Application of the Arbitrage Pricing Model in Predicting Stock Prices at the Nairobi Stock Exchange

2003 ◽  
Author(s):  
William Ambaka Akwimbi
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Pricing Model ◽  
Arbitrage Pricing

scholarly journals Testing Capital Asset Pricing Model (CAPM) on Dhaka Stock Exchange

2021 ◽  
Author(s):  
Ataur Rahman Chowdhury
Keyword(s):  
Asset Pricing ◽  
Risk Premium ◽  
Stock Prices ◽  
Stock Exchange ◽  
Securities Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model

Abstract The study focuses on finding the validity of the capital asset pricing model (CAPM) on the Dhaka Stock Exchange (DSE) on both individual securities and portfolio levels. Using 102 securities data with the monthly stock prices for preceding five years, the outcome suggests that CAPM does not hold true for DSE, both on an individual company level and portfolio level. The securities market of Bangladesh (DSE in this case) proved inefficient as unsystematic risk premium become significant and beta cannot measure the risk component of securities investment.

Asset Pricing Through Downside Risk Based Arbitrage Pricing Theory: Empirical Evidence from Pakistan Stock Exchange

2020 ◽  
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Downside Risk ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Risk Return ◽  
Pricing Theory

This study extends the downside risk applications in multifactor asset pricing model by incorporating the downside risk spillovers from economic and financial factors to stock returns. We amplify the conventional APT model by replacing the variance-based betas with semivariance based downside betas that better capture the risk volatilities in varying market conditions. The inclusion of downside risk betas based on semivariance and semideviation methods in the augmented asset pricing model improves both the theoretical and methodological applications relative to the limitations and restriction of conventional APT factors model. The mean-variance hypothesis replaced by meansemivariance hypothesis and asymmetric behaviour of stock returns distribution, empirically suggest the use of an alternative factors model. The models based on downside risk premia for asset pricing in emerging markets. The study tested the downside risk-return relationship based on the excess monthly stock returns of listed PSX firms and observed economic, financial and global factors representing spillover triangulation from 1997 to 2017. The findings of the study indicate that the augmented DR-APT model with pricing restrictions of unconditional linear factors method could not be deserted over the targeted period of study. The selected observed pricing factors except exports are significant enough for pricing the security returns in the augmented DR-APT Model. Findings of the panel regression, likelihood ratio tests and F-test corroborate DR-APT as a better model to price stock returns in volatile situations compare to conventional APT model. Our findings are consistent with the downside risk-return framework based on mean semi variance hypothesis and have implications for managers and decision markets that incorporate downside risk in asset valuation, cost of capital estimations, portfolio construction and investment analysis decisions. Key Words: Downside Risk, Semi variance, Semi covariance, Downside Beta, Downside risk-based Arbitrage Pricing Theory (DR-APT).

scholarly journals Analisis Perbandingan Capital Asset Pricing Model Dan Arbitrage Pricing Theory dalam Memprediksi Return Saham pada Perusahaan Telekomunikasi Periode 2016-2018

2020 ◽  
Vol 2 (5) ◽  
pp. 689-698
Author(s):  
Tri Wahyuni ◽  
Eni Kaharti
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

This research aims to determine the influence of each model of balance used for determining the return of shares measured by CAPM and APT in telecommunications sector companies listed on the Indonesia Stock Exchange period 2016-2018. The data collection method uses purposive sampling.  The population used in this research is the stock price on telecommunication  telecommunications sectors listed on the Indonesia Stock Exchange. The purpose of this research is to compare the accuracy of Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in estimating the return of telecommunication stock return. From the results of the Median Absolute Deviation (MAD) value has a small difference. Based on the results of Independent Sample T-Test can be concluded that there is no significant difference between CAPM and APT method in predicting the return of telecommunications stocks return.

scholarly journals The Capital Assets Pricing Model & Arbitrage Pricing Theory: Properties and Applications in Jordan

2018 ◽  
Vol 12 (11) ◽  
pp. 330
Author(s):  
Ibrahim Alshomaly ◽  
Ra’ed Masa’deh
Keyword(s):  
Service Sector ◽  
Banking Sector ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Arbitrage Pricing ◽  
Capital Assets ◽  
Systematic Risks ◽  
Pricing Theory

This paper aimed to test the validity of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) in Jordanian stock Market using three different firms of three main sectors, financial, industrial, and service sector for the period Q1 (2000) to Q4 (2016), using published information obtained from Amman stock exchange (ASE), these models were designed to measure the cost of capital using the coefficient of systematic risk factor, that used in the valuation of capital assets. We reviewed the most important similarities and differences between the two models out of sectors analysis. The study showed, first, there are some differences between the two models in term of the amount of systematic risk that can be eliminated by diversification in the three sectors. Second, the application of APT model showed that large percentage of risk can be eliminated by diversification more than CAPM model. Third, the banking sector in Jordan faces more systematic risks than other sectors.

scholarly journals ARBITRAGE PRICING MODEL IN RELATION TO EFFICIENT MARKET HYPOTHESES

2016 ◽  
Vol 4 (7) ◽  
pp. 137-149
Author(s):  
Bilal Razzaq ◽  
Sabra Noveen ◽  
Adeel Mustafa ◽  
Rabia Najaf
Keyword(s):  
United States ◽  
Hong Kong ◽  
Interest Rate ◽  
Stock Prices ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Efficient Market ◽  
Macroeconomic Variables

The purpose of this thesis is to distinguish between efficient and inefficient markets and check the validity and efficiency of Arbitrage Pricing Theory in these markets (United States and Hong Kong). In order to distinguish between efficient and inefficient markets, Durbin Watson Autocorrelation tests were applied on 12 stock exchanges name EUROPE, HONG KONG, INDIA, TAIWAN, AMSTERDAM, MALAYSIA, UNITED STATES, CANADA, TOKYO, AUSTRALIA, AUSTRIA, and SWITZERLAND. Furthermore, the efficiency was further checked through comparison of the market and locally listed mutual funds. After the selection of Hong Kong and United States Stock Exchanges, 10 macroeconomic variables (Inflation, Short Term Interest Rate, Long Term Interest Rate, Exchange Rate, Money Supply, Gold Prices, Oil Prices, Industrial Production Index, Market Return and Unemployment Rate were tested upon so that the APT model could be constructed. Tests like Normality and Multi-co-linearity were performed. Principle Component Analysis was used to reduce the number of variables. After all the above mentioned tests 4 variables were chosen to represent the APT in both the Hong Kong and United States Stock Exchanges. Lastly OLS Regression was applied to study the effect of these macroeconomic variables on the stock prices. The results showed that Hong Kong Stock Exchange was the most efficient while United States Stock Exchange fell in the inefficient category. The efficiency of APT was proven through the analysis of the value of R2. This value proved that when similar model of APT is applied in two different stock exchanges, the results would be more efficient in an efficient market like Hong Kong. This is the first attempt at constructing an APT Model based on the economic conditions in one country and applying the same model in a highly efficient market; in order to relate the performance of APT with market efficiency.

scholarly journals Testing Capital Asset Pricing Model (CAPM) on Dhaka Stock Exchange

2021 ◽  
Author(s):  
Ataur Rahman Chowdhury
Keyword(s):  
Asset Pricing ◽  
Risk Premium ◽  
Stock Prices ◽  
Stock Exchange ◽  
Securities Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model

Abstract The study focuses on finding the validity of the capital asset pricing model (CAPM) on the Dhaka Stock Exchange (DSE) on both individual securities and portfolio levels. Using 102 securities data with the monthly stock prices for preceding five years, the outcome suggests that CAPM does not hold true for DSE, both on an individual company level and portfolio level. The securities market of Bangladesh (DSE in this case) proved inefficient as unsystematic risk premium become significant and beta cannot measure the risk component of securities investment.

The Effect of Current Ratio and Debt to Asset Ratio on Net Profit Margin and Stock Prices: A Study of Basic Industry and Chemicals Companies

2020 ◽  
pp. 282-294
Author(s):  
Sudirman S ◽  
Muhammad Wahyuddin Abdullah ◽  
Muhammad Obie
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Profit Margin ◽  
Current Ratio ◽  
Industry Sector ◽  
Basic Industry ◽  
Net Profit ◽  
Equity Ratio ◽  
Index Value

This study examined the effect of current ratio and debt to asset ratio on net profit margin and stock prices of the sector basic industry and chemicals companies listed on the Indonesia Stock Exchange in the period 2015-2019. The object of research was the stock prices of companies in the Basic Industry and Chemicals sector, which have been published through the official website of the Indonesian capital market. It was used secondary data derived from the monthly statistics, including Current Ratio data, Net Profit Margin, Debt to Asset Ratio, and data on closing prices for the period 2015-2019. In analyzing data, it was used path analysis of secondary data obtained from the basic industry sector financial statements of 60 companies. The company's performance in this sector is considered quite good when seen from the movement of the index value in the last five years. The results show that direct current ratio had a positive and significant effect on the net profit margin, and the debt to equity ratio did not significantly influence the net profit margin. The current ratio has a positive and significant effect on stock prices, and the debt to equity ratio has a negative and not significant effect on stock prices. In contrast, the net profit margin has a significant effect on stock prices in the basic industry sector companies on the Indonesia Stock Exchange. Indirectly the current ratio has a positive and significant effect on stock prices. In contrast, the debt to asset ratio has a negative and not significant effect on the company's stock prices in the basic industry sector on the Indonesia Stock Exchange.

The Effect of Managerial Ownership, Financial Performance, Corporate Competition on Stock Prices with Capital Structure as the Intervening Variable in the Coal Mining Companies Listed on the Indonesia Stock Exchange

2020 ◽  
Vol 2 (1) ◽  
pp. 24-33
Author(s):  
Yulia Afriani ◽  
Abdul Rakhman Laba ◽  
Andi Aswan
Keyword(s):  
Capital Structure ◽  
Financial Performance ◽  
Coal Mining ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sampling Technique ◽  
Managerial Ownership ◽  
Firm Competition ◽  
Mining Companies

This study aimed to find out the effect of managerial ownership, financial performance, corporate competition on stock prices with capital structure as the intervening variable in the coal mining companies listed on the Indonesia Stock Exchange. Managerial ownership variables by the shareholding presentation. Financial performance variables by Total Asset Turnover (TATO). Firm competition variable by Concentration Ratio (CR). Capital structure variables by Debt to Equity Ratio (DER). Stock prices variable by Price to Book Value (PBV). The population of this study was the coal mining companies listed on the IDX. This study used Purposive as the sampling technique. The data source was secondary data from financial statements published through the IDX official website. This study used descriptive statistics and inferential statistics with a quantitative approach using regression techniques with the E-Views version 10 program. The results of this study showed that the dealings of managerial ownership had a positive and significant effect on DER, TATO had a negative and not significant effect on DER, while CR had a negative and significant effect on DER. The dealings of managerial ownership, TATO, DER has a positive and significant effect on PBV, while CR has a negative and not significant. The dealings of managerial ownership influences PBV through DER, interestingly TATO has no effect on PBV through DER and CR influences PBV through DER

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