Relationship between Risk and Expected Returns: Evidence from the Dhaka Stock Exchange

Hasan, Md. Zobaer; Kamil, Anton Abdulbasah; Mustafa, Adli; Baten, Md. Azizul

doi:10.1016/s2212-5671(12)00058-5

Cited by 13 publications

(12 citation statements)

References 32 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…The results of the study did not support this hypothesis. Hasan et al (2012) was also found the same results in the context of of individual companies in DSE market.…”

Section: Comparison Between Average Portfolio Returns and Portfolio Bsupporting

confidence: 75%

Analyzing and Estimating Portfolio Performance of Bangladesh Stock Market

Hasan

Kamil

Mustafa

et al. 2013

American Journal of Applied Sciences

View full text Add to dashboard Cite

Capital Asset Pricing Model (CAPM) is one of the most important developments in the finance literature. Simply, CAPM is a model that describes the relationship between risk and expected return. The theoretical validity of CAPM is well tested and accepted but the practical validity of CAPM is in questioned. This study is designed to analyze and estimate the portfolio performance of Bangladesh stock market in a CAPM framework. For this study, monthly stock returns from 80 companies for the period of January 2005 to December 2009 are chosen. In order to examine whether the CAPM is satisfied in the portfolio or not, the 80 stocks are arranged in descending order of beta and 10 portfolios are being made of eight stocks in each. The All Share Price Index (DSI) is used as a proxy for the market portfolio and Bangladesh government 3-Month T-bill rate is used as the proxy for the risk-free asset. The results of this analysis show that the intercept terms are not significantly different from zero, linearity in the securities market line and insignificant unique risk for the 10 portfolios during the period. But, the results in term of slope contradict the CAPM hypothesis and indicate evidence against the CAPM in the portfolios. This analysis will obviously be used as a basis of reference for future investigates and the researchers and they will get proper instruction from this study.

show abstract

“…The results of the study did not support this hypothesis. Hasan et al (2012) was also found the same results in the context of of individual companies in DSE market.…”

Section: Comparison Between Average Portfolio Returns and Portfolio Bsupporting

confidence: 75%

Analyzing and Estimating Portfolio Performance of Bangladesh Stock Market

Hasan

Kamil

Mustafa

et al. 2013

American Journal of Applied Sciences

View full text Add to dashboard Cite

show abstract

“…Hasil uji dalam Model 1 menunjukkan bahwa hasil dari penelitian ini tidak mendukung hasil penelitian dari Maheu & McCurdy (2007), Hunjra et al (2011), Premkanth (2012), Bora & Adhikary (2015), dan Aliu et al (2017). Akan tetapi, hasil penelitian ini konsisten dengan hasil penelitian dari Hasan et al (2012), dan Ferson & Harvey (1994. Sedangkan untuk hasil uji pada Model 2, penelitian ini cukup konsisten dengan hasil-hasil penelitian dari Changsheng & Yongfeng (2012), Rahman et al (2013), Uygur & Tas (2014), Huang et al (2014), dan Junwen & Xinxin (2017) walaupun tidak konsisten dengan hasil penelitian dari Yoshinaga & de Castro Junior (2012), dan Oprea & Brad (2014).…”

Section: Pembahasanunclassified

“…Hasil penelitian dari Aliu et al (2017), dan Hasan et al (2012) menunjukkan hubungan antara pengembalian saham dan risiko, khususnya yang terkait dengan risiko pasar. Beberapa hasil penelitian lainnya seperti Changsheng & Yongfeng (2012), dan Uygur & Tas (2014) menunjukkan bahwa terdapat peran dari sentimen investor atas pergerakan harga saham dalam pasar modal yang menyebabkan terjadinya perubahan atas pengembalian saham.…”

unclassified

“…Hasil serupa ditemukan oleh Aliu et al (2017) pada perusahaan-perusahaan penyedia (supplier) terbuka di Czech, dimana risiko akan meningkatkan pengembalian saham. Sebaliknya, Hasan et al (2012) menemukan bahwa tidak terdapat hubungan antara risiko dan pengembalian saham khususnya pada perusahaanperusahaan terbuka di Bursa Efek Dhaka, Bangladesh. Hasil serupa juga ditemukan oleh Ferson & Harvey (1994), dimana risiko pasar (beta pasar) pada beberapa negara di dunia tidak cukup signifikan dalam menjelaskan pengembalian saham.…”

unclassified

See 1 more Smart Citation

Pengembalian Saham, Risiko Pasar, Dan Sentimen

Pontoh

2019

View full text Add to dashboard Cite

The relationship between stock returns, risk, and investor sentiments still a debate in the fieldof finance and accounting. Most of researchers find different results for relationship betweenstock returns, risk, and investor sentiments. This study conducts logistic regression to analyzethe relationship of market risk and investor sentiments on stock returns of 146 Indonesianpublic firms as dividend payers along period of 2010 to 2016. This study finds that alongperiod of 2010 to 2016 most of stock returns are affected by investor sentiments. This studyalso finds that market risk does not affect the stock returns since this study reveals thatmarket risk between higher and lower stock returns have not differences.

show abstract

“…According to Yingyan Guo (29), unsystematic risk does not affect the stock return in Shanghai Stock Exchange during the period 2005 to 2009. (30) also stated that unsystematic risk showed insignificant for Dhaka stock exchange. The residual risk had not influence on the stocks' expected return also being proved by (31).…”

Section: Unsystematic Risk/specific Riskmentioning

confidence: 99%

An Analysis of the Relationship between Risk and Expected Return in Malaysia Stock Market: Test of the CAPM

Rui¹,

Rasiah²,

Yen³

et al. 2018

IJET

View full text Add to dashboard Cite

Investment theory describes the concept of relationship between risk and return. Capital Model Asset Pricing Model (CAPM) was based on the risk and return relationship. CAPM described that asset’s expected return that is above the risk free rate is directly related to the non-diversifiable risk that is measure by beta. Focus of this study is to identify the impacts of risk toward the stock return in Malaysia stock market during the year 2007 to 2015 by testing on the applicability of Capital Asset Pricing Model. The data is from monthly stock returns from 24 companies listed on the stock exchange for investigation. The analysis of monthly stock market closing indexes from using regression model was carried out on the standard CAPM model. When testing the CAPM model for the whole period, it has not showed strong evidence that support the validity of this model and in order to get better estimates, this study divided the whole sample into 3 sub periods of five years each. The study found high beta value does not related to higher level in stock return. The positive relationship between systematic risk and return does not have a strong evidence to support it. The research also identify that the securities market line has direct relationship between risk and return. The unsystematic risk does not have an effect on the return. It means that stock prices cannot be effectively predicted by CAPM and Malaysia Stock and the validity of CAPM does not exist in Malaysia Stock Exchange Market for the period 2007-2015 due to some limitations such as time frame, sample size and others. This paper suggest a different assets pricing model and takes into consideration of some related variables in predicting future stocks returns. This research provides important implication to investors, analysts, stock brokers, speculators, fund managers, practitioners, relevant authorities, and government.

show abstract

Relationship between Risk and Expected Returns: Evidence from the Dhaka Stock Exchange

Cited by 13 publications

References 32 publications

Analyzing and Estimating Portfolio Performance of Bangladesh Stock Market

Analyzing and Estimating Portfolio Performance of Bangladesh Stock Market

Pengembalian Saham, Risiko Pasar, Dan Sentimen

An Analysis of the Relationship between Risk and Expected Return in Malaysia Stock Market: Test of the CAPM

Contact Info

Product

Resources

About