scholarly journals Jump Volatility Estimates of High Frequency Data and Analysis Based on HHT

2015 ◽  
Vol 7 (11) ◽  
pp. 242
Author(s):  
Jiangrui Chen ◽  
Lianqian Yin ◽  
Sizhe Hou ◽  
Wei Zhang ◽  
Xiaojie Liu ◽  
...  
Keyword(s):  
Financial Markets ◽  
Capital Asset Pricing ◽  
Financial Risks ◽  
Analysis Model ◽  
Hilbert Huang Transform ◽  
Asset Pricing Model ◽  
Research Findings ◽  
Volatility Analysis ◽  
Trend Functions ◽  
Financial Market Risk

<p>As the global financial market risk increases, countries stress more onthe management and prevention of financial risks. These financial risks come from the volatility of the market, and thus we can build more comprehensive understanding of financial markets by analyzing the composition and the law of the financial volatility in different frequency. Based on Hilbert Huang Transform, the realized volatility analysis model is establishedto decompose the volatility into various signal in dissimilar frequency. First of all, the realized leap volatility is obtained through the previous research findings and Capital Asset Pricing Model. Then, considering thenonlinearity and instability of the volatility, we use the Hilbert Huang Transform to decompose the volatility and obtain IMFs in different frequencies and trend functions.</p>

scholarly journals Measuring Risk Structure Using the Capital Asset Pricing Model

2015 ◽  
Vol 63 (1) ◽  
pp. 227-233 ◽  
Author(s):  
Zdeněk Konečný ◽  
Marek Zinecker
Keyword(s):  
Asset Pricing ◽  
Cash Flow ◽  
Operational Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Financial Risks ◽  
Pricing Model ◽  
Capital Asset ◽  
Data Set ◽  
Asset Pricing Model

This article is aimed at proposing of an inovative method for calculating the shares of operational and financial risks. This methodological tool will support managers while monitoring the risk structure. The method is based on the capital asset pricing model (CAPM) for calculation of equity cost, namely on determination of the beta coefficient, which is the only variable, that is dependent on entrepreneurial risk. There are combined both alternative approaches for calculation betas, which means, that there are accounting data used and there is distinguished unlevered beta and levered beta. The novelty of the proposed method is based on including of quantities for measuring operational and financial risks in beta calculation. The volatility of cash flow, as a quantity for measuring of operational risk, is included in the unlevered beta. Return on equity based on the cash flow and the indebtedness are variables used in calculation of the levered beta. This modification makes it possible to calculate the share of operational risk as the proportion of the unlevered/levered beta and the share of financial risk, which is the remainder of levered beta. The modified method is applied on companies from two sectors of the Czech economy. In the data set there are companies from one cyclical sector and from one neutral sector to find out potential differences in the risk structure. The findings show, that in both sectors the share of operational risk is over 50%, however, in the neutral sector is this more dominant.

Evaluating some financial uncertainties of tree improvement using the capital asset pricing model and dominance analysis

1989 ◽  
Vol 19 (11) ◽  
pp. 1380-1388 ◽  
Author(s):  
Thomas A. Thomson
Keyword(s):  
Capital Budgeting ◽  
Tree Improvement ◽  
Site Quality ◽  
Capital Asset Pricing ◽  
Financial Risks ◽  
Improvement Program ◽  
Rates Of Return ◽  
Asset Pricing Model ◽  
Forestry Investments ◽  
Uncertainty Level

Although uncertainty considerations are of prime importance in capital budgeting, forestry investments are often evaluated without comparing their uncertainty level with their rates of return. This paper examines some financial uncertainties of a west coast Douglas-fir tree improvement program. Biophysical uncertainties such as amount of genetic gain or uncertainty of site quality are determined by apriori assumption to be nonmarket; thus, use of expected value adjusts for these risks. The market uncertainties of tree improvement are found to be reasonable, vis-à-vis other investments as sensitivity analysis shows that the financial risks were small, or the measured β was low. This paper concludes that the tree improvement investment is worthwhile, considering its risk as well as return.

scholarly journals Analisis Saham Syariah Efisien dengan Pendekatan Shari’a Compliant Asset Pricing Model (SCAPM) pada Jakarta Islamic Index (JII)

2017 ◽  
Vol 8 (1) ◽  
pp. 131
Author(s):  
Zainul Hasan Quthbi
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Analysis Model ◽  
Asset Pricing Model ◽  
Positive Individual ◽  
Data Collection Technique

<p class="IABSSS">The objective of this article is to analyze the Islamic stocks are relatively efficient for investment decisions using SCAPM (Shari’a Compliant Asset Pricing Model). SCAPM is a modified form of the CAPM (Capital Asset Pricing Model) which aims to frame the analysis model within the framework of Shari’a. The data collection technique is documentation of data that is secondary. 13 samples used in the study of Islamic stocks with consistent criteria of Islamic stocks enter the JII (Jakarta Islamic Index) study period in December 2013 to November 2016 and has a positive individual stock returns. Results from the study showed there were 9 of Islamic stocks are relatively efficient and the 4 remaining inefficient. Shares of PT. Adaro Energy has the largest RVAR value means having the most excellent stock performance.</p><p class="IABSSS">Artikel<strong> </strong>ini bermaksud untuk menganalisis saham syariah yang tergolong efisien untuk keputusan investasi dengan menggunakan SCAPM (Shari’a Compliant Asset Pricing Model). SCAPM adalah bentuk modifikasi dari CAPM (Capital Asset Pricing Model) yang bertujuan agar kerangka model analisis masih dalam kerangka syariah. Teknik pengumpulan data adalah dokumentasi dari data yang bersifat sekunder. Digunakan 13 sampel saham syariah pada penelitian ini dengan kriteria saham syariah yang konsisten masuk pada JII (Jakarta Islamic Index) periode penelitian Desember 2013 hingga November 2016 dan memiliki pengembalian saham individual positif. Hasil dari penelitian menunjukkan terdapat 9 saham syariah yang tergolong efisien dan 4 sisanya tidak efisien. Saham PT. Adaro Energy memiliki nilai RVAR terbesar yang berarti memiliki kinerja saham paling baik.</p>

Time-varying herding behavior within the Eurozone stock markets during crisis periods

2019 ◽  
Vol 12 (2) ◽  
pp. 83-96 ◽  
Author(s):  
Stavros Stavroyiannis ◽  
Vassilios Babalos
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Testing Procedure ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
Herding Behavior ◽  
Stock Level ◽  
Content Type ◽  
Asset Pricing Model

Purpose Motivated by the ongoing debate on the existence and magnitude of herding in financial markets, the purpose of this paper is to examine Eurozone stock markets for herding behavior. In the context of the present study, the authors seek for herding behavior of stock markets as a whole as opposed to previous studies that examine herding on stock level. Design/methodology/approach To this end, the authors employ data on benchmark stock market indices for a long sample starting from 2000 through 2016. The testing procedure entails the standard Capital Asset Pricing Model-based procedure along with an advanced econometric method allowing the coefficients of the model to vary over time. Findings Results provide evidence in favor of negative herding behavior (anti-herding) for the Eurozone as a whole with noteworthy transitions. Further analysis reveals that stock markets of the periphery exhibit scarce evidence of herding, whereas continental countries are mainly characterized by negative herding behavior. Originality/value The present study’s main contribution is twofold. First, herding is examined not in sector or stock level as previous studies but at market level. Second, the testing methodology entails a pure time-varying regression model with stochastic volatility proposed by Nakajima (2011) that has not been previously employed in stock market herding. The results entail significant implications for investors seeking for diversification across Eurozone stock markets.

A Single Period Stochastic Model for Maximising Firms Value

GIS Business ◽  
2016 ◽  
Vol 11 (6) ◽  
pp. 39-45
Author(s):  
J. P. Singh
Keyword(s):  
Capital Market ◽  
Firm Value ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Value Maximization ◽  
Risk Return ◽  
Bankruptcy Costs ◽  
Single Period ◽  
Debt Capacity

This article sets up a single period value maximization model for the firm based on stochastic end-of-period cash inflows, stochastic bankruptcy costs and taxes based on income rather than wealth. The risk-return trade-off is captured in the Capital Asset Pricing Model. Thus, the model also assumes a perfect capital market and market equilibrium. The model establishes the existence of a unique optimal financial leverage at which the firm value is maximized, this leverage being less than the maximum debt capacity of the firm.

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