Market risk analysis by Linking the Portfolio of the Beta Factor Model (BFM) Modified from the BARRA Model

2021 ◽  
Vol 18 (5) ◽  
pp. 1-38
Author(s):  
Hong Jae Lee ◽  
Tae Seog Kim
Keyword(s):  
Risk Analysis ◽  
Factor Model ◽  
Market Risk

scholarly journals The Quantitative Assessment Of Market Risk In Small And Medium - Sized Enterprise In The Slovak Republic

2016 ◽  
Vol 6 (2) ◽  
pp. 214-221
Author(s):  
Mária Hudáková ◽  
Ján Dvorský
Keyword(s):  
Risk Analysis ◽  
Quantitative Assessment ◽  
Preventive Measures ◽  
Slovak Republic ◽  
Market Risk ◽  
Mathematical Statistics ◽  
Statistical Characteristics ◽  
Interval Estimates ◽  
Market Risks ◽  
The Impact

Small and medium-sized enterprises (SMEs) in Slovakia do not pay sufficient attention to market risks, they do not form the prerequisites, or preventive measures of the risks assessed, which would prevent the problem. The essence of the article is based on the collected and processed data from the survey to analyze, assess and evaluate the impact of the factor, which is the number of employees to evaluate the market risk identified by managers of SMEs in the Žilina region of Slovakia. The analysis of market risk is carried out through the analysis of the selected statistical characteristics using the point and interval estimates and methods of mathematical statistics. The results of the survey showed that the number of employees has an impact on the amount of the value of the market risk of SMEs in the Žilina region and therefore it is not possible to underestimate it.   Keywords: risk, analysis, assessment, evaluation, market, small and medium-sized enterprise.

scholarly journals PERBANDINGAN CAPITAL ASSET PRICING MODEL (CAPM) DAN THREE FACTORS MODEL FAMA AND FRENCH (TFMFF) DALAM MENGESTIMASI RETURN SAHAM

2015 ◽  
Vol 4 (4) ◽  
pp. 181
Author(s):  
KADEK MIRA PITRIYANTI ◽  
KOMANG DHARMAWAN ◽  
G.K. GANDHIADI
Keyword(s):  
Risk Factor ◽  
Linear Regression ◽  
Firm Size ◽  
Factor Model ◽  
Market Risk ◽  
Coefficient Of Determination ◽  
Size Factor ◽  
Significance Level ◽  
Book To Market Ratio ◽  
Fama And French

In 1996, Fama and French developed the CAPM in Three Factor Model Fama and French (TFMFF) to analyze the relationship between risk with rate of return by adding firm size factor that is proxied by Small Minus Big (SMB) and value factor at Book to Market Ratio that is proxied by High Minus Low (HML) on the CAPM model. The aim of this research is to compare the ability of CAPM and TFMFF in estimating the returns on six types of portfolios which are formed based on firm size and BE/ME. Selected samples are stocks of LQ-45 in period of February 2014, which have passed the selection of firm profits and ROE Warren Buffett criteria. Simple linear regression and Multiple linear regression with t test and F test statistics are used to demonstrate the influence and significance level of each variable. The results showed that TFMFF was more superior than CAPM. Market risk factor consistently affected each portfolio. SMB and HML is not always significantly effect on each portfolio, such as portfolio B/H, only market risk factor has a significant effect. However, the addition of SMB factors and HML factors could increase the coefficient of determination in each formed portfolio.

scholarly journals Size and Value Anomalies in European Bank Stocks

2018 ◽  
Vol 13 (12) ◽  
pp. 227
Author(s):  
Barbara Fidanza ◽  
Ottorino Morresi
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Goodness Of Fit ◽  
Factor Model ◽  
Time Windows ◽  
Market Risk ◽  
Financial Industry ◽  
Financial Firms ◽  
Size Premium ◽  
Nonfinancial Firms

The Fama-French three-factor model (Fama & French, 1993) has been subject to extensive testing on samples of US and European nonfinancial firms over several time windows. The most accepted evidence is that size premium (SMB) and value premium (HML) other than the market risk premium help explain cross-section and time-series changes in stock returns. However, scholars have always paid little attention to the financial industry because of the intrinsic differences between financial and nonfinancial firms. The few studies that tested the model on financial firms found mixed evidence on the role of size and book-to-market ratio (B/M) in explaining stock returns. This paper tries to bridge the gap by testing the model on a sample of European financial firms. We find that size and B/M factors seem to be sources of undiversifiable risks and should therefore be included as risk premiums for estimating expected returns of financial firms. Small and high-B/M firms show higher returns that are not explained by market risk and the inclusion of SMB and HML helps improve the regression models’ goodness-of-fit.

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