Financial contagion and capital asset pricing in Africa: The impact of the 2007–09 and Euro-Zone crises on natural resources sector Beta in African emerging markets

2018 ◽  
Vol 45 ◽  
pp. 54-61 ◽  
Author(s):  
Uchenna Tony-Okeke ◽  
Jaliyyah Ahmadu-Bello ◽  
Jacek Niklewski ◽  
Timothy Rodgers
Keyword(s):  
Asset Pricing ◽  
Emerging Markets ◽  
Natural Resources ◽  
Financial Contagion ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Euro Zone ◽  
The Impact

Analysis Of The Impact Of Company Size On Systemic Risk Based On Capital Asset Pricing Model In Food And Beverages Companies Listed On The Indonesia Stock Exchange Year 2009-2011

2021 ◽  
Vol 12 (1) ◽  
pp. 01-07
Author(s):  
Rahmadina Agusti
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Systematic Risk ◽  
Capital Asset Pricing ◽  
Company Size ◽  
Manufacturing Companies ◽  
Capital Asset ◽  
Food And Beverages ◽  
The Impact

Before investing, investors should consider the stock beta as a measure of systematic risk. By knowing beta stocks investors can directly determine the sensitivity of the return securities market returns. By knowing the sensitivity return, it automatically investors would be able to assess how much risk it will face when investing their funds in the company's stock. Investors can also adjust the investment that is fit to return they want to earn. This study aim is to determine the impact of company size on systematic risk based capital asset pricing models. Population of this study are all food and beverages manufacturing companies listed (listing) on ​​the Indonesian Stock Exchange from 2009 to 2011. There are 16 companies that fit in the criteria and the sample was 12 companies. Data were analyzed by multiple linear regression analysis. Results of this study showed that the size of the company significant positive effect on the systematic risk with adjusted R square value of 0.994, which means the size of the company has a strong influence in predicting systematic risk.

The role of efficiency in capital asset pricing: a research on Nasdaq technology sector

2020 ◽  
Vol 46 (11) ◽  
pp. 1479-1493
Author(s):  
Hakan Aygoren ◽  
Emrah Balkan
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Factor Model ◽  
Explanatory Power ◽  
Efficiency Factor ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Content Type ◽  
The Impact ◽  
Three Factor

PurposeThe aim of this study is to investigate the role of efficiency in capital asset pricing. The paper explores the impact of a four-factor model that involves an efficiency factor on the returns of Nasdaq technology firms.Design/methodology/approachThe paper relies on data of 147 firms from July 2007 to June 2017 to examine the impact of efficiency on stock returns. The performances of the capital asset pricing model (CAPM), Fama–French three-factor model and the proposed four-factor model are evaluated based on the time series regression method. The parameters such as the GRS F-statistic and adjusted R² are used to compare the relative performances of all models.FindingsThe results show that all factors of the models are found to be valid in asset pricing. Also, the paper provides evidence that the explanatory power of the proposed four-factor model outperforms the explanatory power of the CAPM and Fama–French three-factor model.Originality/valueUnlike most asset pricing studies, this paper presents a new asset pricing model by adding the efficiency factor to the Fama–French three-factor model. It is documented that the efficiency factor increases the predictive ability of stock returns. Evidence implies that investors consider efficiency as one of the main factors in pricing their assets.

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 AN INVESTIGATION RELATING TO THE APPLICATION OF CAPITAL ASSET PRICING MODEL (CAPM) IN STOCK MARKET

2021 ◽  
pp. 1-6
Author(s):  
Dr.Himanshu Saxena
Keyword(s):  
Decision Making ◽  
Asset Pricing ◽  
Stock Market ◽  
Market Price ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
The Impact

Purpose – The present study aims to examine the concept of Capital Asset Pricing Model (CAPM), the mechanism of Capital Asset Pricing Model (CAPM) and evaluate its applicability as tools that Investors and Traders can use to facilitate decision making related to stocks in Stock Market. Design/methodology/approach – This paper uses secondary data to empirically examine the impact of Capital Asset Pricing Model in Stock Market. Since, Capital Asset Pricing Model occupies an important place in the Security Analysis and Portfolio Management, therefore this Model has been selected in order to bring to light the current mechanism prevailing in the Stock Market. Findings- In this paper, it has been highlighted that CAPM can be strategically used to determine whether securities are overvalued or undervalued and whether the stocks are to be purchased or sold. Application of CAPM can be truly helpful in the process of decision making and can also help in buying or selling the securities at the right time and right price. Research Implications- Application of CAPM in Stock Market carries a wide scope and this area needs to be worked on. A deeper understanding of CAPM will help investors and traders to determine optimum strategies, estimate and forecast precisely the value or the market price of the securities. Practical Implications- This study also signifies an important implication of Capital Asset Pricing Model which is estimating the market price of the stock using equilibrium return and simultaneously aims to assess the applicability of this analysis in the Stock Market. Originality- The study seeks to contribute towards the existing literature on usage of Capital Asset Pricing Model (CAPM) in Stock Market by giving a new perspective. KEYWORDS: Capital Asset Pricing Model (CAPM) , Capital Market Theory, Expected Return, Equilibrium Return, Sharpe Index Model, Stock Market

ARBITRAGEUR BEHAVIOR IN SENTIMENT-DRIVEN ASSET-PRICING

2021 ◽  
Author(s):  
ERDEM KILIC ◽  
OGUZHAN GÖKSEL
Keyword(s):  
Asset Pricing ◽  
Predictive Power ◽  
Equity Premium ◽  
Equity Markets ◽  
Future Price ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
The Impact

This study aims to model arbitrageur behavior in a sentiment-driven capital asset-pricing model under the premise of reflecting a more detailed decomposition of investor types in the equity markets. We explore the behavior and the impact of arbitrageur behavior, particularly, on pricing and on key financial ratios. We observe that the prevalence of the arbitrageur counteracts the effects of unsophisticated investors, resulting in a lower volatility of the price–dividend ratio, lower predictive power of changes in consumption for future price changes and lower equity premium. Thus, the results of our research allow us to conjecture that the extrapolation bias in the prices is lowered.

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

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