Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model

2021 ◽  
Author(s):  
Steffen Windmüller
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Firm Characteristics ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Conditional Asset Pricing ◽  
Global Stock

Conditional Asset Pricing Model

2006 ◽  
pp. 137-187
Author(s):  
Sungho Choi ◽  
Rifat Gorener ◽  
John R. Norsworthy
Keyword(s):  
Asset Pricing ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Conditional Asset Pricing

scholarly journals PENGARUH HUMAN CAPITAL (LABOR INCOME) TERHADAP EXPECTED STOCK RETURNS

2018 ◽  
Vol 12 (1) ◽  
pp. 58-79
Author(s):  
Caecilia Atmini Susilandari
Keyword(s):  
Human Capital ◽  
Asset Pricing ◽  
Stock Returns ◽  
Stock Return ◽  
Idiosyncratic Risk ◽  
Labor Income ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Industry Level ◽  
Expected Stock Returns

This research intended to analyse the use of premium as the proxy of human capital (labor income) in the industry level as one of the factors to measure the expected stock returns other than market, smb, hml, umdand liquidity variable that can be applied in Indonesia.The analysis coveres the human capital (labor income) in the industry level to cross section of stock return and the effect of human capital (labor income) to idiosyncratic risk in the asset pricing model. It usesincome percapita to measure the premium variabel in the period of 2001 – 2011 and 30 stocks portfolio chosen based on the biggest market capitalization value in six sector in the period of 2001 – 2011

scholarly journals The Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange Using the Capital Asset Pricing Model (CAPM)

2014 ◽  
Vol 21 ◽  
pp. 26-35
Author(s):  
Mohsen Mehrara ◽  
Zabihallah Falahati ◽  
Nazi Heydari Zahiri
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
The Relationship

One of the most important issues in the capital market is awareness of the level Risk of Companies, especially “systemic risk (unavoidable risk)” that could affect stock returns, and can play a significant role in decision-making. The present study examines the relationship between stock returns and systematic risk based on capital asset pricing model (CAPM) in Tehran Stock Exchange. The sample search includes panel data for 50 top companies of Tehran Stock Exchange over a five year period from 1387 to 1392. The results show that the relationship between systematic risk and stock returns are statistically significant. Moreover, the nonlinear (quadratic) function outperforms the linear one explaining the relationship between systematic risk and stock returns. It means that the assumption of linearity between systematic risk and stock returns is rejected in the Tehran Stock Exchange. So we can say that the capital asset pricing model in the sample is rejected and doesn’t exist linear relationship between systematic risk and stock returns in the sample.

scholarly journals CAPITAL ASSET PRICING MODEL TESTING IN WEST AFRICA ECONOMIC AND MONETARY UNION STOCK MARKET: THE CASE OF IVORIAN LISTED FIRMS

2017 ◽  
Vol 5 (2) ◽  
pp. 23-30
Author(s):  
Zimy Samuel Yannick Gahé ◽  
Zhao Hongzhong ◽  
Brou Matthias Allate ◽  
Thierry Belinga
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Monetary Union ◽  
Economic And Monetary Union ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Listed Firms ◽  
Asset Pricing Model

This paper investigates the validity of Capital Asset Pricing Model (CAPM) for the West African Economic and Monetary Union (WAEMU) stock market using monthly stock returns of twenty Côte d’Ivoire’s listed firms from January 2002 to December 2011. We split this interval into different time periods. Each one of them has also been divided into two different sub-periods among which one served as estimation mean and the second one helped to test the estimated parameters obtained using a times series regression. Afterwards some statistical tests have been conducted to see whether the CAPM’s hypotheses hold or not. The findings showed that higher risk is not associated with higher level of return within the study area. Also, there was no relation between stock return and non-systemic risk except for one period where we found evidence that stock returns were affected by other risk than the systematic risk. On the contrary the stock expected rate of return had a linear relationship with the systematic risk. The study suggested that the listed companies consider other factors and variables which could explain their returns.

scholarly journals A TEST OF THE FAMA-FRENCH FIVE FACTOR MODEL IN COMPARISON TO THE CAPITAL ASSET PRICING MODEL AT THE LUSAKA SECURITIES EXCHANGE

2018 ◽  
Vol 3 (1) ◽  
pp. 35
Author(s):  
Nsama Musawa ◽  
Prof. Sumbye Kapena ◽  
Dr . Chanda Shikaputo
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Fama And French

Purpose: The capital asset pricing model (CAPM)  is one of  the basic models in the security price analysis.Many asset pricing models have been developed to improve the CAPM.Among such models is the latest  Fama and French five factor model which is being  empirically tested in various stock markets. This study tested the five factor model in comparison to the capital asset pricing model. Testing the Fama and French Five factor model in comparison to the CAPM was important because the CAPM is widely taken to be the basic model in the security price analysis. Methodology: The Fama and French methodology was used to test  the data from an emerging market, the Lusaka Securities Exchange. A deductive, quantitative research design and secondary data from the Lusaka Securities Exchange was used. Data was analyzed using multiple regression. Results: The results indicate that the Five Factor model is better than the CAPM in capturing variation in the stock returns. The Adjusted R-squared for the five factor model from all individual portfolio sorting was 0.9, while that for the CAPM was 0.13 Unique contribution to theory, practice and policy: This study has contributed to theory in that it has added a voice to the ongoing debt on the suitability of  the new Fama and French Five Factor model which is at the cutting hedge in finance theory.Further the study is from developing capital market. Keywords:, CAPM, Stock returns, Fama and French five factor model

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