scholarly journals Responsible or Thematic? The True Nature of Sustainability-Themed Mutual Funds

2019 ◽  
Vol 11 (12) ◽  
pp. 3304 ◽  
Author(s):  
Federica Ielasi ◽  
Monica Rossolini
Keyword(s):  
Mutual Funds ◽  
Factor Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Socially Responsible ◽  
True Nature ◽  
Asset Pricing Model ◽  
Fama And French ◽  
Better Than

The aim of the paper is to compare the risk-adjusted performance of sustainability-themed funds with other categories of mutual funds: sustainable and responsible mutual funds that implement different approaches in portfolio selection and management, and thematic funds not committed to responsible investments. The study analyses a sample of about 1000 European mutual open-end funds where 302 are sustainability-themed funds, 358 are other responsible funds, and 341 other thematic funds. Risk-adjusted performance is analyzed for the period 2007–2017 using different methodologies: a single factor Capital Asset Pricing Model (CAPM), a Fama and French (1993) 3-factor model, and a Fama and French (2015) 5-factor model. Our main findings demonstrate that the risk-adjusted performance of ST funds is more closely related to their responsible nature than to their thematic approach. Sustainability-themed mutual funds are more similar to other socially responsible funds than to other thematic funds, as confirmed by performance analysis over time. They are also better than other thematic funds in overcoming financially turbulent periods and currently benefit from SRI regulation and disclosure.

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

Four-moment CAPM Model: Evidence from the Indian Stock Market

2019 ◽  
Vol 18 (1_suppl) ◽  
pp. S137-S166
Author(s):  
Dheeraj Misra ◽  
Sushma Vishnani ◽  
Ankit Mehrotra
Keyword(s):  
Factor Model ◽  
Jel Classification ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Model Evidence ◽  
Fama And French ◽  
Capm Model ◽  
Indian Stock Market ◽  
The Impact

This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12

Average Drawdown Risk and Capital Asset Pricing

2013 ◽  
Vol 16 (04) ◽  
pp. 1350028 ◽  
Author(s):  
Mohammad Reza Tavakoli Baghdadabad ◽  
Paskalis Glabadanidis
Keyword(s):  
Asset Pricing ◽  
Mutual Funds ◽  
Risk Measure ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Acceptable Risk ◽  
Asset Pricing Model ◽  
The Past ◽  
Mean Variance

Practitioners and academics have spent the past few decades debating the validity and relevance of the capital asset pricing model (CAPM). One of the attributes of the model is an estimate of risk by beta, which in equilibrium describe the behavior of mean-variance (MV) investors. In the MV framework, risk is measured by the variance of returns which is a questionable and restrictive risk measure. In contrast, the average drawdown risk is a more acceptable risk measure and can be applied to modeling an alternative behavioral hypothesis, namely mean-drawdown behavior with a replacement risk measure for diversified investors, the average drawdown beta leading to an alternative pricing model based on this beta. Our findings clearly support the average drawdown beta and the pricing model of average drawdown CAPM versus the conventional beta and CAPM in a sample of Malaysian mutual funds.

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>

An Empirical Test of Capital Asset-pricing Model and Three-factor Model of Fama in Indian Stock Exchange

2018 ◽  
Vol 43 (4) ◽  
pp. 294-307
Author(s):  
Nenavath Sreenu
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Stock Exchange ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Asset Pricing Model ◽  
Three Factor

This article aims to test the capital asset-pricing model (CAPM) and three-factor model of Fama in Indian Stock Exchange, and it has focused on the recent growth of capital markets in India and the need of practitioners in these markets to determine a stable price for securities, and achieving expected returns has brought into consideration the theories predicting price securities Among different models the CAPM of Sharp. The study uses a sample of daily data and annual average for 54 companies listed on the National Stock Exchange, during the period from 2010 to 2016. The research article’s intention is to find whether the relationship between expected return and risk is linear, if beta is a complete measure of the risk and if a higher risk is compensated by a higher expected return. The results confirm that the intercept is statistically insignificant, upholding theory, for both individual assets and portfolios. The tests do not essentially provide validation against CAPM and Fama; however, other simulations can be built, more close to reality, by improving the model and offering an alternative which also takes into account the specific conditions of the Indian capital market and the global financial crisis consequences.

scholarly journals Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing

2020 ◽  
Vol 12 (17) ◽  
pp. 6756
Author(s):  
Usman Ayub ◽  
Samaila Kausar ◽  
Umara Noreen ◽  
Muhammad Zakaria ◽  
Imran Abbas Jadoon
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Five Factor Model ◽  
Downside Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Effective Manner

The importance of downside risk cannot be denied. In this study, we have replaced beta in the five-factor model of using downside beta and have added a momentum factor to suggest a new six-factor downside beta capital asset pricing model (CAPM). Two models are tested—a beta- and momentum-based six-factor model and a downside-beta- (proxy of downside risk) and momentum-based six-factor model. Beta and downside beta are highly correlated; therefore, portfolios are double-sorted to disentangle the correlation. Factor loadings, i.e., size, value, momentum, profitability, and investment, are constructed. The standard methodologies are applied. Data for sample stocks from different non-financial sectors listed in the Pakistan Stock Exchange (PSX) are taken from January 2000 to December 2018. The PSX-100 index and three-month T-bills are taken as proxies for market and risk-free returns. The study uses three subsamples for robustness—period of very high volatility, period of stability, and period of stability and growth with volatility. The results show that the value factor is redundant in both models. The momentum factor is rejected in the beta-based six-factor model only. The beta-based six-factor model shows very low R2 in periods of highly volatility. The R2 is high for the other periods. In contrast, the downside beta six-factor model captures the downside trend of the market in an effective manner with a relatively high R2. The risk–return relationship is stronger for the downside beta model. These reasons lead us to believe that, overall, the downside beta six-factor model is a better option for investors as compared to the beta-based six-factor model in the area of asset pricing models.

scholarly journals Analisis Komparasi Capital Asset Pricing Model dan Fama-French Three Factor Model untuk Penentuan Investasi Pada Saham Indeks IDX30 (Periode 2016 – 2018)

2020 ◽  
Vol 2 (2) ◽  
pp. 1
Author(s):  
Nadyah Brhigitta Dwiyuningsih Dotulong ◽  
Lanto Miriatin Amali ◽  
Selvi Selvi
Keyword(s):  
Asset Pricing ◽  
Annual Report ◽  
Factor Model ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Three Factor

Penelitian ini bertujuan untuk mengetahui Metode Capital Asset Pricing Model dan Fama-French Three Factor Model untuk penentuan investasi pada saham Indeks IDX30 periode 2016 – 2018 serta untuk membandingkan antara dua model tersebut model manakah yang memiliki tingkat akurasi yang lebih tinggi untuk mempertimbangkan tingkat return dan risikonya. Metode yang digunakan dalam penelitian ini adalah deskriptif komparatif dengan pendekatan kuantitatif. Adapun data yang digunakan adalah data berupa laporan keuangan tahunan (annual report) Indeks IDX30 periode 2016 – 2018. Hasil penelitian ini menunjukkan bahwa Metode Capital Asset Pricing Model merupakan model yang lebih akurat dibandingkan Fama-French Three Factor Model. Selain terlihat sederhana, model Capital Asset Pricing Model ini juga lebih akurat dalam menentukan investasi sesuai dengan tingkat pengembalian yang diharapkan dan risiko yang bersedia ditanggung dan model ini dapat memberikan informasi secepat-cepatnya mengenai tingkat pengembalian dan risiko yang akan ditanggung investor. Kata-kata Kunci:Metode Capital Asset Pricing Model, Fama-French Three Factor Model, dan Indeks IDX30. 

scholarly journals Analisis Kinerja Dan Potensi Pertumbuhan Return Portofolio Reksadana Saham Dan Reksadana Campuran

2009 ◽  
Vol 2 (2) ◽  
Author(s):  
Ferikawita M. Sembiring ◽  
Titianingsih Madjan Madjan
Keyword(s):  
Asset Pricing ◽  
Mutual Funds ◽  
Composite Index ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Monthly Return ◽  
Asset Value ◽  
Net Asset Value

The purposes of this study are to analyze the performance of the stock mutual funds and composite mutual funds in Indonesia and to analyze the potency of the return growth of those mutual funds. This study used the monthly return (net asset value-NAV) of 7 stock mutual funds and 11 composite mutual funds, from January 2002 to December 2006*. The monthly composite index of the JSX is used as the proxy for market return. Jensen model is used as the tool to measure of the performance (indicated by Jensen alpha) and the potency of the return growth (indicated by beta). To get an accuracy of the analysis and to avoid bias beta problem, this beta has to be corrected with Fowler and Rorke model, adopted from Capital Asset Pricing Model (CAPM). The main results of this research explained that the performance and the potency of the return growth of the stock mutual funds are higher than the composite mutual funds, during the period of analysis.

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