scholarly journals An Empirical Modelling of New Zealand Hospitality and Tourism Stock Returns

2013 ◽  
Vol 2013 ◽  
pp. 1-10 ◽  
Author(s):  
Christine Lim ◽  
Felix Chan
Keyword(s):  
New Zealand ◽  
Stock Returns ◽  
Money Supply ◽  
Discount Rate ◽  
Expected Returns ◽  
Tourism Demand ◽  
Expected Return ◽  
Risk Premiums ◽  
Term Premium ◽  
Unit Increase

This paper examines the factor risk premiums of stock returns for the hospitality and tourism companies in New Zealand. The Arbitrage Pricing Theory (APT) approach is used to investigate the expected return for stock portfolio with respect to market, macro (i.e., money supply and discount rate), and tourism factor sensitivities. Monthly stock prices, market index, tourism, and macroeconomic data are used in the study. The results indicate that the risk premiums for international tourism demand and term premium (proxy for discount rate) are positively significant at the 5% level. A one unit increase in tourist arrival sensitivity would result in expected return increase of 10 to 17 percentage point. Similarly, a one unit increase in term premium can increase hospitality-tourism expected returns by 0.2 percentage point. However, the findings for the money supply factor are not significant. As the study shows that investors face high positive tourism demand risk, it is imperative for firms and policymakers in New Zealand to promote inbound tourism through effective marketing and management. This in turn can provide high expected returns and create shareholder value for investors.

scholarly journals ANALISIS PORTOFOLIO SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM YANG TERDAFTAR DI BEI

IQTISHODUNA ◽  
2013 ◽  
Author(s):  
Sri Yati
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Analytical Method ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Portfolio Analysis ◽  
Rate Of Return ◽  
Expected Returns ◽  
Risk Level ◽  
Expected Return

This study aims to analyze rate of return and risk as the tools to form the portfolio analysis on 15 the most actives stocks listed in Indonesian Stock Exchange. Descriptive analytical method is used to describe the correlation between three variables: stock returns, expected returns of stock market, and beta in order to measure the risk of stocks to help the investors in making the investment decisions. The research materials are 15 the most actives stocks listed in Indonesian Stock Exchange during 2008-2009. The results show that PT. Astra International Tbk. has the highest average expected return of individual stock (Ri) of 308,3355685, while PT. Perusahaan Gas Negara Tbk. has the lowest of -477,0827847. The average expected return of stock market (Rm) is 0,00247163. PT. Astra International Tbk. has the highest systematic risk level of 20229,14205, while the lowest of -147,5793279 is PT. Kalbe Farma Tbk. Furthermore, the results also indicate that there are 9 stocks can be combined to form optimal portfolio because they have positive expected returns.

Linear Beta Pricing with Inefficient Benchmarks

2013 ◽  
Vol 03 (01) ◽  
pp. 1350004 ◽  
Author(s):  
George Diacogiannis ◽  
David Feldman
Keyword(s):  
Asset Pricing ◽  
Market Risk ◽  
Expected Returns ◽  
Pricing Model ◽  
Pricing Models ◽  
Expected Return ◽  
Risk Premiums ◽  
Asset Pricing Models ◽  
Current Asset ◽  
Mean Variance

Current asset pricing models require mean-variance efficient benchmarks, which are generally unavailable because of partial securitization and free float restrictions. We provide a pricing model that uses inefficient benchmarks, a two-beta model, one induced by the benchmark and one adjusting for its inefficiency. While efficient benchmarks induce zero-beta portfolios of the same expected return, any inefficient benchmark induces infinitely many zero-beta portfolios at all expected returns. These make market risk premiums empirically unidentifiable and explain empirically found dead betas and negative market risk premiums. We characterize other misspecifications that arise when using inefficient benchmarks with models that require efficient ones. We provide a space geometry description and analysis of the specifications and misspecifications. We enhance Roll (1980), Roll and Ross's (1994), and Kandel and Stambaugh's (1995) results by offering a "Two Fund Theorem," and by showing the existence of strict theoretical "zero relations" everywhere inside the portfolio frontier.

Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?

2009 ◽  
Vol 44 (4) ◽  
pp. 777-794 ◽  
Author(s):  
George Bulkley ◽  
Vivekanand Nawosah
Keyword(s):  
Stock Returns ◽  
Expected Returns ◽  
Sample Period ◽  
Expected Return ◽  
Cross Sectional ◽  
Holding Period ◽  
Expected Stock Returns ◽  
The Cross

AbstractIt has been hypothesized that momentum might be rationally explained as a consequence of the cross-sectional variation of unconditional expected returns. Stocks with relatively high unconditional expected returns will on average outperform in both the portfolio formation period and in the subsequent holding period. We evaluate this explanation by first removing unconditional expected returns for each stock from raw returns and then testing for momentum in the resulting series. We measure the unconditional expected return on each stock as its mean return in the whole sample period. We find momentum effects vanish in demeaned returns.

scholarly journals Consumption-Based Asset Pricing When Consumers Make Mistakes

2021 ◽  
Vol 2021 (015) ◽  
pp. 1-71
Author(s):  
Chris Anderson ◽  
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Equity Premium ◽  
Expected Returns ◽  
Power Utility ◽  
Expected Return ◽  
Risk Return ◽  
Asset Pricing Models ◽  
Long Run ◽  
Wide Range

I analyze the implications of allowing consumers to make mistakes on the risk-return relationships predicted by consumption-based asset pricing models. I allow for consumption mistakes using a model in which a portfolio manager selects investments on a consumer's behalf. The consumer has an arbitrary consumption policy that could reflect a wide range of mistakes. For power utility, expected returns do not generally depend on exposure to single-period consumption shocks, but robustly depend on exposure to both long-run consumption and expected return shocks. I empirically show that separately accounting for both types of shocks helps explain the equity premium and cross section of stock returns.

scholarly journals Cross country evaluation of equity return concept: An empirical study about the relationship between actual and expected returns

2021 ◽  
Vol 18 (4) ◽  
pp. 30-41
Author(s):  
Sunny Oswal ◽  
Kushagra Goel
Keyword(s):  
Stock Returns ◽  
Equity Returns ◽  
Expected Returns ◽  
Capital Asset Pricing ◽  
Expected Return ◽  
Asset Pricing Model ◽  
Significant Difference ◽  
Cross Country ◽  
Actual Return ◽  
The Relationship

This paper studies the concept of equity returns and sees whether there is a significant difference between the expected return which is calculated through the capital asset pricing model (CAPM) and the actual return given by the stock. For this study, 10 stocks with maximum market capitalization are taken focusing on 12 countries for our research subdivided into developed and developing countries. The period of study is 10 calendar years from 2010 to 2019. The hypothesis being whether the actual stock returns are significantly different from the expected stock return, for the same paired t-test has been deployed on 120 stocks to check the significance. Further evaluation has been done to check whether the expected return is undervalued or overvalued in reference to the actual return. To check whether there is a significant difference between the actual and expected return across the companies, panel regression was used, and then the same was done to check whether there is a significant difference between countries and also whether there is a significant difference on the basis whether the countries are developed or developing. The authors have existing research confined to particular geographies that discuss VAR models

Cross-Section of Expected Returns Based on Equity Duration

2019 ◽  
Vol 27 (3) ◽  
pp. 297-327
Author(s):  
Sungjeh Moon ◽  
Joonhyuk Song
Keyword(s):  
Cross Section ◽  
Risk Premium ◽  
Factor Model ◽  
Explanatory Power ◽  
Significant Risk ◽  
Significant Risk Factor ◽  
Expected Returns ◽  
Expected Return ◽  
Cross Sectional ◽  
Risk Premiums

We analyze the cross-sectional expected return of KOSPI stocks using equity duration. From 1991 to 2018, we calculate equity durations for the KOSPI listed stocks (including de-listed stocks) and find that the shorter the equity duration, the higher the risk premium. Using the 4-factor model with equity duration added to the benchmark 3-factor model, the explanatory power of the 4-factor model is superior to that of the existing benchmark model in accounting for risk premiums. This is an unusual finding that is not readily explainable by the traditional CAPM or the Fama-French 3-factor model. This can be interpreted that the equity duration is a separate and significant risk factor dissociated from the HML of the 3-factor model.

Important Factors of Estimated Return and Risk: The Taiwan Evidence

2002 ◽  
Vol 05 (01) ◽  
pp. 71-92
Author(s):  
Kuang-Ping Ku ◽  
William T. Lin
Keyword(s):  
Standard Deviation ◽  
Stock Returns ◽  
Selection Bias ◽  
Trading Volume ◽  
Evaluation Model ◽  
Explanatory Power ◽  
Empirical Literature ◽  
Expected Returns ◽  
Expected Return ◽  
High Volatility

This paper seeks to identify which factors are important for estimating portfolio's expected return and standard deviation in the Taiwan stock market. We have summarized from the existing empirical literature a total of 26 factors that may have explanatory power. The results of our evaluation show that except for the trading volume, the remaining 25 factors do not seem to help explain the average stock returns during the July 1985–June 1999 period. However, the power of the trading volume to account for the expected returns on the stock is affected by any changes in the sample or by the use of a different evaluation model. We suggest three potential explanations of why all 26 factors show no stable power to explain average returns on Taiwan stocks: high volatility, selection bias, and market differences. Moreover, we find that all of the 26 factors are important in capturing the systematic covariation in stock returns.

scholarly journals METHODOLOGICAL APPROACHES TO THE DISCOUNTING RATE CHOICE IN FORENSIC ECONOMICS RESEARCH

2021 ◽  
Author(s):  
T. Paientko ◽  
M. Rudaia
Keyword(s):  
Discount Rate ◽  
Expected Returns ◽  
Capital Asset Pricing ◽  
Global Risk ◽  
Risk Premiums ◽  
Local Risk ◽  
Methodological Approaches ◽  
Risk Free Rate ◽  
Free Rate

The article summarizes the methodological approaches to the choice of discount rate. The purpose of the article is to substantiate methodological approaches to the selection of the discount rate concerning the examination related to the recognition of assets and liabilities requiring discounted valuations in the financial statements. The practical application of the discount rate methodology is explored. One of the most important models for estimating expected returns on securities portfolios, equity and the basis for setting risk premiums and discount rates is the Capital Asset Pricing Model (CAPM). In spite of the fact that the mandatory use of the model in Ukraine is absent at legislative level, the correctness of its application is confirmed by long-term business practice worldwide. It has been determined, that in order to protect the position of legal experts in the preparation of opinions related to local risk-free rate for evaluation of the discount rate determination it is suggested to use global risk-free rate with the appropriate adjustments. The algorithm for calculating the discount rate on the model of capital assets cost, which is possible to apply in the current realities of Ukraine, is substantiated.

A Comparative Study of the Returns of Quoted Sin and Non Sin Stocks at the Nairobi Securities Exchange

2017 ◽  
Vol 2 (2) ◽  
pp. 85
Author(s):  
Paul Gachoki Njeru ◽  
Dr. Herrick Ondigo
Keyword(s):  
Social Sciences ◽  
Stock Returns ◽  
Secondary Data ◽  
Capital Gains ◽  
Expected Returns ◽  
Major Objective ◽  
Expected Return ◽  
Secondary Data Sources ◽  
Gathering Data ◽  
Sin Stocks

Purpose: The purpose of the study was to compare returns of quoted sin and non-sin stocks at the Nairobi Securities Exchange. The major objective of the study was to establish whether stock returns of sin stocks outperform non sin stocks.Methodology: The study used explanatory research design with the population consisting of all firms listed in the NSE. The sample of the study consisted of the top 20 NSE firms. The study grouped 18 firms into the non-sin stock category and another 2 firms (BAT ad EABL) into the sin stock category. Secondary data sources were used in gathering data for analysis which was done using the Statistical Package for Social Sciences (SPSS version 20) to generate the descriptive statistics and also to generate inferential results.Results: The study found out that sin stocks have higher capital gains, high expected return and dividends than in non-sin stocksUnique contribution to theory, practice and policy:  The study recommended that Sin stocks have higher expected returns than comparable stocks; however, neglected they are by norm constrained investors. Therefore, investors should split their investment in sin stock and non-sin stocks.

Risk-Relevance of Fair-Value Income Measures for Commercial Banks

2006 ◽  
Vol 81 (2) ◽  
pp. 337-375 ◽  
Author(s):  
Leslie D. Hodder ◽  
Patrick E. Hopkins ◽  
James M. Wahlen
Keyword(s):  
Standard Deviation ◽  
Stock Returns ◽  
Commercial Banks ◽  
Fair Value ◽  
Net Income ◽  
Income Volatility ◽  
Expected Return ◽  
Market Pricing ◽  
Share Prices ◽  
Comprehensive Income

We investigate the risk relevance of the standard deviation of three performance measures: net income, comprehensive income, and a constructed measure of full-fair-value income for a sample of 202 U.S. commercial banks from 1996 to 2004. We find that, for the average sample bank, the volatility of full-fair-value income is more than three times that of comprehensive income and more than five times that of net income. We find that the incremental volatility in full-fair-value income (beyond the volatility of net income and comprehensive income) is positively related to marketmodel beta, the standard deviation in stock returns, and long-term interest-rate beta. Further, we predict and find that the incremental volatility in full-fair-value income (1) negatively moderates the relation between abnormal earnings and banks' share prices and (2) positively affects the expected return implicit in bank share prices. Our findings suggest full-fair-value income volatility reflects elements of risk that are not captured by volatility in net income or comprehensive income, and relates more closely to capital-market pricing of that risk than either net-income volatility or comprehensiveincome volatility.

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