Patent Thickets, Stock Returns, and Conditional CAPM

2022 ◽  
Author(s):  
Po-Hsuan Hsu ◽  
Hsiao-Hui Lee ◽  
Tong Zhou
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Capital Asset Pricing ◽  
Stochastic Discount Factor ◽  
Aggregate Productivity ◽  
Capital Asset ◽  
Conditional Capm ◽  
Asset Pricing Model ◽  
Patent Rights ◽  
Patent Thickets

Patent thickets, a phenomenon of fragmented ownership of overlapping patent rights, hamper firms’ commercialization of patents and thus deliver asset pricing implications. We show that firms with deeper patent thickets are involved in more patent litigations, launch fewer new products, and become less profitable in the future. These firms are also associated with lower subsequent stock returns, which can be explained by a conditional Capital Asset Pricing Model (CAPM) based on a general equilibrium model that features heterogeneous market betas conditional on time-varying aggregate productivity. This explanation is supported by further evidence from factor regressions and stochastic discount factor tests. This paper was accepted by Karl Diether, finance.

scholarly journals The Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange Using the Capital Asset Pricing Model (CAPM)

2014 ◽  
Vol 21 ◽  
pp. 26-35
Author(s):  
Mohsen Mehrara ◽  
Zabihallah Falahati ◽  
Nazi Heydari Zahiri
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
The Relationship

One of the most important issues in the capital market is awareness of the level Risk of Companies, especially “systemic risk (unavoidable risk)” that could affect stock returns, and can play a significant role in decision-making. The present study examines the relationship between stock returns and systematic risk based on capital asset pricing model (CAPM) in Tehran Stock Exchange. The sample search includes panel data for 50 top companies of Tehran Stock Exchange over a five year period from 1387 to 1392. The results show that the relationship between systematic risk and stock returns are statistically significant. Moreover, the nonlinear (quadratic) function outperforms the linear one explaining the relationship between systematic risk and stock returns. It means that the assumption of linearity between systematic risk and stock returns is rejected in the Tehran Stock Exchange. So we can say that the capital asset pricing model in the sample is rejected and doesn’t exist linear relationship between systematic risk and stock returns in the sample.

scholarly journals CAPITAL ASSET PRICING MODEL TESTING IN WEST AFRICA ECONOMIC AND MONETARY UNION STOCK MARKET: THE CASE OF IVORIAN LISTED FIRMS

2017 ◽  
Vol 5 (2) ◽  
pp. 23-30
Author(s):  
Zimy Samuel Yannick Gahé ◽  
Zhao Hongzhong ◽  
Brou Matthias Allate ◽  
Thierry Belinga
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Monetary Union ◽  
Economic And Monetary Union ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Listed Firms ◽  
Asset Pricing Model

This paper investigates the validity of Capital Asset Pricing Model (CAPM) for the West African Economic and Monetary Union (WAEMU) stock market using monthly stock returns of twenty Côte d’Ivoire’s listed firms from January 2002 to December 2011. We split this interval into different time periods. Each one of them has also been divided into two different sub-periods among which one served as estimation mean and the second one helped to test the estimated parameters obtained using a times series regression. Afterwards some statistical tests have been conducted to see whether the CAPM’s hypotheses hold or not. The findings showed that higher risk is not associated with higher level of return within the study area. Also, there was no relation between stock return and non-systemic risk except for one period where we found evidence that stock returns were affected by other risk than the systematic risk. On the contrary the stock expected rate of return had a linear relationship with the systematic risk. The study suggested that the listed companies consider other factors and variables which could explain their returns.

scholarly journals Autoregression Vector Prediction on Banking Stock Return using CAPM Model Approach and Multi-Factor APT (IJCIET)

2018 ◽  
Author(s):  
Andysah Putera Utama Siahaan ◽  
Rusiadi
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Model Method ◽  
Pricing Theory

This study aims to predict banking stock returns in Indonesia. The problem under study is the difficulty of determining banking stock returns. This study uses the VAR approach by comparing CAPM and APT. The results show the CAPM (Capital Asset Pricing Model) method through RF (Return Risk-Free Assets) is more accurate in predicting stock returns than the APT (Arbitrage Pricing Theory) method. In the medium term, the CAPM (Capital Asset Pricing Model) method through RF (Return Risk-Free Assets) is more accurate in predicting stock returns than the APT (Arbitrage Pricing Theory) method. In the long run, the CAPM (Capital Asset Pricing Model) method is also more accurate in predicting stock returns than the APT (Arbitrage Pricing Theory) method. Model specifications formed using the Roots of Characteristic Polynomial and Inverse Roots of AR Characteristic Polynomial obtained stable results; it can be shown that all roots units are in the Inverse Roots of AR Characteristic Polynomial circle.

scholarly journals A TEST OF THE FAMA-FRENCH FIVE FACTOR MODEL IN COMPARISON TO THE CAPITAL ASSET PRICING MODEL AT THE LUSAKA SECURITIES EXCHANGE

2018 ◽  
Vol 3 (1) ◽  
pp. 35
Author(s):  
Nsama Musawa ◽  
Prof. Sumbye Kapena ◽  
Dr . Chanda Shikaputo
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Fama And French

Purpose: The capital asset pricing model (CAPM)  is one of  the basic models in the security price analysis.Many asset pricing models have been developed to improve the CAPM.Among such models is the latest  Fama and French five factor model which is being  empirically tested in various stock markets. This study tested the five factor model in comparison to the capital asset pricing model. Testing the Fama and French Five factor model in comparison to the CAPM was important because the CAPM is widely taken to be the basic model in the security price analysis. Methodology: The Fama and French methodology was used to test  the data from an emerging market, the Lusaka Securities Exchange. A deductive, quantitative research design and secondary data from the Lusaka Securities Exchange was used. Data was analyzed using multiple regression. Results: The results indicate that the Five Factor model is better than the CAPM in capturing variation in the stock returns. The Adjusted R-squared for the five factor model from all individual portfolio sorting was 0.9, while that for the CAPM was 0.13 Unique contribution to theory, practice and policy: This study has contributed to theory in that it has added a voice to the ongoing debt on the suitability of  the new Fama and French Five Factor model which is at the cutting hedge in finance theory.Further the study is from developing capital market. Keywords:, CAPM, Stock returns, Fama and French five factor model

scholarly journals Analisis Saham Syariah Efisien dengan Pendekatan Shari’a Compliant Asset Pricing Model (SCAPM) pada Jakarta Islamic Index (JII)

2017 ◽  
Vol 8 (1) ◽  
pp. 131
Author(s):  
Zainul Hasan Quthbi
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Analysis Model ◽  
Asset Pricing Model ◽  
Positive Individual ◽  
Data Collection Technique

<p class="IABSSS">The objective of this article is to analyze the Islamic stocks are relatively efficient for investment decisions using SCAPM (Shari’a Compliant Asset Pricing Model). SCAPM is a modified form of the CAPM (Capital Asset Pricing Model) which aims to frame the analysis model within the framework of Shari’a. The data collection technique is documentation of data that is secondary. 13 samples used in the study of Islamic stocks with consistent criteria of Islamic stocks enter the JII (Jakarta Islamic Index) study period in December 2013 to November 2016 and has a positive individual stock returns. Results from the study showed there were 9 of Islamic stocks are relatively efficient and the 4 remaining inefficient. Shares of PT. Adaro Energy has the largest RVAR value means having the most excellent stock performance.</p><p class="IABSSS">Artikel<strong> </strong>ini bermaksud untuk menganalisis saham syariah yang tergolong efisien untuk keputusan investasi dengan menggunakan SCAPM (Shari’a Compliant Asset Pricing Model). SCAPM adalah bentuk modifikasi dari CAPM (Capital Asset Pricing Model) yang bertujuan agar kerangka model analisis masih dalam kerangka syariah. Teknik pengumpulan data adalah dokumentasi dari data yang bersifat sekunder. Digunakan 13 sampel saham syariah pada penelitian ini dengan kriteria saham syariah yang konsisten masuk pada JII (Jakarta Islamic Index) periode penelitian Desember 2013 hingga November 2016 dan memiliki pengembalian saham individual positif. Hasil dari penelitian menunjukkan terdapat 9 saham syariah yang tergolong efisien dan 4 sisanya tidak efisien. Saham PT. Adaro Energy memiliki nilai RVAR terbesar yang berarti memiliki kinerja saham paling baik.</p>

The Distortion in Prices Due to Passive Investing

2021 ◽  
Author(s):  
Shmuel Baruch ◽  
Xiaodi Zhang
Keyword(s):  
Asset Pricing ◽  
Private Information ◽  
Asset Prices ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Conditional Capm ◽  
Asset Pricing Model ◽  
Ex Post ◽  
Passive Investing

In the capital asset pricing model (CAPM), it is ex post optimal to index. To examine the implications of market indexing, we develop a conditional CAPM with costless private information in which some investors are, for exogenous reasons, ex ante indexers. We show that, as more nonindexers become indexers, the price efficiency of stocks diminishes, asset prices comove, and the statistical fit (measured by R2) of the CAPM regression decreases. We also report asset prices at the limit, when 100% of the investors are market indexers. This paper was accepted by Tyler Shumway, finance.

scholarly journals Capital Asset Pricing Model (CAPM) and the Douala Stock Exchange

2020 ◽  
Vol 11 (5) ◽  
pp. 191
Author(s):  
Amenawo Ikpa Offiong ◽  
Hodo Bassey Riman ◽  
Helen Walter Mboto ◽  
Eyo Itam Eyo ◽  
Diana Gembom Punah
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Least Square ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Asset Portfolio

This study examines if the Capital Asset Pricing Model (CAPM) can be applied to the Douala Stock Exchange. The study utilized monthly stock returns from the three companies listed on the Douala Stock Exchange (DSX), for the period 30th April 2009 to 31st August 2017. Ordinary Least Square regression analysis was adopted for the study to examine if individual stocks can predict a better stock beta. The Black, Jensen, and Scholes (1972) CAPM version were also examined in this study to assess the validity of the zero beta estimate. The result of the individual estimates could not establish the validity of the CAPM theory. Further analysis showed that the Beta for the three assets combined portfolio was not statistically significant. However, when two securities were combined into a single asset portfolio, the portfolio bêta was statistically significant. The significant result of the two asset portfolio confirms that Beta was a linear function of security returns in the DSX market. The study concludes that there will be a need for the government of Cameroun to liberalize the DSX market and allow more firms to be quoted on the floor of the exchange. This decision will allow for the deepening of the DSX market, enhance the liquidity level of the market, and enable investors to reap adequate returns from their investment through holding a portfolio of assets. 

scholarly journals The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas

2020 ◽  
Vol 66 (6) ◽  
pp. 2474-2494 ◽  
Author(s):  
Fabian Hollstein ◽  
Marcel Prokopczuk ◽  
Chardin Wese Simen
Keyword(s):  
Asset Pricing ◽  
High Frequency ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Cross Sectional ◽  
Conditional Capm ◽  
Asset Pricing Model ◽  
Daily Data

When using high-frequency data, the conditional capital asset pricing model (CAPM) can explain asset-pricing anomalies. Using conditional betas based on daily data, the model works reasonably well for a recent sample period. However, it fails to explain the size anomaly as well as three out of six of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able to explain the size, value, and momentum anomalies. We further show that high-frequency betas provide more accurate predictions of future betas than those based on daily data. This result holds for both the time-series and the cross-sectional dimensions. This paper was accepted by Karl Diether, finance.

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