scholarly journals PREDICTING FINANCIAL DISTRESS IN MALAYSIA AND ITS EFFECT ON STOCK RETURNS

2021 ◽  
Vol 16 (Number 2) ◽  
pp. 81-110
Author(s):  
Ahmad Harith Ashrofie Hanafi ◽  
Rohani Md-Rus ◽  
Kamarun Nisham Taufil Mohd
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Financial Distress ◽  
Logit Model ◽  
Economic Conditions ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Distress Risk ◽  
Investment Returns ◽  
Probability Of Bankruptcy

Unstable economic conditions have an adverse impact on the financial performance of firms, leading to financial distress, which is an unfavourable situation for investors as it may affect their investment returns. Thus, this study attempted to predict financial distress and to examine the effect of financial distress on stock returns by using firms listed on Bursa Malaysia from 1990 to 2020. This study used the logit model to find the probability of bankruptcy and also as a proxy for financial distress risk in the asset pricing model. From this study, financial distress risk was found to be insignificant in pricing stock returns in all tested models. This finding demonstrates that financial distress risk does not affect stock returns since this risk may be eliminated through diversification.

scholarly journals PENGARUH HUMAN CAPITAL (LABOR INCOME) TERHADAP EXPECTED STOCK RETURNS

2018 ◽  
Vol 12 (1) ◽  
pp. 58-79
Author(s):  
Caecilia Atmini Susilandari
Keyword(s):  
Human Capital ◽  
Asset Pricing ◽  
Stock Returns ◽  
Stock Return ◽  
Idiosyncratic Risk ◽  
Labor Income ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Industry Level ◽  
Expected Stock Returns

This research intended to analyse the use of premium as the proxy of human capital (labor income) in the industry level as one of the factors to measure the expected stock returns other than market, smb, hml, umdand liquidity variable that can be applied in Indonesia.The analysis coveres the human capital (labor income) in the industry level to cross section of stock return and the effect of human capital (labor income) to idiosyncratic risk in the asset pricing model. It usesincome percapita to measure the premium variabel in the period of 2001 – 2011 and 30 stocks portfolio chosen based on the biggest market capitalization value in six sector in the period of 2001 – 2011

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 CAPITAL ASSET PRICING MODEL TESTING IN WEST AFRICA ECONOMIC AND MONETARY UNION STOCK MARKET: THE CASE OF IVORIAN LISTED FIRMS

2017 ◽  
Vol 5 (2) ◽  
pp. 23-30
Author(s):  
Zimy Samuel Yannick Gahé ◽  
Zhao Hongzhong ◽  
Brou Matthias Allate ◽  
Thierry Belinga
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Monetary Union ◽  
Economic And Monetary Union ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Listed Firms ◽  
Asset Pricing Model

This paper investigates the validity of Capital Asset Pricing Model (CAPM) for the West African Economic and Monetary Union (WAEMU) stock market using monthly stock returns of twenty Côte d’Ivoire’s listed firms from January 2002 to December 2011. We split this interval into different time periods. Each one of them has also been divided into two different sub-periods among which one served as estimation mean and the second one helped to test the estimated parameters obtained using a times series regression. Afterwards some statistical tests have been conducted to see whether the CAPM’s hypotheses hold or not. The findings showed that higher risk is not associated with higher level of return within the study area. Also, there was no relation between stock return and non-systemic risk except for one period where we found evidence that stock returns were affected by other risk than the systematic risk. On the contrary the stock expected rate of return had a linear relationship with the systematic risk. The study suggested that the listed companies consider other factors and variables which could explain their returns.

scholarly journals Distress risk and leverage puzzles: Evidence from Taiwan

2016 ◽  
Vol 6 (2) ◽  
pp. 72-78
Author(s):  
Kung-Cheng Ho ◽  
Shih-Cheng Lee ◽  
Po-Hsiang Huang ◽  
Ting-Yu Hsu
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Cross Section ◽  
Financial Distress ◽  
Distress Risk ◽  
The Cross

Financial distress has been invoked in the asset pricing literature to explain the anomalous patterns in the cross-section of stock returns. The risk of financial distress can be measured using indexes. George and Hwang (2010) suggest that leverage can explain the distress risk puzzle and that firms with high costs choose low leverage to reduce distress intensities and earn high returns. This study investigates whether this relationship exists in the Taiwan market. When examined separately, distress intensity is found to be negatively related to stock returns, but leverage is found to not be significantly related to stock returns. The results are the same when distress intensity and leverage are examined simultaneously. After assessing the robustness by using O-scores, distress risk puzzle is found to exist in the Taiwan market, but the leverage puzzle is not.

scholarly journals Retorno dos investimentos de empresas do agronegócio brasileiro

2018 ◽  
Vol 17 (2) ◽  
pp. 667-694
Author(s):  
Cristian Baú Dal Magro ◽  
Edgar Pamplona ◽  
Marcello Christiano Gorla ◽  
Tarcísio Pedro da Silva
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Investment Returns ◽  
Actual Return ◽  
Research Document ◽  
Real Returns

Resumo: O objetivo com o estudo foi verificar a atratividade nos retornos dos investimentos de empresas brasileiras do agronegócio com o uso do modelo Capital Asset Pricing Model (CAPM). Para isso, realizou-se pesquisa descritiva, análise documental e utilizou-se abordagem quantitativa. A amostra é composta por ações de 13 empresas do agronegócio brasileiro negociadas na BM&FBovespa e o período de análise compreende os anos de 2010 a 2014. Os achados apontaram que o CAPM identifica maior atratividade para as empresas do agronegócio brasileiro quando comparado com a média do mercado dado pelo IBovespa. Contudo, o CAPM foi eficiente para dimensionar os retornos esperados apenas nos anos 2010, 2011 e 2014, sendo que, em 2012 e 2013, a atratividade apontada pelo CAPM foi significativamente menor do que o retorno real, fato que pode ser entendido por meio de aspectos econômicos, pois o setor do agronegócio cresceu nesse período em oposição ao baixo desempenho geral do mercado. Por fim, salienta-se que o retorno real médio foi constatado superior para as empresas do agronegócio brasileiro em relação ao retorno do mercado em geral. Por vezes, apresentaram retornos reais maiores do que o esperado e, assim, foram consideradas atrativas para investimentos pela maximização dos ganhos no mercado acionário brasileiro.Palavras-chave: Atratividade dos investimentos. CAPM. Empresas do agronegócio. Return of investments of brazilian agribusiness companies Abstract: The aim of the study is to assess the attractiveness of the investment returns of Brazilian agribusiness companies using the Capital Asset Pricing Model (CAPM). For this, was achieved descriptive research, document analysis and quantitative approach. The sample is composed of 13 Brazilian agribusiness companies listed on the BM&FBovespa and the analysis period comprises the years between 2010 to 2014. The findings indicated that the CAPM identifies more attractiveness for companies in the agribusiness compared to the market average given by IBovespa. However, the CAPM was efficient to scale the expected returns only in the years 2010, 2011 and 2014, occurring in 2012 and 2013, that the attractiveness appointed by CAPM was significantly lower than the actual return, which can be understood through economic aspects, because the agribusiness sector grown in this period in opposition to the low overall market performance. Finally, it should be noted that the average real return was found to be higher for the brazilian agribusiness companies in relation to the market return in general. At times, they had higher-than-expected real returns and thus were considered attractive for investments by maximizing earnings in the Brazilian stock market.Keywords: Attraction of investments. CAPM. Agribusiness companies.

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