BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Hasan Mohammad Morshadul (Nanjing Audit University, China), Khan Shajib (Nanjing Audit University, China)
Tytuł
Stock Volatility Tests with the Capm and Fama-French Three-Factor Model: Particular Reference World's Top 10 Largest Companies
Źródło
Torun Business Review, 2020, nr 19(1), s. 1-20, tab., wykr., bibliogr. 27 poz.
Słowa kluczowe
Model wyceny aktywów kapitałowych, Model Famy i Frencha, Przedsiębiorstwo globalne
Capital Asset Pricing Model (CAPM), Fama-French model, Global company
Uwagi
JEL: G110, G120, G150
summ.
Firma/Organizacja
Apple, Microsoft
,
Abstrakt
The primary purpose of this study is to show the return portfolio and stock volatility of the world's top 10 most prominent companies. The risks and return portfolio has been shown in this study by using the CAPM model using the Fama-French three-factor model implied different equity observations from stock prices. Besides, this study evaluates the relationship between systematic risk and the expected return of the selected companies' stocks. A comprehensive analysis has accomplished with the secondary data sources from world's largest stock market. The expected return structure have also explored by comparing the market competition. Moreover, using these combined models, the comparison of different forces of the stock market among the selected companies have addressed in this study. (original abstract)
Dostępne w
Biblioteka SGH im. Profesora Andrzeja Grodka
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Foye, J. (2018). A comprehensive test of the Fama-French five-factor model in emerging markets. Emerging Markets Review, https://doi.org/10.1016/j.ememar.2018.09.002 Banz,
  2. R.W., 1981. The relationship between return and market value of common stocks. Journal of financial economics, 9(1),pp.3-18.
  3. Bao, T., Diks, C., & Li, H. (2017). A generalized CAPM model with a symmetric power distributed errors with an application to portfolio construction. Economic Modelling, (November 2016),1-11. https://doi.org/10.1016/j.econmod.2017.03.035
  4. Mahmud, A., Ding, D., Kiani, A., & Hasan, M. M. (2020). Corporate Social Responsibility Programs and Community Perceptions of Societal Progress in Bangladesh: A Multimethod Approach.SAGE Open, 10(2).https://doi.org/10.1177/2158244020924046
  5. Buchner, A. (2015). Risk-adjusting the returns of private equityusing the CAPM and multi-factor extensions. FinanceResearch Letters, 000, 1-8. https://doi.org/10.1016/j.frl.2015.10.023
  6. Hasan, M. M., Yajuan, L., & Mahmud, A. (2020). Regional Development of China's Inclusive Finance Through Financial Technology. SAGE Open, 10(1), 215824401990125. https://doi.org/10.1177/2158244019901252
  7. Campbell, J.Y., Lo, A.W., MacKinlay, A.C., 1997. Econometrics of Financial Markets. Princeton University Press, Princeton, NJ.
  8. Douglas, G.W., 1969. Risk in the equity markets: an empirical appraisal of market efficiency. Yale Economic Essays 9, 3-45.
  9. Fama, E. F. (1998). Market efficiency, long-term returns, and behavioral finance1. Journal of financial economics,49(3),283-306.
  10. Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The journal of finance,51(1), 55-84.
  11. Fama, E.F. and French, K.R., 1993. Common risk factors in the returns on stocks and bonds. Journal of financial economics,33(1), pp.3-56.
  12. Fama, E.F. and French, K.R., 1998. Value versus growth: The international evidence. The journal of finance, 53(6), pp.1975-1999.
  13. Hasan, M. M., Popp, J., & Oláh, J. (2020). Current landscape and influence of big data on finance. Journal of Big Data, 7(1), 21. https://doi.org/10.1186/s40537-020-00291-z
  14. Gaunt, C. (2004). Size and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket. Accounting & Finance,44(1), 27-44.
  15. Grauer, R.R., Janmaat, J.A., 2004. The unintended consequences of grouping in tests of asset pricing models. Journal of Banking and Finance 28, 2889- 2914.
  16. Keim, D.B., 1983. Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of financial economics, 12(1), pp.13-32.
  17. Kutan, A. M., & Murado, Y. G. (2016). Financial and real sectorreturns, IMF-related news , and the Asian crisis. FinanceResearch Letters, 16, 28-37. https://doi.org/10.1016/j.frl.2015.10.016
  18. Lintner, J., 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47, 13-47.
  19. Hasan, M. M., Nekmahmud, M., Yajuan, L., & Patwary, M. A.(2019). Green business value chain: A systematic review. Sustainable Production and Consumption, 20, 326-339. https://doi.org/10.1016/J.SPC.2019.08.003
  20. Maio, P. (2013). Return decomposition and the Intertemporal CAPM. Journal of Banking & Finance, 37(12), 4958-4972. doi:10.1016/j.jbankfin.2013.08.021
  21. Miller, M., Scholes, M., 1972. Rates of return in relation to risk: are-examination of some recent findings. In: Jensen, M.C. (Ed.),Studies in the Theory of Capital Markets. Praeger Publishers,New York.
  22. Murtazashvili, I., & Vozlyublennaia, N. (2012). The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors. Journal of Banking & Finance, 36(4), 1057-1066. doi:10.1016/j.jbankfin.2011.10.018
  23. Rosenberg, B., Reid, K. and Lanstein, R., 1985. Persuasive evidence of market inefficiency. The Journal of Portfolio Management, 11(3), pp.9-16.
  24. Sharpe, W.F., 1964. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19,425-442.
  25. Stattman, D., 1980. Book values and stock returns. The Chicago MBA: A journal of selected papers, 4(1), pp.25-45.
  26. Zhang, Y., Jiang, J., Xiang, Y., Zhu, Y., Wan, L., & Xie, X. (2018).Cloud-assisted privacy-conscious large-scale Markowitz portfolio. Information Sciences. doi:10.1016/j.ins.2018.12.055
  27. Hasan, M. M., Yajuan, L., & Khan, S. (2020). Promoting China'sInclusive Finance Through Digital Financial Services. GlobalBusiness Review, 097215091989534.https://doi.org/10.1177/0972150919895348
Cytowane przez
Pokaż
ISSN
1643-8175
Język
eng
URI / DOI
https://doi.org/10.19197/tbr.v19i1.315
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu