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Author :
Publisher :
ISBN 13 :
Total Pages : 90 pages
Book Rating : 4.:/5 (945 download)
Download or read book Testing the Performance of Asset Pricing Models Using Individual Stock Returns in the Case of Thailand written by and published by . This book was released on 2012 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wiyada Sombathirunvong
Publisher :
ISBN 13 : 9789743325489
Total Pages : 260 pages
Book Rating : 4.3/5 (254 download)
Download or read book Incomplete Information and Common Stock Return written by Wiyada Sombathirunvong and published by . This book was released on 1998 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Noppakoaw Raungsombut
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (13 download)
Download or read book Performance Persistence of Fixed Income Funds in Thailand written by Noppakoaw Raungsombut and published by . This book was released on 2018 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this research is to study the operational performance and persistence of fixed income funds in Thailand during 2008 - 2017. The results reveal that the rate of returns of most fixed income funds give the Under-performing for the case of not considering the risk factors and measuring the performance by Sharpe Ratio. However, when considering Risk-adjusted Returns by using the Capital Asset Pricing Model (CAPM), the majority of fixed income funds are found to be able to generate little excessive returns (Alpha) with statistical significance. Besides, in studying the performance persistence of fixed income funds using the Winner-Winner, Winner-loser Persistence Test, the results of this research confirm the results of most researches on foreign fixed income funds that the performance of the Fixed Income Funds has the persistence at low to moderate level. This demonstrates the empirical results that fixed income funds are likely to continue to generate Poor Performance Persistence more than Good Performance Persistence.
Author : Narasimhan Jegadeesh
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (13 download)
Download or read book Empirical Tests of Asset Pricing Models with Individual Stocks written by Narasimhan Jegadeesh and published by . This book was released on 2015 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an instrumental variables methodology to obtain consistent estimates of risk premiums using individual stocks as test assets. Simulation evidence indicates that this methodology yields unbiased estimates of risk premiums and that the associated tests are well specified in small samples. We test a number of recently proposed asset pricing models using this approach. We find that the CAPM market risk, SMB and HML factors risks, investment and ROE factors risks under the production-based asset pricing model and the LCAPM illiquidity-adjusted market risk are not priced.
Author : Antonis Demos
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)
Download or read book Testing Asset Pricing Models written by Antonis Demos and published by . This book was released on 2016 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article applies a conditionally heteroskedastic asset pricing model to describe the time variation in the first and second moments of asset returns in an interdependent way in the emerging capital market of Greece. Depending on the observability of the factors and under the chosen parameterization it is possible to derive tests to address economically important questions that the models impose on the risk-return relationship. We apply the derived tests on the nine sectorial portfolios and the value weighted index of the Athens Stock Exchange, over the period 1985-1997. The evidence from the unconditional and conditional CAPM, with the Value Weighted Index as a benchmark portfolio, suggests the inefficiency of the Index. On the other hand, the dynamic latent factor model, considered here, describes sectorial returns in a much better way. However, there is still a shadow of doubt on the hypothesis that the price of risk is common across assets.
Author : Supriya Maheshwari
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (13 download)
Download or read book Evidence to Support Multifactor Asset Pricing Models written by Supriya Maheshwari and published by . This book was released on 2016 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging stock market returns have been extensively studied by academic community over the past two decades. However, there is still no consensus among the researchers and practitioners as to which asset pricing models should be used to explain returns in these markets. The basic objective of the study is to evaluate the power and performance of multi-factor asset pricing models (three and four factor model) over the traditional one factor CAPM, using the data from one of the fastest growing emerging market: India. The study using a large sample data of 470 listed stocks over a period of 16 years stretching from January 1997 to March 2013, evaluate the relevance of Fama and French three factor model as well as liquidity augmented four factor model in explaining the stock return variations in the Indian stock market. The study employs time series regression approach to examine the impact of market risk, size risk, value risk and liquidity risk on stock returns. The overall results of the study provide support to the multi-dimensional nature of risk and suggest the use of multi-factor asset pricing models for consideration in investment decisions. Both Fama and French three factor model and liquidity augmented four factor model were found to be superior than traditional one factor CAPM. Though, liquidity augmented four factor model was found to be slightly better in explaining Indian stock returns as compared to Fama and French three factor model.
Author : M.I.M. Riyath
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (13 download)
Download or read book Comparative Study on Asset Pricing Models in Explaining Cross Sectional Variation of Stock Returns in the Colombo Stock Exchange written by M.I.M. Riyath and published by . This book was released on 2017 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study intends to identify the better model in explaining variations of average stock returns of listed companies in the Colombo Stock Exchange (CSE) when time series and cross sectional regressions are employed. The sample consists of all stocks listed in the main board of the CSE except Bank, Finance and Insurance Sector during the period from 1997 to 2014. The methodology used to form factor mimicking portfolios to estimate risk factors and portfolio returns is similar to the methodology of Fama and French 1993 and 2012 and to test the performance of asset pricing models Fama and MacBeth (1973) two step procedure is employed. The Gibbons, Ross, and Shanken (GRS) (1989) F-test reveals that the Capital Asset Pricing Model (CAPM) is a poor model whereas the Fama and French (1993) Three Factor Model (FF3FM) and Carhart (1997) Four Factor Model (C4FM) are better models in explaining the cross sectional variations of stock returns of the listed companies in the CSE when time series regressions are employed. Fama-Macbeth t-test reveals that the C4FM is the only valid model in the size-BM sorted portfolios. The C4FM is found to be a superior model and performs better than FF3FM, Reward Beta Model (RBM) and CAPM and also the explanatory power of the FF3FM is comparatively better than both CAPM and RBM in explaining the cross section of stock returns of listed companies in the CSE.
Author : Stuart Hyde
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Tests of the Conditional Asset Pricing Model written by Stuart Hyde and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relationship between consumption and the term structure using U.K. interest rate data. We demonstrate that the term structure contains information about future economic activity as implied by the benchmark time separable power utility consumption based capital asset pricing model (C-CAPM) since the yield spread has forecasting power for future consumption growth. Further, we analyze the ability of this benchmark and two alternative models which adopt utility functions characterized by non-separability, namely, the extension to the habit formation model of Campbell and Cochrane (1999) proposed by Wachter (2006) and the housing C-CAPM proposed by Piazzesi et al. (2007). Our findings are supportive of the habit formation specification of Wachter (2006), other models fail to yield economically plausible parameter values.
Author : Bang Nam Jeon
Publisher : Emerald Group Publishing
ISBN 13 : 1839820608
Total Pages : 227 pages
Book Rating : 4.8/5 (398 download)
Download or read book Emerging Market Finance written by Bang Nam Jeon and published by Emerald Group Publishing. This book was released on 2020-09-28 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume of International Finance Review examines the rising challenges facing emerging financial markets and institutions. It provides significant insight and policy implications on topics including global banking, risk and contagion, stock market behaviour, financial inclusion in the major emerging economies, and more.
Author : Nida Shah
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)
Download or read book Asset Pricing Model Conditional on Up and Down Market for Emerging Market written by Nida Shah and published by . This book was released on 2014 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tests the validity of asset pricing model conditional on up and down market for emerging market of Pakistan. The results indicate that when emerging market undergoes negative market excess return, basic capital asset pricing model is inaccurate to predict stock returns. Although the conditional asset pricing model accurately predicts the risk-return trade off with beta as sole determinant of stock returns when there is up market, however yet it is significantly variant during down market where significant impact of residuals is evinced on stock returns. The market excess returns of up and down markets are also found asymmetric.
Author :
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (945 download)
Download or read book A Study of Performance Comparison Between Arbitrage Pricing Theory and Capital Asset Pricing Model in the Case of Thailand written by and published by . This book was released on 2012 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Van Vu
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (13 download)
Download or read book Empirical Test on the Liquidity-Adjusted Capital Asset Pricing Model written by Van Vu and published by . This book was released on 2016 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we examine the effects of systematic liquidity risk on stock returns in the Australian market. We find that liquidity risk, in the form of (i) the co-movement between individual stock liquidity and market liquidity, (ii) the co-movement between stock returns and market liquidity, and (iii) the co-movement between stock liquidity and market returns, is priced individually and jointly in Australian equities. The results are robust to the use of alternative liquidity proxies and after controlling for other factors that are known to affect stock returns. The analysis across different market conditions shows that the net liquidity risk is approximately eight times higher in bearish markets than in bullish markets. Our overall results support the importance of liquidity risk in the generation of stock returns, particularly during market downturns.
Author : Aldrin Herwany
Publisher :
ISBN 13 :
Total Pages : 590 pages
Book Rating : 4.:/5 (957 download)
Download or read book Asset Pricing and Volatility Modeling written by Aldrin Herwany and published by . This book was released on 2013 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: In determining the rate of return on stocks, many models have been introduced to obtain optimal returns and able to minimize risk. Equilibrium model such as the CAPM, APT and multifactor models have been used in calculating the level of risk and returns through portfolio formation. Since the development initiated by Markowitz who invented portfolio theory, the empirical results of many researchers have produced different points of view relating to stock return and risk relationship. This study aims to look at what factors can be used as a basis to determine returns and at the same time can minimize the risk. As in previous research studies using the CAPM, APT and multifactor models, this study focused on determining the combination of the most significant variables that determine portfolio stock returns in Indonesia. In addition to using the standard in obtaining beta estimates, this study also uses an estimate of volatility models. In obtaining the best model, the first variable that were selected passed through several test models of equilibrium, so that the best model only includes several valid variables. The research was divided into three different economic conditions; full period and two sub periods indicating financial crisis (1998's) and the global crisis (2008's). The results showed that the CAPM is not valid and that market capitalization variable more able to explain changes in the portfolio yield. The model of the APT shows that macroeconomic and market risk premium are significant in explaining changes in portfolio returns, except for the production index. Several fundamental factors of the multifactor models are also found to be significant variables including rating, and that liquidity factor is still an investment benchmark in Indonesia. It is proven that the volume and frequency of trades consistently significant in all test models. Apart from that, the variables showed significant ratings that investors in Indonesia are still passive, traditional and avoid risk. The simulation results of this study indicate that beta is estimated using a standard similar to that estimated using ARCH beta (volatility modeling), and that both methods showed the same conclusion. As such, it can be said to be consistent in terms of portfolio formation. Also, the magnitude and direction of the regression coefficients were tested using several models. In addition, when the establishment of a portfolio simulation was made, it was found that there is an effect of market capitalization. Small-cap portfolios have higher returns than large-cap, and Value at Risk (VaR) value is similar relatively between the two methods of portfolio formation.
Author : Narasimhan Jegadeesh
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.:/5 (13 download)
Download or read book Empirical Tests of Asset Pricing Models with Individual Assets written by Narasimhan Jegadeesh and published by . This book was released on 2018 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: To attenuate an inherent errors-in-variables bias, portfolios are widely employed to test asset pricing models; but portfolios might mask relevant risk- or return-related features of individual assets. We propose an instrumental variables approach that allows the use of individual stocks as test assets, yet delivers consistent estimates of ex-post risk premiums. This estimator also yields well-specified tests in small samples. The market risk premium under the CAPM and the liquidity-adjusted CAPM, premiums on risk factors under the Fama-French three- and five-factors models and the Hou, Xue, and Zhang (2015) four-factor model are all insignificant after controlling for asset characteristics.
Author : Soon-Ho Kim
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (13 download)
Download or read book Evaluating Asset Pricing Models in the Korean Stock Market written by Soon-Ho Kim and published by . This book was released on 2014 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates and compares asset pricing models in the Korean stock market. The asset pricing models considered are the CAPM, APT-motivated models, the Consumption-based CAPM, Intertemporal CAPM-motivated models, and the Jagannathan and Wang conditional CAPM model. By using various test portfolios as well as individual stocks, we conduct time-series tests and cross-sectional regression tests based on individual t-tests, the joint F-tests, the Hansen and Jagannathan (1997) distance, and R-squares. Overall, the Fama and French (1993) five-factor model performs most satisfactorily among the asset pricing models considered in explaining the intertemporal and cross-sectional behavior of stock returns in Korea. The Fama and French (1993) three-factor model, the Chen, Novy-Marx, and Zhang (2010) three-factor model, and the Campbell (1996) model are the next. The results indicate that the two bond portfolios, term spread and default spread, play an important role in explaining stock returns in Korea.
Author : John H. Cochrane
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book A Cross-Sectional Test of an Investment-Based Asset Pricing Model written by John H. Cochrane and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine a factor pricing model for stock returns. The factors are returns on physical investment, inferred from investment data via a production function. I examine the model's ability to explain variation in expected returns across asset and over time. The model is not rejected. It performs about as well as the CAPM and the Chen, Roll, and Ross factor model, and it performs substantially better than a simple consumption-based model. I also provide an easy technique for estimating and testing dynamic, conditional asset pricing models--one simply includes factors and returns scaled by instruments in an unconditional estimate--and for comparing such models.
Author : Sanjay Sehgal
Publisher :
ISBN 13 : 9788177080797
Total Pages : 0 pages
Book Rating : 4.0/5 (87 download)
Download or read book Asset Pricing in Indian Stock Market written by Sanjay Sehgal and published by . This book was released on 2005-02-10 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book empirically shows that the multi-factor asset pricing models, like the Fama-French model, provide a better description of average stock returns compared to the more widely accepted capital asset pricing model (CAPM). It is suggested that the market practitioners should re-design their investment management tool box by replacing CAPM with the Fama-French model for industry applications such as cost of capital estimation, corporate valuation, estimating fair rates of return, assessing stock market efficiency and portfolio performance evaluation. It is also revealed that size-based, value-based, reversal-based and momentum-based trading strategies do not provide extra-normal returns in India. The book will be a useful reference for mutual fund managers, portfolio managers, financial consultants and investors at large. Academicians and students in the area of investment management and corporate finance can also benefit from it."
