The Empirical Relationship Between Expected Return and Risk in the Amman Stock Exchange

2003 ◽  
Author(s):  
Aktham Issa Maghyereh
Keyword(s):  
Stock Exchange ◽  
Empirical Relationship ◽  
Expected Return ◽  
Amman Stock Exchange

scholarly journals Validity of Capital Assets Pricing Model (CAPM) (Empirical Evidences from Amman Stock Exchange)

2021 ◽  
Vol 8 (1) ◽  
pp. 207
Author(s):  
Ahmad Alqisie ◽  
Talal Alqurran
Keyword(s):  
Risk Premium ◽  
Stock Exchange ◽  
Conclusive Evidence ◽  
Average Risk ◽  
Pricing Model ◽  
Expected Return ◽  
Risk And Return ◽  
Amman Stock Exchange ◽  
Beta Coefficient ◽  
The Relationship

The purpose of this study is to test the validity of CAPM in Amman Stock Exchange (ASE) during the period (2010 – 2014), which was divided into three sub periods. We used monthly returns of 60 stocks of Jordanian companies listed in ASE. Black, Jensen and Scholes (1972) and Fama and MacBeth (1973) methods were used to test the CAPM in different study sub-periods. The analysis results showed that higher risk (beta) is not associated with higher levels of return, which violated the CAPM assumption. Results of the study leads to contradict the theory’s assumption that beta coefficient is a good toll to predict the relationship between risk and return; hence the beta coefficient of some portfolios in the three sub periods was not significant. In addition, the results of testing SML violated the CAPM assumption in the three sub periods that, the slope should be equal to the average risk premium. Finally, tests of nonlinearity of the relationship between return and betas validated the CAPM hypothesis, that the expected return-beta relationship is linear. Depending on the above results, we couldn’t find conclusive evidence in support of CAPM in ASE.

ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

2019 ◽  
Vol 4 (2) ◽  
Author(s):  
Mochamad Andik Firmansyah
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Portfolio Risk ◽  
Expected Return ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Market Return ◽  
Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio  formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

Liquidity Risk And Asset Pricing :, Evidence From Amman Stock Exchange

2017 ◽  
pp. 129
Author(s):  
محمد أحمد بني هاني ◽  
منى ممدوح المولا
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
Amman Stock Exchange

PENGARUH PERUBAHAN KOMPONEN LAPORAN ARUS KAS, PERUBAHAN LABA KOTOR, DAN PERUBAHAN SIZE PERUSAHAAN TERHADAP EXPECTED RETURN SAHAM

2011 ◽  
Vol 7 (1) ◽  
pp. 39
Author(s):  
Serly C ◽  
Astuti Yuli Setyani
Keyword(s):  
Data Analysis ◽  
Linear Regression ◽  
Cash Flow ◽  
Stock Exchange ◽  
Cash Flows ◽  
Gross Margin ◽  
Expected Return ◽  
Flow Changes ◽  
Operating Cash Flow ◽  
Observation Period

The purpose of this study was to examine the effect of changes in thecomponents of cash flows (operating cash flow changes, investment cashflow changes , cash flow funding changes), changes in gross profit,and change the size of the company toward expected return stock ofmanufacturing companies which go public in Indonesia Stock Exchange. The number of companies studied as many as 84 companies listed in Indonesia Stock Exchange with the observation period from 2004 to 2008. The technique used in the data analysis is the technique of multiple linear regression. Results of the study showed that only cash flow operations changes ,investment cash flow changes and gross margin changes that showed significantly influence against expected return stockKata kunci: expected return, size, arus kas operasi, arus kas investasi, laba kotor

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