scholarly journals The Impact of Herding on the Expected Return in the Egyptian Stock Exchange

2019 ◽  
Vol 10 (2) ◽  
pp. 5-20
Author(s):  
Mostafa Hussein Abd Alla ◽  
Mahmoud Sobh
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Asset Pricing Model ◽  
The Impact ◽  
Egyptian Stock Exchange

This paper examines the impact of herding behaviour on the expected return in the Egyptian Stock Exchange by adding an additional risk factor reflecting herding behaviour to the capital asset pricing model. The study used monthly excess stock returns of 50 stocks listed on the Egyptian Stock Exchange from January 2014 to December 2018. The results do not support the capital asset pricing model before and after adding the herding behaviour factor, therefore there is no effect of herding behaviour on the expected return.

scholarly journals Investment decision by using Capital Asset Method Pricing Model (CAPM) (Case studies on five automotive companies listed in stock exchange)

2021 ◽  
Vol 1 (2) ◽  
pp. 165-175
Author(s):  
Ahmad Musodik ◽  
Arrum Sari ◽  
Ida Nur Fitriani
Keyword(s):  
Asset Pricing ◽  
Automotive Industry ◽  
Stock Exchange ◽  
Investment Decision ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Asset Pricing Model

Investment is a tool for investors to get more profit than what has been invested. Investors must be able to predict the possibilities that occur when investing. Capital Asset Pricing Model is a tool to predict the development of investment in a particular company used to calculate and determine the Expected Return in minimizing risk investments. The authors conducted research using a sample of 5 companies in the automotive industry, namely PT Astra International Tbk, PT Indokordsa Tbk, PT Indomobil Sukses Internasional Tbk, PT Astra Otoparts Tbk, and PT Gajah Tunggal Tbk. This study uses a descriptive quantitative approach with Microsoft Excel 2016 analysis tools. This study aims to determine Portfolio Analysis with the Capital Asset Pricing Model (CAPM) approach which is used as the basis for making stock investment decisions in automotive industry sector companies listed on the Indonesia Stock Exchange. Use from the results of the analysis of the results by comparing the value of E(Ri) has a directly proportional relationship, meaning that the higher the value of, then the stock return (E(Ri)) will be high as well. Of the 5 companies, there are 2 companies that are in the Undervalued category and 3 companies that are in the overvalued category. This means that investors who will invest in companies engaged in the automotive industry can decide to buy shares of the companies PT Indomobil Sukses Internasional Tbk and PT Gajah Tunggal Tbk, because they are classified as undervalued. Meanwhile, investors who want to invest in shares are not advised to buy company shares that are in the overvalued category, but are advised to sell them to investors who already have shares in the company.

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 The Investing Decisions during the COVID-19 Pandemic by Using the Capital Asset Pricing Model (CAPM) Method in LQ 45 Index Companies

2020 ◽  
Vol 1 (4) ◽  
pp. 409-420
Author(s):  
Elly Susanti ◽  
Ernest Grace ◽  
Nelly Ervina
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Asset Pricing Model ◽  
Proportional Relationship ◽  
Quantitative Descriptive

Investors need to invest wisely because the Covid 19 pandemic has gone global, so that the stock exchange has also begun to waver. Therefore, several methods are needed to determine investment decisions. This study uses the CAPM (Capital Asset Pricing Model) method and classifies and evaluates LQ 45 index companies based on the level of undervalued and overvalued. This type of quantitative descriptive research is the type of research applied in this research. In this study using saturated samples. Data processing was done using Microsoft Excel application program. The results of the study by comparing the beta value with the expected return have an inversely proportional relationship. from the 45 companies, there are 20 Undervalued companies and 25 Overvalued companies.

scholarly journals ANALISIS KEPUTUSAN INVESTASI SAHAM BERDASARKAN PENILAIAN HARGA SAHAM PADA PERUSAHAAN PROPERTY DAN REAL ESTATE YANG TERDAFTAR DI BURSA EFEK INDONESIA

2019 ◽  
Vol 22 (2) ◽  
pp. 128-144
Author(s):  
Heliyani Heliyani ◽  
Helmi Hery Julianto
Keyword(s):  
Asset Pricing ◽  
Real Estate ◽  
Stock Exchange ◽  
Investment Decision ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Asset Pricing Model

This study aims to analyze whether or not property and real estate stocks are worth buying as investments. The type of data is secondary data, which originates from the Indonesia Stock Exchange, Bank Indonesia and shares of Indonesian companies in the period 2016-2018. the population in this study are all property and real estate stocks listed on the Indonesia Stock Exchange. using the perpose sampling technique obtained 32 companies that were sampled. The analysis technique uses the Capital Asset Pricing Model (CAPM) method. worthy shares are stocks that have an individual return expected return (Ri ERi). The results of this study indicate that: (1) There are 7 shares of property and real estate companies that deserve to be used for, namely ASRI, BEST, BKSL, BSDE, CTRA, OMRE, SMRA. These shares have a Ri value greater than E (Ri) or [Ri E (Ri)]. The investment decision that must be taken by investors is to buy the shares. (2) There are 25 company shares that are not feasible. Inappropriate stocks have a Ri value smaller than E (Ri) or [Ri E (Ri)]. The investment decision that must be taken by the investor is to sell the stock before the price drops. Penelitian ini bertujuan untuk menganalisis layak atau tidak layaknya saham property dan real estat  untuk dibeli sebagai sarana investasi. Jenis data adalah data sekunder, yang berasal dari Bursa Efek Indonesia, Bank Indonesia dan saham perusahaan Indonesia tahun periode 2016-2018. populasi dalam penelitian ini adalah seluruh saham properti dan real estate yang tedaftar pada Bursa Efek Indonesia. menggunakan teknik perpose sampling diperoleh 32 perusahaan yang dijadikan sampel. Teknik analisis menggunakan metode Capital Asset Pricing Model (CAPM). saham layak adalah saham yang memiliki return individu expected return (RiERi). Hasil penelitian ini menunjukkan bahwa: (1) Terdapat 7 saham-saham perusahaan property dan real estate yang layak dijadikan untuk yaitu ASRI, BEST, BKSL, BSDE, CTRA, OMRE, SMRA. Saham-saham tersebut memiliki nilai Ri lebih besar daripada E(Ri) atau [Ri E(Ri)]. Keputusan investasi yang harus diambil oleh investor adalah membeli saham tersebut. (2) Terdapat 25 saham-saham perusahaan yang tidak layak. Saham-saham tidak layak tersebut memiliki nilai Ri lebih kecil daripada E(Ri) atau [Ri E(Ri)]. Keputusan investasi yang harus diambil oleh investor adalah menjual saham tersebut sebelum harga turun.

scholarly journals On the Validity of the Capital Asset Pricing Model (CAPM)

2020 ◽  
Vol 12 (4) ◽  
pp. 1
Author(s):  
M. J. Alhabeeb
Keyword(s):  
Asset Pricing ◽  
Market Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Technical Tool ◽  
Expected Return ◽  
Asset Pricing Model

This study exposes the meaning and role of the Capital Asset Pricing Model (CAPM) and lays out the key elements that make it work. It shows the model’s theoretical strength and examines its applicability and validity as a technical tool to measure the expected return to the investment in stock, along with assessing the market risk associated with that investment.

scholarly journals Analisis Keakuratan Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Expected Saham pada LQ45

d'CARTESIAN ◽  
2017 ◽  
Vol 6 (1) ◽  
pp. 30
Author(s):  
Muhammad Irfan Ibrahim ◽  
Jullia Titaley ◽  
Tohap Manurung
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Expected Return ◽  
Asset Pricing Model ◽  
Pricing Theory

Para investor dalam pembelian saham pada dasarnya memiliki tujuan yang sama yaitu mengharapkan pengembalian (return) yang maksimal dan risiko seminimal mungkin. Untuk mengambil keputusan dalam investasi tersebut dengan memperhatikan harapan investor maka diperlukan prediksi yang akurat. Untuk memilih saham dari Pasar Modal, investor menilai dari expected return yang dihitung dari saham tersebut. Para investor dalam memilih portofolio saham sering dihadapkan dengan berbagai faktor yang relevan dalam mengestimasi expected return. Model yang sering digunakan dalam mengestimasi expected return saham berdasarkan faktor-faktor yang dianggap memengaruhi return saham adalah Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT). CAPM merupakan model untuk menentukan expected return saham pada keadaan equilibrium. APT mengasumsikan bahwa expected return saham dipengaruhi oleh berbagai faktor dalam perekonomian dan industri. Tujuan penelitian ini untuk mengetahui perbandingan tingkat keakuratan CAPM dan APT dalam mengestimasi expected return pada saham-saham yang terdaftar pada LQ45. Penelitian ini menggunakan data close price bulanan saham dengan periode Juni 2011-Juni 2016. Dari hasil penelitian ini, menunjukkan bahwa perbandingan keakuratan dari CAPM dan APT yang dilihat dari nilai Mean Absolute Deviation (MAD) yang memiliki selisih yang sangat kecil. Berdasarkan hasil uji-t Dua Sampel Independen dapat diambil kesimpulan yang menyatakan bahwa tidak terdapat perbedaan yang signifikan antara keakuratan CAPM dan APT dalam mengestimasi expected return saham yang terdaftar pada LQ45.Kata Kunci : CAPM, APT, Expected Return.

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