Determination of Efficient and Inefficient Stocks with the Capital Asset Price Model (CAPM) Method

Stock selection by an investor needs to be done with a variety of existing analysis for example the application of the Capital Asset Price Model. In the Composite Stock Index known as LQ45 shares. LQ45 shares have a unique characteristic that is their shares are liquid, meaning their shares are favored by investors because the average has very good fundamentals. For this reason, in this study the selected stocks, LQ45 shares, are used to determine which shares are worth buying and which shares are not worth buying. Because the names of companies incorporated in LQ45 continue to change from year to year, in this study using a sample of LQ45 company data, amounting to 30 companies where the company was chosen because from 2017 to 2019, the company remains in the LQ45 stock group. For research data sources sourced from Yahoo Finance and take a variety of reading sources both through journals and online media. As for determining efficient and inefficient stocks lies in the value of the individual Expected Return or often abbreviated as [E (Ri)]. If the Individual Expected Return is greater than the value of the Individual Return (Ri) then the shares are in the efficient stock.

THE COMPARISON OF APPLICATION OF STOCK RETURN EVALUATION IN RECORDED COMPANIES IN LQ 45 FOR THE 2012-2016 PERIOD

The purpose of this study is not only to compare the Capital Asset Price Model, Arbitration Price Theory, Three Factor Price Model, Three Factor Price Model, and Five Factor Price Model to study the Capital Asset Price Model, Price Arbitration Price Theory, Three Factor Price Model, Four Factors Pricing Model and Five Factors Pricing Model for excess returns and for determining the best asset pricing model in terms of the ability to explain estimates of excess returns. This research includes explanatory research (explanatory research), namely looking at the relationship between research variables and testing hypotheses that have been formulated previously. This study examines the effect of variables in the asset pricing model and compares the asset pricing models in explaining excess returns. Based on the results of the research that has been carried out the best model that can be used in assessing the asset pricing model is the five Price Model Factors, this is evidenced by the value of R2 or R Square of 89.4%, the value is greater than the value of R2 or R Square Capital Asset Pricing Model, Arbitration Price Theory, Three Price Factor Models, and Four Price Factor Models, which were 34.7%, 55.2%, 77.2% and 79% respectively.

THE COMPARISON OF APPLICATION OF STOCK RETURN EVALUATION IN RECORDED COMPANIES IN LQ 45 FOR THE 2012-2016 PERIOD

The purpose of this study is not only to compare the Capital Asset Price Model, Arbitration Price Theory, Three Factor Price Model, Three Factor Price Model, and Five Factor Price Model to study the Capital Asset Price Model, Price Arbitration Price Theory, Three Factor Price Model, Four Factors Pricing Model and Five Factors Pricing Model for excess returns and for determining the best asset pricing model in terms of the ability to explain estimates of excess returns. This research includes explanatory research (explanatory research), namely looking at the relationship between research variables and testing hypotheses that have been formulated previously. This study examines the effect of variables in the asset pricing model and compares the asset pricing models in explaining excess returns. Based on the results of the research that has been carried out the best model that can be used in assessing the asset pricing model is the five Price Model Factors, this is evidenced by the value of R2 or R Square of 89.4%, the value is greater than the value of R2 or R Square Capital Asset Pricing Model, Arbitration Price Theory, Three Price Factor Models, and Four Price Factor Models, which were 34.7%, 55.2%, 77.2% and 79% respectively.

Valuación de empresas de Telecomunicaciones con parámetros operativos

Key words: Capita asset price, financial expectations, operative factorsAbstract. The value of telecommunication companies measured in terms of their stock value, may be explained not only by their historical financial results and their financial expectations, but also by the evaluation of other operative factors such as: technological change, organizational change, market strategy, acquisition cost, customers portfolio, fusions and institutional changes (regulations). Due to the importance of the telecommunication sector inthe stock market, as well as in the national economy, an analysis which improves its knowledge and allows a better valuation of these companies is required. Models for asset pricing CAPM (Capital Asset Price Model) and APT (Arbitrage Price Theory) have been developed and proved outside national context, besides, according to theory; their effectiveness for determining stock price depends on the stock market efficiencyPalabras Clave: Expectativas financieras, factores operativos, fijación de precios de capitalResumen. El valor de empresas de telecomunicaciones medidos en términos del valor de sus acciones, no solo se explica por la valuación de sus resultados financieros históricos y sus expectativas financieras si no también por la valuación de otros factores operativos tales como cambio tecnológico, cambio organizacional, estrategia de mercado, costo de adquisición, valor de la cartera de clientes, fusiones, y cambios institucionales (regulaciones).Por la importancia que presenta el sector de telecomunicaciones en el mercado de valores y en la economía nacional, se requiere de un análisis que permita su mejor conocimiento y control del valor. Los modelos desarrollados para la fijación de precios de activos; CAPM (Modelo de Fijación de Precios de Capital) y APT (Teoría de Fijación de Precios de Arbitraje) han sido generalmente probados y desarrollados fuera del contexto nacional y su nivel de efectividad para determinar el precio de una acción y que de acuerdo a la teoría depende fundamentalmente del nivel de eficiencia del mercado de capitales.

Predicting Fama-French factors based on industry returns in Brazil

There is a vast literature on the predictability of returns based on past information, and many asset pricing models have been tested, such as the Capital Asset Price Model (CAPM) and the three-factor asset pricing model of Fama and French. The purpose of this paper is to answer the question whether Fama-French’s size and value factors (SMB and HML) can be predicted by past returns of 16 portfolios formed by companies from the same industry in Brazil. Our analysis controls for different macroeconomic variables and firm characteristics, such as corporate governance practices, size, dividend yield, book-to-market, among others. The analysis reveals that 14 of 16 industries predict SMB one month ahead. Furthermore, the returns of a few industries predict the volatility of SMB and HML up to three months ahead of time. Considering the explanatory capability of the Fama-French model, the results of this research show that Brazilian industry returns contain valuable information for the SMB and HML factors, demonstrating that investors cannot absorb all the information in a timely manner, resulting in their gradual diffusion throughout the market.

CARTERAS COLECTIVAS EN COLOMBIA Y LAS HERRAMIENTAS DE MEDICIÓN PARA LA GENERACIÓN DE VALOR

En el mercado colombiano, las carteras colectivas que invierten en acciones han obtenido en la mayoría de los casos altos retornos, sin embargo, y como se demostrara en el desarrollo de este trabajo, no siempre altos retornos significa generación de valor. Es así como se ha realizado una evaluación a la generación de valor de los administradores de portafolio (Portfolio Managers) de algunas carteras colectivas seleccionadas representativas del mercado colombiano. Para ello se utilizaron 2 modelos: el Capital Asset Price Model (CAPM) y el CAPM de tres factores (Fama – French Model). Durante la investigación se denotó que no existe tal generación de valor para los portafolios administrados de cuatro firmas reconocidas en el mercado colombiano, y no se encontró evidencia que exista la capacidad de generar alfa (α) durante el periodo de análisis (2006-2011).