scholarly journals Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework

Mathematics ◽  
2020 ◽  
Vol 8 (10) ◽  
pp. 1732
Author(s):  
Mohammad Enamul Hoque ◽  
Soo-Wah Low
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Exchange Rate ◽  
Asset Pricing ◽  
Stock Returns ◽  
Oil And Gas ◽  
Negative Relationship ◽  
Downside Risk ◽  
Total Risk ◽  
Pricing Framework

This study employs a mean semi-variance asset pricing framework to examine the influence of risk factors on stock returns of oil and gas companies. This study also examines how downside risk is priced in stock performance. The time-series estimations expose that market, size, momentum, oil, gas, and exchange rate have significant impacts on oil and gas stock returns, but effects are heterogeneous depending on an individual stock. The two-stage cross-section estimations provide new insights about investors’ risk-return trade-off when facing downside risks. The results show that downside risk exposures to market, momentum, oil, and exchange rate factors are negatively priced in the Malaysian oil and gas stocks. This implies that investors are penalized for their downside exposure to these risk factors, and such inference is consistent with the risk preference explanation of prospect theory. Liquefied natural gas (LNG) is the only risk factor found to be positively priced in the returns of oil and gas stocks. Additionally, we find a negative relationship between LNG factor and total risk. This suggests that as the risk exposure to LNG increases, the total risk decreases, implying that the LNG risk factor is an idiosyncratic risk and not a systematic risk factor. Such interpretation is consistent with the correlation result, which shows no association between LNG and the market risk factor.

Liquidity and real estate asset pricing: a pan-European study

2014 ◽  
Vol 7 (1) ◽  
pp. 59-86 ◽  
Author(s):  
Alexander Scholz ◽  
Stephan Lang ◽  
Wolfgang Schaefers
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Real Estate ◽  
Stock Returns ◽  
Systematic Risk ◽  
Time Series Regression ◽  
Content Type ◽  
Market Factors ◽  
The Impact

Purpose – Understanding the pricing of real estate equities is a central objective of real estate research. This paper aims to investigate the impact of liquidity on European real estate equity returns, after accounting for well-documented systematic risk factors. Design/methodology/approach – Based on risk factors derived from general equity data, the authors extend the Fama-French time-series regression approach by a liquidity factor, using a pan-European sample of 272 real estate equities. Findings – The empirical results indicate that liquidity is a significant pricing factor in real estate stock returns, even after controlling for market, size and book-to-market factors. In addition, the authors detect that real estate stock returns load predominantly positively on the liquidity risk factor, suggesting that real estate equities tend to behave like illiquid common equities. These findings are underpinned by a series of robustness checks. Running a comparative analysis with alternative factor models, the authors further demonstrate that the liquidity-augmented asset-pricing model is most appropriate for explaining European real estate stock returns. Research limitations/implications – The inclusion of sentiment and downside risk factors could provide further insights into real estate asset pricing in European capital markets. Originality/value – This is the first study to examine the role of liquidity as a systematic risk factor in a pan-European setting.

scholarly journals Impact of Industry-Specific Risk Factors on Stock Returns of the Malaysian Oil and Gas Industry in a Structural Break Environment

Mathematics ◽  
2022 ◽  
Vol 10 (2) ◽  
pp. 199
Author(s):  
Mohammad Enamul Hoque ◽  
Soo-Wah Low
Keyword(s):  
Risk Factors ◽  
Exchange Rate ◽  
Stock Returns ◽  
Oil And Gas ◽  
Structural Break ◽  
Oil And Gas Industry ◽  
Gas Industry ◽  
Specific Risk ◽  
Gas Price ◽  
Industry Risk

This study examines the impact of industry-specific risk factors such as oil price, gas price, and exchange rate on stock returns of Malaysian oil and gas firms in a structural break environment by employing the break least square approach of Bai and Perron (1998, 2003). Existing studies fall short of providing such empirical evidence. The results document evidence of structural breaks in the relationship between industry risk factors and the stock returns of the oil and gas industry. Industry-specific risk factors are shown to significantly affect the stock returns of oil and gas industry sub-sectors alongside market-based risk factors. The results reveal that the beta values of oil price, gas price, and exchange rate vary across sub-periods hence confirming that exposure of oil and gas stocks to industry risk factors varies over time and across sub-periods. The effects of oil, gas, and exchange rate risk factors also differ across the sub-industry, with impacts and directions largely dependent on the core business activities of the oil and gas sub-industries. The empirical results offer implications for asset managers and investors.

Risk Factors of Collateralized Loan Obligations and Corporate Bonds

2020 ◽  
Vol 32 (6) ◽  
pp. 347-355
Author(s):  
Mark Wahrenburg ◽  
Andreas Barth ◽  
Mohammad Izadi ◽  
Anas Rahhal
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Systemic Risk ◽  
Corporate Bonds ◽  
Risk Exposure ◽  
Expected Returns ◽  
Yield Spreads ◽  
Pricing Factors ◽  
Return Difference

AbstractStructured products like collateralized loan obligations (CLOs) tend to offer significantly higher yield spreads than corporate bonds (CBs) with the same rating. At the same time, empirical evidence does not indicate that this higher yield is reduced by higher default losses of CLOs. The evidence thus suggests that CLOs offer higher expected returns compared to CB with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing factors. We show that market risk is the predominant risk factor for both CBs and CLOs. CLO investors, however, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class of the CLO.

The Impact of Oil Price Fluctuations on Industry Stock Returns: Evidence from International Markets

2018 ◽  
Vol 5 (1) ◽  
pp. 1-12
Author(s):  
Elias Randjbaran ◽  
Reza Tahmoorespour ◽  
Marjan Rezvani ◽  
Meysam Safari
Keyword(s):  
Stock Returns ◽  
Oil And Gas ◽  
Negative Relationship ◽  
The United States ◽  
Oil Price ◽  
Price Variation ◽  
Price Changes ◽  
Price Fluctuations ◽  
Food And Beverage ◽  
The Impact

This study investigates the impact of oil price variation on 14 industries in six markets, including Canada, China, France, India, the United Kingdom, and the United States. Panel weekly data were collected from June 1998 to December 2011. The results indicate that price fluctuations primarily affect the Oil and Gas as well as the Mining industries and have the least influence on the Food and Beverage industry. Furthermore, in three out of six of these countries (Canada, France, and the U.K.), oil price changes negatively affect the Pharmaceutical and Biotechnology industry. One possible reason for the negative relationship between oil price changes and the Pharmaceutical and Biotechnology industries in the above-mentioned countries is that the governments of these countries fund their healthcare systems. Portfolio managers and investors will find the results of this study useful because it enables adjusting portfolios based on knowledge of the industries that are impacted the most or the least by oil price fluctuations.

scholarly journals LIQUIDITY AS AN ASSET PRICING FACTOR IN THE UK

2018 ◽  
Vol 06 (02) ◽  
pp. 1850008
Author(s):  
PANAYIOTIS G. ARTIKIS
Keyword(s):  
Risk Factor ◽  
Asset Pricing ◽  
Stock Returns ◽  
Global Financial Crisis ◽  
Residual Effect ◽  
Strong Relationship ◽  
Original Form ◽  
Stock Liquidity ◽  
Traditional Risk Factors ◽  
The Uk

This study examines whether there is a strong relationship between stock liquidity, which proxies for the implicit cost of trading shares, and future stock returns in an asset-pricing context in the UK stock market. The time period, 1994–2016, includes the most recent global financial crisis that drained liquidity from financial markets worldwide. Four different measures of stock liquidity are employed; the empirical findings indicate that liquidity is a systematic pricing factor and explains a significant portion of the variation in stock returns, even after the inclusion of the other traditional risk factors. The results are robust to both forms of liquidity, either as a residual effect or in its original form as a separate risk factor. Finally, for the first time quantile regression is applied, showing that the liquidity risk factor (LIQ) absorbs a significant portion of the information content of the size and value factors, while remaining independent of the momentum factor.

scholarly journals The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?

Energies ◽  
2020 ◽  
Vol 13 (15) ◽  
pp. 3901 ◽  
Author(s):  
Mohammad Enamul Hoque ◽  
Soo-Wah Low ◽  
Mohd Azlan Shah Zaidi
Keyword(s):  
Risk Factors ◽  
Stock Returns ◽  
Oil And Gas ◽  
Market Value ◽  
Negative Effects ◽  
Firm Level ◽  
Stock Size ◽  
Positive Effects ◽  
Oil And Gas Firms ◽  
Gas Price

This study explores Malaysian oil and gas stocks’ exposure to oil and gas risk factors, paying special attention to subindustry classification, stock size, book-to-market value, and volatility state. The study employs firm-level weekly frequency data of oil and gas firms and several multi-asset pricing models within a GARCH (1,1)-X and Markov-switching framework. The empirical findings reveal that oil price, gas price, and exchange rate exhibit positive effects on the stock returns of all oil and gas sub-industries, but they exhibit negative effects on gas utilities sub-industry stock returns. The empirical findings also reveal that the extent of this effect varies across sub-industry, stock size, book-to-market value, and volatility states. Thus, the findings suggest the existence of asymmetric, heterogeneous, and non-linear exposures.

scholarly journals Do Oil and Gas Risk Factors Matter in the Malaysian Oil and Gas Industry? A Fama-MacBeth Two Stage Panel Regression Approach

Energies ◽  
2020 ◽  
Vol 13 (5) ◽  
pp. 1154 ◽  
Author(s):  
Mohmmad Enamul Hoque ◽  
Soo Wah Low ◽  
Mohd Azlan Shah Zaidi
Keyword(s):  
Risk Factors ◽  
Exchange Rate ◽  
Risk Premium ◽  
Oil And Gas ◽  
Oil And Gas Industry ◽  
Oil Price ◽  
Panel Regression ◽  
Gas Industry ◽  
Systematic Risk Factors ◽  
Gas Price

This study examines whether oil and gas risk factors are priced in the returns of Malaysian oil and gas stocks employing asset pricing model with improved version of Fama-MacBeth two-stage panel regression. The findings reveal that oil price risk, gas price risk, and exchange rate risk are priced factors in the returns of oil and gas stocks, alongside market-based risk factors. Oil price, gas price and exchange rate factors are found to be associated with positive risk premium implying that they are systematic risk factors in the Malaysian oil and gas industry. Investors demand compensation for exposure to changes in oil price, gas price and exchange rate, implying that the risk cannot be eliminated through diversification. The risk premium for common systematic risk factors such as market, book-to-market, and momentum factors are found to be negative. The results suggest that in the Malaysian oil and gas industry, momentum driven strategy produces negative returns and investors receive higher returns from investing in growth oriented oil and gas stocks. Our results offer implications for asset pricing and portfolio management.

Does Momentum Trading Generate Extra Downside Risk?

2021 ◽  
Author(s):  
Victoria Dobrynskaya
Keyword(s):  
Asset Pricing ◽  
Risk Premium ◽  
Downside Risk ◽  
Asset Markets ◽  
Momentum Strategies ◽  
Portfolio Rebalancing ◽  
Market Crashes ◽  
The Asymmetry ◽  
Momentum Trading ◽  
Pricing Framework

Momentum strategies tend to provide low returns during market crashes, and they crash themselves when the market rebounds after significant crashes. This is reflected by positive downside market betas and negative upside market betas of zero-cost momentum portfolios. Such asymmetry in upside and downside risks is unfavorable for investors and requires a risk premium. It arises mechanically because of momentum portfolio rebalancing based on trailing asset performance. The asymmetry in upside and downside risks is a robust unifying feature of momentum portfolios in various geographical and asset markets. The momentum premium can be rationalized within a standard asset-pricing framework, where upside and downside risks are priced differently.

Epidemiology and risk factors

ESC CardioMed ◽  
2018 ◽  
pp. 2692-2694
Author(s):  
Marie-Louise Bartelink
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Cardiovascular Risk ◽  
Carotid Artery Disease ◽  
Vascular Territory ◽  
Total Risk ◽  
Coronary Events ◽  
Artery Disease ◽  
Strength Of Association ◽  
The Brain

Overall the risk of different localizations of PADs increases sharply with age and with exposure to major cardiovascular risk factors: smoking, hypertension, dyslipidaemia and diabetes. Other risk factors are still under investigation. The strength of association between each risk factor and each vascular territory is variable, but all the major risk factors should be screened and considered. When a vascular territory is affected by atherosclerosis, not only is the corresponding organ endangered (e.g. the brain for carotid artery disease) but also the total risk of any cardiovascular event is increased (e.g. coronary events). Each vascular territory affected by atherosclerosis can be considered as marker of cardiovascular risk.

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