scholarly journals Assessing portfolio and asset returns of some financial and non- financial companies on the Ghana stock exchange using a 3-factor model

2021 ◽  
Vol 27 (2) ◽  
pp. 193-202
Author(s):  
C.P. Ogbogbo ◽  
N. Anokye-Turkson
Keyword(s):  
Factor Model ◽  
Stock Exchange ◽  
Asset Returns ◽  
Good Representation ◽  
Financial Firms ◽  
Number Of Factors ◽  
Equity Ratio ◽  
Book To Market Ratio ◽  
Ghana Stock Exchange ◽  
Market Volume

This study on the Ghana Stock Exchange (GSE), investigated, if the overall size of the market, affects the fundamentals of the Fama French 3-Factor model, and to ascertain if the Fama French model can be used effectively to assess portfolio and assets return for companies listed on the Ghana Stock Exchange. In this paper, portfolios of assets of companies on the Ghana Stock Exchange are constructed and analyzed using the Fama-French 3-factor model. The empirical data which consists of assets of 15 companies listed on the GSE, including assets of both financial and non-financial companies for good representation of the Ghana Stock Exchange. We found that the basic principle of the model is not satisfied. This is attributed to a number of factors which include overall size of the market, volume of trade, and high leverage (more debt than equity) associated with financial firms. High debt/equity ratio is linked to high risk. Keywords: Market Capitalization, Book-to-market ratio, Portfolio, Small minus big, High minus low

scholarly journals Empirical Test of Single Factor and Multi-Factor Asset Pricing Models: Evidence from Non Financial Firms on the Ghana Stock Exchange (GSE)

2015 ◽  
Vol 8 (1) ◽  
pp. 99
Author(s):  
Prince Acheampong ◽  
Sydney Kwesi Swanzy
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Financial Firms ◽  
Portfolio Returns ◽  
Ghana Stock Exchange ◽  
Three Factor

<p>This paper examines the explanatory power of a uni-factor asset pricing model (CAPM) against a multi-factor model (The Fama-French three factor model) in explaining excess portfolio returns on non-financial firms on the Ghana Stock Exchange (GSE). Data covering the period January 2002 to December 2011 were used. A six Size- Book-to-Market (BTM) ratio portfolios were formed and used for the analysis. The paper revealed that, a uni-factor model like the (CAPM) could not predict satisfactorily, the excess portfolio returns on the Ghana Stock Exchange. By using the multi-factor asset pricing model, that is, the Fama-French Three Factor Model, excess portfolio returns were better explained. It is then conclusive enough that, the multi-factor asset pricing model introduced by Fama and French (1992) was a better asset pricing model to explain excess portfolio returns on the Ghana Stock Exchange than the Capital Assets Pricing Model (CAPM) and that there exist the firm size and BTM effects on the Ghanaian Stock market.</p>

scholarly journals UKURAN PERUSAHAAN DAN TINGKAT LEVERAGE SEBAGAI PENDORONG PENERAPAN HEDGING UNTUK MENEKAN RISIKO IDIOSINKRATIK

AJAR ◽  
2019 ◽  
Vol 2 (02) ◽  
pp. 19-48
Author(s):  
Cesilia Novita Simarmata ◽  
Suwandi Ng ◽  
Fransiskus E. Daromes
Keyword(s):  
Firm Size ◽  
Factor Model ◽  
Stock Exchange ◽  
Investment Decision ◽  
Idiosyncratic Risk ◽  
Natural Logarithm ◽  
Investment Decision Making ◽  
Equity Ratio ◽  
Fama And French

This research aims to investigate the role of firm size and leverage to be determinants of hedging application in order to suppress idiosyncratic risk. This research measured firm size using natural logarithm of total assets, debt to equity ratio for leverage, dummy variable for hedging activity, and Three Factor Model by Fama and French for idiosyncratic risk. The main theory used in these research are signaling theory and agency theory. The population used is non-financial companies listed on the Indonesian Stock Exchange for period of 2013-2017. The number of samples are 94 firms each year, selected by purposive sampling method. This research used documentary data, such as the annual report and financial statements. This research also used path analysis to analyze the data and sobel test to analyze the mediation role of hedging. The results of this research show that firm size and leverage have a positive and significant effect to hedging. Firm size has a positive but not significant effect to idiosyncratic risk, whilst leverage has a positive and significant effect to the latter. Firm size has a significant effect to idiosyncratic risk through hedging activity as mediator. Surprisingly, leverage does not need hedging to mediate its effect to idiosyncratic risk. This research is expected to be a reference for management to improve firm performance so it could gain investor trusts through hedging application as financial strategy. Investor could also use the results of this research as considerations for investment decision making.

scholarly journals How Well the Implementation of Carhart Model in Market Overreaction Condition? Evidence in Indonesia Stock Exchange

2018 ◽  
Vol 7 (4.38) ◽  
pp. 928
Author(s):  
Ferikawita M. Sembiring ◽  
. .
Keyword(s):  
Stock Price ◽  
Factor Model ◽  
Stock Exchange ◽  
Market Condition ◽  
Portfolio Returns ◽  
Price Momentum ◽  
Book To Market Ratio ◽  
The Difference ◽  
Fama And French ◽  
Portfolio Return

This study aims to determine an ability of the four-factor model of Carhart in explaining the portfolio returns formed in condition of market overreaction. The four-factor model is basically a model proposed by Fama and French and then developed by Carhart which adds price momentum factor into the model. While market overreaction is a market condition caused by excessive reactions from investors when receiving information. The portfolios used are the winner and loser formed based on the returns of each portfolio to the average of the returns. Both portfolio consist are the stocks of non-financial sector in Indonesia Stock Exchange during the period July 2005 - December 2015. The data used are the Composite Stock Price Index (CSPI), stock market capitalization, book to market ratio of each shares and the difference of returns of the loser over of the winner, as an indicator of price momentum factor that formed in market overreaction condition characterized by occurance the reversal of returns.The results show that the four-factor model can explain the portfolio return well. Implementation of the GARCH (1,1) model to improve the accuracy of the estimation results also shows similar findings.     

scholarly journals The Impact of Economic Indicators on Financial Performance of Non-financial Firms on Ghana Stock Exchange

2020 ◽  
pp. 151-169
Author(s):  
Mary Donkor ◽  
Yusheng Kong ◽  
Stephen Kwadwo Antwi ◽  
Mohammed Musah ◽  
Florence Appiah Twum
Keyword(s):  
Financial Performance ◽  
Inflation Rate ◽  
Positive Impact ◽  
Stock Exchange ◽  
Economic Indicators ◽  
Company Size ◽  
Sales Growth ◽  
Financial Firms ◽  
Ghana Stock Exchange ◽  
The Impact

Financial performance is one of the basic indicators that investors and creditors check in accessing the performance of firms. The purpose of this paper is to empirically examine the impact of economic indicators on financial performance of quoted non-financial firms on the Ghana Stock Exchange (GSE). The study focuses on the impact of RealGDP, Exchange rate, Inflation, Unemployment and Interest rate as determinant of economic indicators whereas Sales growth, Company size, Leverage and Efficiency from firms specific are used as controlled variables in checking the effect of these indicators on financial performance of these firms. ROA and ROE were used as proxies for financial performance of the listed firms. The study employed a panel data of 21 listed non-financial firms from the period of 2008 to 2017. The result revealed that Real GDP and inflation have significant positive impact on ROE. On the contrarily, economic indicators used for this study showed no level of significance with ROA. Company size recorded positive and negative significant impact on ROA and ROE respectively, sales growth and efficiency were statistically significant with ROA. The study recommends government and regulatory authorities to come out with good policies that will help boost the economic activities in the country and drop inflation rate since they have the tendency of affecting non-financial firms’ performance. Moreover, management must ensure full utilization of its internal resources by focusing on diversification and expansion since company size, efficiency and sales growth affect the return on assets and equity of firms. In addition, management should warily consider inflation rate when making financial decision due to its impact on financial performance.

scholarly journals Pengaruh Firm Size dan Market to Book Ratio terhadap Return Portofolio

2018 ◽  
Vol 15 (2) ◽  
pp. 138-145
Author(s):  
Dormauli Justina
Keyword(s):  
Firm Size ◽  
Financial Distress ◽  
Factor Model ◽  
Stock Exchange ◽  
Investment Decision ◽  
Average Return ◽  
Negative Effect ◽  
Manufacture Firm ◽  
Book To Market Ratio ◽  
Portfolio Return

Tujuan penelitian – To examine effect of firm size and market to book ratio on portfolio return.Desain/Metodologi/Pendekatan – Research sample consists of manufacture firm stock listed in Indonesian Stock Exchange 2011-2013. Portfolio return measured by excess return of average 5 highest return and 5 lowest return. Portfolio firm size measured by differences of average return of 5 biggest firm size with 5 smallest firm size. Portfolio book to market ratio measured by differences of average return of 5 highest book to market ratio with 5 lowest book to market ratioTemuan – Based on regression analysis, firm size and book to market ratio have negative effect on portfolio return. The result confirms existence of three factor model in return determination. Investor captures the size effect and financial distress indication of book to market ratio in return estimation and stock investment decision making.Keterbatasan penelitian – This research only used manufacture firm as sample, so the result could not be generalized to all firm population at Indonesia Stock Exchange. This research also did not separate between active stock and inactive stock which were traded monthly, so it probably there was bias return calculation because of the inactive stock.Originality/value – the high of book to market ratio showed that the firm had bad performance and tend to financial distress or poor prospect.

scholarly journals PENGARUH CORPORATE SOCIAL RESPONSIBILITY DAN PERATAAN LABA TERHADAP RESPON INVESTOR DALAM SEKTOR KEUANGAN (Studi empiris pada perusahaan Sektor keuangan di BEI periode 2013-2015)

Media Ekonomi ◽  
2017 ◽  
Vol 17 (2) ◽  
pp. 72
Author(s):  
Tuti Juniarsih ◽  
Wida Purwidianti
Keyword(s):  
Corporate Social Responsibility ◽  
Social Responsibility ◽  
Quantitative Research ◽  
Stock Exchange ◽  
Return On Assets ◽  
Independent Variables ◽  
Financial Firms ◽  
Analysis Technique ◽  
Equity Ratio ◽  
Corporate Social

The Research aimed to test effect of corporate social responsibility and profit equalization on investor’s response. independent variables in this study were corporate social responsibility and profit equalization. Dependent variable of this study was investor’s response (Cummulative abnormal return). This study used four control variables, those were: return on assets (ROA), debt to equity ratio (DER), firm size (FSIZE), and market share (MSHARE). This study was a quantitative research. The object of this study were financial firms listed on Indonesia Stock Exchange (BEI), There were 102 samples in this study obtained by using purposive sampling. Data analysis technique used in this research were descriptive statistics test, classical assumption test, multiple regression analysis, and hypothesis testing. The analysis showed that corporate social responsibility gave negative and significant effect partially on CAR. Profit equalization gave positive and insignificant partially on CAR.

scholarly journals Empirical Test of Fama and French Three-Factor Model in the Egyptian Stock Exchange

2020 ◽  
Vol 11 (2) ◽  
pp. 5-18
Author(s):  
Mustafa Hussein Abd-Alla ◽  
Mahmoud Sobh
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Stock Exchange ◽  
Empirical Test ◽  
Expected Return ◽  
Book To Market Ratio ◽  
Excess Stock Returns ◽  
Fama And French ◽  
Egyptian Stock Exchange ◽  
Three Factor

We test the empirical validity of the three-factor model of Fama and French in the Egyptian Stock Exchange (EGX) using monthly excess stock returns of 50 stocks listed on the EGX from January 2014 to December 2018. Our findings do not support Fama and French three-factor model, where the coefficient of the beta was insignificant. The “SBM” coefficient and the “HML” coefficient were equal to zero and insignificant, which confirms the absence of the small firm effect and book-to-market ratio effect in the market. We conclude that there is no relation between expected return and Fama-French risk factors.

scholarly journals Liquidity and Firms’ Financial Performance Nexus: Panel Evidence From Non-Financial Firms Listed on the Ghana Stock Exchange

SAGE Open ◽  
2020 ◽  
Vol 10 (3) ◽  
pp. 215824402095036 ◽  
Author(s):  
Kaodui Li ◽  
Mohammed Musah ◽  
Yusheng Kong ◽  
Isaac Adjei Mensah ◽  
Stephen Kwadwo Antwi ◽  
...  
Keyword(s):  
Serial Correlation ◽  
Stock Exchange ◽  
Generalized Least Squares ◽  
Annual Reports ◽  
Cross Sectional ◽  
Return On Equity ◽  
Financial Firms ◽  
Causality Tests ◽  
Input Variables ◽  
Ghana Stock Exchange

The aim of this research was to establish the nexus between liquidity and the viability of quoted non-financial establishments in Ghana. Panel data deduced from the published annual reports of 15 entities for the period 2008 to 2017 was employed for the study. Preliminarily, cross-sectional reliance, unit root, serial correlation, heteroscedasticity, co-integration, and causality tests were respectively performed. Our findings established that there exists no cross-sectional reliance, and input variables are stationary and co-integrated with no presence of heteroscedasticity and serial correlation. Estimates from the random effects generalized least squares (GLS) regression showed that liquidity has significant adverse effect on the firms’ Return on Equity (ROE) but had insignificantly positive effect on ROE when surrogated by the cash flow ratio. Finally, test based on causalities uncovered that, with the exception of Current Ratio and ROE that are flanked by bidirectional liaison, no other causal affiliation was evidenced amid other variables. Policy recommendations are further discussed.

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