Probabilitas Tingkat Laba Bursa Efek Indonesia Periode 1 Juli 1997 – 1 Juli 2011

2011 ◽  
Vol 2 (2) ◽  
pp. 833
Author(s):  
Tomy G. Soemapradja
Keyword(s):  
Probability Distribution ◽  
Capital Market ◽  
Risk Premium ◽  
Stock Exchange ◽  
Cumulative Probability ◽  
Expected Return ◽  
Market Risk Premium ◽  
Time Deposits ◽  
Public Data ◽  
Risk Averter

Capital market investor should considers whether the higher expected return, the more risk should be taken, to minimize speculative decision. The research objectives are measuring and describes the probability distribution of market return of IHSG, in July 1, 1997- July 1, 2011, according to availability of public data provided by Indonesian Stock Exchange (IDX). Classification were made with several considered assumptions, results that the largest probability movements of Indonesian Stock Exchange, represented by IHSG percentage of change, is relatively stable of 89,1%, the cumulative probability of downtrend and market crash is 6.3%, whether the cumulative probability of uptrend and booming is 4,6%. This research results the expected return based on probability distribution is 0.049% per day. Assumed 12% pa of time deposits interest rate or 0.033% per day, it means the market risk premium only 0.17% per day or 6% pa. The Capital market is suitable for risk seeker rather than risk averter or risk normal. But risk averter and risk normal may use other alternative instrument such mutual funds when they want to invest their money into capital market. 

scholarly journals Evaluation of Long Term Performance for Initial Public Offerings (IPO) in Malaysia: A Fama-French Method

2019 ◽  
Vol 7 (01) ◽  
Author(s):  
Nashirah Abu Bakar ◽  
Sofian Rosbi
Keyword(s):  
Initial Public Offerings ◽  
Risk Premium ◽  
Stock Price ◽  
Stock Exchange ◽  
Expected Return ◽  
Public Offerings ◽  
Market Risk Premium ◽  
Thomson Reuters ◽  
Long Term Performance ◽  
Term Performance

The objective of this study is to evaluate performance of initial public offerings for 16 sharia compliant companies listed on the Malaysia Stock Exchange. Data of stock price are collected from Thomson Reuters Datastream for 36 months starting from January 2016 until December 2018. The method implemented is using Fama-French approach that evaluates expected return with three factors namely Market Risk Premium (MRP), Small Minus Big (SMB) and High Minus Low (HML). Result shows the abnormal return for 36 months is -3.399 which indicates negative value. The negative value of y-intercept gives interpretation that market (FTSE Bursa Malaysia KLCI) performed better than portfolio. The findings of this study will help investors to understand the financial dynamic behavior in Malaysia Stock Exchange. In addition, it will help investors to select appropriate financial assets for investment portfolio in gaining better return.

scholarly journals Factors of Stock Return and Carhart Model: The Case of Dhaka Stock Exchange (DSE) of Bangladesh

2019 ◽  
Vol 11 (6) ◽  
pp. 14
Author(s):  
Mohammad Akter Hossan ◽  
Mohammad Joynal Abedin
Keyword(s):  
Risk Premium ◽  
Stock Return ◽  
Stock Exchange ◽  
Market Value ◽  
Value Premium ◽  
Excess Return ◽  
Momentum Effect ◽  
Market Risk Premium ◽  
Price Momentum ◽  
Size Premium

The objective of this study is to find factors of stock return by testing validity of Carhart model in Dhaka Stock Exchange (DSE) of Bangladesh. For this purpose, this study uses monthly excess return of portfolios, size, book-to-market value, market return, and price momentum data of 109 sample firms to calculate return factors such as market risk premium, size premium (SMB), value premium (HML), and momentum effect (UMD) for the sample period of 2005 to 2014. Then a total of ten portfolios, six based on size and book-to-market value and four based on size and price momentum, are constructed in this study. Excess return of each of these portfolios are calculated and regressed on the above four factors. Results of this study reveal that in DSE, market risk premium is positively and significantly related with the excess return of all portfolios; Size premium is found positively and significantly related with the return of small size portfolios; Value premium is found negatively and significantly related with the returns of all portfolios except one big portfolio (B/H); momentum effect is found positively and significantly related to the excess return of up (U), big (B), and small (S) size portfolios. It is also evident from R2 value, F statistic, and robustness test of this study that four-factor model is valid and it can predict portfolio returns accurately when there is no abnormality such as market crash occurs in DSE.

Capital asset pricing in the classical and downside approaches to risk

2019 ◽  
Vol 64 (11) ◽  
pp. 58-75
Author(s):  
Lesław Markowski
Keyword(s):  
Asset Pricing ◽  
Capital Market ◽  
Risk Premium ◽  
Stock Exchange ◽  
Risk Measures ◽  
Capital Asset Pricing ◽  
Capital Investments ◽  
Capital Asset ◽  
Market Growth ◽  
Warsaw Stock Exchange

The purpose of the paper is to verify the functioning of the Capital Asset Pricing Model (CAPM) on the Polish capital market both in the classical and downside approaches to risk. The subject of the study are time series of returns of 14 sectoral sub-indices listed on the Warsaw Stock Exchange in 2011–2018. The use of risk measures in the conventional and downside approaches constitutesan important contribution to the studies on the risk of capital investments. The presented research method, which involves conditional regressions determined by the market situation, was adopted as a response to ambiguous results of unconditional CAPM relations in the previous research on capital markets.The results of the performed analyses indicate that the significance of risk assessment (risk premium) depends on the sign of the market excess returnto the largest extent. They also evidence the supremacy of conditional relations over the unconditional ones. The ana-lysis of unconditional relations has moreover demonstrated that downside risk factors, unlikethe majority of classical measures, influence the process of shaping the returns of sub-indicessignificantly. In the Polish capital market, it is only co-kurtosis, among other co-moments, which is subject to significant pricing during periods of market growth.

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 Empirical Evidence of CAPM and Fama French 3 factor model at Cement Industry of DSE

2020 ◽  
pp. 1-6
Author(s):  
Avijit Mallik ◽  
Mrs. Syeda Mahrufa Bashar ◽  
Md. Sadid Uddin
Keyword(s):  
Empirical Evidence ◽  
Risk Premium ◽  
Factor Model ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Cement Industry ◽  
Expected Return ◽  
Capm Model ◽  
Cement Manufacturing ◽  
Three Factor

The study discusses empirical evidence on the explanatory power for cement manufacturing industries of the Dhaka Stock Exchange in light of Capital Asset Pricing Model (CAPM) and the Fama French three-factor model. For calculating the market return, both DSEX and DS30 indexes have been used. The study revealed that the Fama French three-factor model has better explanatory power compared to the CAPM model in the Dhaka Stock Exchange. Moreover, the size risk premium has a significant influence in explaining the expected return for cement industries of the Dhaka Stock Exchange for both DSEX and DS30. On the other hand, the value risk premium has significant power in explaining the expected return for cement industries in the Dhaka Stock Exchange.

scholarly journals Kurtosis and Skewness on Lagged Market Risk Premium in Indonesian Market During Covid 19 Pandemic

2021 ◽  
Vol 5 (1) ◽  
Author(s):  
Iman Lubis
Keyword(s):  
Panel Data ◽  
Capital Market ◽  
Risk Premium ◽  
Market Risk ◽  
Previous Model ◽  
Return Distribution ◽  
Market Risk Premium ◽  
Predictive Regression ◽  
The Impact ◽  
Skewness And Kurtosis

This study investigates the impact of return distribution such as skewness and kurtosis on lagged market risk premium to risk premium in Indonesia capital market during COVID-19 pandemic. Data are monthly, from january to December 2020, and 674 firms. Panel data predictive regression is used The method  For this study, I first looked for market risk premium and risk premium desripitives. Second, I used monthly panel data predictive regression from lagged market risk premium and risk premium in 2020. Third, I incorporate skewness and kurtosis simultaneously. Fourth, I exclude kurtosis or skewness in previous model. The results are market risk premium and risk premium having negative return. Risk premium has lower returns than market risk premium. The beta lagged market risk premium is significant to risk premium. The skewness and kurtosis market risk premium do not signify to risk premium together but significant separately. I can clonclude that the movement market risk premim and risk premium during COVID-19 pandemic are average negative. Beta lagged market risk premium can explain the future monthly risk premium. Contrary skewness and kurtosis, those can not be run together. When the model used to beta lagged market risk premium and skewness, partially the skewness was significant and the direction was positive. However, only beta lagged market risk premium and kurtosis were staying negative to the previous model. Incorporating lagged assumptive distribution only explain the risk premium under 1 % about 0.24%.

scholarly journals Value-Growth Spread: Evidence From The Johannesburg Stock Exchange

2014 ◽  
Vol 30 (6) ◽  
pp. 1939
Author(s):  
Kathleen Hodnett
Keyword(s):  
Risk Premium ◽  
Stock Exchange ◽  
Market Risk ◽  
Price Ratio ◽  
Market Risk Premium ◽  
Forward Market ◽  
Johannesburg Stock Exchange ◽  
Growth Stocks ◽  
Near Term ◽  
Value Growth

<p>This study attempts to establish the cyclical nature of the value-growth spread on the Johannesburg Stock Exchange (JSE) over the period from 1 January 1997 through 31 December 2013, and subsequently undertakes to determine if the recent value-growth spread could be useful to forecast the near-term market risk premium. The three value-growth benchmarks used to classify value and growth stocks include earnings/price ratio (E/P), book/price ratio (B/P) and sales/price ratio (S/P). The ratio between the median S/P ratio for the value portfolio versus the growth portfolio is found to be the highest and most volatile over the examination period, which suggests that the relative valuation of value and growth stocks based on S/P could be cyclical and reflective of the market sentiments and degrees of risk aversion. The prediction of forward market risk premium using the trailing average of S/P value-growth spread achieved the highest R-squared of 26.79%. In addition, predicting forward market risk premium using the other two value-growth spreads is also statistically significant. Examining the coefficients of the regressions reveals that although a significant portion of the forward market risk premium is left unexplained, there exists a significantly positive correlation between recent value-growth spreads and near-term market risk premiums on the JSE. This implies that higher future reward could be expected for equity investments when the value risk premium is higher than its historical average, and vice versa.</p>

Macroeconomic determinants of earnings on shares: Evidence from Rosneft oil company

2020 ◽  
Vol 26 (6) ◽  
pp. 1352-1372
Author(s):  
E.A. Ignatenko ◽  
K.V. Krinichanskii
Keyword(s):  
Exchange Rates ◽  
Risk Premium ◽  
Price Index ◽  
Oil And Gas ◽  
Stock Exchange ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Market Risk Premium ◽  
Oil Company ◽  
Oil And Gas Sector

Subject. The article investigates how macroeconomic variables influence the pricing for common stocks of Rosneft Oil Company. Objectives. The study identifies principal macroeconomic factors and evaluates their impact on the dynamism of stock exchange rates in the oil and gas sector. Methods. We rely upon econometric modeling and linear regression based on the least square method. The regression is tested for autocorrelation in residues, heteroskedasticity and non-strict multicollinearity. To arrive at correct standard errors of coefficients given the autocorrelation, we do the robust estimation of covariance matrix. Results. The dynamics of earnings on shares of Rosneft Oil Company was found to correlate with macroeconomic factors as follows. It has the linear dependency on the Brent price trend, real effective exchange rate of RUB, market risk premium. However, it is inverse to the price index of industrial producers. The earnings on shares were found to be most dependent on fluctuations of the price index of producers, foreign exchange rate and market risk premium. Conclusions and Relevance. Earnings on shares of the analyzable company and the group of macroeconomic factors reveal the relationship that is statistically considerable. The high determination coefficient and significance in large confidence intervals of regression coefficients are indicative of the high quality of the model. Hence, using macroeconomic variables as regressors, the model may be effective for evaluating and predicting earnings on shares in the oil and gas sector. The findings can be used for further research on macroeconomic shocks and their impact on prices for financial assets issued by the Russian oil and gas companies. The model can be applied to the fundamental analysis and prediction of stock exchange rates of identical companies.

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