Pemilihan Model Asset Pricing

Pasaribu, Rowland Bismark Fernando (2010): Pemilihan Model Asset Pricing. Published in: Jurnal Akuntansi dan Manajemen , Vol. 21, No. 3 (December 2010): pp. 217-230.

Abstract

The Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years; it suggests that the market beta alone is sufficient to explain stock returns. However evidence shows that the cross-section of stock returns cannot be described solely by the one-factor CAPM. Therefore, the idea is to add other factors in order to complete the beta in explaining the price movements in the stock exchange. The Arbitrage Pricing Theory (APT) has been proposed as the first multifactor successor to the CAPM without being a real success. Later, researchers support that average stock returns are related to some fundamental factors such as size, book-to-market equity and momentum. Alternative studies come as a response to the poor performance of the standard CAPM. They argue that investors choose their portfolio by using not only the first two moments but also the skewness and kurtosis. The main contribution of this paper is comparison between the CAPM, the Fama and French asset pricing model (TPFM) and the Four Factor Pricing Model (FFPM) adding the third and fourth moments to calculate expected return of non-financial Indonesian listed firms. The selection of the best model is based on the highest coefficient of determination. The kurtosis-FFPM turned out to be the best model.

• Item Type: MPRA Paper
• English Title: Asset pricing model selection: Indonesian Stock Exchange
• Language: Indonesian
• Keywords: Expected return saham, CAPM, TFPM, FFPM, Skewness, Kurtosis
• Subjects: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

References

Asness, C.S. 1997. The interaction of value and momentum strategies. Financial Analysts Journal, March/April, 29-35. Bansal, R. dan Viswanathan, S. 1993 No arbitrage and arbitrage pricing. Journal of Finance 48, 1231-1262. Banz, R.W. 1981. The relationship between return and market value of common stocks. Jounal of Financial Economics, 9, 3-18. Barnes, M.L. dan Lopez, J.A. 2006. Alternative measures of the Federal Reserve Banks’ cost of equity capital. Journal of Banking and Finance, 30; 1687-1711. Banz, Rolf W. 1981. The Relationship Between Return and Market Value of Common Stock. Journal of Financial Economics. Vol. 9, pp. 3-18. Basu, S. 1977. Investment Performance of Common Stocks in Relation to Their Price-Earning Ratios: A Test of the Efficient Market Hypothesis. Journal of Finance, 12: 129-156. Basu, S. 1983. The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence. Journal of Financial Economics, 12, 129-156. Bartholy, J. dan Peare, P. 2003. Unbiased estimation of expected return using CAPM. International Review of Financial Analysis 12, 69-81. Bartholy, J. dan Peare, P. 2005. Estimation of expected return: CAPM vs Fama and French. International Review of Financial Analysis, 14, 407-427. Bennaceur, Samy dan Hasna Chaibi. 2007. The best asset pricing model for estimating cost of equity: Evidence from the Stock Exchange of Tunisia. SSRN Papers – id979123 Berkovitz, M.K. dan Qiu, J. 2001. Common risk factors in explaining Canadian equity returns. Working Paper, University of Toronto. Bhandari, L. 1988. Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence. Journal of Finance, 43: 507-528. Black, Fisher. 1972. Capital Market Equilibrium with Restricted Borrowing. Journal of Business 45: 444-455. Bruner, R.F., Eades, K.M., Harris, R.S. dan Higgins, R.C. 1998. Best practices in estimating the cost of capital: Survey and syntheses. Journal of Financial Practices and Education 27, 13-28. Bryant, P.S, dan Eleswarapu, V.R. 1997. Cross-sectional determinants of New Zealand share market returns. Accounting and Finance 37, 181-205. Carhart, M.M. 1997. On persistence on mutual fund performance. Journal of Finance 52, 57-82. Chan, K. C., Chen, N. dan Hsieh, D. 1985. An exploratory investigation of the firm size. Journal of Financial Economics, v.14, p.451-571, Set. Chan L., Hamao Y., dan Lakonishok J. 1991. Fundamentals and Stock Returns in Japan. Journal of Finance, Vol. XLVI, No 5. Darlington, R.B. 1970. Is kurtosis really “peakedness”? The American Statistician 24, 19-22. DeBondt, W.F.M. dan Thaler, R.H. 1985. Does the stock market overreact. Journal of Finance 40, 793-805. Dittmar, R. 2002. Non-linear pricing kernels, kurtosis preference and cross-section of equity returns. Journal of Finance 57, 369-403. Drew, M.E. dan Veeraraghvan, M. 2003. Beta, firm size, book-to-market equity and stock returns: Further evidence from emerging markets. Journal of the Asia Pacific Economy 8, 354-379. Fama, E.F. dan French, R.F. 1992. The cross-section of expected stock returns. Journal of Finance 47, 427-465. Fama, E.F. dan French, R.F. 1993. Common risk factors in the returns on stocks and bonds. Journal of financial Economics 33, 3-56. Fama, E.F. dan French, R.F. 1996. The CAPM is wanted, dead or alive. Journal of Finance 51, 1947-1958. Fama, E.F. dan French, R.F. 2004. The capital asset pricing model: Theory and evidence. Working Paper, University of Chicago. Fletcher, J. dan Kihanda, J. 2005. An examination of alternative CAPM-based models in UK stock returns. Journal of Banking and Finance 29, 2995-3014. Graham, J.R dan Harvey, C.R. 2001. The theory and practice of corporate finance: evidence from the field. Journal of Financial Economic 60, 187-24. Harvey, C.R. dan Siddique, A. 2000. Conditional skewness in asset pricing tests. Journal of Finance, 55, 1263-1295. Hansen, L.P dan Jagannathan, R. 1997. Assessing specification errors in stochastic discount factor models. Journal of Finance, 52, 591-607. Huberman, G. dan Shmuel Kandel. 1987. Mean-variance spanning. Journal of Finance, vol. 42, issue 4. Jagannathan, R. dan Wang, Z. 1996. The conditional CAPM and the cross-section of expected returns. Journal of Finance 51, 3-53. Jegadeesh, N. dan Titman, S. 1993. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance, 48, 65-91. Kato, K., dan J. Shallheim. 1985. Seasonal and Size anomalies in the Japanese stock market. Journal of Financial and Quantitative Analysis 20, 243-260. Knez, P., dan M. Ready. 1997. On the robustness of size and book-to-market in cross-sectional regressions. Journal of Finance, Vol. LII, No. 4. Kothari S. P., Shanken J., dan Sloan G. 1995. Another look at the cross-section of expected stock returns. Journal of Finance, Vol. L, No. 1. Kraus, A. dan Litzenberg, R. 1976. Skewness preference and the valuation of risk assets. Journal of Finance, 31 1085-1100. Lakonishok, Josef dan Alan C. Shapiro. 1986. Systemaitc Risk, Total Risk, and Size as Determinants of Stock Market Returns. Journal of Banking and Finance. 10:1, pp. 115-132. Lakonishok, J., Shleifer, A. dan Vishny, R. 1994. Contrarian investment, extrapolation and risk. The Journal of Finance, 49, 1541-1578. Lettau, M. dan Ludvigson, S. 2001. Resurrecting the C (CAPM): A cross-sectionnal test when risk premia are time-varying. Journal of Political Economy, 109, 1238-87. L’Her, J.F., Masmoudi, T. dan Suret, J.M. 2004. Evidence to support the four-factor pricing model from the canadian stock market. Journal of International Financial Markets, Institutions and Money 14, 313-328. Liew, J. dan Vassalou, M. 2000. Can book-to-market size and momentum be risk factors that predict economic growth? Journal of Financial Economics, 57, 221-245. Lintner, J. 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Revue of Economics and statistics, 47, 13-37. Merton, Robert C. 1973. An Intertemporal Capital Asset Pricing Model. Econometrica, 41:5, pp. 867-887 Mossin, J. 1966. Equilibrium in a capital asset market. Econometrica, 37, 768-783. Reinganum, Marc R. 1981. A New Empirical Perspective on the CAPM. Journal of Financial and Quantitative Analysis. 16:4, pp. 439-462. Ritter, Jay R. 2003. Investment banking and securities issuance, Handbook of the Economics of Finance, (edited by George M. Constantinides, Milton Harris, and Rene Stulz), Elsevier Science B.V. Rogers, Pablo dan José Roberto Securato. 2007. Comparative Study of CAPM, Fama and French And Reward Beta Approach In The Brazilian Market. SSRN Papers – Id1027134. Rosenberg, B., Reid, K. dan Lanstein, R. 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11, 9-17. Ross, S. 1977. Risk, return and arbitrage’, Risk and return in Finance I, Friend, I. and Bicksler, J. (Eds.), Ballinger, Cambridge. Sharpe, W.F. 1964. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance, 19, 425-442. Stattman, Dennis. 1980. Book Values and stock returns, The Chicago MBA: A Journal of Selected Papers 4, 25-45. Strong, N. dan Xu, X.G. 1997. Explaining the cross-section of UK expected stock returns. British Accounting Review, 29, 1-24.