scholarly journals RENTAL INCOME AND CAP RATES: A COMPARISON OF THE LISBON AND PORTO HOUSING MARKETS

2020 ◽  
Vol 8 (2) ◽  
Author(s):  
António C. MOREIRA ◽  
Fernando O. TAVARES ◽  
Elisabeth T. PEREIRA
Keyword(s):  
Asset Pricing ◽  
Risk Measure ◽  
Housing Markets ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Market Values ◽  
Income Approach ◽  
The Relationship

The goal of this article is to analyse the relationship between rental income and capitalisation rates when real estate value is assessed in parishes of the Lisbon and Porto municipalities. Based on housing market values in euros per square metre during the 2006-2009 period, the income approach was used to compare the two main types of apartments (i.e. B2, or two-bedroom, and B1, or one-bedroom) in Lisbon and Porto. We used the capital asset pricing model to calculate the risk measure. The cluster analysis was used to group the Lisbon and Porto parishes according to their rental income and capitalisation rates. Regressions were used to model both geographical markets. Clear differences were found between Porto and Lisbon, the results being more robust for the Porto municipality in regard to B2 apartments. Moreover, rental income is inversely proportional to capitalisation rates for B1 apartments for Porto parishes, which means that there is an initial overinvestment.

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 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 Downside Beta and Downside Gamma: In Search for a Better Capital Asset Pricing Model

Risks ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 223
Author(s):  
Madiha Kazmi ◽  
Umara Noreen ◽  
Imran Abbas Jadoon ◽  
Attayah Shafique
Keyword(s):  
Asset Pricing ◽  
Risk Measures ◽  
Risk Measure ◽  
Factor Loading ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Significance Level ◽  
Asset Pricing Model

In the financial world, the importance of “downside risk” and “higher moments” has been emphasized, predominantly in developing countries such as Pakistan, for a substantial period. Consequently, this study tests four models for a suitable capital asset pricing model. These models are CAPM’s beta, beta replaced by skewness (gamma), CAPM’s beta with gamma, downside beta CAPM (DCAPM), downside beta replaced by downside gamma, and CAPM with downside gamma. The problems of the high correlation between the beta and downside beta models from a regressand point of view is resolved by constructing a double-sorted portfolio of each factor loading. The problem of the high correlation between the beta and gamma, and, similarly, between the downside beta and downside gamma, is resolved by orthogonalizing each risk measure in a two-factor setting. Standard two-pass regression is applied, and the results are reported and analyzed in terms of R2, the significance of the factor loadings, and the risk–return relationship in each model. The risk proxies of the downside beta/gamma are based on Hogan and Warren, Harlow and Rao, and Estrada. The results indicate that the single factor models based on the beta/downside beta or even gamma/downside gamma are not a better choice among all the risk proxies. However, the beta and gamma factors are rejected at a 5% and 1% significance level for different risk proxies. The obvious choice based on the results is an asset pricing model with two risk measures.

The Estimation and Empirical Analysis of CAPM with Errors-in-Variables Problem

2012 ◽  
Vol 170-173 ◽  
pp. 675-678
Author(s):  
Qiang Liu
Keyword(s):  
Asset Pricing ◽  
Empirical Analysis ◽  
Measurement Errors ◽  
Estimation Method ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
The Relationship

In many fields such as scientific experiment, economic analysis, etc, the exact measurement of the variables is difficult to obtain owing to the effects of various kinds of factors. In the application of economics, the relationship between the variables is too complex. The problem of dealing with the observed variables with measurement errors has been a vexing problem. In this paper, the estimation method of the capital asset pricing model with measurement errors is given, which effectively solves the problem that variables can not be observed precisely in the capital asset pricing model. The empirical analysis is presented.

scholarly journals Analysis of the Relationship of Risk and Return Using the Capital Asset Pricing Model (CAPM) Method at Kompas 100 for the 2015-2019 Period

2020 ◽  
Vol 2 (2) ◽  
pp. 383-393
Author(s):  
Andini Nurwulandari
Keyword(s):  
Asset Pricing ◽  
Stock Price ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Risk And Return ◽  
Asset Pricing Model ◽  
The Relationship

This research aimed to investigate the relationship between risk and return on Kompas 100 shares using the Capital Asset Pricing Model (CAPM) approach from 2015 to 2019. The sample amounted to 52 companies registered in Kompas 100. This study used a quantitative approach. The data used includes the closing price of shares and the Composite Stock Price Index (IHSG) for 4 years (1 January 2015 - 31 December 2019) and the risk-free rate, which is calculated using the interest rate on Bank Indonesia Certificates ( SBI) issued by the Bank Indonesia. The results of testing the relationship with the simple correlation coefficient of CAPM calculation, Beta, and CAPM predicted return has a significant positive relationship. If beta increases, the expected return will increase, and vice versa. If Beta goes down, the expected return will go down. Of the 52 sample companies, 33 companies deserve to be used as investment destinations and purchase their shares.

scholarly journals Two-Pass Model of CAPM: Evidence from Pakistan Stock Exchange

2020 ◽  
Vol 12 (2) ◽  
pp. 125-144
Author(s):  
Ruqia Shaikh ◽  
Sarfaraz Ahmed Shaikh ◽  
Muhammad Usman
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Idiosyncratic Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
The Relationship

This research study analyzes the variation in monthly returns of securities for companies listed in Pakistan Stock Exchange-PSX (Formerly known as KSE). The Capital Asset Pricing Model (CAPM) of SLB has provided a method for researchers and experts to forecast the risks and returns. The main purpose of CAPM is to estimate beta of security to explain how much security is aligned or sensitive with the movement or changes in the market return. The research is conducted by means of monthly market capitalization of companies; portfolios are formed and the role of idiosyncratic risk in explaining the variations in the stock returns have been studied. With the same portfolios, the relationship of risk and return relationship has also been analyzed. This empirical analysis is conducted for the period of May 2010 - April 2014. Data analysis reveal that the idiosyncratic risk is a significant factor in explaining the stock returns. Capital Asset Pricing model is rejected in this study context because of positive and significant intercept in all portfolios. The research findings strongly support Chan and Chui (1996) and Strong and Xu (1997), assertions that the relationship between beta and security returns is weak. Therefore, CAPM is an empirically anemic model to be used in the Pakistani market.  

Sign in / Sign up

Export Citation Format

Share Document