Systematic Risk of ESG Companies Listed on the Polish Capital Market in 2019-2022

The present article is focused on the Capital Asset Pricing Model (CAPM) and its implementation into American Stock Market. It attempts to empirically test the validity of the CAPM to estimate individual stock returns based on historical stock data of selected companies. Security Market Line (SML) was used on the data collected from a wide range of investment horizons (periods of 1, 3, 5, and 10 years). The results show that the coefficient beta is incapable of explaining returns of single assets and the relation between systematic risk and expected return is weak. Empirical analysis is make on the time period 2001 - 2011. Selected stocks has to by trade on AMEX, NASDAQ or NYSE minimal since year 2000. Concrete 10 stock were selected with using branch analysis and were divide in two groups (a) cyclic stocks and (b) other (neutral-anticyclic) stocks. By every stock was watch the closing price which was adjusted of dividends and contain splits. The aim of this article is by using the model of Security Market Line (SML) verify the validity of CAPM model by assets pricing. According to Alfa coefficient is determine how much differentiate is the yield set by CAPM model and the market yield in selected investment horizons. Findings Selected length of investment horizon has important effect on the results. Worst results were found by the shortest length (1 year). With the growing of the investment horizon are the results better, but the Alfa coefficients is still to higher and the model inaccurate. Selected stocks with lower beta coefficient has higher yield that yield set by the CAPM model. For explanation of the yields by selected stocks we can´t recommend use the CAPM model nor on the biggest stock market, on US stock market. The relation between beta coefficient and stock yield is very weak. But other site CAPM model in the shape of SML curve can be recommended by using as discount factor.

Validita modelu CAPM na akciovém trhu USA [CAPM validity on the US stock market]

ABSTRACT 
The agriculture stock market appears to have a bright future. Since the COVID-19 outbreak started, share issuers with investments reliant on agricultural commodities have shown significantly improved performance, which may be evidence of this. The goals of this study were to estimate expected returns, assess risk and return on investment, and classify efficient and inefficient stocks in agricultural sector companies listed on the Indonesia Stock Exchange (IDX). Companies in the agricultural sector that underwent evaluation had comprehensive data that needed to be reviewed between January 2019 and December 2021, and they were listed on the IDX and main listing board. The Capital Asset Pricing Model (CAPM) is a method for evaluating and discouraging individuals from making risky stock market investments. There were 15 companies selected. According to the evaluation's conclusions, 10 companies had stocks that could be purchased because they were inexpensive and efficient, while 5 companies had stocks that could be sold because they were inexpensive and inefficient (overvalued). 
  
 

DECISIONS ON SHARE INVESTMENT IN AGRICULTURE SECTOR COMPANIES (CAPM Method Approach)

Los fondos de inversión son clasificados frecuentemente de acuerdo con su objetivo de inversión; sin embargo, esta metodología no garantiza que los productos conformados en un mismo grupo cuenten con un nivel de rendimiento, riesgo y desempeño similares. Por esta razón, en el presente estudio se propone un método de clasificación empleando la técnica del análisis de conglomerado a 92 fondos de inversión del mercado costarricense. Como resultado, se logró separar los 92 fondos de inversión en 8 grupos diferentes, mediante el método de agrupamiento llamado partición alrededor de medoids (PAM). Esta propuesta puede facilitarles a inversionistas y otros actores una mejor planificación estratégica y toma de decisión desde la perspectiva financiera.

/pdf/como-elegir-inversiones-que-se-ajustan-a-sus-necesidades-una-1vct84n1.pdf

¿Cómo elegir inversiones que se ajustan a sus necesidades? Una propuesta de categorización de los fondos de inversión para mercados emergentes latinoamericanos, caso Costa Rica

Purpose: The objective of this study is to empirically confirm the existence of a premium to the price of bonds with the ‘green’ status in accordance with climate standards. It differs from previous ones in that it is based on the analysis of green bond exchange-traded funds. Need for the study: Currently, there is an accelerated development of the green bond market and an increase in their importance in solving the problem of financing environmental projects. At the same time, in the academic literature, the existence of a ‘green’ premium is not such an unambiguous issue, and the scope of relevant research should be expanded. Methodology: The chapter analyses the efficiency of investing in green Exchange Traded Funds (ETFs) compared to conventional ETFs using two approaches. The first approach uses various indicators of green bond funds’ returns based on the Capital Asset Pricing Model (CAPM) model: Sharpe ratio, risk-adjusted Modigliani–Modigliani ratio, coefficient beta, coefficient Jensen's alpha and value at risk. The second approach is compares the ratio of the current price to the fund's net asset value (NAV). Findings: The study found evidence of a special premium in green bond funds. Practical implications: The continued growth of the green bond market confirms the considerable potential of this financial instrument. Understanding the fundamental factors driving the growth of green bond market is critical to the global sustainability investment agenda as well as the feasibility study of issuing such securities, undergoing additional certification stages, and the costs required to obtain the appropriate label. 

Financial Market Contribution to Sustainable Development: Two Approaches to Green Bonds ETF's Analysis

This paper evaluates the company performance using the CAPM Based Jensen's Alpha. The CAPM of Sharpe (1964), Lintner (1965) and Mossin is a widely used model in modern Finance to estimate cost of equity and company performance. We carried out our study for ten plantation companies listed on Colombo Stock Exchange (CSE). We used cost of equity that is calculated using CAPM to determine the Economic Value Added (EVA).The EVA measures whether the companies have created shareholders' value during the estimating period. We selected the sample period of 2000 to 2005 years and we applied the monthly ending prices of common stocks of each company for the regression.  The monthly ending prices of All Share Price Index (ASPI) are used as the market proxy. To estimate the beta, we applied market model. It was found that almost all the companies have created value for their shareholders during the study period. To measure the market performance, we calculated Jensen's alpha for each company and according to Jensen's alpha we found that the market performance is not satisfactory in most plantation companies. These results are important for Corporate Managers undertaking risk calculations, for fund managers making investment decision and, amongst others, for investors who wish to assess value of their investments. DOI: 10.4038/suslj.v6i1.1690 Sabaragamuwa University Journal , vol 6, no. 1, pp 68-81

/pdf/measuring-the-risk-and-performance-in-plantation-sector-1agvstbbu4.pdf

Measuring the Risk and Performance in Plantation Sector Using CAPM Based Jensen’s Alpha

Handle everyday research tasks with reliable, citation-backed results

Your personal Research Agent to handle research tasks with citation-backed results

Popular Tasks used by Researchers

How can I help with your research?

Meet SciSpace

Get more enhanced response by uploading the PDFs you want me to reference.

No relevant PDFs in your library

SciSpace is the AI research assistant for academics. Run systematic literature reviews on 280M+ papers, and write papers with cited sources. Trusted by 1M+ students, PhDs & researchers.

SciSpace | AI for Research

Analyze PDFs

Code & Manuscripts

Funding & Grants

Literature & Patents

Medical & Clinical Data

Systematic Review

Visualize & Present

Web & Data

Build a Google Scholar-like website for your research.

Build a website

Create charts and images for your research

Create a Chart

Write a paper for submission to a journal

Draft a manuscript

Patent Search

Design eye-catching scientific posters in minutes.

Scientific Poster Generation

Systematic Literature Review

One task is running at the moment. Your messages will be shown right after.

Drag and drop or click here to browse

Loved by <highlight>1 million+</highlight> researchers

Extract a list of specific topics and their sources from unstructured text

Topics

Compare and analyze relevant papers that matches with your search

Papers

Get insights from PDFs and bookmarked papers from your library

My library

Recent searches

Try searching for:

Catch AI-generated content in scholarly and non-scholarly content

{ai} Detector

Ai Writer

Get PDF Summaries, highlighted text explanations 

Chat with PDF

Effortlessly create in-text citations and bibliographies in APA and 2,500 other formats

Citation generator

Get explanations, summaries, and answers on academic papers

Ease up your research workflow with {scispace}'s cohort of exciting AI tools

Elevate your academic writing skills and convey your ideas the way you want

Paraphraser

Explore our range of reading and writing tools

Your file is being prepared and should be ready in a few minutes. If it's a large file, it might take a bit longer. You can close this window, and we'll email you the file when it's done.

You have reached a maximum limit of <strong>{limit}</strong> columns in the table. Remove at least <strong>1</strong> column to add or create another one.

DG Dharmaratne

Author Tools

Chat about Author

Papers

Measuring the Risk and Performance in Plantation Sector Using CAPM Based Jensen’s Alpha