An analysis on the predictability of CAPM beta for momentum returns

2018 ◽  
Vol 38 (2) ◽  
pp. 136-153 ◽  
Author(s):  
Tolga Cenesizoglu ◽  
Nicolas Papageorgiou ◽  
Jonathan J. Reeves ◽  
Haifeng Wu
Keyword(s):  
Capm Beta

scholarly journals CONTAGION AND DOWNSIDE RISK IN THE REIT MARKET DURING THE SUBPRIME MORTGAGE CRISIS

2015 ◽  
Vol 19 (1) ◽  
pp. 42-57 ◽  
Author(s):  
Ming-Chi CHEN ◽  
Hsiu-Jung TSAI ◽  
Tien-Foo SING ◽  
Chih-Yuan YANG
Keyword(s):  
Stock Returns ◽  
The United States ◽  
The European Union ◽  
Subprime Mortgage ◽  
Crisis Period ◽  
Contagion Effects ◽  
Mortgage Crisis ◽  
Systematic Risks ◽  
Subprime Mortgage Crisis ◽  
Capm Beta

This study empirically tests the contagion effects in stock and real estate investment trust (REIT) markets during the subprime mortgage crisis by using daily stock- and REIT-markets data from the following countries and international bodies: the United States, the European Union, Japan, Hong Kong, Singapore, Australia, and the global REIT market. We found a significant and positive dynamic conditional correlation (DCC) coefficient between stock returns and REIT returns. The results revealed that the REIT markets responded early to market shocks and that the variances were higher in the post-crisis period than in the pre-crisis period. Evidence supporting the contagion effects includes increases in the means of the DCC coefficients during the post-crisis period. The Japanese and Australian REIT markets possess the lowest time-varying downside systematic risks. We also demonstrated that the “DCC E-beta” captures more significant downside linkages between market portfolios and expected REIT returns than does the standard CAPM beta.

Cash flow uncertainty and IPO underpricing: evidence from income guarantee in Thai REITs

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Kanis Saengchote ◽  
Chittisa Charoenpanich
Keyword(s):  
Initial Public Offerings ◽  
Cash Flow ◽  
Simultaneous Equations ◽  
Least Square ◽  
Ipo Underpricing ◽  
Content Type ◽  
Useful Signal ◽  
Ex Ante ◽  
Capm Beta ◽  
The Relationship

PurposeThe purpose of this article is to investigate the relationship between cash flow uncertainty and the underpricing of real estate investment trust (REIT) initial public offerings (IPOs) using hand-collected data on income guarantee in Thailand from January 2005 to December 2019.Design/methodology/approachThis article uses linear regression to determine the relationship between underpricing (initial return) and proxy for cash flow uncertainty (income guarantee), controlling for other factors. Because issuers can use several actions to signal their quality under asymmetric information, the joint decisions are analyzed as simultaneous equations and estimated using three-stage least square (3SLS) to address potential endogeneity concern.FindingsThis article finds that underpricing, on average, is negatively related to income guarantee, which is a proxy for ex ante cash flow uncertainty. The relationship is economically and statistically significant and robust to simultaneous equations estimation. Further investigation shows that REITs with income guarantee tend to have lower systematic risk (measured by CAPM beta) and returns, making the nature of some REITs more debt-like than equity-like.Practical implicationsFor issuers, the result suggests that offering income guarantee (which is more costly for assets with lower quality) can be a useful signal of asset quality to investors and reduce IPO discount. For institutional and retail investors, the results are informative about the risk-return tradeoffs in REIT IPO investment opportunities. Income guarantees makes REIT exposure more fix income-like, so there is a need to consider the credibility of the guarantor as well.Originality/valueThis article is the first to use income guarantee as an ex ante measure of cash flow uncertainty and explicitly investigates its linkage to IPO underpricing. This aspect of uncertainty and IPO underpricing remains little-studied in the academic literature. It also contributes to the growing literature of REIT IPOs in Asia.

scholarly journals CAN INVESTMENT IN MICROFINANCE FUNDS IMPROVE RISK-RETURN CHARACTERISTICS OF A PORTFOLIO?

2014 ◽  
Vol 20 (4) ◽  
pp. 673-695 ◽  
Author(s):  
Karel Janda ◽  
Gordon Rausser ◽  
Barbora Svárovská
Keyword(s):  
Financial Indicators ◽  
Fixed Income ◽  
Socially Responsible ◽  
Investment Funds ◽  
Risk Return ◽  
Market Portfolio ◽  
Bond Portfolios ◽  
Capm Beta ◽  
Returns On Investment ◽  
Mean Variance

This article is concerned with contribution of microfinance investment funds to a sustainable financial portfolio. With regard to the dependence of microfinance funds’ returns on the performance of stock and fixed income markets in developed and emerging economies we find slightly negative correlation when measured by the portfolio beta measure. Our regression analysis confirms that returns on investment in microfinance investment funds exceed the returns on the market portfolio. This result together with reported near-to-zero beta estimates as a proxy for the systematic risk may be taken to be a clear financial advantage of an inclusion of microfinance assets in a portfolio compared to pure stock or bond portfolios. The results based on CAPM beta and Jensen's alpha are confirmed by mean-variance spanning test. We show that the socially responsible investors may invest into microfinance without sacrifice with respect to pure financial indicators.

scholarly journals ANALISIS PENGARUH CAPM BETA, FIRM SIZE, BOOK TO MARKET RATIO, DAN MOMENTUM TERHADAP RETURN SAHAM

2019 ◽  
Vol 3 (2) ◽  
pp. 1
Author(s):  
Alex Tumpal Hutajulu ◽  
Evita Puspitasari
Keyword(s):  
Firm Size ◽  
Stock Return ◽  
Stock Exchange ◽  
Market Value ◽  
Total Asset ◽  
Predictive Capability ◽  
Book Value ◽  
Purposive Sampling ◽  
Book To Market Ratio ◽  
Capm Beta

This research is performed to examine influence of capm beta, firm size, book to market ratio, and momentum on stock return in companies that listed on the Indonesia Stock Exchange. The population in this research was manufacture companies that listed on the Indonesia Stock Exchange during 2012-2014 with purposive sampling. Variables used in this research are capital gain (return), natural logarithma total asset (firm size), the ratio of book value to market value (book to market ratio), and return t-12 (momentum). The results shows that beta, firm size, book to market ratio and momentum simultaneously have a significant impact toward stock return. The conclusion based on partial test are (1) book to market ratio and momentum have a positive significance influence toward stock return (2) beta has negative insignificance influence toward stock return and firm size has positive insignificance influence toward stock return. Predictive capability of independent variabel in this research to stock return is 34,09% while other 65,91% was influenced by other factors.

scholarly journals Why Downside Beta Is Better: An Educational Example

2013 ◽  
Vol 6 (3) ◽  
pp. 371-374
Author(s):  
James T. Chong ◽  
William P. Jennings ◽  
G. Michael Phillips
Keyword(s):  
Effective Teaching ◽  
Financial Planning ◽  
Investment Policy ◽  
Market Beta ◽  
Policy Statements ◽  
The Difference ◽  
Capm Beta ◽  
Personal Financial Planning

An educational example is presented that is an effective teaching illustration to help students understand the difference between traditional CAPM beta and downside (or down-market) beta and why downside beta is a superior measure for use in personal financial planning investment policy statements.

CAPM Beta Lives for Expected Returns

2018 ◽  
Author(s):  
Wei Liu ◽  
James W. Kolari ◽  
Seppo Pynnonen
Keyword(s):  
Expected Returns ◽  
Capm Beta

Estimating the CAPM Beta for Public and Private Firms

2020 ◽  
pp. 99-125
Author(s):  
Luis Javier Sanchez-Barrios ◽  
Benedicto Kulwizira Lukanima ◽  
Natalia Hernandez-Vargas ◽  
Luis Ricardo Almanza Herazo
Keyword(s):  
Sampling Period ◽  
Data Series ◽  
Alternative Measure ◽  
Private Company ◽  
Public And Private ◽  
Market Index ◽  
Thin Markets ◽  
Capm Beta ◽  
Irregular Data ◽  
Data Frequency

This chapter presents solutions to some challenges when calculating CAPM Beta. Three methods for calculating traditional beta are presented and illustrated through the case of Facebook. Different choices of market index, data frequency, and sample size result in different values of beta; however, in all cases beta was greater than one. The chapter explores ordinal beta as an alternative measure to treat outliers in both developed and thin markets. Using a sample of 84 US stocks, there was no statistical difference between median traditional and ordinal betas. This was not the case for a sample of 47 Colombian stocks, which questions the usefulness of traditional beta in thin markets. In contrast with median traditional beta, median ordinal beta did not change significantly as a result of irregular data series. The contrary occurred when the observation (sampling) period was reduced; this leaves open the question of subjectivity when defining such period. Finally, the process of valuing a private company was illustrated through the case of Palmoil Ltd., a Colombian company.

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