing portfolio, while the top performer over time tends to becomes an average performing portfolio.

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