scholarly journals Empirical Evidence of Asset Pricing Based on Single Index Model, Fama, and French Three and Five-Factor Models in Indonesia Stock Exchange

2021 ◽  
Vol 4 (1) ◽  
pp. 87-98
Author(s):  
Ani Silvia ◽  
Chikita Tiara Griska
Keyword(s):  
Asset Pricing ◽  
Real Estate ◽  
Stock Returns ◽  
Five Factor Model ◽  
Factor Models ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Thomson Reuters ◽  
Fama And French

This empirical test aims to estimate the beta parameters of the risk premium and other risk factors and compare the performance of the single-index model, Fama and Frech three and five-factor models. The sample used as the study object is companies in the property and real estate subsector with data collected from datastream Thomson Reuters from January 2014 to December 2018. The results are consistent with the previous studies that asset pricing using the Fama and French five-factor model can better explain stock returns than the other two models. The property and real estate subsector seems to provide a positive and statistically significant abnormal return, indicating that asset pricing with the three models is irrelevant to Indonesia. These results suggest that the stock market in Indonesia is still inefficient.

scholarly journals VOLATILITY SHOCK PERSISTENCE IN INVESTMENT DECISION MAKING: A COMPARISON BETWEEN THE CONSUMER GOODS AND PROPERTY-REAL ESTATE SECTORS OF THE INDONESIAN CAPITAL MARKET

2018 ◽  
Vol 33 (2) ◽  
pp. 112
Author(s):  
Ari Christianti
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Consumer Goods ◽  
Investment Decision ◽  
Large Population ◽  
Conditional Heteroscedasticity ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Autoregressive Conditional Heteroscedasticity

Research about volatility shock persistence is very important, since it could reflect the risks that can be used to estimate the fluctuations of stock returns in the future. This paper investigates a comparison of the volatility shock persistence sectoral indexes between the consumer goods (CONS) and property-real estate (PROP) sectors, using a single index model analyzed using GARCH (Generalized Autoregressive Conditional Heteroscedasticity) and I-GARCH (Integrated-Generalized Autoregressive Conditional Heteroscedasticity). By using index return data from January 2010-December 2015, the research shows that CONS and PROP tend to produce the same results. The CONS and PROP indexes’ responses to volatility shocks tended to be quite fast. Hence, the single index model of the CONS and the PROP indexes can quickly return to its normal stability. It means that, in the presence of certain information which could affect the volatility of the return from these sectors, the market will respond and adapt immediately. This might be attributed to the fact that CONS is a sector that involves fast moving products. Furthermore, the PROP sector has an indirect effect by increasing the real sectoral economic activity and economic growth in Indonesia, which has a large population. Thus, it is recommended that investors who are risk averse and risk neutral should invest in these sectors, because the volatility of both indexes can be monitored based on the existing information.

Does Size, Value and Seasonal Effects Still Persist in Indian Equity Markets?

2018 ◽  
Vol 22 (1) ◽  
pp. 11-21 ◽  
Author(s):  
Neharika Sobti
Keyword(s):  
Seasonal Effects ◽  
Cross Sectional ◽  
Single Index ◽  
Index Model ◽  
Average Return ◽  
Single Index Model ◽  
Market Index ◽  
Present Context ◽  
Fama And French ◽  
Value Effect

This article is an attempt to re-examine the persistence of company fundamentals such as size and value effects along with seasonal anomalies, such as January, April and Diwali (November) effects, in explaining the cross-sectional variation in average return of portfolios in the Indian equity market. The study analysed 740–1530 companies on an average listed on NSE for the period of 1996–2016 taking Nifty 500 as the market index. The study follows the standard methodology of Fama and French (1993) in constructing size and value mimicking portfolios but the originality comes from formulating 30 size–value-sorted portfolios with size sorted on deciles. An attempt has been made to compare single-index model with Fama–French Three-Factor (FFTF) model in the present context. The study finds evidence of both size and value effect in India and non-existence of January, April and Diwali effects in India for the given period as found previously by Gupta and Kumar (2007), Connor and Sehgal (2001) and Tripathi (2008). The FFTF model does better job than single-index model.

scholarly journals HOW PERFORMANCE OF JAKARTA ISLAMIC INDEX (JII) STOCKS RELATIVE TO OTHER STOCKS?

2015 ◽  
Vol 6 (2) ◽  
Author(s):  
Erna Listyaningsih ◽  
Chandrasekhar Krishnamurti
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Index Model ◽  
Industry Sector ◽  
Single Index Model ◽  
Fama And French ◽  
Main Model

<p>This study was conducted to assess the performance of Jakarta Islamic Index (JII) stocks and also investigate whether there was an ethical effect (JII selection restriction) and compare it with non-Sharia stocks. The main model used in this study was the Capital Asset Pricing Model (CAPM) single index model extended to the Fama and French three factors. This study employs elaborate matching data. The data used in this study was split into two periods: the 2005-2007 periods which consists of two groups: JII and non-JII and the 2008-2012 periods which consists of three groups: JII, Sharia and non-Sharia based on industry sector. This study found that basically there was no difference on performance between JII and non-JII stocks. Therefore, this result supports the previous studies in which there were no significant differences between Sharia and conventional investment.</p>

scholarly journals The Comparison of Optimal Portfolio Formation Analysis with Single Index Model and Capital Asset Pricing Model in Making Investment Decision

2020 ◽  
Vol 5 (4) ◽  
Author(s):  
Nurul Avriyanti Sholehah ◽  
Yul Tito Permadhy ◽  
Fitri Yetty
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Portfolio Performance ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Single Index ◽  
Index Model ◽  
Single Index Model

This research aims to find out the portfolio comparison that results from Single Index Model and Capital Asset Pricing Model methods, also portfolio performance evaluation results from Sharpe Index, Treynor Index, and Jensen Index on stocks listed in the LQ45 Index from 2017-2019. Samples taken consisted of 17 shares of companies listed on the LQ45 Index successively and it has a positive average return. Analysis using the Single Index Model method produces an optimal portfolio consisting of 6 shares. Whereas the Capital Asset Pricing Model method produces an efficient portfolio consisted of 13 shares. Portfolio performance evaluation created from both methods results from the rank of shares from each portfolio also has a positive average index, that means shares consisted of these portfolios are worth to be invested.

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 Pembentukan Portofolio Optimal dengan Metode Stochastic Dominance dan Single Index Model Pada Saham Industri Real Estate and Property diBursa Efek Indonesia

2018 ◽  
Vol 10 (2) ◽  
pp. 202-217
Author(s):  
Eftika Riya Ningrum ◽  
Yuni Utami
Keyword(s):  
Real Estate ◽  
Stochastic Dominance ◽  
Optimal Portfolio ◽  
Stochastic Method ◽  
Test Results ◽  
Index Method ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Portfolio Return

This study aims to see whether there is a difference between the stochastic dominance method and the single index method in forming an optimal portfolio. And see which method is more optimal. The sample used in the study was a real estate and property company listed on the IDX period (2013 -2017) using purposive sampling and analysis sampling techniques using the average difference test. After being tested with each method both modelstochastic and single index model, the results showed that there were differences in returns from the formation of an optimal portfolio with the test results which obtained the results of 0.048 under a significant level of 0.05. And the results of the portfolio return calculation formed by the stochastic method smaller 0.0079 than the portfolio return formed by the single index method of 0.0173 which means that the single index method is more optimal than the stochastic method.

Who is King in Factor Zoo? Case of the Chinese Stock Market

2020 ◽  
Vol 14 (2) ◽  
pp. 77-102
Author(s):  
Simon M. S. So
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Investment Strategy ◽  
Capital Asset Pricing ◽  
Chinese Stock Market ◽  
Fama And French ◽  
Three Factor

This paper aimed to evaluate and compare individual performances and contributions of seven well-known factors, selected from four widely cited asset pricing models: (1) the capital asset pricing model of Sharpe (1964), (2) the three-factor model of Fama and French (1993) the augmented four-factor model of Carhart (1997), (3) the five-factor model of Fama and French (2015), and (4) the illiquidity model of Amihud, et al. (2015) in capturing the time-series variation of stock returns and absorbing the 12 prominent anomalies. The anomalies were constructed by forming long-short portfolios, and regressions were run to examine their monthly returns from 2000 to 2019. We found that there is no definite and absolute “king” in the factor zoo in the Chinese stock market, and size is the relative “king” that can absorb the maximum number of anomalies. Evidence also indicates that the three-factor model of Fama and French may still play an important role in pricing assets in the Chinese stock market. The results can provide investors with a reliable risk factor and help investors form an effective investment strategy. This paper contributes to asset pricing literature in the Chinese market.G1

scholarly journals Applicability of Investment and Profitability Effects in Asset Pricing Models

2017 ◽  
Vol 21 (6) ◽  
pp. 851-874 ◽  
Author(s):  
Márcio André Veras Machado ◽  
Robert Faff ◽  
Suelle Cariele de Souza e Silva
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Poor Performance ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
The Poor ◽  
Fama And French

Abstract This study aims to investigate whether investment and profitability are priced and if they partially explain the variations of stock returns in the Brazilian stock market, according to the Fama and French's (2015) five-factor model. By using time series and cross-section regression, we found that book-to-market, momentum and liquidity are associated with stock returns whereas investment and profitability were not significant. We also found that there is no investment premium in Brazil. Therefore, motivated by the importance of B/M, momentum and liquidity to the Brazilian stock market, as well as by the poor performance of profitability and investment, we document that Keene and Peterson's (2007) five-factor model is superior to all other models, especially the five-factor model by Fama and French (2015).

scholarly journals Performance and Risk Comparison Analysis of Optimal Portfolio of Shares LQ-45 Using Single Index Model and Capital Asset Pricing Model August 2017 – January 2020 Period

2021 ◽  
Vol 6 (1) ◽  
pp. 102-105
Author(s):  
Dikri Cakrawala Uno ◽  
Andam Dewi Syarif
Keyword(s):  
Asset Pricing ◽  
Optimal Portfolio ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Single Index ◽  
Index Model ◽  
Single Index Model

The purpose of this research is to determine the differences between performance and risks optimal portfolio of Single Index Model (SIM) and Capital Asset Pricing Model (CAPM) in the period August 2017 - January 2020. This research is a descriptive study with a quantitative approach. The data collection technique used is documentation study. Based on the results of the calculation, it is found that there is a difference return of the SIM portfolio to CAPM, there is no difference risk of the SIM portfolio to CAPM, there is a difference performance of the SIM portfolio that evaluated using the Sharpe, Treynor and Jansen methods and there is no difference performance of the CAPM portfolio that evaluated using the Sharpe, Treynor and Jansen method.

ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

2019 ◽  
Vol 4 (2) ◽  
Author(s):  
Mochamad Andik Firmansyah
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Portfolio Risk ◽  
Expected Return ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Market Return ◽  
Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio  formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

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