The Correlations and Volatilities of Stock Returns: The CAPM Beta and the Fama-French Factors

This study empirically tests the contagion effects in stock and real estate investment trust (REIT) markets during the subprime mortgage crisis by using daily stock- and REIT-markets data from the following countries and international bodies: the United States, the European Union, Japan, Hong Kong, Singapore, Australia, and the global REIT market. We found a significant and positive dynamic conditional correlation (DCC) coefficient between stock returns and REIT returns. The results revealed that the REIT markets responded early to market shocks and that the variances were higher in the post-crisis period than in the pre-crisis period. Evidence supporting the contagion effects includes increases in the means of the DCC coefficients during the post-crisis period. The Japanese and Australian REIT markets possess the lowest time-varying downside systematic risks. We also demonstrated that the “DCC E-beta” captures more significant downside linkages between market portfolios and expected REIT returns than does the standard CAPM beta.

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DOES DEFAULT RISK MATTER FOR INVESTORS IN REITS

International Journal of Strategic Property Management ◽

10.3846/ijspm.2020.13504 ◽

2020 ◽

Vol 24 (5) ◽

pp. 1-14

Author(s):

Yezhou Sha ◽

Zilong Wang ◽

Ziwen Bu ◽

Nick Mansley

Keyword(s):

Stock Returns ◽

Risk Premium ◽

Default Risk ◽

Negative Relationship ◽

Investment Strategy ◽

Idiosyncratic Volatility ◽

Asset Growth ◽

Capm Beta ◽

The Relationship

We investigate the relationship between default risk and REIT stock returns. A default risk long-short investment strategy generates a return of 15% per annum. We also evaluate a large number of potential explanations for the negative relationship between default risk and subsequent stock returns. We do not find robust evidence that the default risk premium can be explained by firm size, book-to-market equity, asset growth and idiosyncratic volatility. However, CAPM beta shows some promise in explaining the default risk premium. Our results shed further light on the role of default risk in investment in REITs.

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ANALISIS PERBANDINGAN CAPM DENGAN TFMFF DALAM MENGESTIMASI RETURN SAHAM PADA JII PERIODE 2014-2016

Jurnal MANAJERIAL ◽

10.17509/manajerial.v18i1.16297 ◽

2019 ◽

Vol 18 (1) ◽

Author(s):

Esi Fitriani Komara ◽

Eka Yulianti

Keyword(s):

Stock Returns ◽

Firm Size ◽

Excess Return ◽

Expected Return ◽

Panel Data Regression ◽

Data Regression ◽

Capm Beta ◽

Actual Return ◽

Simple Regression ◽

Better Than

ABSTRACT In investing investors need to estimate returns, it is intended that the desired actual return is in accordance with the expected return. CAPM and TFMFF are models that can estimate stock returns. This study aims to determine whether (1) in the CAPM beta model as market risk affects the return. (2) on TFMFF excess return, firm size and BE / ME have an effect on return. As well as (3) CAPM or TFMFF which can estimate return better. The sample of this research is JII stocks for the period 2014-2016. Data analysis used is simple regression for CAPM and panel data regression for TFMFF. The results of this study state that, (1) beta does not affect return. (2) excess return and firm size affect return while BE / ME does not affect return. (3) TFMFF is better than CAPM in estimating the return of JII for the period 2014-2016.Keywords: CAPM; TFMFF ABSTRAKDalam melakukan investasi investor perlu mengestimasi return, hal tersebut bertujuan agar return aktual yang diinginkan sesuai dengan return yang diharapkan. CAPM dan TFMFF merupakan model yang dapat mengestimasi return saham. Penelitian ini bertujuan untuk mengetahui apakah (1) pada model CAPM beta sebagai risiko pasar berperpengaruh terhadap return. (2) pada TFMFF excess return, firm size dan BE/ME berperpengaruh terhadap return.Serta (3) CAPM atau TFMFF yang dapat mengestimasi return lebih baik.Sampel penelitian ini adalah saham-saham JII periode 2014-2016. Analisis data yang digunakan adalah regresi sederhana untuk CAPM dan regresi data panel untuk TFMFF. Hasil penelitian ini menyatakan bahwa, (1) beta tidak berpengaruh terhadap return. (2) excess return dan firm size berpengaruh terhadap return sedangkan BE/ME tidak berpengaruh terhadap return.(3) TFMFF lebih baik dibandingkan CAPM dalam mengestimasi return JII periode 2014-2016.Kata Kunci: CAPM; TFMFF

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An Exploration of the Time-varying Beta of the International Capital Asset Pricing Model: The Case of the Japanese and the Other Asia-Pacific Stock Markets

Accounting and Finance Research ◽

10.5430/afr.v6n2p86 ◽

2017 ◽

Vol 6 (2) ◽

pp. 86 ◽

Cited By ~ 2

Author(s):

Chikashi Tsuji

Keyword(s):

Stock Returns ◽

Stock Markets ◽

The Other ◽

Asia Pacific ◽

Capital Asset Pricing ◽

Time Varying ◽

International Capital ◽

Asset Pricing Model ◽

Capm Beta ◽

Time Invariant

This study clarifies the state of dynamic evolution of the international CAPM betas for Asia Pacific (excluding Japan) and Japanese stock returns: first, both for Asia Pacific and Japanese stock markets, the time-invariant international CAPM beta values are not high. Second, over the period from July 2, 1990 to May 30, 2016, for Asia Pacific stock markets, the time-varying international CAPM betas gradually increase; while for the Japanese market, the time-varying international CAPM betas gradually decrease. We also find that the international time-varying CAPM betas for Japan are recently lower than those for Asia Pacific markets, thus, in the global equity investments, Japanese equities are more useful to obtain the diversification effects than the other Asia Pacific equities.

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Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

International Journal of Management, Finance and Accounting ◽

10.33093/ijomfa.2020.1.1.1 ◽

2020 ◽

Vol 1 (1) ◽

pp. 1-21

Author(s):

Ying Tay Lee ◽

Devinaga Rasiah ◽

Ming Ming Lai

Keyword(s):

Human Rights ◽

Asset Pricing ◽

Stock Returns ◽

Firm Size ◽

Explanatory Power ◽

Least Square ◽

Press Freedom ◽

Capital Asset Pricing ◽

Capital Asset ◽

Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

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