scholarly journals Time-Varying Market Leverage and the Market Risk Premium in New Zealand

2021 ◽  
Author(s):  
◽  
Danyi Bao
Keyword(s):  
New Zealand ◽  
Asset Pricing ◽  
Risk Premium ◽  
Market Risk ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Market Risk Premium ◽  
Asset Pricing Model

<p>This paper applies the Ibbotson and Sinquefield (1976) method and the Lally (2002) method to New Zealand data over the period 1960-2005 in order to estimate the market risk premium (MRP) in two versions of the capital asset pricing model (CAPM). With respect to the standard CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 6.11%. The resulting Lally estimate of the MRP ranged from 5.52% (in 1970) to 18.40% (in 1990), with an average of 7.95%, and was 6.40% for 2005. With respect to the simplified Brennan-Lally CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 8.49%. The resulting Lally estimate of the MRP ranged from 7.91% (in 1970) to 20.79% (in 1990), with an average of 10.33%, and was 8.78% for 2005. The Lally and the Ibbotson estimates of the MRP are similar in general. However, when market leverage is unusually high or low, they diverge significantly. In future, practitioners may need to choose between the estimates from the two methods when market leverage goes beyond the normal level.</p>

scholarly journals Time-Varying Market Leverage and the Market Risk Premium in New Zealand

2021 ◽  
Author(s):  
◽  
Danyi Bao
Keyword(s):  
New Zealand ◽  
Asset Pricing ◽  
Risk Premium ◽  
Market Risk ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Market Risk Premium ◽  
Asset Pricing Model

<p>This paper applies the Ibbotson and Sinquefield (1976) method and the Lally (2002) method to New Zealand data over the period 1960-2005 in order to estimate the market risk premium (MRP) in two versions of the capital asset pricing model (CAPM). With respect to the standard CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 6.11%. The resulting Lally estimate of the MRP ranged from 5.52% (in 1970) to 18.40% (in 1990), with an average of 7.95%, and was 6.40% for 2005. With respect to the simplified Brennan-Lally CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 8.49%. The resulting Lally estimate of the MRP ranged from 7.91% (in 1970) to 20.79% (in 1990), with an average of 10.33%, and was 8.78% for 2005. The Lally and the Ibbotson estimates of the MRP are similar in general. However, when market leverage is unusually high or low, they diverge significantly. In future, practitioners may need to choose between the estimates from the two methods when market leverage goes beyond the normal level.</p>

scholarly journals KOMPARASI CAPITAL ASSET PRICING MODEL DAN FAMA-FRENCH THREE FACTOR MODEL DALAM MEMPREDIKSI RETURN SAHAM

2018 ◽  
pp. 747
Author(s):  
Ni Putu Desy Ratna Dewi ◽  
I Wayan Suartana
Keyword(s):  
Asset Pricing ◽  
Risk Premium ◽  
Factor Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Market Risk Premium ◽  
Asset Pricing Model ◽  
Size Premium ◽  
Market Premium

Tujuan dari penelitian ini adalah untuk membandingkan kemampuan CAPM dan FF3FM dalam memprediksi return saham di Bursa Efek Indonesia.  Populasi dalam penelitian ini adalah perusahaan-perusahaan terdaftar di Bursa Efek Indonesia yang termasuk dalam kelompok saham Indeks Kompas 100 pada periode 2012-2016. Hasil penelitian menunjukkan bahwa variabel market risk premium berpengaruh positif terhadap return pada enam portofolio yang dibentuk dalam CAPM dan FF3FM. Variabel size premium berpengaruh positif pada return portofolio S/H, S/M, dan S/L dan berpengaruh negatif pada return portofolio B/H, B/M, dan B/L. Variabel book to market premium berpengaruh positif pada return portofolio B/H, S/H, dan S/M dan berpengaruh negatif pada return portofolio B/L dan S/L. Sedangkan variabel book to market premium tidak berpengaruh pada return portofolio B/M. Nilai adjusted R square CAPM dan FF3FM menunjukkan bahwa kemampuan FF3FM lebih baik dalam menjelaskan return dibandingkan CAPM.

scholarly journals On the Validity of the Capital Asset Pricing Model (CAPM)

2020 ◽  
Vol 12 (4) ◽  
pp. 1
Author(s):  
M. J. Alhabeeb
Keyword(s):  
Asset Pricing ◽  
Market Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Technical Tool ◽  
Expected Return ◽  
Asset Pricing Model

This study exposes the meaning and role of the Capital Asset Pricing Model (CAPM) and lays out the key elements that make it work. It shows the model&rsquo;s theoretical strength and examines its applicability and validity as a technical tool to measure the expected return to the investment in stock, along with assessing the market risk associated with that investment.

A Capital Asset Pricing Model with Time-Varying Covariances

1988 ◽  
Vol 96 (1) ◽  
pp. 116-131 ◽  
Author(s):  
Tim Bollerslev ◽  
Robert F. Engle ◽  
Jeffrey M. Wooldridge
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model

scholarly journals Testing Capital Asset Pricing Model (CAPM) on Dhaka Stock Exchange

2021 ◽  
Author(s):  
Ataur Rahman Chowdhury
Keyword(s):  
Asset Pricing ◽  
Risk Premium ◽  
Stock Prices ◽  
Stock Exchange ◽  
Securities Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model

Abstract The study focuses on finding the validity of the capital asset pricing model (CAPM) on the Dhaka Stock Exchange (DSE) on both individual securities and portfolio levels. Using 102 securities data with the monthly stock prices for preceding five years, the outcome suggests that CAPM does not hold true for DSE, both on an individual company level and portfolio level. The securities market of Bangladesh (DSE in this case) proved inefficient as unsystematic risk premium become significant and beta cannot measure the risk component of securities investment.

Time-Varying Risk Premiums in the Framework of Wine Investment

2016 ◽  
Vol 11 (3) ◽  
pp. 355-378 ◽  
Author(s):  
Eric Le Fur ◽  
Hachmi Ben Ameur ◽  
Benoit Faye
Keyword(s):  
Financial Crisis ◽  
Risk Premium ◽  
Capital Asset Pricing ◽  
Conditional Heteroskedasticity ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Risk Premiums ◽  
Asset Pricing Model ◽  
Jel Classifications

AbstractThis article examines the time-varying risk premium with reference to investments in fine wines. Unlike previous studies, our article focuses on this issue within the context of the financial crisis. To do this, we propose the use of a conditional capital asset pricing model and a multivariate generalized autoregressive conditional heteroskedasticity model on several appellation wines worldwide. We find that Bordeaux fine wines were more volatile during the financial crisis and are less volatile in non-crisis periods. In addition, while the volatility of Burgundy wines is second only to Bordeaux wines, non-French fine wines (Australia, Italy, and USA) exhibit inverse volatility trends to French fine wines. (JEL Classifications: C50, G01, G11, Q13)

scholarly journals IPTEKS PENGHITUNGAN RISIKO PASAR DALAM KEPUTUSAN INVESTASI

2019 ◽  
Vol 3 (01) ◽  
Author(s):  
Winston Pontoh ◽  
Novi Swandari Budiarso
Keyword(s):  
Asset Pricing ◽  
Market Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Knowledge And Skills ◽  
Asset Pricing Model ◽  
Stock Investment ◽  
Stock Investments

Well-established life is a common objective of people, and in term of to reach that objective then most of people should utilize knowledge and skills. One of the effort of people is normally make an investment especially stock investment. One of the reference for investors in case to make stock investments is market risk. Stock beta is one of market risk representative which measures stock responsiveness on market movements and capital asset pricing model (CAPM) is one method to measure market risk.Keywords : market risk, stock investment, CAPM 

scholarly journals IPTEKS PENGHITUNGAN RISIKO PASAR DALAM KEPUTUSAN INVESTASI

2019 ◽  
Vol 3 (1) ◽  
Author(s):  
Winston Pontoh ◽  
Novi Swandari Budiarso
Keyword(s):  
Asset Pricing ◽  
Market Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Knowledge And Skills ◽  
Asset Pricing Model ◽  
Stock Investment ◽  
Stock Investments

Well-established life is a common objective of people, and in term of to reach that objective then most of people should utilize knowledge and skills. One of the effort of people is normally make an investment especially stock investment. One of the reference for investors in case to make stock investments is market risk. Stock beta is one of market risk representative which measures stock responsiveness on market movements and capital asset pricing model (CAPM) is one method to measure market risk.Keywords : market risk, stock investment, CAPM

Sign in / Sign up

Export Citation Format

Share Document