Download or read book An Empirical Study of Capital Asset Pricing Model Anomalies on the JSE written by Paul Andrew Lyles and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Market Anomalies written by Elroy Dimson and published by CUP Archive. This book was released on 1988-03-17 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Market Anomaly Size Effect Literature Review Key Theories and Empirical Methods written by Arthur Ritter and published by GRIN Verlag. This book was released on 2015-06-02 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2014 in the subject Business economics - Business Management, Corporate Governance, grade: 16 (1,7), University of St Andrews (School of Management), course: Research Methods for Finance and Management, language: English, abstract: The size effect is a market anomaly in asset pricing according to the market efficiency theory. According to the current body of research, market anomalies arise either because of inefficiencies in the market or the underlying pricing model must be flawed. Anomalies in the financial markets are typically discovered form empirical tests. These tests usually rely jointly on one null hypothesis H0= markets are efficient AND they perform according to a specified equilibrium model (usually CAPM). Thus, if the empirical study rejects the H0, the reason could either be due to market inefficiency or due to the incorrect model. Market efficiency theory says that the price of an asset fully reflects all current information and is not predictable (Fama 1970). Fama (1997) states that market anomalies, even long‐term anomalies, are not an indicator for market inefficiencies due to the reason that they randomly split between “underreaction and overreaction, (so) they are consistent with market efficiency” (p. 284), they happen by chance and it is always possible to beat the market by chance. This essay will give an overview of the literature of the size effect and will stress the key theories, empirical methods and findings, as well as the existing body of research about this particular anomaly.
Download or read book An Empirical Evaluation of Capital Asset Pricing Models on the JSE written by Gianluca Michelangelo Sacco and published by . This book was released on 2013 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Failure of the Capital Asset Pricing Model CAPM written by Graham N. Bornholt and published by . This book was released on 2013 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dempsey (2013) highlights the empirical failure of the capital asset pricing model (CAPM). I study the beta, value and momentum anomalies using industry returns, with particular emphasis on the post-1993 period. Strong evidence of these effects is observed over the whole sample. However in recent years, while the value and momentum anomalies appear to continue, the beta anomaly appears to have weakened. Notwithstanding these results, I show that the value and momentum anomalies, and the value of beta, are largely irrelevant to the calculation of industry cost of equity.
Download or read book Anomalies in the Capital Asset Pricing Model written by Kwok Fai Ho and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Testing of Implied Costs of Equity in the Capital Asset Pricing Model Using JSE Listed Companies written by Paul Kempff and published by . This book was released on 2013 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Study of the Capital Asset Pricing Model written by Stephen R. Lowry and published by . This book was released on 1968 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Misspecification of Capital Asset Pricing written by Marc Richard Reinganum and published by . This book was released on 1979 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing Models and Anomalies written by Arber Demaj and published by . This book was released on 2018 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we find noticeable relationships between traditional factors, with evidence in favor of the B/M effect and little for the size effect. Using the Fama-Macbeth procedure, we find that the market risk premium is significantly positive, whereas the size factor is significantly negative. There is no evidence of a low volatility effect, the momentum effect is persistent and low dividend yield firms outperform firms with high dividend yields. Using the Chi-squared and GRS test, we find that the inclusion of various risk factors does lead to a fairly high proportion of variability of stock returns being explained. It also shows that the models suffer from significant pricing errors. Furthermore, the rank restriction test shows that there are several irrelevant risk factors, and most of the models used in this paper don't pass the HJ-distance test nor the LM test, except for the CAPM specification. Lastly, low volatility is priced, whereas momentum and dividend yield are not.
Download or read book Misspecifications of Capital Asset Pricing written by Niwes Hemvachiravarakorn and published by . This book was released on 1986 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Equity Market Anomalies written by Srividya Subramaniam and published by LAP Lambert Academic Publishing. This book was released on 2014-09-05 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extensive literature exists confirming the presence of equity market anomalies for mature markets. Similar evidence for emerging markets including India is limited and more recent in origin. This book is an empirical study of prominent equity market anomalies viz. size, value, momentum, liquidity, accruals, profitability, stock issues and repurchases for select emerging markets - Brazil, China, India, Indonesia, South Korea and South Africa. The CAPM, Fama French model and augmented Fama French models are used in the study. The four factor liquidity augmented Fama French model is a better descriptor of asset pricing compared to CAPM and Fama French model only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for other sample emerging markets. The findings will be highly useful to global portfolio managers, investment analysts as well as institutional investors in decisions regarding international portfolio construction and diversification. Academicians and researchers in the area of asset pricing would also benefit from these results. The study contributes to asset pricing and behavioral finance literature especially for emerging markets.
Download or read book Equity Returns Bankruptcy Risk and Asset Pricing Models written by Syed I. Hussain and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical tests of the capital asset pricing model (CAPM) have shown that movements in a single factor market index poorly explain returns on individual securities. Assuming that a possible reason is the existence of pricing anomalies, more recent research has extended the model by adding new factors to explain systematic variations in stock returns and achieved significant results. In particular, securities with high book to market ratios (book equity divided by market equity, BE/ME) appear to command a value premium. Notwithstanding considerable empirical evidence, there is no definitive theoretical explanation for what remains an anomaly. One suggestion is that the BE/ME premium compensates for the systematic risk associated with financial distress. To explore this proposition, this paper examines the behaviour of CAPM and three-factor models when tested using portfolios that face bankruptcy risk. To define bankruptcy risk, measures in the UK that parallel the work of Altman (1968) z-score model such as Lis (1972) are used and the period under consideration is 1981-1999. An additional factor is then created, defined as a value weighted portfolio of returns of firms likely to go bankrupt minus firms predicted not to go bankrupt. The significance of this variable is also assessed. The results show that the three-factor model provides a better explanation of equity returns than other models. The additional independent variable is significant for the CAPM model but becomes insignificant under the three-factor model. Monthly returns in excess of the one month t-bill tend to be lower for firms facing bankruptcy risk than other portfolios. The portfolio of firms facing high risk of bankruptcy has lower market value and book-to-market value than other portfolios although it still loads relatively high on the BE/ME variable implying that the BE/ME variable is a proxy for relative distress.
Download or read book Empirical Investigation of a Capital Asset Pricing Model Using Fundamental Financial Variables written by Vairamuththu Thuraiappa Alaganar and published by . This book was released on 1990 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Study of the Sentiment Capital Asset Pricing Model written by Soroush Ghazi and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An empirical and theoretical analysis of capital asset pricing model written by M. Sharifzadeh and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Capital Asset Pricing Models Under Uncertain Inflation written by J. C. Young and published by . This book was released on 1978 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
