The Low-Risk Anomaly: Evidence from The Thai Stock Market

Saengchote, Kanis

doi:10.21315/aamjaf2017.13.1.6

Cited by 2 publications

(4 citation statements)

References 28 publications

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“…Zaremba (2016) also studied the parallels between the country-level and the stock-level low-risk anomalies and found that country-level returns were positively related to standard deviation, value at risk, and idiosyncratic volatility. Saengchote (2017) confirmed that the abnormal returns associated with investment in low-beta stocks were significant and robust in Thai stock market. Fan and Du (2017) empirically examined the mean spillover and the volatility spillover between the CSI 500 stock index futures market and the underlying spot market.…”

Section: Introductionsupporting

confidence: 56%

The Short-Term and Long-Term Trade-Off Between Risk and Return: Chaos vs Rationality

Chang

Shi

et al. 2019

Journal of Business Economics and Management

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This paper used the composite construction method proposed by Haugen (1999) and its application by Zhao and Wang (2010) for the Chinese stock market. Utilizing the Shanghai A-share market stocks data, this paper first selected the shares listed on the Shanghai Stock Exchange during January 1, 1997 to December 31, 2017. A portfolio was then built according to the mean variance model of portfolio structure, and simulation results were analysed using the Wilcoxon Signed Rank Test. The relationship between risk and return in the long and short term was explored. Results indicated no significant relationship between the risk and return of the stock portfolio in the short run, which reflects the complexity of the Chinese stock market. However, in the long run, the risk and return of the stock portfolios are positively correlated, which means that high returns are accompanied by high risks, indicating that the stock market will eventually return to rationality. In other words, the A-share stock market will eventually return to be value-driven and the short-term speculators would be outweighed by long-term value investors.

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Section: Introductionsupporting

confidence: 56%

The Short-Term and Long-Term Trade-Off Between Risk and Return: Chaos vs Rationality

Chang

Shi

et al. 2019

Journal of Business Economics and Management

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“…Studi mengenai asset pricing perlahan mulai bermunculan di kawasan ASEAN seperti penelitian yang dicetuskan oleh Namira dan Nugroho (2016), Gunathilaka et al(2017) dan Saengchote (2017), mereka memulai dengan penelusuran efek pasar (market effect), efek ukuran (size effect), efek nilai (value effect) dan efek momentum (momentum effect) di negara domisili masing-masing.…”

Section: Pendahuluanunclassified

“…Penelitian-penelitian terdahulu yang sesuai dan mendukung ialah Apergis, Artikis dan Sorros (2011); Fama dan French (2012); Cakici, Fabozzi dan Tan (2013); Hanauer dan Linhart (2015); Balakrishnan (2016); Gunathilaka et al(2017); Saengchote (2017) Berdasarkan hasil pengujian hipotesis dengan CAPM pada Tabel 5.4 didapati persamaan regresi Thailand, Malaysia dan Indonesia mempunyai nilai 0.41, 1.58 dan 2.59 untuk konstanta (intercept) yang artinya jika market excess return (RM-RF), size (SMB), value (HML) dan momentum (WML) nilainya adalah sangat rendah, maka excess return portofolio yang diperoleh sebesar -0.41%, 1.58 % dan 2.59%.…”

Section: 35interpretasi Pengaruh Momentum (Wml)unclassified

“…Penelitian-penelitian terdahulu yang sesuai dan mendukung ialah Apergis, Artikis dan Sorros (2011); Fama dan French (2012); Cakici, Fabozzi dan Tan (2013); Cakici & Tan (2014); Hanauer dan Linhart (2015); Balakrishnan (2016); Cakici, Tang and Yan (2016); Namira dan Nugroho (2016), Gunathilaka et al(2017); Saengchote (2017) dan Vuong dan Vu (2017), satu suara menunjukkan hasil bahwa return market memberikan pengaruh positif terhadap return, yang mana sejalan dengan pemaparan logis diatas.…”

Section: Interpretasi Pengaruh Market Excess Return (Rm-rf)unclassified

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Pengujian Tiga Asset Pricing Model Terhadap Excess Return Portofolio Pada Negara Berkembang di ASEAN

Nurkholik

2019

jdmb

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Studi mengenai Asset Pricing Model pada pasar negara maju telah dipelajari secara ekstensif dalam 35 tahun terakhir, namun hanya sedikit yang mendalaminya di pasar negara berkembang. Tujuan penelitian ini adalah mengkonfirmasi eksistensi efek pasar (market effect), efek ukuran (size effect), efek nilai (value effect) dan efek momentum (momentum effect) dalam excess return portofolio dan menguji seberapa baik tiga Asset Pricing Model memprediksi excess return portofolio untuk negara berkembang di ASEAN. Metode Penelitian menggunakan metode ekspos fakto dengan pendekatan korelasional. Teknik analisis data yang digunakan dalam penelitian ini adalah analisis regresi berganda dengan tiga Asset Pricing Model, yakni Capital Asset Pricing Model (CAPM), Three-Factor Model, Four-Factor Model. Konstruksi portofolio dibentuk berdasarkan ukuran dan nilai (size-B/M) dan berdasarkan ukuran dan momentum (size-momentum). Hasil uji hipotesis penelitian menunjukkan: 1) Market effect terjadi di Thailand, Malaysia dan Indonesia, baik pada portofolio size-B/M maupun portofolio size-momentum; 2) Size effect hanya terjadi di Malaysia, baik pada portofolio size-B/M maupun portofolio size-momentum; 3) Value effect hanya terjadi di Malaysia dan hanya pada portofolio size-B/M; 4) Momentum effect terjadi di Thailand dan Malaysia, baik pada portofolio size-B/M maupun portofolio size-momentum; 5) Four-Factor Model adalah model estimasi yang terbaik dan paling akurat dalam menduga excess return portofolio dibanding Three Factors Model dan CAPM baik di Thailand, Malaysia maupun Indonesia pada portofolio size-B/M maupun portofolio size-momentum.

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The Low-Risk Anomaly: Evidence from The Thai Stock Market

Abstract: ABSTRACT

Cited by 2 publications

References 28 publications

The Short-Term and Long-Term Trade-Off Between Risk and Return: Chaos vs Rationality

The Short-Term and Long-Term Trade-Off Between Risk and Return: Chaos vs Rationality

Pengujian Tiga Asset Pricing Model Terhadap Excess Return Portofolio Pada Negara Berkembang di ASEAN

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