A Factor Portfolio Asset Pricing Model Based on the Optimal Distribution of Risk and Return

2017 ◽  
Author(s):  
Dixin Zhang ◽  
Zhongya Xu ◽  
Tongliang An
Keyword(s):  
Asset Pricing ◽  
Optimal Distribution ◽  
Pricing Model ◽  
Risk And Return ◽  
Asset Pricing Model ◽  
Model Based

scholarly journals Analysis of the Relationship of Risk and Return Using the Capital Asset Pricing Model (CAPM) Method at Kompas 100 for the 2015-2019 Period

2020 ◽  
Vol 2 (2) ◽  
pp. 383-393
Author(s):  
Andini Nurwulandari
Keyword(s):  
Asset Pricing ◽  
Stock Price ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Risk And Return ◽  
Asset Pricing Model ◽  
The Relationship

This research aimed to investigate the relationship between risk and return on Kompas 100 shares using the Capital Asset Pricing Model (CAPM) approach from 2015 to 2019. The sample amounted to 52 companies registered in Kompas 100. This study used a quantitative approach. The data used includes the closing price of shares and the Composite Stock Price Index (IHSG) for 4 years (1 January 2015 - 31 December 2019) and the risk-free rate, which is calculated using the interest rate on Bank Indonesia Certificates ( SBI) issued by the Bank Indonesia. The results of testing the relationship with the simple correlation coefficient of CAPM calculation, Beta, and CAPM predicted return has a significant positive relationship. If beta increases, the expected return will increase, and vice versa. If Beta goes down, the expected return will go down. Of the 52 sample companies, 33 companies deserve to be used as investment destinations and purchase their shares.

A reformulated asset pricing model based on contrarian strategies

2006 ◽  
Vol 23 (3) ◽  
pp. 185-201 ◽  
Author(s):  
Zhongzhi (Lawrence) He ◽  
Lawrence Kryzanowski
Keyword(s):  
Asset Pricing ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Model Based ◽  
Contrarian Strategies
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