Asset Beta Research Articles

Retailing Industry Investment Analysis Based on Indicators: Evidence from Costco, Walmart and Target

With the development of big data, internet of things artificial intelligent and other high-tech, the retail industry has witnessed the upgrading of industrial structure. Updating our methods to manifest and predict the performances of retail companies is becoming an urge. This research focuses on using indicators to analyze retailing industry, and exemplifying the method with the examples of Costco, Walmart and Target. The data includes return on equity, asset beta, equity beta, WACC, liquidity ratio, profitability ratio and solvency ratio. By analyzing the data, this study conducts further reason analysis to find out the inherent reasons why these companies display the specific data. Some differences of the three enterprises are found from the ratio perspectives and reveals the intrinsic differences of their management and sales model and policies. We also provide an investment guideline of the three companies based on our analysis and comparison of the three companies. These results may shed a new light on the analysis of the retail industry, and the analyzing process may be extended to other investment field.

The Theory of Asset Pricing

This assignment explores the theory of asset pricing and mainly focuses on the capital asset pricing model (CAPM). Also, the assignment addresses the CAPM as a model that explains how the projected return on an asset is equivalent to the risk-free rate of return plus a risk premium that is proportionate to the asset's beta. The assignment further evaluates the advantages of the model and explains comprehensively some of the drawbacks that make the model criticized by most researchers. Therefore, criticizing the model led to the rise of other efficient asset pricing models. Hence one of the popular alternative models of the CAPM is the Fama-French model, which accounts for value and size risks to the market risk factor. Lastly, the assignment has analyzed the traditional and non-traditional factors that affect the CAPM.

The Use of Beta Value, ROIC, WACC In Investment Risk Assessment for Constructive Industries in the US.

This paper recognizes the importance of risk analysis for investment decisions. Therefore, it examines and calculates a few key parameters and compares the risk level for Jacobs Engineering Group Inc (J), Fluor Corporation (FLR) and MasTec, Inc. (MTZ) among the top three companies in the "Heavy Construction Other Than Building Construction Contractors" industry in the United States (US). There are two main factors to consider when assessing the riskiness of a company: equity beta (or leveraged beta) and asset beta (or unleveraged beta). Furthermore, this paper discussed the possible risks that may affect the performance of the companies in this industry, as well as possible challenges that the companies may face in this field.

Usage of Beta in Risk Analysis of Coffee Retailers: Study of Dutch bros and Starbucks

As a beverage favoured by consumers around the world, coffee and coffee market is developing rapidly. There are now many coffee retail companies running famous coffee brands, whose business mode and feature are worth analyzing. This article selects Dutch bros and Starbucks as example, and uses equity beta and asset beta to find out the state of business and risk of the two companies. The data shows that Dutch bros is more unpredictable with higher risk. On the other hand, Starbucks has a steady cash flow and return despite of high equity beta and unusual negative asset beta. The analysis also points out that fiscal data alone may be misleading while looking into a company, and other factors including stage of development and company policies shall be taken into consideration as well.

Business Risk of the Artificial Intelligence Industry in China

As one of the rapidly growing markets, artificial intelligence (AI) has seen increased adoption in recent years, As China's AI market has great investment potential, this research analyzes the business risks of Chinese AI enterprises in three different fields – iFLYTEK, TOPBAND and Inspur Electronic Information. By calculating asset beta value and analyzing multivariate factors, this research is committed to providing investors with inspiration for investment in China's AI market. The consequence of the research shows that the riskiest corporation is iFLYTEK, followed by TOPBAND and Inspur Electronic Information. This result is caused by internal factors - operating business categories, R&D, and external factors - the competition in the market segment and the intensity of government support. Through multivariate factor analysis, this research suggests that investors should pay more attention to the R&D capabilities of Chinese AI enterprises, the degree of competition in their market segments, and the degree of government policy support.

Impact of the corporate response to climate risk on financial leverage and systematic risk

ABSTRACT This study examines how firms’ responses to climate risk affect the financial leverage through an impact on the asset beta. Considering the 2015 Paris Agreement about greenhouse gas reduction as a natural experiment on Japanese manufacturing firms, we observe that the asset beta increased and financial leverage decreased for high emission firms after the agreement was signed. Further, a significant decline was observed for the leverage of high emission firms experiencing a sharp rise in the asset beta.

Analysing the impact of COVID-19 trade disruptions on port authority pricing and container shipping in South Africa

Background: The coronavirus disease 2019 (COVID-19) pandemic directly affected the shipping industry globally, and South Africa experienced decreased cargo volumes and increased freight rates. In addition, National Ports Authority (NPA) charges are 69% and cargo dues 166% above the global benchmark mean. The NPA uses a rate of return (RR) model to calculate tariff increases that are contested by port stakeholders.Objectives: The study aimed to analyse the impact of COVID-19 trade disruptions and examine the associated higher liner freight rates, tariff applications for higher NPA tariffs and reduced investment in port infrastructure. It showed that adjusting the RR model variables can result in reduced tariffs and large cost savings for port users.Method: This study analysed the impact of the pandemic on South Africa’s cargo volumes and freight rates. It critiqued the regulatory asset base, the asset beta, and the tax rate to be applied and calculated the adjustments to these RR model variables using five scenarios for FY2022/2023.Results: The results show a sharp decrease in cargo volumes during COVID-19 lockdowns, and a parallel increase in freight rates. The five-scenario results show how the NPA tariffs could be much lower, calculating a tariff decrease of 5.7% in scenario 4 and a 20% decrease in scenario 5.Conclusion: Amid the global rise of shipping rates and the economic impact of the pandemic on South Africa’s trade, the results show that there is a potential to enhance South Africa’s trade competitiveness through a decrease in NPA-weighted average tariff by 20%.

Evaluation of Beta CAPM under Financial Leverage Scenarios in Viet Nam Real Estate Industry under Financial Leverage

This paper evaluates the impacts of external financing on market risk for the listed firms in the Vietnam real estate industry. In order to propose evidence for establishing policies in risk management and governance, authors use live data of stock price and rates form bank system and Vietnam stock exchange. Research findings show that when estimating asset and equity beta of total 45 listed companies in Viet Nam real estate industry with a proper traditional model, beta values, in general, for many institutions are acceptable. Then, under 3 different scenarios of changing leverage (in 2011 financial reports, 30% up and 20% down), we recognized that the risk level, measured by equity and asset beta mean, decreases (0,348) when leverage increases to 30% and it increases (0,385) if leverage decreases down to 20%. And by changing leverage in 3 scenarios, we recognized the dispersion of risk level, measured by equity beta var, increases if the leverage increases to 30%. And the asset beta var value is quite small, showing leverage efficiency.

What are effects of tax changes on market risk? - a case in listed Viet Nam investment and financial service companies

The financial crisis has been affected many global stock markets, as well as the Viet Nam stock exchange. This study analyzes the impacts of tax policy on market risk for the listed firms in the non-banking financial service and investment industry, so-called financial service industry, as it becomes necessary. First, by using quantitative and analytical methods to estimate asset and equity beta of total 10 listed companies in Viet Nam financial service industry with a proper traditional model, we found out that the beta values, in general, for many companies are acceptable. Second, under 3 different scenarios of changing tax rates (20%, 25% and 28%), we recognized that there is not large disperse in equity beta values, estimated at 1,048, 1,050 and 1,052.These values are just little higher than those of the listed VN construction firms but much higher than those of listed banking firms. Third, by changing tax rates in 3 scenarios (25%, 20% and 28%), we recognized equity /asset beta are most the same (0,23 and 0,16) if tax rate increases from 20% to 25%, then goes up from 25% to 28%.

What are effects of tax changes on market risk? - a case in listed Viet Nam investment and financial service companies

The financial crisis has been affected many global stock markets, as well as the Viet Nam stock exchange. This study analyzes the impacts of tax policy on market risk for the listed firms in the non-banking financial service and investment industry, so-called financial service industry, as it becomes necessary. First, by using quantitative and analytical methods to estimate asset and equity beta of total 10 listed companies in Viet Nam financial service industry with a proper traditional model, we found out that the beta values, in general, for many companies are acceptable. Second, under 3 different scenarios of changing tax rates (20%, 25% and 28%), we recognized that there is not large disperse in equity beta values, estimated at 1,048, 1,050 and 1,052.These values are just little higher than those of the listed VN construction firms but much higher than those of listed banking firms. Third, by changing tax rates in 3 scenarios (25%, 20% and 28%), we recognized equity /asset beta are most the same (0,23 and 0,16) if tax rate increases from 20% to 25%, then goes up from 25% to 28%.

The Friend of Your Trend

Standard performance attribution to beta and alpha is not simple without full transparency into the investment process. This article develops an analytical framework to shed light on ex-ante stylized characteristics of a simple trend following strategy. Our analytical results show that rewards from the trend following strategy embed different degrees of underlying asset beta, which are determined by the asset’s return-to-volatility ratio, in addition to the trending behaviors that the strategy is built to harvest. We compare the results to ex-post realized returns-based style analysis of a CTA index. We discuss practical implications of our results with respect to fees and allocations to trend following strategies.

Systematic Risk, Creditor Protection and Leverage – A Cross-Country Analysis

The influence of systematic risk exposure on corporate financing decisions is receiving increasing attention in the empirical capital structure research. While most recent studies of the US-market show, that systematic risk (measured with asset beta) affects corporate capital structure decisions, little is known about cross-country differences regarding this relationship. In this paper we use institutional factors that represent the protection of creditors to explore the interaction effects between country-specific factors and asset beta on financing decisions. Our findings indicate, that (i) on average, firms with higher asset beta use less debt, (ii) the protection of creditor rights mitigate the negative impact of asset beta on leverage, (iii) the negative effect of asset beta on leverage is more pronounced for firms with higher levels of leverage and (iv) that especially in countries with weak protection of creditor rights, firms with high asset beta choose less leverage in economic downturns.

Evaluation of Systematic Risk of Viet Nam Construction MaterialIndustry During the Pre-Low Inflation Period 2012-2014

The construction materialindustry is one of the most rapidly growing sectors, with many achievements both in Vietnam and in Asia. In recent years, its rapid growth has produced revenues from business activities. One of the key objectives of thispaper is to assess market risk volatility in construction material businesses in the 2012-2014 pre-low inflation period. Our first findings are to be found that beta values in general (< 1) for most of our constructionmaterialcompanies are appropriate when we apply quantitative, statistical and analytical methods to evaluate the asset beta and beta CAPM of 20 listed Viet Nam construction materialcompanies.However, we analyze the market risk volatility, determined byasset and equitybeta var, during the post-low inflation period in thissector and compare results in two circumstances: risk fluctuation in pre-law inflation time 2012-14is lower than that in post-low inflation period 2015-2017.Finally, if we observe in2 periods, BetaCAPM or equity beta mean goes up in case post-low inflation period. At last, policies in risk management and governance are suggested in the conclusion based on the research results and findings. In the post-low inflation environment, we alert that Beta fluctuations could bea little higher.JEL classification numbers:G00, G390, C83

Which is Determining in the Fluctuation of Stock Market Risk of Entertainment Compagnies in Viet Nam: Financial and Economic Crisis or Low Inflation Rate?

Our paper aims to investigate empirically how much rise or reduce in the market risk of entertainment companies in Viet Nam. We use a sample composed of 8 companies listed in the stock exchange market in Viet Nam (Hanoi Stock Exchange and Ho Chi Minh Stock Exchange) during two periods; post-low inflation from 2015 to 2017 and financial and economic crisis during the period from 2007 to 2009. We utilize an analytic investigation technique based on a comparative assessment approach mixed through quantifiable data assessment. From the empirical findings, we show that the risk point assessed by the used measure suggest in the entertainment business is appropriate, i.e. it is small inferior than one. Next, one of its most important conclusions is the divergence among risk rank of hotel manufacturing through the financial and economic recession from 2007 to 2009 matched to those in the period of post-low inflation level from 2015 to 2017. Furthermore, the investigation conclusions demonstrate us market risk volatility, assessed by asset and equity beta risk, through the period of post-low inflation level has reduced marginally. Also, this study gives several suggestions that might support firms and authority other indication in instituting their strategies concerning control and governance. It is the complicated assignment; however, the study findings indicate us cautioning that the marketplace risk fluctuation may be greater through the period of post-low inflation level from 2015 to 2017. Finally, we can find that discovering new prospective markets and credit and funding strategies are amongst instructions for leisure firms.

Asset Variance Risk Premium and Capital Structure

AbstractThis article investigates how the asset-return variance risk premium changes leverage. I find that the premium reduces leverage by increasing risk-neutral bankruptcy probability and costs in a model where asset returns have stochastic variance with the risk premium. Empirically, the model calibrations verify a significant reduction in optimal leverage, closer to observed leverage than the model without the premium. In model-free regressions, I document that leverage correlates negatively with the variance premium. The highest negative correlation is among investment-grade firms with low asset beta and historical variance but high variance premiums because their assets have high exposure to the market’s variance premium.

The Quantified Analysis of Causes of Market Risk Fluctuations in the Group of Construction, Real Estate and Construction Material Companies in Vietnam During and After the Global Crisis 2007-2011

This research analyzes the fluctuations on market risk for the listed firms in the Vietnam real estate, construction and construction material industries as it becomes necessary, esp. after the financial crisis 2007-2011. It also provides us with a model to identify key causes of these above risk fluctuations. Firstly, by using quantitative and analytical methods to estimate asset and equity beta of the total 205 listed companies in Vietnam’s real estate, construction and construction material industry with a proper traditional model, we found that in the viewpoint of asset beta used as market risk measurement, the construction industry has the lowest risk, next is the construction material industry and real estate one has the highest risk. Secondly, we recognized that in the real estate, construction and construction material industry, the main factors affecting market risk are GDP growth, lending rate, and inflation. Thirdly, by using a proper quantitative analysis method, the study realized that in the viewpoint of asset beta, construction industry has the lowest market risk because of GDP growth decreasing, inflation increasing and average income increasing. On the contrary, real estate industry has the highest market risk because GDP growth decreases and lending rate increases. Finally, this paper provides some outcomes that could provide companies and government with more evidence in establishing their policies in governance and in monitoring these industries.

Leverage Dynamics Under Segmented Equity and Debt Markets

We study a continuous-time dynamic capital structure model in which a firm can continuously adjust its capital structure. Unlike previous models, we assume heterogeneous equity and debt holders and segmented equity and debt markets. We show that the expected future equity and debt market returns, but not realized market returns, affect the firm's debt issuance policy and speed of leverage adjustment. The effect is stronger for firms with larger asset beta. We empirically test and confirm our model predictions.

Changing Corporate Tax Policy Impacts on the Risk Level of VietnamElectric Power Firms

This study analyzes the impacts of tax policy on market risk for the listed firms in the electric power industry during and after the period 2007-2009 as the local economy has been affected by the financial crisis. First, by using quantitative and analytical methods to estimate asset and equity beta of total 20 listed companies in Vietnam electric power industry with a proper traditional model, we found out that the beta values, in general, for many companies are acceptable. Second, under 3 different scenarios of changing tax rates (20%, 25% and 28%), we recognized that there is not large disperse in equity beta values, estimated at 0,446, 0,449 and 0,451. These values are much lower than those of the listed VN construction firms. Third, by changing tax rates in 3 scenarios (25%, 20% and 28%), we recognized both equity and asset beta mean values have positive relationship with the increasing levels of tax rate. Finally, this paper provides some outcomes that could provide companies and government more evidence in establishing their policies in governance.

Factors Affecting Disclosure of Accounting Information and Tax Rates Effects on The Risk Level of Listed Viet Nam Medicine Firms During Global Economic Crisis - And Roles of IT governance and Data Security in Risk Management- And Rol

There are many factors affecting disclosure of accounting information and have impacts on risk level of business, such as: the following factors influenced on the disclosure level: tax rate, financial leverage, acquiring company size, recognized percentage of overprice for expected future profitability in relation to the transaction value. This research paper also analyzes the impacts of tax policy on market risk for the listed firms in the medicine industry as it becomes vital. First of all, we found that the beta values for many companies in general are appropriate by using quantitative and analytical methods for the estimation of asset and equity beta of 9 listed Vietnamese medicine companies with a better traditional model.Next, we have noted that under three different scenarios of adjustments in tax rates (25%, 25% and 28%), the equity beta values will not spread significantly, even if the is down to 20% and the risk dispersion will increase 0,512 to 0,513.Third, this analysis found that the risk-dispersion level in this sample analysis could be held to a minimum, if the tax rate is raised to 28% or to 25% , we found beta values and tax rate has positive correlation. Not only the paper propose some policy suggestion, bit it also recommends risk management plans including IT governance and security and risk to reduce operational risk. Specifically, it also proposes suggestions for enhancing disclosure policy of accounting information and risk policies of businesses.

Risk Management in Viet Nam Tourism Industry Under the Impact of a Two Factor Model During and After the Global Crisis

Over past few years, the global financial crisis shows certain influence on emerging financial markets including Viet nam. Therefore, this study chooses an analytical approach to give some systematic opinions on how much some certain determinants such as income tax and leverage, affect the level of market risk in listed tourism companies.First, it calculates equity and asset beta values in three different scenarios of changing tax rates and changing the level of financial leverage. Second, under 3 different scenarios of changing tax rates (20%, 25% and 28%), we recognized that there is not large disperse in equity beta values, estimated at 0,753 for current leverage situation.Third, by changing tax rates in 3 scenarios (25%, 20% and 28%), we recognized both equity and asset beta mean values have positive relationship with the increasing level of tax rate.Last but not least, this paper covers some ideas and policy suggestions.