6,099 research outputs found

    Non-standardized form of CAPM and stock returns

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    Emerging markets like Pakistan confront with the problem to validate the CAPM in its original form. Since standard form of this model has unrealistic assumptions, different non-standardized forms have been introduced by different researchers. This paper also introduces a non-standardized form of CAPM to validate whether it is applicable in Pakistan. The data of 20 companies of different sectors, covering the period of 2007 to 2008 were collected. One year KIBOR is taken in replacement of T-bill rates. Beta 3 is calculated using an equation to show the negative relationship between interest rate and market returns. The results of regression analysis reveal mixed results. For instance, mean return of companies in cement and chemical sector is linearly related to its beta risk while other sectors have volatile results

    Non-standardized form of CAPM and stock returns

    Get PDF
    Emerging markets like Pakistan confront with the problem to validate the CAPM in its original form. Since standard form of this model has unrealistic assumptions, different non-standardized forms have been introduced by different researchers. This paper also introduces a non-standardized form of CAPM to validate whether it is applicable in Pakistan. The data of 20 companies of different sectors, covering the period of 2007 to 2008 were collected. One year KIBOR is taken in replacement of T-bill rates. Beta 3 is calculated using an equation to show the negative relationship between interest rate and market returns. The results of regression analysis reveal mixed results. For instance, mean return of companies in cement and chemical sector is linearly related to its beta risk while other sectors have volatile results.CAPM, Corporate Finance, Market Return

    Price Earning Ratio and Market to Book Ratio

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    This paper studies the effects of P/E ratio and M/B ratio on stock return of listed firms with Karachi Stock Exchange in the Textile sector of Pakistan. A total of 30 major firms out of 162 in the textile sector listed with the Karachi Stock Exchange for the period of 2001-2006 were selected on the basis of their size in terms of total assets. Firms which have larger size in terms of total assets among 162 firms were selected in this paper. The study reveals that the firms in an exclusive sector exhibit unique attributes that are sector specific and cannot be applied to or judged by combined analysis of the industry. The result shows that coefficients of independent variables are statistically insignificant. This means that stock return is not depending on any of the two independent variables. Besides insignificant coefficients, coefficients of determination are also very low in each case. This means that a very low percentage of change in stock return is explained by these two variables. The data was analyzed by running linear regression. Two independent variables i.e. P/E ratio and M/B ratio were selected to see their effects on stock return. Multiple regression models along with a measure of correlation were used to study the effect of the independent variables on the dependent variable. The results for the study revealed that stock return is independent of the two independent variables studied in this paper.P/E Ratio, M/B Ratio, Stock Return, Fundamental Analysis

    Praktik dan Disparitas Putusan Hakim Dalam Menetapkan Force Majeure di Indonesia

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    Force majeure becomes one of debtor's objections when there is a default in an agreement. In determining the circumstances included in the force majeure criteria, the judge considers the clause of the agreement and the effect that results from a situation on the fulfillment of the achievement. Every incident may not be said to be a force majeure because it sees how much influence factors that influence achievement of achievement. Force majeure is determined because of several things based on the cause, nature, subject, and scope. Juridical provisions related to force majeure in Indonesia are contained in the Civil Code, Laws and Jurisprudence. This paper will discuss the practice of determining force majeure in Indonesia, which refers to a judge's decision that sets a situation as a force majeure. The purpose of this paper is to find out the judge's analysis in rejecting or establishing a forceful situation. The research method used in this paper is normative juridical or also called doctrinal law research. The author refers and reviews the jurisprudence that discusses force majeure to find out the differences in analysis caused by differences in case backgrounds.   Abstrak Force majeure menjadi salah satu tangkisan debitur ketika terjadi wanprestasi dalam suatu perjanjian. Dalam menentukan keadaan yang masuk dalam kriteria force majeure hakim mempertimbangkan klausula perjanjian serta pengaruh yang dihasilkan akibat suatu keadaan terhadap pemenuhan prestasi. Setiap kejadian belum tentu dapat dikatakan sebagai force majeure karena melihat seberapa besar faktor pengaruh yang mempengaruhi pemenuhan prestasi. Force majeure ditetapkan karena beberapa hal berdasarkan penyebabnya, sifatnya, subjeknya, dan ruang lingkupnya. Ketentuan yuridis terkait force majeure di Indonesia terdapat dalam KUH Perdata, Undang-Undang, dan yurisprudensi. Tulisan ini akan membahas praktik penetapan force majeure di Indonesia yang mengacu pada putusan hakim yang menetapkan suatu keadaan sebagai force majeure. Tujuan penulisan ini adalah untuk mengetahui analisis hakim dalam menolak atau menetapkan suatu keadaan memaksa. Metode penelitian yang digunakan dalam penulisan ini adalah yuridis normatif atau disebut juga penelitian hukum doktrinal. Penulis mengacu dan mengulas pada yurisprudensi yang membahas mengenai force majeure untuk mengetahui perbedaan analisis yang disebabkan karena perbedaan latar belakang perkara.

    Weak Form Efficiency of Pakistan Stock Market using Non-Parametric Approaches

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    This paper studies the performance of Karachi Stock Exchange (KSE) of Pakistan via nonparametric approaches. The study includes the weekly open and closing prices of KSE- 100 indexes for the period of 1st January 1999 to 31st August 2009. Several non-parametric approaches including KolmogorovSmirnov test (Lilliefors test), Ryan-Joiner test (Shapiro-Wilk), Anderson-Darling test, Phillips Perron (PP) unit root test and Runs test are used to test the conviction of the KSE stock market. All non-parametric tests graphically and numerically inform us that both return series do not follow the assumption of normality and randomness, which means rejecting the hypothesis of weak form of efficiency. Generally, results from the observed analysis strongly recommend that the Karachi Stock Market of Pakistan is not efficient
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