scholarly journals MODEL ASSET PRICING YANG BERLAKU DI INDONESIA: STUDY KASUS SAHAM UNGGULAN

2018 ◽  
Vol 3 (2) ◽  
pp. 146
Author(s):  
Yunan Surono
Keyword(s):  
Standard Deviation ◽  
Asset Pricing ◽  
Stock Market ◽  
Stock Prices ◽  
Stock Return ◽  
Explanatory Power ◽  
Influential Factors ◽  
Pricing Model ◽  
Pricing Models ◽  
Better Than

This study tested the influential factors in the estimation of stock return and compare the three models of asset pricing, i.e., Capital Asset Pricing Model, Three Factors Pricing models, and Four Factors Pricing Model. The purpose of this research is to obtain a model of asset pricing can provide estimated stock return with better among three types of models. The research sample is stocks LQ45 in Indonesia stock exchange (idx) during the period of 2005-2016. Regression analysis performed on variables, excess return market, size, book to market, and momentum is against the return of the monthly stocks fit each model to know the influence of variables and the feasibility of the model with the adjusted R square. Different test ANOVA is performed to obtain the standard deviation of each model and difference significance between the three models. The results showed: (1) factors in excess of market return, size premium, value premium, and momentum factors effect on stock return, (2) based on independent variables constituting influence, CAPM, Three Factors Pricing models or Four Factors Pricing Model can capture the behavior of stock prices on issuers who are members of group LQ45 on Indonesia stock market, (3) based on the adjusted R Square and standard deviation, Three Factors Pricing Model better than the CAPM and the Four Factors Pricing Model better than Three Factors Pricing Model, but all three models have a weak explanatory power as well as the results of significance of difference test that is not significant, so that the benefits of these models to estimated return expectations of stock market Indonesia is still questionable.

New Evidence to Assess the Asset Pricing Model: An Empirical Investigation Based on Bayesian Network

2020 ◽  
Vol 23 (03) ◽  
pp. 2050021
Author(s):  
Fatma Hachicha ◽  
Sahar Charfi ◽  
Ahmed Hachicha
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Bayesian Network ◽  
Factor Model ◽  
Five Factor Model ◽  
Pricing Model ◽  
Stock Market Returns ◽  
Asset Pricing Model ◽  
Fama And French ◽  
Better Than

An extensive, in-depth study of risk factors seems to be of crucial importance in the research of the financial market in order to prevent (or reduce) the chance of developing this return. It represents market anomalies. This study confirms that the [Formula: see text]-factors model is better than the other traditional asset pricing models in explaining individual stock return in the US over the 2000–2017 period. The main focus of data analysis is, on the use of models, to discover and understand the relationships between different factors of risk market anomaly. Recently, Fama and French presented a five-factor model that captures the size, value, profitability, and investment patterns in average stock market returns better than their three-factor model presented previously in 1993. This paper explores a shred of new empirical evidence to assess the asset pricing model through an extension of Fama and French model and a report on applying Bayesian Network (BN) modeling to discover the relationships across different risk factor. Furthermore, the induced BN was used to make inference taking into account sensibility and the application of BN tools has led to the discovery of several direct and indirect relationships between different parameters. For this reason, we introduce additional factors that are related to behavioral finance such as investor’s sentiment to describe a behavior return, confidence index, and herding. It is worth noting that there is an interaction between these various factors, which implies that it is interesting to incorporate them into the model to give more effectiveness to the performance of the stock market return. Moreover, the implemented BN was used to make inferences, i.e., to predict new scenarios when different information was introduced.

scholarly journals The rational asset pricing model in Vietnam

2014 ◽  
Vol 17 (2) ◽  
pp. 63-72
Author(s):  
Hoang Viet Tran ◽  
Huy Ngoc Nguyen ◽  
Phong Anh Nguyen
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Empirical Studies ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Pricing Models ◽  
Asset Pricing Model

Nowadays there are many empirical studies verifying the models of asset pricing such as the CAPM (Capital Asset Pricing Model), the Three - Factored Model (FF3), Four - Factored Model (FF4), and the testing studies on the Vietnam stock market as well as studies abroad. We selected stocks listed on Vietnam stock market which have been listed continuously at the end of 2011, stocks which have BE/ME < 0 were eliminated. Following this selection 299 stocks have been selected. This research aims to evaluate the rationality of pricing models: the CAPM, the FF3, the FF3 combined with the liquidity. The findings showed that in Vietnam context, the FF3 model is more accordant than the CAPM, the model of FF3 combined with liquidity is more coincident than the FF3 model. Thus, we suggested the Four Factored Model for the case of the stock market of Vietnam.

scholarly journals Role of leverage and liquidity risk in asset pricing: evidence from Indian stock market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mehak Jain ◽  
Ravi Singla
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Five Factor Model ◽  
Explanatory Power ◽  
Liquidity Risk ◽  
Pricing Models ◽  
Content Type ◽  
Asset Pricing Models ◽  
Three Factor ◽  
Better Than

Purpose Asset pricing revolves around the core aspects of risk and expected return. The main objective of the study is to test different asset pricing models for the Indian securities market. This paper aims to analyse whether leverage and liquidity augmented five-factor model performs better than Capital Asset Pricing Model (CAPM), Fama and French three-factor model, leverage augmented four-factor model and liquidity augmented four-factor model. Design/methodology/approach The data for the current study comprises records on prices of securities that are part of the Nifty 500 index for a time frame of 14 years, that is, from October 2004 to September 2017 consisting of 183 companies using time series regression. Findings The results indicate that the five-factor model performs better than CAPM and the three-factor model. The model outperforms leverage augmented and liquidity augmented four-factor models. The empirical evidence shows that the five-factor model has the highest explanatory power among the entire asset pricing models considered. Practical implications The present study bears certain useful implications for various stakeholders including fund managers, investors and academicians. Originality/value This study presents a five-factor model containing two additional factors, that is, leverage and liquidity risk along with the Fama-French three-factor model. These factors are expected to give more value to the model in comparison to the Fama-French three-factor model.

scholarly journals An Analysis of the Relationship between Risk and Expected Return in Malaysia Stock Market: Test of the CAPM

2018 ◽  
Vol 7 (3.21) ◽  
pp. 161
Author(s):  
Koh Xin Rui ◽  
Devinaga Rasiah ◽  
Yuen Yee Yen ◽  
Suganthi Ramasamy ◽  
Shalini Devi Pillay
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Strong Evidence ◽  
Stock Return ◽  
Stock Exchange ◽  
Pricing Model ◽  
Expected Return ◽  
Risk And Return ◽  
Asset Pricing Model ◽  
Capm Model

Investment theory describes the concept of relationship between risk and return. Capital Model Asset Pricing Model (CAPM) was based on the risk and return relationship. CAPM described that asset’s expected return that is above the risk free rate is directly related to the non-diversifiable risk that is measure by beta. Focus of this study is to identify the impacts of risk toward the stock return in Malaysia stock market during the year 2007 to 2015 by testing on the applicability of Capital Asset Pricing Model. The data is from monthly stock returns from 24 companies listed on the stock exchange for investigation. The analysis of monthly stock market closing indexes from using regression model was carried out on the standard CAPM model. When testing the CAPM model for the whole period, it has not showed strong evidence that support the validity of this model and in order to get better estimates, this study divided the whole sample into 3 sub periods of five years each. The study found high beta value does not related to higher level in stock return. The positive relationship between systematic risk and return does not have a strong evidence to support it. The research also identify that the securities market line has direct relationship between risk and return. The unsystematic risk does not have an effect on the return. It means that stock prices cannot be effectively predicted by CAPM and Malaysia Stock and the validity of CAPM does not exist in Malaysia Stock Exchange Market for the period 2007-2015 due to some limitations such as time frame, sample size and others. This paper suggest a different assets pricing model and takes into consideration of some related variables in predicting future stocks returns. This research provides important implication to investors, analysts, stock brokers, speculators, fund managers, practitioners, relevant authorities, and government.  

Examining Asset Pricing Anomalies: Evidence from Europe

2021 ◽  
pp. 227853372110257
Author(s):  
Asheesh Pandey ◽  
Rajni Joshi
Keyword(s):  
Asset Pricing ◽  
Pricing Model ◽  
Pricing Models ◽  
Investment Rate ◽  
Asset Pricing Model ◽  
Fund Managers ◽  
Asset Pricing Models ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies ◽  
Portfolio Managers

We examine five important asset pricing anomalies, namely, size, value, momentum, profitability, and investment rate to evaluate their efficacy in major West European economies, that is, France, Germany, Italy, and Spain. We employ four prominent asset pricing models, namely Capital Asset Pricing Model (CAPM), Fama–French three-factor (FF3) model, Carhart model and Fama–French five-factor (FF5) model to evaluate whether portfolio managers can create trading strategies to generate risk-adjusted extra normal returns for their investors. We also examine the prominent anomalies which pass the test of asset pricing in our sample countries and evaluate the best performing asset pricing model in explaining returns in each of these countries. We find that in spite of being matured markets, these countries provide portfolio managers with opportunities to exploit these strategies to generate extra normal returns for their investors. Momentum anomaly for Germany and profitability anomaly for Italy can be exploited by fund managers for generating risk-adjusted returns. For France, except for net investment rate anomaly, all the other anomalies remained unexplained by asset pricing models. We also find CAPM to be the better model in explaining returns of Italy and Spain. While FF3 factor and FF5 factor models explain returns in Germany, our sample asset pricing models failed to work for France. Our study has implications for portfolio managers, academia, and policymakers.

scholarly journals The Stock Market and Exchange Rates in Five South Asian Countries

2017 ◽  
Vol 18 (1) ◽  
pp. 102 ◽  
Author(s):  
Firmansyah Firmansyah ◽  
Shanty Oktavilia
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Return ◽  
The Philippines ◽  
Short Run ◽  
The Exchange Rate

The composite price index and return of stocks are the important indicators, both as a measure of the company's portfolio performance, as well as an indicator of macroeconomic health and the aggregate investment. In addition, the stock prices are also influenced by macroeconomic variables and one of the most important is the exchange rates. The objective of this study is to determine the behavior of exchange rate affects the stock returns in Southeast Asia, pre and post of the 2008 world financial crisis. By employing the daily stock market return in Indonesia, Malaysia, the Philippines, Thailand, and Singapore more than seventeen years from 1 September 1999 to 31 March 2017, this study utilizes Engle-Granger error correction model and cointegration approach to investigate and compare the long and short run of the structural effect of the exchange rates on stock returns. To differentiate the behavior of variables between pre and post occurrence of 2008 world financial crisis, the estimation of the model is divided into two periods. This study finds that the exchange rate growth influence the stock returns in the long and short run, and proves that the cointegration between the two variables exist in all countries. The study has the implication that the exchange rate, which the one of the fundamental measures of a country's macroeconomic health, is an important determinant of influencing stock return, even its effects are responded by the stock return in one day.

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