Impact of COVID-19 on Expected Return and Risks in “China Concept” Stocks Using CAPM Model: A Case Study of Alibaba and Haidilao

This study determines the accuracy level of CAPM and APT in determining the expected return of LQ45 and comparing the expected return from CAPM and APT models. This study uses descriptive and comparative research approaches. The population is all stocks listed in the LQ45 index while the sampling method used is purposive sampling with stock criteria that have complete data for the period November 2015 - November 2019. This study uses an independent sample t-test in testing the expected return differences between the CAPM and APT models. The result showed that the CAPM Model was more accurate in determining the expected return of LQ45 stocks compared to the CAPM method. The result also showed that there was a significant difference in expected return between CAPM and APT models. Based on this result, investors can use the CAPM model in predicting the returns of the stock listed on the LQ45. For further research, can use another index in the capital market as a research object, used a longer period to get a more accurate result, and add some more macro variables.

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Learning by doing: the failure of the 1697 Malt Lottery Loan

Financial History Review ◽

10.1017/s0968565013000127 ◽

2013 ◽

Vol 20 (3) ◽

pp. 259-277 ◽

Cited By ~ 3

Author(s):

Georges Gallais-Hamonno ◽

Christian Rietsch

Keyword(s):

Learning By Doing ◽

Point Of View ◽

Political Environment ◽

Theoretical Point ◽

Expected Return ◽

Practical Point ◽

State Lottery ◽

Financial Issue ◽

Technical Features

The failure in 1697 of the ‘Malt Lottery’, the second lottery loan, presents a fruitful case study. From a practical point of view, it tells us three things. First, the technical features of the English state lottery loans were established for more than a century after only three experiments. Second, its two components (‘lottery’ and ‘loan’) led to an abnormally poor return for investors since its expected return was 3.91 per cent whereas its effective return was 5.84 per cent – two figures in contradiction with the 6.3 per cent advanced by Dickson (1967). Third, a most strange solution was devised to counteract the failure: delivering the unsold tickets to the Exchequer to be used as cash. From a more theoretical point of view, the condition North and Weingast (1989) advanced for a successful financial issue proves necessary but not sufficient. The Malt Lottery failed (1,763 tickets sold out of 140,000) because it did not meet the three requirements for success: its return was too low and was lower than the return on competitive assets; its reimbursement dates were uncertain; and the economic and political environment was gloomy.

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Sustainable Facilities Management for Smart Buildings: A Case Study of the Heritage Place, Lagos

LAUTECH Journal of Civil and Environmental Studies ◽

10.36108/laujoces/1202.70.0141 ◽

2021 ◽

Vol 7 (1) ◽

Author(s):

J. O. Faremi

Keyword(s):

Management Practices ◽

Management Practice ◽

Business Environment ◽

Facilities Management ◽

Cross Sectional Survey ◽

Expected Return ◽

Cross Sectional ◽

Smart Buildings ◽

Management Services

A recent development within the metropolis of Lagos State, Nigeria is the emergence of smart buildings aimed at providing safer, more secure, productive and comfortable business environment. A major challenge to the sustenance of such edifice is the delivery of strategic facilities management services to maximise the building’s efficiency and achieve expected return on investment. This study investigates sustainable facilities management practices in smart buildings using the Heritage Place as a case study. A cross-sectional survey was conducted on 19 facilities management personnel and 68 users of the facility. chart, mean score and Spearman’s Correlation were used as the descriptive and inferential statistical tools, respectively. The results show the most frequently practiced sustainable facilities management practice to include: compliance to the preventive maintenance schedules for Heating Ventilation and Air Conditioning (HVAC) systems and prompt response to repairs and corrective work activities in the facility with mean scores of 5.00 and 4.90, respectively. The results further show that the facility users were dissatisfied with the level of implementation of sustainable facilities management practices, except in integrated pest management and optimised waste management where marginal satisfaction were recorded, respectively. The study recommends a sustained effort by smart buildings stakeholders at implementing sustainable facilities management practices in order to significantly and continually improve operations and maintenance activities in the buildings. And that the efforts of facilities managers for smart buildings should be geared at the delivery of strategic facilities management services that meet the expectations of users of the facilities.

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Screening Contract Excitation Models Involving Closed-Loop Supply Chains Under Asymmetric Information Games: A Case Study with New Energy Vehicle Power Battery

Applied Sciences ◽

10.3390/app9010146 ◽

2019 ◽

Vol 9 (1) ◽

pp. 146 ◽

Cited By ~ 2

Author(s):

Xiaodong Zhu ◽

Lingfei Yu

Keyword(s):

Closed Loop ◽

High Capacity ◽

Chinese Economy ◽

Third Party ◽

Expected Return ◽

Power Battery ◽

New Energy ◽

The Impact ◽

New Energy Vehicles

In closed-loop supply chain systems for power battery remanufacturing, recycling and dismantling tasks will be relegated to third-party recyclers. This has significant disadvantages, inasmuch as the asymmetric exchange of information regarding the level of recycling capacity and effort after signing a contract fiscal risks to the manufacturers. The purpose of this paper is to study the “adverse selection” of recyclers and “moral hazards” hidden in their purported effort levels, based on Information Screening Models in the principal-agent theory. Our information screening model for revenue sharing will be presented, and subsequently verified using numerical simulation to demonstrate the impact of the screening contract on the expected returns of both parties. Our results show that the sharing coefficient of the remanufacturing revenue for low-capability recyclers is distorted downwards, and only truthful reporting can retain profits. High-capacity recyclers will obtain additional information while retaining profit. At the same time, as the proportion of high-capacity recyclers in the market increases, the expected return of the entrusting party increases. One critical area where this will impact the Chinese economy is in the area of new energy vehicles. We investigate a case study of our approach in new energy vehicles, which are being used to reduced CO 2 emissions, but have environmentally hazardous batteries that must be recycled safely and economically.

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Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components

Annals of the Alexandru Ioan Cuza University - Economics ◽

10.1515/aicue-2015-0030 ◽

2015 ◽

Vol 62 (3) ◽

pp. 453-480 ◽

Cited By ~ 1

Author(s):

Georgeta Vintilă ◽

Radu Alin Păunescu

Keyword(s):

United States ◽

United States Of America ◽

Linear Relation ◽

Security Market ◽

Volatility Spillover ◽

Expected Return ◽

Market Return ◽

Econometric Methods ◽

Econometric Tests ◽

Capm Model

Abstract We tested empirically through econometric methods the classic CAPM model for 15 shares listed on the NASDAQ market in United States of America. The results showed that, for the majority of shares, there is a linear relation between expected return and market return. The shares of the largest companies from sample (AAPL, MSFT, GOOGL, etc. INTC) had a subunitary beta and the shares of smaller companies (ADBE, YHOO, BIDU etc.) had a beta greater than one. Compared with Security Market Line (SML) the shares were found to be overestimated and overstated and using GARCH-VECH model we identified the presence of high correlation between shares and the volatility spillover phenomenon.

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

Global Journal of Management and Business Research ◽

10.34257/gjmbrcvol20is1pg1 ◽

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.

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Efficiency of multi-factor models for evaluating the yield on financial assets in the Russian stock market

Financial Analytics Science and Experience ◽

10.24891/fa.13.2.147 ◽

2020 ◽

Vol 13 (2) ◽

pp. 147-166

Author(s):

M.B. Trachenko ◽

A.O. Volodina

Keyword(s):

Oil And Gas ◽

Electric Energy ◽

Telecommunications Industry ◽

Factor Models ◽

Time Interval ◽

Financial Assets ◽

Expected Return ◽

Russian Economy ◽

Capm Model ◽

French Model

Subject. The article addresses the use of multi-factor models, like CAPM model, Fama-French model, Carhart model, for evaluating profitability of financial assets in the Russian economy. Objectives. The purpose is to show the expediency of using multi-factor models for evaluating the profitability of financial assets of Russian companies; identify the most effective models for companies operating in various sectors of economy; make evaluation over different periods of time (two years, one year, half year, quarter, and month). Methods. The study draws on the CAPM model, Fama-French model and Carhart model, and general scientific and statistical methods applied for the analysis of economic processes. Results. We evaluated expected return on financial assets of 41 companies in 5 different areas, i.e. the chemical industry (9 companies), oil and gas sector (9 companies), telecommunications (7 companies), transport (7 companies), and electric energy sector (9 companies) for different time periods. The paper includes estimations of expected yield in portfolios of financial assets by industry and time interval, assesses the effectiveness of multi-factor models, if they are used in the Russian economy, and identifies models, which are most suitable for predicting profitability of financial assets in the context of industry and time period. Conclusions. The Carhart model is the most preferable for evaluation of expected return on financial assets. It is impractical to use multi-factor models for companies operating in the transport and telecommunications industry. The considered models enable to make more accurate short-term forecasts.

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Challenges and Enablers in BIM-Enabled Digital Transformation in Mega Projects: The Istanbul New Airport Project Case Study

Buildings ◽

10.3390/buildings9050115 ◽

2019 ◽

Vol 9 (5) ◽

pp. 115 ◽

Cited By ~ 5

Author(s):

Ozan Koseoglu ◽

Basak Keskin ◽

Beliz Ozorhon

Keyword(s):

Large Scale ◽

Digital Transformation ◽

Learning Curves ◽

Information Modeling ◽

Control Mechanisms ◽

Construction Technology ◽

Infrastructure Projects ◽

Structured Interviews ◽

Expected Return

The Architecture Engineering and Construction (AEC) sector has been working on an increasing number of mega projects having large scale investments worldwide. The majority of these mega projects are infrastructure projects that are comparatively more difficult to manage in terms of yielding an expected return of investments while increasing quality and productivity. Today’s construction technology landscape offers a wide variety of innovative digital solutions for optimizing the project constraints of scope, time, cost, quality, and resources. Despite being one of the least digitized sectors, the AEC sector is currently ripe for adopting innovative digital solutions. It is observed that Building Information Modeling (BIM) has been rapidly adopted to tackle the ever-evolving challenges of mega infrastructure projects. This study investigates the challenges and enablers of utilizing an end-to-end BIM strategy for digital transformation of mega project delivery processes through a mega airport project case study, in order to contribute a solid strategic understanding in BIM implementation for mega infrastructure projects. The case study is followed with two-phased semi-structured interviews. Based on the findings, major challenges are sustaining continuous monitoring and controlling in the project execution, engineering complexity and aligning stakeholders’ BIM learning curves whereas strategic control mechanisms, incentivizing the virtual collaborative environment, and continuous digital delivery are major enablers.

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ANALISIS PENGARUH RISIKO TERHADAP RETURN YANG DIHARAPKAN UNTUK MENENTUKAN PILIHAN BERINVESTASI PADA SAHAM JAKARTA ISLAMIC INDEX (JII)

MOTIVASI ◽

10.32502/motivasi.v2i1.771 ◽

2017 ◽

Vol 2 (1) ◽

pp. 200

Author(s):

Ervita Safitri

Keyword(s):

Interest Rates ◽

Sampling Method ◽

Stock Exchange ◽

Share Price ◽

Simple Linear Regression ◽

Expected Return ◽

Market Index ◽

Analysis Technique ◽

Investment Option ◽

Capm Model

Purpose - The objective of this study was to assess the risk of the stock return by using CAPM model to determine the investment option at Jakarta Islamic Index in the Indonesia Stock Exchange (BEI) and to find the risk of the return which was expected by CAPM Model.Design/methodology - The population of this study was 52 companies which were listed at JII in 2010-2014. The sample of this study was chosen by using purposive sampling method. The numbers of the companies were 12 companies. Data analysis technique in this study was by using the monthly closing share price dara registered in JII, JII market index, and interest rates of SBI.Findings â€“ The result of this study showed that out of twelve companies, there were four stocks that could be used as the investment option, namely PT. Alam Sutra Reality, tbk, PT. Astra International, tbk, PT. Lippo Karawaci, tbk, PT. Telekomunikasi Indonesia, tbk. The result of hypothesis testing with a simple linear regression t-test found that t value > t table (-24,249>-2,228) with significant value (0,00<0,05) , it indicated that there was a significant influence between beta and CAPM expected return.

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International Real Estate Review

International Real Estate Review ◽

10.53383/100047 ◽

2003 ◽

Vol 6 (1) ◽

pp. 75-101

Author(s):

Nai Jia Lee ◽

Keyword(s):

Rational Expectation ◽

Capital Gains ◽

Expected Returns ◽

Fixed Rate ◽

Expected Return ◽

Adaptive Expectation ◽

Expectation Hypothesis ◽

Private Housing ◽

Adjustable Rate

The prepayment risk of adjustable rate mortgages, unlike that of fixed rate mortgages, greatly depends on the decision of mortgagors to move. Given that housing also serves as an investment asset for the owner, it is hypothesised that the expected capital returns of housing are likely to affect his decision to move and hence, prepay. This paper aims to test the capital gains hypothesis using Singapore’s housing market as a case study. In addition, this paper also explores how the expected returns from alternative types of housing affect the decision of households to move/prepay. The expected returns of housing are computed in accordance with the definitions of the Rational Expectation Hypothesis, Adaptive Expectation Hypothesis, and Exogenous Expectation Hypothesis, which are well established in macroeconomic literature and the explanation of cycles. The results showed that the expected returns of public housing formed under the assumptions of rational and adaptive expectation hypothesis are significant. The rational expected return for private housing, however, does not have a significant relationship with the decision of mortgagors to move/prepay, although the adapted expected return for private housing is not significantly related to the households' length of stay.

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