Testing the CAPM-GARCH Models in the GCC-Wide Equity Sectors

Bendob, Ali; Chikhi, Mohamed; Bennaceur, Fatma

doi:10.18488/journal.8.2017.54.413.430

Cited by 3 publications

(2 citation statements)

References 5 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In influencing the economic value (EVA): the measurement of accounting information -profitability, stability, growth, and activity -multiple regression analyses were conducted to verify the effect of the adjustment variables, which are conservative in the enterprise, the first stage verified the effects on the value of the entity (EVA): the second phase further introduced the adjustment variables of the entity, and the third phase put in the independent variables. The multiple coherence problems were analyzed by performing a standardization transformation (Balakeffi et al, 2019); (Behera, 2015); (Bendob et al, 2017).…”

Section: Research Hypothesismentioning

confidence: 99%

Effects of Accounting Information Measurement on EVA According to the Company's Conservatives (Depending on How Accounting Is Handled)

Lee¹,

Hong²,

You³

2020

RWE

View full text Add to dashboard Cite

Background/Objectives: This study seeks to be used by external stakeholders as a research material from the perspective of an entity’s accounting management by identifying the impact of accounting information measurements on EVA in accordance with the entity’s conservative accounting information.Methods/Statistical analysis: The sample for verification consisted of 116 listed companies (excluding Kodak and Financial Services) of the Ts S2000 data (from 2015 to 2018) as sample (listed companies listed in December as corporations that closed their accounts and financial data disclosed by TS 2000 Data Guide). After the data was logged using SPS23, feasibility studies were conducted with exploratory factor analysis and reliability analysis and regression was performed using the adjustment variables.Findings: The measurement of accounting information was proven to affect the economic value (EVA) of an enterprise in accordance with the conservatism of the enterprise, and the growth rate was analyzed to be the firmness of the capital structure rather than the conservatism.Improvements/Applications: Research has shown that the measurement of accounting information, profitability and stability, growth and activity, is a non-representative of information among stakeholders, and that the qualitative improvement of accounting information and the financial stability of the entity are reflected immediately in the costs and losses of the entity. It is expected that the economic value of a company will be helpful for empirical research using external data as a solid financial position.

show abstract

Section: Research Hypothesismentioning

confidence: 99%

Effects of Accounting Information Measurement on EVA According to the Company's Conservatives (Depending on How Accounting Is Handled)

Lee¹,

Hong²,

You³

2020

RWE

View full text Add to dashboard Cite

show abstract

“…However, Morelli (2003) has more mixed results indicating that Betas and the Premia of these two kinds of CAPM are not fundamentally different. More recently, Bendod, Chikhi, and Bennaceur (2017), compare the CAPM‐GARCH and the CAPM‐EGARCH in Gulf Arabic countries. They indicate that the use of EGARCH processes are better than the standard CAPM.…”

mentioning

confidence: 99%

Adjusted beta based on an empirical comparison of OLS ‐CAPM and the CAPM with EGARCH errors

Terraza

Mestre

2020

Int. J Fin Econ

View full text Add to dashboard Cite

This paper empirically investigates the differences between the systematic risk estimated by OLS and it simultaneous estimation with a GARCH errors. The systematic risk of an asset is estimated by the beta coefficient of the market line. According to the OLS hypothesis, the estimators are robust and residuals are white noise process. However various papers show the existence of statistical anomalies (stylized facts) in residuals (heteroskedasticity, autocorrelation and non‐normality) rejecting the BLUE properties of estimators. In order to considerate these anomalies to modelize the hazard in residuals regression, we use ARCH processes class that has proved it efficiency in finance. We estimate simultaneously the parameters of the market line and those of the GARCH process for the 30 perennial equities listed in CAC40 for the daily period 2005 to 2015 and we compare them each other. We select the E‐GARCH model providing the best residuals characteristics and we note significant differences with the OLS Betas particularly for equities with betas greater than 1. On this base, we estimate a linear relationship between the OLS Betas and the E‐GARCH Betas considering this break to modelize the differences between these two kinds of Betas. By this way, Investors can quickly adjust the Beta with this tool without completely reestimating them with GARCH.

show abstract

A wavelet approach of investing behaviors and their effects on risk exposures

Mestre

2021

Financ Innov

View full text Add to dashboard Cite

Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with several statistical issues. Moreover, the CAPM considers only one source of risk and supposes that investors only engage in similar behaviors. In order to analyze short and long exposures to different sources of risk, we developed a Time–Frequency Multi-Betas Model with ARMA-EGARCH errors (Auto Regressive Moving Average Exponential AutoRegressive Conditional Heteroskedasticity). Our model considers gold, oil, and Fama–French factors as supplementary sources of risk and wavelets decompositions. We used 30 French stocks listed on the CAC40 (Cotations Assistées Continues 40) within a daily period from 2005 to 2015. The conjugation of the wavelet decompositions and the parameters estimates constitutes decision-making support for managers by multiplying the interpretive possibilities. In the short-run, (“Noise Trader” and “High-Frequency Trader”) only a few equities are insensitive to Oil and Gold fluctuations, and the estimated Market Betas parameters are scant different compared to the Model without wavelets. Oppositely, in the long-run, (fundamentalists investors), Oil and Gold affect all stocks but their impact varies according to the Beta (sensitivity to the market). We also observed significant differences between parameters estimated with and without wavelets.

show abstract

Testing the CAPM-GARCH Models in the GCC-Wide Equity Sectors

Abstract: Article History

Cited by 3 publications

References 5 publications

Effects of Accounting Information Measurement on EVA According to the Company's Conservatives (Depending on How Accounting Is Handled)

Effects of Accounting Information Measurement on EVA According to the Company's Conservatives (Depending on How Accounting Is Handled)

Adjusted beta based on an empirical comparison of OLS ‐CAPM and the CAPM with EGARCH errors

A wavelet approach of investing behaviors and their effects on risk exposures

Contact Info

Product

Resources

About