(Luận văn) the capital asset pricing model, beta and what else

UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIES HO CHI MINH CITY THE HAGUE VIETNAM THE NETHERLANDS t to ng hi ep VIETNAM – THE NETHERLANDS w n PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS lo ad ju y th yi THE CAPITAL ASSET PRICING MODELS: pl n ua al BETA AND WHAT ELSE n va ll fu oi m BY at nh PHAM NGOC THACH z z vb MASTER OF ARTS IN DEVELOPMENT ECONOMICS ht k jm om l.c gm n a Lu n va y te re HO CHI MINH CITY, NOVEMBER 2015 INSTITUTE OF SOCIAL STUDIES HO CHI MINH CITY THE HAGUE VIETNAM THE NETHERLANDS t to UNIVERSITY OF ECONOMICS ng hi ep w n lo ad VIETNAM – THE NETHERLANDS ju y th PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS yi pl n ua al THE CAPITAL ASSET PRICING MODELS: n va BETA AND WHAT ELSE ll fu m oi A thesis submitted in partial fulfillment of the requirements for the degree of nh at MASTER OF ARTS IN DEVELOPMENT ECONOMICS z z k jm PHAM NGOC THACH ht vb By n a Lu Dr VO HONG DUC om l.c gm Academic Supervisor n va y te re Ho Chi Minh City, November 2015 DECLARATION t to I hereby declare, that the thesis report entitled, “The Capital Asset Pricing Models: ng Beta and what else” written and submitted by me in fulfillment of the requirements for the hi ep degree of Master of Art in Development Economics to the Vietnam – Netherlands Programme This is my original work and conclusions drawn are based on the material w n collected by me lo ad y th I further declare that this work has not been submitted to this or any other university for ju yi the award of any other degree, diploma or equivalent course pl ua al HCMC, November 2015 n n va fu ll Phạm Ngọc Thạch oi m at nh z z ht vb k jm om l.c gm n a Lu n va y te re i ACKNOWLEDGEMENTS Immeasurable appreciation and deepest gratitude for the help and support are extended t to to the following persons who in one way or another have contributed in making this study ng possible hi ep Above all, I would like to express my special appreciation to my supervisor - Dr Võ Hồng Đức, for his supports, advices, guidance, valuable comments and suggestions It is an w n honor to work with him lo ad I would like to acknowledge all the lecturers and staffs at the Vietnam – Netherlands y th Programme for their useful knowledge and support during the time I studied at the program ju In specific, I am grateful to Prof Nguyễn Trọng Hoài, Dr Phạm Khánh Nam and Dr Trương yi pl Đăng Thụy, who guided me the first steps in the courses as well as in the thesis writing ua al process n I would like to thank my friends at Class 20 for their helps va n Last, but not least, I would like to thank family, my parents and my sister, who always fu ll love, take care of and support me unconditionally on the way I have chosen oi m at nh z HCMC, November 2015 z ht vb jm Phạm Ngọc Thạch k om l.c gm n a Lu n va y te re ii ABBREVIATIONS t to ng hi APT: Arbitrage Pricing Theory ASEAN: Association of Southeast Asian Nations ep C4F: Carhart four-factor Capital Allocation Line w CAL: n ad Capital Asset Pricing Model y th CML: lo CAPM: Capital Market Line ju Fama-French three-factor FF5F: Fama-French five-factor FGLS: Feasible Generalized Least Squares LAD: Least Absolute Deviations MPT: Modern Portfolio Theory OLS: Ordinary Least Squares QR: Quantile regression RIV: Residual Income Valuation SML: Security Market Line yi FF3F: pl n ua al n va ll fu oi m at nh z z ht vb k jm om l.c gm n a Lu n va y te re iii ABSTRACT It has been 50 years since the first Capital Asset Pricing Model (CAPM) was developed t to by Sharpe (1964) and Lintner (1965) Similar to any other theory, CAPM has been facing ng with hundreds of critiques from theoreticians and empiricists Recent evidences suggest that hi ep CAPM is still applied widely in the practice by regulators and practitioners While the question whether CAPM is valid in relation to the estimate of stock expected return is far w from completeness, the so-called alternative models have also been developed Typical n lo competing and substitutable models for the Sharpe-Lintner CAPM include the Fama-French ad three-factor model, which was recently revised to be the five-factor model; and the Carhart y th four-factor model The introduction of Fama-French three-factor model has attracted ju yi scholars’ attention However, the empirical studies related to multi factor asset pricing model pl in general and Fama-French three-factor model in particular present a completely mixed al ua results To date, in relation to the multi factor model of estimating the expected return, more n than 300 explanatory factors have been attempted in empirical studies and the long list does va n not appear to end there In the Vietnamese context, empirical evidences provided by fu ll Vietnamese scholars have presented the similarly ambiguous outcome m oi Vietnam, together with other ASEAN economies, is on the way to achieve the dream of nh being a next young Tiger in ASEAN In achieving this dream, a sale of government owned at z assets to the private investors, particularly in the capital-intensive energy industry, is z unavoidable The question is that how the Government of Vietnam can determine a vb ht reasonable price for the assets Equally important, it is essential for new investors to jm determine how much they can earn or how risky they have to face across various industries, k gm to make the appropriate investment decisions l.c This study is conducted to achieve the following three objectives First, an estimate of om equity beta, a key input of the CAPM, is required in determining a reasonable price for a Lu Vietnamese Government’s assets in the utilities industry and the others in the process of n privatization and equitization Second, the first Risk-Return framework is developed in order iv y must be supported by theory and empirical evidence te re group of factors which can be used to explain the stock returns in Vietnam This chosen factor n in Vietnam Third, as the first and preliminary attempt, this study is to test and provide a va to provide guidance to investors in making their investment decisions, for various industries The findings seem to be attractive to note First, utilities businesses face a relatively lower risk in comparison with the market as the whole Moreover, there is a divergence of the equity beta estimates for the five countries in the ASEAN including Vietnam, Singapore, t to Thailand, Malaysia and the Philippines Second, the Construction and Real Estate is ranked ng hi highest in terms of risk (as a result, highest expected return), followed by Agriculture ep Production, Transportation and Warehousing, Manufacturing and Wholesale Trade and Retail Trade industries The lower ranks belong to the Utilities, Accommodation and Food w n services, and Arts, Entertainment, and Recreation whereas the industry with lowest level of lo ad risk is Information and technology industry These empirical findings are somewhat y th consistent with expectation from a leading practitioner in the area, the UBS Third, using a ju combination of DuPont analysis and the Residual Income Valuation, this study provides yi pl evidence to confirm that return on equity ratio and its change are informative about stock ua al returns Moreover, the level of capital turnover and financial cost ratio, together with the n change in capital and the change in financial cost ratio contain incremental explanatory n va powers in explaining returns within the capital asset pricing model framework ll fu CAPM, multi factor asset pricing models, utilities, ASEAN 5, quantile oi m Keywords: regression, Risk-Return framework at nh z z ht vb k jm om l.c gm n a Lu n va y te re v t to ng hi ep “Where we cannot invent, we may at least improve; we may give somewhat of novelty to that which was old, condensation w n to that which was diffuse, perspicuity to that which was lo ad obscure, and currency to that which was recondite.” y th Charles Caleb Colton ju yi pl n ua al n va ll fu oi m at nh z z ht vb k jm om l.c gm n a Lu n va y te re vi TABLE OF CONTENTS DECLARATION I t to ACKNOWLEDGEMENTS II ng hi ABBREVIATIONS III ep ABSTRACT IV w n TABLE OF CONTENTS VII lo ad LIST OF TABLES X y th LIST OF FIGURES XI ju yi pl CHAPTER INTRODUCTION al Problem statement 1.2 Research objectives 1.3 Research questions 1.4 Contributions of the thesis 1.5 Structure of the thesis n ua 1.1 n va ll fu oi m at nh z z CHAPTER LITERATURE REVIEW vb Theoretical literature ht 2.1 jm k 2.1.1 Modern Portfolio Theory gm l.c 2.1.2 The Capital Asset Pricing Model 10 om 2.1.2.1 The Capital Market Line 11 a Lu 2.1.2.2 The Security Market Line 11 n 2.1.3 The Arbitrage Pricing Theory 13 vii y 2.1.7 The DuPont analysis 17 te re 2.1.6 The Fama-French five-factor model 16 n 2.1.5 The Carhart four-factor model 15 va 2.1.4 Fama-French three-factor model 14 2.2 Empirical literature 20 2.2.1 Empirical evidences on the asset pricing models 20 t to 2.2.2 Current approaches to estimate β 24 ng 2.2.2.1 Ordinary Least Squares 25 hi ep 2.2.2.2 Least Absolute Deviations 25 The use of DuPont analysis on asset pricing model 26 w 2.3 n lo ad CHAPTER METHODOLOGY AND DATA 28 y th Data 28 ju 3.1 yi 3.1.1 Utilities industry in ASEAN 28 pl Research methodology 30 n 3.2 ua al 3.1.2 Beta ranking for all industries and asset pricing factors in Vietnam market 29 va n 3.2.1 Estimating beta in Capital Asset Pricing Model 30 ll fu oi m 3.2.1.1 Return and return period 30 at nh 3.2.1.2 A new approach – Quantile regression 31 3.2.1.3 Portfolio construction 33 z z ht vb 3.2.1.4 De-levered/Re-levered estimates of β 33 jm 3.2.2 Beta ranking construction 34 k 3.2.3 The use of DuPont on asset pricing model 34 gm l.c 3.2.3.1 Model specification and estimation method 35 om 3.2.3.2 Variables measurements 36 a Lu n CHAPTER RESULTS AND DISCUSSIONS 38 4.1.2 Beta estimates of various portfolios 40 viii y 4.1.1 Individual companies’ beta estimates 38 te re ASEAN 38 n Objective 1: Estimating the beta coefficients for the utilities industry in the va 4.1 Green, J., Hand, J R., & Zhang, X F (2013) The supraview of return predictive signals Review of Accounting Studies, 18(3), 692-730 t to Gujarati, D N., & Porter, D C (2011) Econometria Básica-5: McGraw Hill Brasil ng Hao, L., & Naiman, D Q (2007) Quantile Regression (Vol 149): SAGE Publications hi ep Harvey, C R., Liu, Y., & Zhu, H (2014) And the cross-section of expected returns: National Bureau of Economic Research w n Hawawini, G., & Viallet, C (2010) Finance for executives: Managing for value creation: lo ad Cengage Learning y th Henry, O T (2009) Estimating β Report submitted to ACCC ju yi Henry, O T., & Street, C (2014) Estimating β: An update: April pl ua al Hung, W.-T., Shang, J.-K., & Wang, F.-C (2010) Pricing determinants in the hotel industry: n Quantile regression analysis International Journal of Hospitality Management, 29(3), n va 378-384 ll fu Jegadeesh, N., & Titman, S (1993) Returns to buying winners and selling losers: oi m Implications for stock market efficiency The journal of finance, 48(1), 65-91 at nh Jensen, M C., Black, F., & Scholes, M S (1972) The capital asset pricing model: Some empirical tests z z ht vb Johnston, J., & DiNardo, J (1997) Econometric methods: Cambridge Univ Press jm Koenker, R., & Bassett Jr, G (1978) Regression quantiles Econometrica: Journal of the k Econometric Society, 33-50 gm om l.c mining experiment FRB International Finance Discussion Paper Kogan, L., & Tian, M H (2013) Firm characteristics and empirical factor models: a data- Lintner, J (1965) The valuation of risk assets and the selection of risky investments in stock n a Lu portfolios and capital budgets The Review of Economics and Statistics, 13-37 63 y Mckenzie, M., & Partington, G (2014) Report to the AER, Part A-Return on Equity te re Markowitz, H (1952) Portfolio selection* The journal of finance, 7(1), 77-91 n Journal of financial economics, 38(1), 3-28 va MacKinlay, A C (1995) Multifactor models not explain deviations from the CAPM McLean, R D., & Pontiff, J (2014) Does academic research destroy stock return predictability? 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European Financial w Management, 16(1), 27-42 n lo ad Taylor, J W (1999) A quantile regression approach to estimating the distribution of ju y th multiperiod returns The Journal of Derivatives, 7(1), 64-78 Titman, S., Wei, K.-C., & Xie, F (2004) Capital investments and stock returns Journal of yi pl financial and quantitative analysis, 39(04), 677-700 al n studies, 65-86 ua Tobin, J (1958) Liquidity preference as behavior towards risk The review of economic va n Treynor, j (1961) Towards a theory of market value of risky assets Unpublished ll fu manuscript oi m Truong, D L., & Duong, T H T (2014) Fama French three-factor model: Empirical nh at evidences from Ho Chi Minh Stock Exchange Can Tho University Journal of z Science, 32, 61-68 z vb Vo, H D., & Mai, D T (2014a) Application of Fama-French three-factor model to Vietnam: ht jm A new division approach of investment portfolio Economic Developmet Review, 290, k 02-20 gm market Banking Technology Review, 22, 11-22 om l.c Vo, H D., & Mai, D T (2014b) Suitability of Fama French five-factor model in Vietnam a Lu Vo, H D., Mero, S., & Gellard, B (2014) Equity beta for the Australian Utilities is well below 1.0 Paper Presented at the Australian Econometric Society Meeting, Hobart, n n va Australia, July 2014 Wang, J., & Wu, Y (2011) Risk adjustment and momentum sources Journal of Banking & Finance, 35(6), 1427-1435 65 y research of Vietnam Stock market Banking Technology Review, 22, 21-29 te re Vuong, D H Q., & Ho, T H (2008) Fama-French three-factor model: An empirical Wooldridge, J (2012) Introductory econometrics: A modern approach: Cengage Learning Yu, K., Lu, Z., & Stander, J (2003) Quantile regression: applications and current research t to areas Journal of the Royal Statistical Society: Series D (The Statistician), 52(3), 331- ng 350 hi ep w n lo ad ju y th yi pl n ua al n va ll fu oi m at nh z z ht vb k jm om l.c gm n a Lu n va y te re 66 APPENDIX Appendix Fundamental models adopted by Australian and international t to regulators in estimating a return on equity ng hi ep Regulator w n lo Germany New Zealand Australian Energy Regulator The Federal Network Agency The Commerce Commission (FNA) (CC) ad Australia (AER) y th USA Canada UK New York State Public Utilities Commission The Ontario Energy Board (NYSPUC) (OEB) The Office of Gas and Electricity Markets ju (Ofgem) CAPM/RPM CAPM pl CAPM yi Primary model DDM CAPM Crosscheck on MRP Cross check on the overall cost of equity but not for individual firms ua al RPM CAPM n Secondary model n va Cross-check on MRP oi m Cross-check on MRP ll fu Other use of DDM at nh z z ht jm CAPM: Sharpe-Lintner Capital Asset Pricing Model RPM : Risk Premium Model DDM : Dividend Discount Model k Notes: Sudarsanam, Kaltenbronn, and Park (2011) vb Source: om l.c gm n a Lu n va y te re 67 Appendix Listed utilities companies in the sample Appendix 2A Listed utilities companies in Vietnam t to ng hi ep w n lo ad ju y th yi pl ua al n va ll fu oi m at nh z z ht vb k jm To 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 om l.c n a Lu From 04/11/2008 01/09/2009 01/11/2008 01/09/2009 10/14/2011 04/13/2012 06/25/2010 01/15/2010 01/12/2007 01/05/2007 01/09/2009 07/10/2009 08/06/2010 01/29/2010 01/14/2011 01/07/2011 10/09/2009 10/09/2009 10/01/2010 01/12/2007 01/15/2010 01/12/2007 01/05/2007 02/09/2007 07/09/2010 10/09/2009 06/26/2009 01/13/2006 04/11/2008 gm Code BTP VN Equity BTW VN Equity CHP VN Equity CLW VN Equity CNG VN Equity DRL VN Equity GDW VN Equity GHC VN Equity HJS VN Equity KHP VN Equity MTG VN Equity NBP VN Equity ND2 VN Equity NT2 VN Equity NTW VN Equity PCG VN Equity PGD VN Equity PGT VN Equity POV VN Equity PPC VN Equity SEC VN Equity SHP VN Equity SJD VN Equity TBC VN Equity TDW VN Equity TIC VN Equity TMP VN Equity VSH VN Equity BTP VN Equity n Short name of company BARIA THERMAL BEN THANH WATER CENTRAL HYDROPOW CHO LON WASUCO CNG VIETNAM JSC HYDRO POWER JSC GIA DINH WATER S GIA LAI HYDROPOW NAM MU HYDROPOWE KHANH HOA POWER MT GAS JSC NINHBINH THERMAL NORTHERN ELECTRI PETROVIETNAM NHO NHON TRACH WATER PETROVIET GAS CI PETROVIETNAM LOW SAIGON PETROLIME VUNG ANG PETROLE PHA LAI THERMAL GIA LAI CANE SUG SOUTHERN HYDROPO CAN DON HYDRO PO THAC BA HYDROPOW THU DUC WATER TAY NGUYEN ELECT THAC MO HYDROPOW VINH SON - SONG BARIA THERMAL n va y te re 68 Appendix 2B Listed utilities companies in Malaysia t to ng hi ep Short name of company BRITE-TECH BHD EDEN INC BHD KUMPULAN PERANGS MEGA FIRST CORP MALAKOFF CORP BH MMC CORP BHD PBA HOLDINGS BHD PUNCAK NIA HLD B SALCON BHD TENAGA NASIONAL TALIWORKS CORP YTL CORP BHD w n lo ad ju y th yi pl Code BTEC MK Equity EDN MK Equity KUPS MK Equity MFCB MK Equity MLK MK Equity MMC MK Equity PBAH MK Equity PNH MK Equity SALC MK Equity TNB MK Equity TWK MK Equity YTL MK Equity From 15/07/2015 15/07/2015 15/07/2015 15/07/2015 15/07/2015 15/07/2015 15/07/2015 15/07/2015 15/07/2015 15/07/2015 15/07/2015 15/07/2015 To 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 n ua al Listed utilities companies in the Philippines n va Appendix 2C ll oi m 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 at nh 07/29/2005 07/20/2007 12/15/2006 02/10/2006 07/15/2005 11/25/2011 07/15/2005 12/22/2006 07/15/2005 09/16/2005 08/29/2014 09/09/2005 z z ht vb k jm gm om ACR PM Equity AP PM Equity EDC PM Equity FGEN PM Equity FPH PM Equity H2O PM Equity MER PM Equity MPI PM Equity MWC PM Equity SPC PM Equity TAPET PM Equity VVT PM Equity To l.c ALSONS CONS RES ABOITIZ POWER ENERGY DEVELOPME FIRST GEN CORPOR FIRST PHILIP HLD H2O VENTURES INC MANILA ELECTRIC METRO PACIFIC IN MANILA WATER SPS POWER TRANS-ASIA PETRO VIVANT CORP From Code fu Short name of company n a Lu n va y te re 69 Appendix 2D Listed utilities companies in Singapore t to ng hi Code CEL SP Equity CEWL SP Equity CHEN SP Equity GALV SP Equity HYF SP Equity KIT SP Equity MHAL SP Equity SIIC SP Equity ep Short name of company CITIC ENVIROTECH CHINA EVERBRIGHT CHARISMA ENERGY GALLANT VENTURE HYFLUX LTD KEPPEL INFRASTRU MOYA HOLDINGS AS SIIC ENVIRONMENT w n lo ad From 07/15/2005 07/22/2005 07/15/2005 04/07/2006 07/15/2005 02/16/2007 07/15/2005 07/15/2005 To 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 ju y th Listed utilities companies in Thailand yi Appendix 2E pl Code ABPIF TB Equity CKP TB Equity EA TB Equity EASTW TB Equity EGATIF TB Equity EGCO TB Equity GLOW TB Equity GPSC TB Equity RATCH TB Equity ROJNA TB Equity SCG TB Equity SPCG TB Equity n ua al n va ll fu oi m From 10/04/2013 01/04/2013 10/05/2012 07/15/2005 07/17/2015 07/15/2005 07/15/2005 01/09/2015 07/15/2005 07/15/2005 07/15/2005 12/23/2005 To 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 31/07/2015 at nh z z ht vb k jm Short name of company AMATA B.GRIMM CK POWER PCL ENERGY ABSOLUTE EASTERN WATER RE NORTH BANGKOK PO ELEC GENERATING GLOW ENERGY PCL GLOBAL POWER SYN RATCHABURI ELEC ROJANA INDUS PAR SAHACOGEN CHONBU SPCG PCL om l.c gm n a Lu n va y te re 70 Appendix Portfolios construction t to ng hi Companies From To P1 P2 P3 P4 VSH, KHP, SJD, HJS, PPC, SHP, TBC VSH, KHP, SJD, HJS, PPC, SHP, TBC, CHP VSH, KHP, SJD, HJS, PPC, SHP, TBC, CHP, BTP VSH, KHP, SJD, HJS, PPC, SHP, TBC, CHP, BTP, BTW, CLW, MTG VSH, KHP, SJD, HJS, PPC, SHP, TBC, CHP, BTP, BTW, CLW, MTG, TMP, NBP, PGD, PGT, TIC VSH, KHP, SJD, HJS, PPC, SHP, TBC, CHP, BTP, BTW, CLW, MTG, TMP, NBP, PGD, PGT, TIC, GHC, SEC, NT2 VSH, KHP, SJD, HJS, PPC, SHP, TBC, CHP, BTP, BTW, CLW, MTG, TMP, NBP, PGD, PGT, TIC, GHC, SEC, NT2, GDW, TDW, ND2, POV VSH, KHP, SJD, HJS, PPC, SHP, TBC, CHP, BTP, BTW, CLW, MTG, TMP, NBP, PGD, PGT, TIC, GHC, SEC, NT2, GDW, TDW, ND2, POV, PCG, NTW VSH, KHP, SJD, HJS, PPC, SHP, TBC, CHP, BTP, BTW, CLW, MTG, TMP, NBP, PGD, PGT, TIC, GHC, SEC, NT2, GDW, TDW, ND2, POV, PCG, NTW, CNG VSH, KHP, SJD, HJS, PPC, SHP, TBC, CHP, BTP, BTW, CLW, MTG, TMP, NBP, PGD, PGT, TIC, GHC, SEC, NT2, GDW, TDW, ND2, POV, PCG, NTW, CNG, DRL 02/09/2007 01/11/2008 04/11/2008 01/09/2009 31/07/2015 31/07/2015 31/07/2015 31/07/2015 10/09/2009 31/07/2015 01/29/2010 31/07/2015 10/01/2010 31/07/2015 01/14/2011 31/07/2015 10/14/2011 31/07/2015 04/13/2012 31/07/2015 ep Portfolio w P5 n lo ad P6 ju y th yi P7 pl n ua al P8 n va ll fu P9 oi m at nh z P10 z ht vb k jm om l.c gm n a Lu n va y te re 71 Appendix Estimates of equity beta for individual companies, using the weekly return from Friday-to-Friday week closing prices t to Appendix 4A Estimates of equity beta for individual companies in Vietnam ng hi LAD = 0.05 = 0.20 = 0.40 = 0.60 = 0.80 BTP 0.7238*** 0.5902*** 0.8747*** 0.7778*** 0.6218*** 0.5692*** 0.7779*** 0.8615 BTW 0.1005 0.1183 0.332 0.3036 0.2627 -0.0661 -0.0121 -1.3998 CHP 0.3369*** 0.2484*** 0.6234*** 0.2740** 0.2089 0.2352** -0.0396 0.2004 0.2042 0.2995* 0.1363 0.2378 0.1787 0.3915* 0.7376* 0.6810*** 0.5307** 0.6286*** 0.5461*** 0.6615*** 0.6685*** 0.7065** 0.6836 DRL 0.6241** 0.2077 1.4975* 0.5638 -0.0782 -0.1122 0.0569 0.6222 GDW -0.7648 0.0468 -0.9182 -0.2486 -0.7121 -1.1196 -1.5351 GHC 0.0929 0.1617 0.1196 0.0000 -0.1098 0.0921 1.5611 HJS 0.8836*** 0.7641*** 0.6987** 0.9006*** 0.7759*** 0.7172*** 0.7995*** 1.2107*** KHP 0.7223*** 0.6280*** 0.7854*** 0.6808*** 0.6221*** 0.6231*** 0.7471*** 1.0266*** MTG 0.9468*** 0.9391*** 0.7964*** 0.8728*** 0.8230*** 0.9442*** 1.1001*** 1.6467*** NBP 0.9302*** 0.8638*** 0.9128*** 0.7897*** 0.7856*** 0.8862*** 1.0278*** 1.3294*** ND2 0.4825 0.0084 -1.594 0.0000 0.4388 1.6185* 2.5663 NT2 0.5567* 0.5299** 0.4473 0.4843** 0.5648** 0.2550 0.6715 NTW 0.7005 0.4869 2.6812 1.0423 0.5269 0.3579 -0.3043 1.6518 PCG 0.8664** 0.7498* 0.6759 0.8691* 0.7742* 0.7921* 1.0874* 1.9858 PGD 0.8411*** 0.7118*** 0.9997*** 0.8067*** 0.7881*** 0.8637*** 1.0188*** PGT 0.8229*** 0.8591*** 0.6887 0.8721*** 0.7900*** 0.8493** 1.3059 POV 1.0095* 0.8393 1.0315 1.1841 0.5960 1.0067 0.6877 3.5220 PPC 1.0166*** 1.0136*** 0.7449*** 0.8754*** 1.0306*** 1.0256*** 1.0560*** 1.3083*** SEC 0.4099** 0.1769 0.0524 0.4382** 0.2984* 0.5999* 0.5893 SHP 0.1903 0.1555 0.2575 0.2533 0.197 0.3026* 0.2759 -0.1358 SJD 0.6180*** 0.6057*** 0.5495*** 0.5590*** 0.6124*** 0.6110*** 0.6577*** 0.8512*** TBC 0.6750*** 0.5792*** 0.7212*** 0.5796*** 0.6202*** 0.6015*** 0.6610*** 0.8501*** TDW 0.3269 0.4700 -0.2183 0.5209 0.5111* 0.2040 0.0204 -0.1502 TIC 0.3839*** 0.3200* 0.5952*** 0.3981*** 0.3214*** 0.2681* 0.2568 0.4705 TMP 0.5560*** 0.3516* 0.6437*** 0.5068** 0.4639* 0.4264** 0.5626*** 0.7224* VSH 0.9400*** 0.9445*** 0.8164*** 0.8567*** 0.9602*** 0.9162*** 0.9790*** ep OLS w 0.2710* lo ad CNG n CLW y th -0.9071 ju -0.0463 yi pl n ua al va -0.3806 n 0.5542* ll fu oi m 0.6889*** nh 0.7677*** at z z vb 0.2475 = 0.95 ht k jm om l.c gm 1.0547*** n a Lu n va y te re 72 Appendix 4B Estimates of equity beta for individual companies in Malaysia ng hi BTE 0.6345 0.5293 0.5778 0.2491 0.2863 0.5536 1.2856 2.0076 EDN 1.9469*** 1.6468*** 1.9192*** 1.6666*** 1.5570*** 1.6764*** 1.7325*** 2.7479*** KUP 1.8210*** 1.3917*** 1.8031*** 1.3956*** 1.3998*** 1.4653*** 1.6585*** 2.1810* MFC 0.8919*** 0.6994*** 1.0952*** 0.7866*** 0.7059*** 0.8020*** 1.0616*** 1.1036*** MMC 1.4100*** 1.1718*** 1.2395*** 1.3863*** 1.2007*** 1.2421*** 1.5094*** 1.6608*** PBA 0.3693*** 0.3127*** 0.4328* 0.4105*** 0.3439*** 0.2745** 0.3362*** 0.3848 0.7954*** 1.7092*** 1.0089*** 0.8941*** 0.8914*** 0.9848*** 2.1698*** 1.7555*** 1.5981*** 2.0509*** 1.5871*** 1.5535*** 1.4731*** 1.7250*** 2.1449** TNB 0.8006*** 0.7228*** 1.0016** 0.7117*** 0.6973*** 0.7312*** 0.8508*** 1.0362*** TWK 1.0304*** 1.2816*** 1.0123* 0.6487*** 0.7471*** 1.0702*** 1.4894*** YTL 0.7713*** 0.6453*** 0.8355*** 0.6988*** 0.6480*** 0.6024*** 0.6431*** 0.8367*** YTL2 0.6471*** 0.5034*** 0.8443*** 0.6726*** 0.5501*** 0.4808*** 0.6187*** 0.5525*** BTE 0.6345 0.5293 0.5778 0.2491 0.2863 0.5536 1.2856 2.0076 ep LAD yi t to OLS w n PNH lo ad SAL 1.3850*** = 0.05 y th 0.6923*** = 0.20 = 0.40 = 0.60 = 0.80 = 0.95 ju pl n ua al va Estimates of equity beta for individual companies in the Philippines n Appendix 4C fu LAD ACR 0.8193*** 0.5246*** 1.1308*** 0.5957** AP 0.7835*** 0.6562*** 0.6253*** 0.6693*** EDC 1.0358*** 0.7572*** 0.9924*** 0.8645*** FGEN 0.9796*** 0.8651*** 1.0172*** FPH 1.1526*** 1.0469*** H2O 0.0166 MER = 0.05 = 0.20 = 0.60 = 0.80 = 0.95 0.4548*** 0.4928*** 0.5987** 1.3705*** 0.6323*** 0.7443*** 0.8190*** 1.2068*** 0.7873*** 0.8730*** 1.0281*** 1.2311*** 0.7810*** 0.8677*** 0.9413*** 0.9497*** 1.2962*** 1.1384*** 0.9410*** 0.9506*** 1.0534*** 1.1828*** 1.3199*** 0.0000 0.3504 0.0531 0.0205 0.0804 -0.1312 0.5666 1.1876*** 1.0186*** 1.0896*** 1.0050*** 1.0302*** 0.9986*** 1.2377*** 1.7027*** MPI 0.9984*** 0.9408*** 0.8291*** 0.7683*** 0.8805*** 1.0379*** 1.1136*** 1.3688*** MWC 0.6814*** 0.5316*** 0.7736*** 0.6053*** 0.5550*** 0.5161*** SPC 0.0961 0.1597 -0.7038 0.2590 0.2240 0.2569 TAPET 0.5818 0.1809 2.4523* 1.6158 0.3957 0.1056 -1.4292 VVT 0.8809 0.1955 0.7116 1.0257 0.2604 -0.3325 0.5760 ACR 0.8193*** 0.5246*** 1.1308*** 0.5957** 0.4548*** 0.4928*** 0.5987** ll = 0.40 at OLS oi m nh z z ht vb k jm gm 0.9226*** -0.0994 0.5346 3.4218 om l.c 0.5617*** 1.7978 n a Lu 1.3705*** n va y te re 73 Appendix 4D Estimates of equity beta for individual companies in Singapore t to ng OLS LAD CEL 0.8460*** CEWL hi = 0.20 = 0.40 = 0.60 = 0.80 0.6110** 0.8731*** 0.8728*** 0.6929*** 0.7102*** 1.0316*** 1.4338* 1.3572*** 0.7568* 1.1310** 1.0830*** 0.8053*** 0.9359*** 1.1896*** 1.9644*** CHEN 0.6094 0.0000 0.6858 1.0713*** 0.7272* 0.0000 0.9448*** -1.5769 GALV 1.4861*** 1.3914*** 1.3013*** 1.3997*** 1.5164*** 1.5681*** 1.6439*** 1.8227*** HYF 0.8348*** 0.7415*** 1.0856* 0.6731*** 0.7411*** 0.7429*** 0.7836*** 0.9682* KIT 0.3867*** 0.3255*** 0.4918*** 0.3575*** 0.3252*** 0.3105*** 0.2667** 0.2651* 0.9824** 1.3855*** 1.1292** 1.1275*** 1.0685** 1.4282*** 1.9268 0.9113*** 0.5678 1.2328*** 0.9946** 0.6451** 0.5496 1.102 1.2463 0.8460*** 0.6110** 0.8731*** 0.8728*** 0.6929*** 0.7102*** 1.0316*** 1.4338* ep = 0.05 w n MHAL ad CEL lo SIIC 1.4005*** y th Estimates of equity beta for individual companies in Thailand ju Appendix 4E = 0.95 yi = 0.05 ABPIF 0.0811 0.0000 CKP 1.3572*** 1.2447*** EA 1.3319*** EASTW = 0.20 = 0.40 = 0.60 = 0.80 = 0.95 0.0770 0.0000 0.0000 0.1492 -0.0166 1.1923*** 1.2953*** 1.2034*** 1.1854*** 1.4623*** 1.9656** 1.1609*** 1.2914*** 1.2738*** 1.1763*** 1.1093*** 1.3936*** 2.1459*** 0.4466*** 0.2824*** 0.4882** 0.3037*** 0.3029*** 0.3237*** 0.4419*** 0.5844*** EGCO 0.4088*** 0.3696*** 0.4798*** 0.4111*** 0.3870*** 0.3769*** 0.3331*** 0.4244*** GLOW 0.6537*** 0.5687*** 0.5468*** 0.5985*** 0.6036*** 0.6100*** 0.6690*** 0.7832*** RATCH 0.4321*** 0.4196*** 0.4082*** 0.4445*** 0.4027*** 0.3564*** 0.5294*** ROJNA 0.9821*** 0.9080*** 1.0874*** 0.9431*** 0.8972*** 0.8888*** 1.1023*** 1.3344*** SCG 0.2712*** 0.1080* 0.5914*** 0.1992*** 0.1365*** 0.1423*** 0.1645** 0.1628 SPCG 0.8478*** 0.5708*** 0.6096** 0.7021*** 0.5512*** 0.6802*** 0.9589*** 1.8443** TAKUN 0.3522 1.0879 1.0232* 0.9017 1.3145 0.7115 -0.7320 -3.8797 TTW 0.3913*** 0.3769*** 0.4095*** 0.4467*** 0.3541*** 0.3678*** 0.4649*** 0.4276** ABPIF 0.0811 0.0000 0.0819 0.0770 0.0000 0.1492 -0.0166 n 0.0819 at al LAD ua pl OLS n va ll fu oi m 0.4579*** nh z z ht vb jm 0.0000 k om l.c gm n a Lu n va y te re 74 De-levered/Re-levered estimates of β for weekly frequency: Individual Appendix companies t to Gearing LAD =0.05 =0.20 =0.80 =0.95 0.81 0.5893 0.4805 0.7122 0.6333 0.6334 0.7014 BTW 16.00 1.22 0.1225 0.1442 0.4046 0.3700 -0.0146 -1.7049 41.64 0.85 0.2852 0.2103 0.5278 0.2320 -0.0330 0.1697 38.00 0.90 0.2438 0.1837 0.2694 0.1226 0.3521 0.6634 16.27 1.21 0.8272 0.6446 0.7635 0.6633 0.8582 0.8303 DRL 1.45 0.9038 0.3008 2.1687 0.8165 0.0824 0.9011 GDW 28.00 1.04 -0.7980 -0.9474 0.0489 -0.9589 -1.1688 -1.6034 GHC 54.45 0.66 0.0614 -0.0304 0.1069 0.0790 0.0609 1.0316 HJS 55.34 yi 0.5725 0.4950 0.4527 0.5835 0.5180 0.7844 KHP 32.96 0.97 0.7025 0.6108 0.7638 0.6621 0.7266 0.9984 MTG 16.13 1.22 1.1520 1.1426 0.9690 1.0619 1.3385 2.0035 NBP 38.00 0.90 0.8367 n 0.7770 0.8210 0.7103 0.9245 1.1957 ND2 67.90 0.47 0.2247 0.0039 -0.7423 -0.1769 0.7537 1.1950 NT2 64.67 0.51 0.2853 0.2716 0.2293 0.2840 0.1307 0.3442 NTW 18.00 1.19 0.8333 0.5792 ll 3.1896 1.2399 -0.3616 1.9650 PCG 20.00 1.16 1.0055 0.8702 0.7844 1.0087 1.2620 2.3047 PGD 52.00 0.70 0.5857 0.4957 0.5618 0.6014 0.7095 PGT 3.46 1.40 1.1525 1.2032 0.9645 1.2214 1.1895 1.8289 POV 23.29 1.11 1.1234 0.9340 1.1478 1.3177 0.7653 3.9193 PPC 54.06 0.67 0.6776 0.6756 0.4965 0.7038 0.8720 SEC 46.20 0.78 0.3199 0.1381 0.0409 0.3420 0.4682 0.4600 SHP 30.65 1.01 0.1915 0.1565 0.2591 0.2549 0.2776 -0.1358 SJD 43.02 0.83 0.5109 0.5007 0.4542 0.4621 TBC 1.57 1.43 0.9638 0.8270 1.0298 0.8276 0.9438 TDW 15.72 1.22 0.3997 0.5747 -0.2666 0.6369 TIC 3.09 1.41 0.5397 0.4499 0.8368 0.5597 0.3611 0.6615 TMP 26.47 1.07 0.5931 0.3751 0.6867 0.5406 0.6002 a Lu VSH 18.91 1.18 1.1059 1.1112 0.9605 1.0079 1.1518 1.2408 ep 43.88 ad hi BTP OLS ng (%) CHP w n CLW lo CNG 0.17 ju y th 0.65 pl ua al n va fu oi m nh 0.6961 at z z vb 0.5835 ht k jm 1.2139 0.0249 -0.1834 om l.c 0.7036 gm 0.5437 0.7706 n n va y te re 75 De-levered/Re-levered estimates of β for weekly frequency: Portfolios Appendix Gearing OLS (%) LAD = 0.05 = 0.20 = 0.80 = 0.95 t to Equally-weighted portfolios hi 0.961 0.6776 0.6743 0.6973 0.6533 0.6957 0.7380 P2 34.77 0.946 0.5852 0.5863 0.6010 0.5322 0.5947 0.5902 P3 35.78 0.932 0.5329 0.5162 0.5775 0.4891 0.5232 0.4730 P4 32.68 0.977 0.5206 0.5166 0.5766 0.4898 0.4977 0.5861 30.30 1.011 0.5944 0.5363 0.6963 0.5370 0.5502 0.7337 34.02 0.957 0.4893 0.3857 0.6050 0.4236 0.4173 0.6282 P7 33.98 0.958 0.3442 0.2878 0.4480 0.3713 0.3430 0.3974 P8 32.82 0.975 0.3283 0.2572 0.3582 0.3582 0.3376 0.2650 P9 32.21 0.3507 0.2663 0.3815 0.3316 0.3709 0.2741 P10 31.07 1.000 0.3599 0.2612 0.3651 0.3111 0.3726 0.1845 ep 33.79 yi ng P1 w lo ad P6 n P5 ju y th 0.983 pl al 0.7584 0.8350 0.9427 1.0768 0.8556 0.7411 0.7966 0.9178 0.9866 0.7487 0.6962 0.7372 0.8712 0.9626 0.7711 0.5929 0.7592 0.8923 0.9998 0.7992 0.8021 0.7591 0.7573 0.8810 0.8670 0.957 0.6354 0.6388 0.6073 0.6232 0.6450 1.0229 33.98 0.958 0.5944 0.6279 at 0.9073 P2 34.77 0.946 0.8631 P3 35.78 0.932 0.8182 P4 32.68 0.977 0.8187 P5 30.30 1.011 P6 34.02 P7 0.6495 0.6153 0.6133 0.6175 P8 32.82 0.975 0.5830 0.5608 0.6650 0.5825 0.6465 0.5202 P9 32.21 0.983 0.6656 0.6778 0.7924 0.6894 0.6479 1.0768 P10 31.07 1.000 0.7796 0.7025 0.8645 0.7269 1.2285 n va fu nh 0.961 oi 33.79 m P1 n 0.9092 ll ua Value-weighted portfolios z z ht vb 0.8840 k jm om l.c gm n a Lu n va y te re 76 Appendix Equity Beta for various industries in Vietnam t to ng Accommodation and hi Food services ep LAD Average 0.7078 Max = 0.05 = 0.20 = 0.80 = 0.95 0.6280 0.5718 0.7230 0.7083 0.6153 1.1106 0.8928 1.3392 1.2841 1.1141 0.8474 Average 0.8666 0.7578 0.7863 0.7690 0.9551 1.1816 Max 1.2920 1.1871 1.1247 1.0999 1.6139 1.8832 Average 0.6775 0.56385 0.4775 0.6250 0.7129 1.1029 0.9077 0.8801 0.5147 0.8529 1.0145 1.3331 0.8819 0.8250 0.8152 0.8325 0.9510 1.0756 1.4910 1.6630 1.4923 1.7515 1.9495 0.4733 0.6016 0.6694 0.7881 0.9807 0.9073 1.1808 1.5841 0.6829 0.8120 1.0133 2.1988 1.5699 2.3386 1.0678 1.0779 1.7099 2.1605 w Agriculture OLS n lo Production ad y th Arts, Entertainment, ju and Recreation yi Max pl 1.5145 n Max ua Estate Average al Construction and Real Average 0.5553 0.5149 Max 0.9576 0.9817 Average 0.7447 0.7019 Max 1.7167 2.7568 1.7815 Average 0.6400 0.8954 0.9326 Max 1.4788 1.5481 1.4304 1.4326 Average 0.7815 0.7590 0.7256 0.6825 Max 1.4331 1.6469 2.1354 1.1292 1.4358 Average 0.7172 0.6070 0.6548 0.6387 0.7542 0.8989 Max 1.2474 1.1306 1.3692 1.0407 1.8935 1.5614 Average 0.7235 0.6625 0.6747 0.6672 0.7821 0.9510 Max 1.5730 1.5473 3.1340 1.7258 1.6290 3.3390 ll fu oi m technology n va Information and nh 0.6881 at Manufacturing z z gm 0.8181 1.0923 om l.c Warehousing k Transportation and jm Extraction 0.8529 ht and Oil and Gas vb Mining, Quarrying, 3.9374 n a Lu Utilities n va y te re Wholesale Trade and Retail Trade 77