Empirical test of capital asset pricing model on securities return of listed firms in Nigeria

Ogiugo, Henry Usunobun; Adesuyi, Isaac Olufemi; Ogbeide, Sunday Oseiweh

doi:10.9770/ird.2020.2.4(8)

Cited by 6 publications

(5 citation statements)

References 5 publications

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“…The feasibility of the author's methodological approach to the circular ranking of companies, which was used, for example, to select a supplier in the petrochemical industry [11][12][13] is based on several theses.…”

Section: Literature Foundationsmentioning

confidence: 99%

Assessment and Integral Indexing of the Main Indicators of Oil and Gas Companies by Circular Convolution

et al. 2022

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In the oil and gas industry, which is the basis of the Russian energy market, a significant and urgent question arises: How to distribute companies according to their investment attractiveness? Accordingly, quantitative indicators are needed. Lacking extensive experience in the practical implementation of fundamental rating tools, work is needed to develop methodologies of weighting coefficients and lists, built on the experience of the “big three” rating agencies. The article proposes an algorithm for forming an integral rating of companies based on financial reporting indicators and the author’s rules of fuzzy logic based on the principle of “circular convolution”, from the best to the slave, deepening the analysis to the center, when all companies are exhausted and places in the rating are distributed. The problem of assessing and integrally indexing the indicators of large companies in leading sectors of the economy (e.g., oil and gas, banks, electricity) is becoming manifest, while it is obvious that there is competition between large companies of the country’s leading industries for state investment resources. The nature of the leading industries is such that it is necessary to assess the quality of the company’s functioning based on the formation of rating groups. Based on the rating, investments are distributed among the companies under consideration. The author has developed a portfolio model that is analogous to the Harry Max Markowitz model, which does not contradict this model but allows consideration of a broader range of risk assessments used in the model (for example, the rating of companies). The optimal portfolio is built, taking into account the resulting index and the initial grouping in the hierarchical data correction mode. The logically sequential method of circular convolution of four important indicators to an integral index and a mathematically substantiated method for optimizing the minimax portfolio presented in the work will allow the investor to develop optimal (from the point of view of the transparency of the apparatus used, mathematical feasibility and time spent on the implementation of the software package) tools for investing and enlarging his capital.

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Section: Literature Foundationsmentioning

confidence: 99%

Assessment and Integral Indexing of the Main Indicators of Oil and Gas Companies by Circular Convolution

et al. 2022

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“…. , S3), in the average (from one month to two years) period, the revision of the capital structure in favor of increasing equity capital, and reducing the borrowed capital to the maximum allowable limits (without reducing the total amount of borrowed and equity capital) has a stronger effect (S3, S2, S1) [26,27].…”

Section: Management Decision-making Systemmentioning

confidence: 99%

Improving the Development Technology of an Oil and Gas Company Using the Minimax Optimality Criterion

et al. 2021

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The article deals with the problem of adaptation of the Russian oil and gas company (Novatek, Russia) to the rapidly changing external environment, the avalanche of data from competitors, and the need to filter important information for business development and the prosperity of the industry as a whole. The approach is based on the system of integrated software monitoring of key business processes at the enterprise developed by the authors—from the formation of the idea of a new product to its implementation to paying customers. The scientific novelty lies in the use of an optimization model that allows for minimizing the maximum losses of the investor at all levels of decision-making, from the distribution of capital between companies, to the optimization of internal reserves to increase the competitiveness of the company. The toolkit is a minimax model that allows you to redistribute the shares of investor influence at the portfolio level, and then within the business processes of each company selected by investors, in order to achieve the optimal solution in accordance with the selected estimated indicators. Application of the well-known portfolio investment models of Markowitz, Tobin, Sharp, etc. is not possible due to the lack of necessary data on the basis of which the probabilistic parameters involved in the model are estimated. Even if we get them, it is necessary to take into account the level of correlation influence of the technological process in the composition of each subsystem, which is unacceptable for the data used, as it leads to a strong increase in errors. Using minimax and a systematic approach allows you to minimize such errors by choosing a balanced concentration of distributed assets for both the investor and the buyer. To this end, a three-way analysis of the company’s development was carried out and a technology for comprehensive improvement of the company’s activities was developed in the following areas: the company’s rating in the industry, financial condition, and interaction with counterparties using merchandising technologies. Tools for optimal image zoning at the Novatek site using the minimax approximation criterion have been developed. The technology provides a procedure for creating a comfortable mode of image perception based on high-tech visualization of merchandising, zoning of the screen area, and a mathematical approach that allows you to develop a calculation algorithm.

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“…Dana yang dikumpulkan lewat Initial Public Offering (IPO), digunakan oleh perusahaan untuk memperbaiki dan mengembangkan kinerja perusahaan tersebut. Saham biasa yang diperjual-belikan merupakan salah satu dari surat berharga yang menunjukkan kepemilikan dari suatu perusahaan, yang di dalamnya terdapat hak untuk memperoleh bagian dari proses kekayaan perusahaan yang menerbitkan saham tersebut, sedangkan pasar modal merupakan tempat bertemunya permintaan dan penawaran atas surat-surat berharga termasuk di dalamnya saham suatu perusahaan (Ogiugo et al, 2020).…”

Section: Pendahuluanunclassified

Kelayakan Investasi dengan Pendekatan Capital Asset Pricing Model Untuk Saham Kapitalisasi Terbesar di Bursa Efek Indonesia

et al. 2021

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The purpose of this study is to determine the feasibility of investing in stocks with the largest capitalization on the Indonesia Stock Exchange. This study was analyzed using the Capital Asset Pricing Model approach. The data used is secondary data, namely the stock price and trading volume of companies indexed LQ45 for the period August 2019 – July 2021, the Composite Stock Price Index, and the Bank Indonesia 7 Days Repo Rate. The analyzed companies are 5 (five) companies that have the largest trading volume during the study period. The results of the study that PT. Aneka Tambang (Persero), Tbk has the highest rate of return. While the other two companies have negative returns, namely Perusahaan Gas Negara, Tbk and Telkom Indonesia (Persero) Tbk. Stocks of PT. Aneka Tambang (Persero), Tbk has the largest level of risk, while the company whose stocks have the smallest level of risk is Telkom Indonesia (Persero) Tbk. The excess returns of almost all stocks are positive, meaning that they are worth investing in, namely the stocks of PT. Aneka Tambang (Persero), Tbk, Perusahaan Gas Negara, Tbk, Tower Bersama Infrastructure Tbk. and stocks of Bank Rakyat Indonesia (Persero), Tbk. Inappropriate investment in stocks of Telkom Indonesia (Persero) Tbk. Stocks that are eligible to be purchased by investors are stocks that have a positive excess return. Keywords: Capital Asset Pricing Model, Investment, LQ45, Stocks. Abstrak Tujuan penelitian ini untuk mengetahui kelayakan investasi pada saham kapitalisasi terbesar di Bursa Efek Indonesia. Penelitian ini dianalisis dengan pendekatan Capital Asset Pricing Model. Data yang digunakan adalah data sekunder, yaitu harga saham dan volume perdagangan perusahaan terindeks LQ45 periode Agustus 2019 – Juli 2021, Indeks Harga Saham Gabungan, dan Bank Indonesia 7Days Repo Rate. Perusahaan yang dianalisis adalah 5 (lima) perusahaan yang memiliki volume perdagangan tersebesar selama periode penelitian. Hasil penelitian bahwa PT. Aneka Tambang (Persero), Tbk mempunyai tingkat pengembalian paling tinggi. Sedangkan dua perusahaan lainnya mempunyai tingkat pengembalian negatif, yaitu Perusahaan Gas Negara, Tbk dan Telkom Indonesia (Persero) Tbk. Saham PT. Aneka Tambang (Persero), Tbk mempunyai tingkat risiko terbesar, sedang perusahaan yang sahamnya mempunyai tingkat risiko terkecil adalah Telkom Indonesia (Persero) Tbk. Excess return hampir semua saham bernilai positif, artinya layak untuk diinvestasikan, yaitu saham PT. Aneka Tambang (Persero), Tbk, Perusahaan Gas Negara, Tbk, Tower Bersama Infrastructure Tbk. dan saham perusahaan Bank Rakyat Indonesia (Persero), Tbk. Investasi yang tidak layak ditanamkan pada saham Telkom Indonesia (Persero) Tbk. Saham yang layak untuk dibeli oleh investor adalah saham karena memiliki excess return positif. Kata kunci: Capital Asset Pricing Model, Investasi, LQ45, Saham

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Empirical test of capital asset pricing model on securities return of listed firms in Nigeria

Cited by 6 publications

References 5 publications

Assessment and Integral Indexing of the Main Indicators of Oil and Gas Companies by Circular Convolution

Assessment and Integral Indexing of the Main Indicators of Oil and Gas Companies by Circular Convolution

Improving the Development Technology of an Oil and Gas Company Using the Minimax Optimality Criterion

Kelayakan Investasi dengan Pendekatan Capital Asset Pricing Model Untuk Saham Kapitalisasi Terbesar di Bursa Efek Indonesia

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