Relation entre le coefficient du risque systématique béta et la structure du capital en contexte ouest africain : cas des sociétés cotées à la bourse ghanéenne (The Relationship Between the Beta Coefficient of Systematic Risk and the Structure of Capital in a West African Context: Case of Societies Listed on the Ghanaian Stock Exchange)

2020 ◽  
Author(s):  
Bara Ndiaye
Keyword(s):  
Stock Exchange ◽  
Systematic Risk ◽  
West African ◽  
Beta Coefficient ◽  
African Context ◽  
The Relationship

scholarly journals The Relationship Between Corporate Governance Practices and Financial Performance: Evidence from Amman Stock Exchange

2021 ◽  
pp. 63-87
Author(s):  
Hussein Ahmad Bataineh ◽  
Sulaiman Salim Al Harthy ◽  
Raqiya Ali Al Balushi
Keyword(s):  
Corporate Governance ◽  
Financial Performance ◽  
Stock Exchange ◽  
Predictor Variable ◽  
P Value ◽  
Amman Stock Exchange ◽  
Governance Practices ◽  
Unit Increase ◽  
Beta Coefficient ◽  
The Relationship

The objective of the study was to establish the relationship between corporate governance Index and financial performance and evidence from Amman stock exchange. To achieve this objective, this study applied descriptive research structure. In this case, the research focused on the 181 firms listed at the Amman Stock Exchange (Appendix I). The statistical techniques that was applied to analyze collected data included descriptive statistics. The information analyzed revealed that the model summary indicated that the R² to be 0.243. This meant that 24.3% of the variation in performance (ROA) was due to the predictor variable captured in the study. This also implied that 75.7% of the variation in ROA was attributed to the measurements of error and other factors that could have had an effect on the ROA but were not captured in the study. The estimated model showed that ROA when other factors are held constant was 1.610. The outcomes also revealed that governance score had a beta coefficient of 0.573 indicating that for every unit increase in governance score on the ROA went up by 0.573. This relationship is significance since P-value of 0.025<0.05. Therefore, the model qualified as a good predictor. Keywords: Corporate Governance, Financial Performance, Amman stock Exchange.

scholarly journals Systematic illiquidity, characteristic illiquidity, and stock returns: Timeseries analysis

2022 ◽  
Vol 9 (2) ◽  
pp. 72-80
Author(s):  
Soltane et al. ◽  
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Timeseries Analysis ◽  
The Relationship

The objective of this research is to investigate the relationship between illiquidity and stock prices on the Tunisian stock exchange. While previous researches tended to focus on one form of illiquidity to examine this relationship, our study unifies three forms of illiquidity at the same time. Indeed, we simultaneously consider illiquidity as systematic risk, as a characteristic of the market, and as a characteristic of the stock. The aggregate illiquidity of the market is the average of individual stock illiquidity. The illiquidity risk is the sensitivity of the stock price to illiquidity shocks. Shocks of market illiquidity are estimated by the innovations in the expected market illiquidity. Results show that investors on the Tunisian stock exchange do not require higher returns when they expect a rise of market illiquidity, whereas investors on U.S markets are compensated for higher expected market illiquidity. In addition, shocks of market illiquidity provoke a fall in stock prices of small caps, while large caps are not sensitive to market illiquidity shocks. This differs slightly from results based on U.S. data where illiquidity shocks reduce all stock prices but most notably those of small caps. Robustness tests validate our findings. Our results are consistent with previous studies which reported that the “zero-return” ratio predicts significantly the return-illiquidity relationship on emerging markets.

scholarly journals Does Corruption Increase the risk Premium on the West African Economic Monetary Union (WAEMU) Bond Market?

2013 ◽  
Vol 5 (3) ◽  
pp. 129-135
Author(s):  
Mohamed Lamine MBENGUE
Keyword(s):  
Monetary Union ◽  
Risk Premium ◽  
Stock Exchange ◽  
West African ◽  
Negative Effects ◽  
Private Placement ◽  
Corruption Index ◽  
Public Offering ◽  
Spread Analysis ◽  
The Relationship

We study the relationship between corruption and risk premium in West African Economic Monetary Union (WAEMU) market bond. Our sample consists of bonds through a public offering and private placement. For this research data was collected from the stock exchange (Bourse Régionale des Valeurs Mobilières). Number of bonds, average corruption and average spread analysis was used to analyze the data. Most country in WAEMU states has a corruption index below 3.5. The results show that corruption score has negative effects on economic performance indicators and there was a predominance of private placement debt relative to debt through a public offering.

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 The effect of financial distress on stock returns, through systematic risk and profitability as mediator variables

Accounting ◽  
2021 ◽  
Vol 7 (7) ◽  
pp. 1717-1724 ◽  
Author(s):  
Mulyanto Nugroho ◽  
Donny Arif ◽  
Abdul Halik
Keyword(s):  
Stock Returns ◽  
Indirect Effect ◽  
Financial Distress ◽  
Latent Variables ◽  
Stock Exchange ◽  
Systematic Risk ◽  
P Value ◽  
Moderating Variables ◽  
The Impact ◽  
The Relationship

This study aims to determine the relationship between financial distress and systematic risk, the relationship between financial distress and profitability, the relationship between systematic risk and stock returns, the relationship between profitability and stock returns, and the indirect effect between financial distress and stock returns through systematic risk and company profitability. by collecting data on the Indonesia Stock Exchange on chemical companies and the element industry in 2018-2020. This study was conducted to find out the answers to the impact caused by the global economic turmoil. Using the PLS-SEM method and four latent variables, which are divided into one endogenous variable, two moderating variables and one exogenous variable, it is hoped that it can provide value for the statistical calculation activities carried out. This study uses a quantitative descriptive method with two moderating variables that link financial distress and stock returns. This study produces a specific indirect effect; the financial distress variable significantly impacts Stock Return through systematic risk and profitability variables with a p-value < 0.05. The main finding of this study is the significant impact of world economic turmoil that must be faced by creating systematic risk to convince. Investors and provide education to potential investors.

scholarly journals Validity of Capital Assets Pricing Model (CAPM) (Empirical Evidences from Amman Stock Exchange)

2021 ◽  
Vol 8 (1) ◽  
pp. 207
Author(s):  
Ahmad Alqisie ◽  
Talal Alqurran
Keyword(s):  
Risk Premium ◽  
Stock Exchange ◽  
Conclusive Evidence ◽  
Average Risk ◽  
Pricing Model ◽  
Expected Return ◽  
Risk And Return ◽  
Amman Stock Exchange ◽  
Beta Coefficient ◽  
The Relationship

The purpose of this study is to test the validity of CAPM in Amman Stock Exchange (ASE) during the period (2010 – 2014), which was divided into three sub periods. We used monthly returns of 60 stocks of Jordanian companies listed in ASE. Black, Jensen and Scholes (1972) and Fama and MacBeth (1973) methods were used to test the CAPM in different study sub-periods. The analysis results showed that higher risk (beta) is not associated with higher levels of return, which violated the CAPM assumption. Results of the study leads to contradict the theory’s assumption that beta coefficient is a good toll to predict the relationship between risk and return; hence the beta coefficient of some portfolios in the three sub periods was not significant. In addition, the results of testing SML violated the CAPM assumption in the three sub periods that, the slope should be equal to the average risk premium. Finally, tests of nonlinearity of the relationship between return and betas validated the CAPM hypothesis, that the expected return-beta relationship is linear. Depending on the above results, we couldn’t find conclusive evidence in support of CAPM in ASE.

scholarly journals Analisis Inflasi, Tingkat Suku Bunga, Dividend Payout Ratio, dan Current Ratio terhadap Risiko Sistematis

TRIKONOMIKA ◽  
2015 ◽  
Vol 14 (1) ◽  
pp. 47
Author(s):  
Della Ferranti ◽  
Irni Yunita
Keyword(s):  
Interest Rate ◽  
Stock Return ◽  
Stock Exchange ◽  
Investment Decision ◽  
Systematic Risk ◽  
Panel Analysis ◽  
Current Ratio ◽  
Dividend Payout ◽  
Common Effect ◽  
Beta Coefficient

Investing    is    an    activity    that    sacrifice    the    resources    at    this    time    in    hopes    of    gaining    greater    profits    in    the    future..    Before    making    an    investment    decision,    an    investor    will    consider    many    factors,    one    of    which    is    about    risk.    There    are    two    types    of    risk,    systematic    risk    and    unsystematic    risk.    Systematic    risk    is    reflected    in    the    value    of    beta    coefficient.    Beta    indicates    the    volatility    of    stock    return    to    market    return.    The    purpose    of    this    study    was    to    determine    the    influence    of    inflation,    interest    rate,    dividend    payout    ratio,    and    current    ratio    on    systematic    risk    in    State-owned    Enterprises.    This    research    was    classified    as    descriptive    verificative    research.    This    study    used    data    panel    analysis    with    methods    Common    Effect    Methods.    These    results    indicate    that    inflation,    interest    rate,    dividend    payout    ratio    and    current    ratio    does    not    have    significant    influence    on    systematic    risk    in    State-owned    Enterprises    listed    in    Indonesia    Stock    Exchange    period    2011-2013    either    simultaneously    or    partially.

scholarly journals Adapting Macbeth in a Lusophone context: the challenges of intercultural performance

Sederi ◽  
2015 ◽  
pp. 129-151
Author(s):  
Francesca Rayner
Keyword(s):  
West African ◽  
The West ◽  
Post Colonial ◽  
Guinea Bissau ◽  
Intercultural Performance ◽  
Critical Exploration ◽  
African Context ◽  
Political Intervention ◽  
The Relationship

This article analyses the intercultural performance of The Prayers of Mansata, an adaptation of Shakespeare’s Macbeth to the West African context of Guinea-Bissau. After a critical exploration of contemporary intercultural theory, it charts the relationship between the Shakespearean text and this adaptation, before exploring particular questions raised by the circulation of the performance within different Portuguese-speaking contexts. It argues that such performances can represent a potent social and political intervention in contemporary configurations of power within a Portuguese-speaking community of nations by combining concerns with local specificity and wider concerns with a post-colonial present.

scholarly journals The Effect of Systematic Risk and Previous Period Returns on Portfolio Selection

2020 ◽  
Vol 7 (1) ◽  
pp. 1
Author(s):  
Cem Berk ◽  
Bekir Tutarli
Keyword(s):  
Portfolio Management ◽  
Selection Criteria ◽  
Stock Exchange ◽  
Selection Criterion ◽  
Systematic Risk ◽  
Previous Period ◽  
Istanbul Stock Exchange ◽  
Beta Coefficient ◽  
Mean Variance ◽  
Stock Values

There are many techniques to determine investable set of portfolios given return data of assets. However, the theoretical results do not always point out the best portfolios in practice. This is due to the fact that financial dynamics are so difficult to be modelled and this requires many assumptions. The investor may have some preferences to select portfolios. In this study, two selection criteria are proposed to be applied in a mean variance optimization. These criteria are beta coefficient which is a measure of systematic risk and previous period return.The study has an empirical analysis applied on Istanbul Stock Exchange. The findings of the study confirm that these selection criteria may be used to obtain investable portfolios. The analysis with beta selection criteria reveal that the portfolio with lowest 5 beta coefficients is the best alternative. This means that the advantage of low beta which is a natural hedge when stock values declineis superior to diversification benefits of adding new stocks.The previous period return analysis suggest two alternative portfolios. In addition, one of these portfolios generate higher return than the portfolio selected with beta selection criterion. This is also a higher risk portfolio. Therefore the decision is based on risk profile of the investor.This research offer to add selection criteria to the standard approach which is beneficial for academic and practical purposes in portfolio management.

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