Determination of Efficient and Inefficient Stocks with the Capital Asset Price Model (CAPM) Method

Stock selection by an investor needs to be done with a variety of existing analysis for example the application of the Capital Asset Price Model. In the Composite Stock Index known as LQ45 shares. LQ45 shares have a unique characteristic that is their shares are liquid, meaning their shares are favored by investors because the average has very good fundamentals. For this reason, in this study the selected stocks, LQ45 shares, are used to determine which shares are worth buying and which shares are not worth buying. Because the names of companies incorporated in LQ45 continue to change from year to year, in this study using a sample of LQ45 company data, amounting to 30 companies where the company was chosen because from 2017 to 2019, the company remains in the LQ45 stock group. For research data sources sourced from Yahoo Finance and take a variety of reading sources both through journals and online media. As for determining efficient and inefficient stocks lies in the value of the individual Expected Return or often abbreviated as [E (Ri)]. If the Individual Expected Return is greater than the value of the Individual Return (Ri) then the shares are in the efficient stock.

European Option Pricing with Transaction Costs in Lévy Jump Environment

The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump. By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump), the explicit solution to the risk asset price model is given. According to arbitrage-free principle, we first discretize the continuous-time model. Then, in each small time interval, the transaction costs are introduced. By using theΔ-hedging strategy, the explicit solutions of the European options pricing formula with transaction costs are given for the risky asset price model with Lévy jump.

CARTERAS COLECTIVAS EN COLOMBIA Y LAS HERRAMIENTAS DE MEDICIÓN PARA LA GENERACIÓN DE VALOR

En el mercado colombiano, las carteras colectivas que invierten en acciones han obtenido en la mayoría de los casos altos retornos, sin embargo, y como se demostrara en el desarrollo de este trabajo, no siempre altos retornos significa generación de valor. Es así como se ha realizado una evaluación a la generación de valor de los administradores de portafolio (Portfolio Managers) de algunas carteras colectivas seleccionadas representativas del mercado colombiano. Para ello se utilizaron 2 modelos: el Capital Asset Price Model (CAPM) y el CAPM de tres factores (Fama – French Model). Durante la investigación se denotó que no existe tal generación de valor para los portafolios administrados de cuatro firmas reconocidas en el mercado colombiano, y no se encontró evidencia que exista la capacidad de generar alfa (α) durante el periodo de análisis (2006-2011).