The Accuracy of Balance Model in Predicting Stock Investment During The Covid-19 Pandemic on LQ 45 Index

In doing investment, an investor certainly avoids risk; thus, the investor needs a model in making predictions to forecast the return of shares. There are two models to predict this: Capital Asset Pricing Capital (CAPM) and Arbitrage Pricing Theory (APT). The purpose of this study is to find out which models are more accurate in determining investment options, especially during the Covid-19 pandemic in companies that are included in the LQ 45 Index group. The population in this study is 50 companies listed in LQ 45 from February 2020 - July 2021. The sampling technique used in this study is purposive sampling. The data used in this study will be processed through Ms.Excel and SPSS Version 21. The data analysis techniques used in this study are the Basic Assumption Test consisting of Normality Test and Homogeneity Test, Mean Absolute Deviation (MAD), and hypothesis testing consisting of independent t-test samples. The results in this study show that Model is accurate in predicting stock returns in the Covid-19 pandemic is a CAPM model this is because the value of MAD CAPM is smaller than mad APT. Furthermore, independent t-test samples showed that H0 was rejected which meant that there was a difference in accuracy between CAPM and APT in calculating the return of LQ 45 shares. The implication of this study are expected to provide references to investors and potential investors as a source of information in decision making to make investments in this pandemic period.

Modeling and assessing systematic risk in stock markets in major oil exporting countries

Introduction. This paper aims to assess time variability of beta coefficients (systematic risk) of Capital Asset Pricing Model (CAPM) using data from five key sectors in Saudi Arabia and Kuwait stock markets. Material and methods. To assess time – varying systematic risk we employed symmetric as well as asymmetric conditional volatility specifications to account for skewness and leptkurtosis of high frequency financial time series to better specify conditional higher moments. Results & discussions. The results of the paper support significant evidence of time-varying beta coefficients for all sectors included in the study, in particular the banking sector, and relatively with a lesser degree ,the food, and the service sectors in both countries. For the banking sector in Saudi Arabia, the beta coefficients variability during the sample period estimated between (0.18 to 22.1), and also for Kuwait stock market the beta coefficient of the banking sector variability estimated between (0.16 to 22.1). This result invalidates, at least in the context of the sample country’s banking sectors, the standard application of (CAPM) that assumes constant beta coefficients. Also indicated in the paper, time-varying beta estimates are consistent with a modified version of CAPM prediction that is portfolios with wider range of beta variations expected to yield higher return values and those with lower range of beta variations yield lower returns. Conclusion. In this new context, risk is no longer is a point estimate as implied by the standard CAPM model, but it is a range of values. Our findings also show the size and the range of beta variations are sensitive to skewness and fat tailedness that characterize asset returns distribution.

The Impact of Ownership Structure on the Private Information: An Empirical Study Based on China’s A-Share Market

Ownership structure will have a certain impact on the private information of a company, which will have a complex impact on the financial market. Therefore, it is necessary to study the impact of the ownership structure on private information. This paper uses the monthly data of individual stocks in A-share from 2019 to 2020 to calculate the goodness of fitof the CAPM model to measure the private information content, and then conducts multiple analysis processes such as multicollinearity analysis and heteroscedasticity analysis to ensure the accuracy of the model. Then, this paper uses the WLS regression method for final calculation. The results show that the higher ownership concentration, the less private information content, the weaker private information arbitrage. Finally, this paper puts forward some valuable suggestions for China's financial market based on the empirical results.

PENGUKURAN KINERJA PORTOFOLIO OPTIMAL SAHAM LQ45 MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM) DAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM)

Investment is planting some funds to get profit and the stock is one of the type of investment in fincancial that the most interested for investors. To avoid the risk of investing, investors try to diversify their invesments by using portfolio. Stock portfolio is investment which comprised of various stocks from different companies, with the expect when the price of one stock decreases, while the other increases, then the investments do not suffer losses. Models that can be used to make a portfolio, one of them is Capital Asset Pricing Model (CAPM) and Liquidity Adjusted Capital Asset Pricing Model (LCAPM). CAPM is a model that connects expected return with the risk of an asset under market equilibrium condition. LCAPM is a method of new development of the CAPM model which is influenced by liquidity risk. To analyze whether the formed portfolio have a good performance or not, so portfolio perfomance assessment will be done by using The Sharpe Index. This research uses data from closing prices, transaction volume and volume total of LQ45 Index stock on period March 2016-February 2020 and then data of JCI and interest rate of central bank of the Republic of Indonesia. Based on The Sharpe Index, optimal portfolio is LCAPM model portfolio with 3 stock composition and the proportion investment are 32,39% for LPPF, 49,86% for SRIL and 17,75% for TLKM. Keywords: LQ45 Index, Portfolio, Capital Asset Pricing Model (CAPM), Liquidity Adjusted Capital Asset Pricing Model (LCAPM), The Sharpe Index.

ACCURACY LEVEL OF CAPM AND APT MODELS IN DETERMINING THE EXPECTED RETURN OF STOCK LISTED ON LQ45 INDEX

This study determines the accuracy level of CAPM and APT in determining the expected return of LQ45 and comparing the expected return from CAPM and APT models. This study uses descriptive and comparative research approaches. The population is all stocks listed in the LQ45 index while the sampling method used is purposive sampling with stock criteria that have complete data for the period November 2015 - November 2019. This study uses an independent sample t-test in testing the expected return differences between the CAPM and APT models. The result showed that the CAPM Model was more accurate in determining the expected return of LQ45 stocks compared to the CAPM method. The result also showed that there was a significant difference in expected return between CAPM and APT models. Based on this result, investors can use the CAPM model in predicting the returns of the stock listed on the LQ45. For further research, can use another index in the capital market as a research object, used a longer period to get a more accurate result, and add some more macro variables.

EFFICIENCY ASSESSMENT OF IMPLEMENTATION OF THE MECHANISM OF INNOVATIVE RISK MANAGEMENT OF THE FAT AND OIL INDUSTRY IN UKRAINE

Object of research: risk management processes of enterprises of the oil and fat industry in Ukraine. Investigated problem: to assess the efficiency of the implementation of the mechanism of innovative risk management for enterprises of the oil and fat industry in Ukraine Main scientific results: the paper proposes a scientific and methodological approach to quantifying the effectiveness of the implementation of the mechanism of innovative risk management (MIRM) of enterprises of the oil and fat industry in Ukraine, based on comparing the net present value before and after the MIRM implementation and consists of a number of successive interrelated stages, which include: comparative analysis and integrated assessment of unsystematic (financial, production, investment and other types) risks before and after the MIRM implementation at the enterprise; expert assessment of systematic risks that form the environment of the enterprise and can’t be controlled; determination of the total risk value as an arithmetic weighted average non-systematic and systematic component for each type of risk; determination of discount rates taking into account risk before and after the MIRM implementation at the enterprise using the CAPM model (capital assets pricing model) for calculating and comparing the net present value before and after the MIRM implementation at the enterprise (NPV and NPV', respectively). Efficiency assessment of the implementation of the mechanism of innovative risk management (MIRM) was carried out on the example of eleven processing enterprises of the fat and oil industry in Ukraine. The scope of practical use of research results: the risk management system of processing enterprises of the fat and oil industry in Ukraine, which should be the object of constant monitoring of the feasibility of implementation and assessment of the effectiveness of MIRM functioning by management and top management. Innovative technological product: a scientific and methodological approach to quantifying the effectiveness of the implementation of the mechanism of innovative risk management for enterprises of the oil and fat industry in Ukraine, based on comparing the net present value before and after the MIRM implementation (NPV and NPV’, respectively) using the CAPM model (capital assets pricing model) to determine the discount rates taking into account the risk before and after the MIRM implementation (d and d', respectively), which makes it possible to determine the expected amount of reduction in losses at the processing enterprises of the oil and fat industry of Ukraine from the implementation of a set of risk management measures and make informed management decisions on the appropriateness of their application. Scope of application of the innovative technological product: processing enterprises of the oil and fat industry in Ukraine.

Investments in Contemporary Russian Artwork as an Alternative Form of Investment

In the last decades of the 20th century, various classes of alternative investments have become increasingly popular among investors. During this time, art as a form of alternative investment attracted attention not only from potential buyers but also from academic scholars. Unfortunately, only a few of the newly published papers contained any quantitative analysis with regard to art’s investment performance. Besides, even a smaller amount of research was devoted to the analysis of Russian art markets. Therefore, the purpose of this work is to evaluate the efficiency of investments in the artworks of contemporary Russian painters and to compare the effectiveness of these investments with the effectiveness of investments in stock, bond and real estate markets in Russia and the USA. For this research, we first conduct a hedonic regression analysis on the data available for 1950-2019 time period. After that, we build a hedonic price index for the canvases of contemporary Russian artists. According to the results, the trend of this index reiterates largely the price behavior for world contemporary art market. However, the results of this study indicate that investments in contemporary Russian art do not outperform investments in instruments of Russian and American capital and real estate markets. These results were derived by applying the CAPM model which demonstrated that Russian art as a form of alternative investment is not advisable for the purposes of diversification of investment portfolios. Based on these findings, contemporary Russian art in general can be considered an unattractive instrument for Russian and foreign investors.

ANALISIS CAPITAL ASSET PRICING MODEL (CAPM) DALAM MEMPREDIKSI TINGKAT RETURN SAHAM KOMPAS 100 YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) PERIODE 2013-2017

This study is to determine the accuracy of the CAPM model in predicting 100 compass stock returns listed on the Indonesia Stock Exchange for the period 2013-2017. The variables of this study are 100 stock compass returns, Beta, Risk-Free, and Market return. The accuracy of the CAPM model is measured by standard deviation and t-test. The population of this research is all the monthly stock returns of the compass 100 stock index have gone public on the Indonesia Stock Exchange. While the sample used is a monthly stock return of 58 compass 100 companies from 2013 - 2017. The results of this study indicate that the CAPM model is accurate in predicting 100 stock compass returns.

Conditional relation between return and co-moments – an empirical study for emerging Indian stock market

Due to many theoretical and practical shortcomings of the traditional CAPM model, this study aims at analyzing the CAPM with possible extensions. The analysis aims to know the empirical soundness of Conditional Higher Moment CAPM in emerging India’s capital market. The sample consists of 69 company’s daily stock price data from April 2004 to March 2019 from NSE 100. Panel data analysis is used on 21 cross-sections. The overall results show that when both up and down markets are incorporated separately, all three moments, namely, co-variance, co-skewness, and co-kurtosis, are priced during the normal Indian economy phase. Further, this study states that including higher moments (co-skewness and co-kurtosis) in the two-moment model provides symmetry in both the up and down markets. This is one of the first studies in the Indian Stock market explaining the variation in portfolio returns through panel data analysis by extending CAPM with conditional higher-order co-moments. The portfolio managers should consider skewness and kurtosis along with variance in constructing the optimal portfolios.