Dissertations / Theses on the topic 'Economial model- Stock market'
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Sharma, Amita. "Optimal portfolio selection contemplating risk propensity of investors in stock markets." Thesis, IIT Delhi, 2016. http://localhost:8080/xmlui/handle/12345678/7098.
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Wan, Hakman Alberick. "On the agent market model of stock markets." Thesis, University of Sunderland, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.288016.
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Alshogeathri, Mofleh Ali Mofleh. "Macroeconomic determinants of the stock market movements: empirical evidence from the Saudi stock market." Diss., Kansas State University, 2011. http://hdl.handle.net/2097/11989.
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Doctor of PhilosophyDepartment of Economics
Lance J. Bachmeier
This dissertation investigates the long run and short run relationships between Saudi stock market returns and eight macroeconomic variables. We investigate the ability of these variables to predict the level and volatility of Saudi stock market returns. A wide range of Vector autoregression (VAR) and generalized autoregressive conditional heteroskedasticity (GARCH) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between the Saudi stock price index and the M2 money supply, bank credit, and the price of oil, and a negative long run relationship with the M1 money supply, the short term interest rate, inflation, and the U.S. stock market. An estimated vector error correction model (VECM) suggests significant unidirectional short run causal relationships between Saudi stock market returns and the money supply and inflation. The VECM also finds a significant long run causal relationship among the macroeconomic variables in the system. The estimated speed of adjustment indicates that the Saudi stock market converges to the equilibrium within half a year. Granger causality tests show no causal relationship between Saudi stock market returns and the exchange rate. Impulse response function analysis shows no significant relationship between Saudi stock market returns and the macroeconomic variables. Forecast error variance decompositions suggest that 89% of the variation in Saudi stock market returns is attributable to its own shock, which implies that Saudi stock market returns are largely independent of the macroeconomic variables in the system. Finally, a GARCH-X model indicates a significant relationship between volatility of Saudi stock returns and short run movements of macroeconomic variables. Implications of this study include the following. (i) Prediction of stock market returns becomes more difficult as the volatility of the macroeconomic variables increases in the short run. (ii) Investors should look at the systematic risks revealed by these macroeconomic variables when structuring their portfolios and diversification strategies. (iii) Policymakers should seek to minimize macroeconomic fluctuations considering the effect of macroeconomic variables changes on the stock market when formulating economic policy.
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Cândido, Maria Teresa. "Financial market liquidity, asset pricing, and financial crises /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9914068.
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Sundelius, Gustaf. "The Stock Market and Unemployment : The Cross-Section Volatility Model on Swedish data." Thesis, Uppsala University, Department of Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-6407.
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Ever since the evolvement of modern macroeconomics, theories without foundation in the
Keynesian view, such as Real Business Cycle (RBC) theories, have aimed for recognition.
The purpose of this paper is to examine whether the Cross-Section Volatility model (CSV), a
RBC-model developed by Laclair Brainard and David Cutler (1993) based on US data, holds
and demonstrates similar results applied on Swedish data. The CSV is constructed by
weighting volatility for a number of industry-indices in the stock market. Brainard and Cutler
(1993) find evidence that the CSV is an explanatory variable on US data for sectoral as well
as aggregate unemployment. The results of this paper cannot disclaim the findings of Brainard
and Cutler (1993) but rather suggest that the CSV-measure to a limited degree is an
explanatory variable to unemployment on Swedish data as well.
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Truedsson, Christian. "Stock Markets and Real Economic Activity : Zooming out to show a broader picture using 12 EU Membership Countries." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-44007.
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This thesis analyzes the long run relationship between stock markets and macroeconomic variables, such as the real industrial production index, consumer price index, money supply, and long-term government bonds. By the use of recent developments in cointegration methodologies a larger set of countries is analyzed due to mitigation of the issue where variables are integrated of different orders. Based on a present value model, this thesis applies an ARDL model and conducts the bounds testing procedure for analysis of cointegrating relationships among the variables. Complemented by the popular Johansen cointegration methodology, it is found that the variables are cointegrated for all of the twelve countries. Hence, the present value model provides a theoretical explanation of the long run connection between stock markets and macroeconomic variables. Finally, the long run relationship is estimated using both FMOLS and DOLS. Results show that real economic activity, proxied by the real industrial production index, enters a positive relationship with the stock market indices, and so does money supply. In contrast, the consumer price index and long-term government bonds enter a negative relationship with the stock market indices. Hence, this thesis adds to the literature by applying new methodologies to the topic, through which a larger set of countries can be analyzed, and by further analyzing the long run relationship between stock markets and real economic activity.
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Perez, Tomas Rene. "Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument." Miami University / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=miami1595877677072786.
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Yang, Juan. "Three essays on monetary policy, the financial market, and economic growth in the U.S. and China." [College Station, Tex. : Texas A&M University, 2006. http://hdl.handle.net/1969.1/ETD-TAMU-1030.
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Jonasson, Jesper, and Tobias Rosén. "The influence of real estate price fluctuations on real estate stocks : An analysis of Swedish asset classes." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-44330.
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With background to recent price growth in Swedish real estate and consequently real estate stocks, our aim is to examine the relationship between real estate price development and real estate stock price development. To test our hypothesis, that real estate price development have had an impact on the return of real estate stocks, we built a capital asset pricing model. We divide the return of real estate stocks into two parts, the return in relation to the Swedish market premium and the excess return that is given for the exposure of the real estate market. We found that real estate exposure would treat the investor with an additional return beyond the return given from stock market exposure; hence, real estate price development has contributed to real estate stock returns.
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Ahmadin, Muhammad S. "ESSAYS ON THE VALUE OF A FIRM’S ECO-FRIENDLINESS IN THE FINANCIAL ASSET MARKET." UKnowledge, 2014. http://uknowledge.uky.edu/agecon_etds/31.
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This dissertation presents three different closely related topics on the value of eco-friendliness in the financial market. The first essay attempts to estimate hedonic stock price model to find a contemporaneous relationship between stock return and firms’ environmental performance and recover the value of investor’s willingness to pay of eco-friendliness. This study follows stock and environmental performances of the 500 largest US firms from 2009 to 2012. The firms’ environmental data come from the Newsweek Green Ranking, both aggregate measures: green ranking (GR) and green score (GS), and disaggregate measures: environmental impact score (EIS), green policy and performance score (GPS), reputation survey score (RSS), and environmental disclosure score (EDS). The results show a non-linear relationship between environmental variables and stock return, i.e. upside down bowl shape or increasing in decreasing rate. That means for low green ranking firms the marginal effect is positive while for high green ranking firms the marginal effect is negative. The investor’s willingness to pay (WTP) for a greener stock for firms in the lowest 25 green ranking, on average, is 0.0096% higher stock price.
The second essays attempt to determine if a firm’s environmental performance affects future systematic risk. Systematic risk measures an individual stock’s volatility relative to the market price. This study also uses the Newsweek Green Ranking’s environmental variables. The results show significant evidence of a non-linear relationship between green variables and systematic (market) risk, but the shape is not unanimous for all environmental variables. The shape of the relationship for green ranking (GR), for example, is U-shape. This means that for the firms in the bottom rank, improving rank will lower systematic (market) risk, and for the firms in the top rank improving rank will increase systematic (market) risk. On average the marginal effect for the firms in the bottom and top 25 firms are -0.2% and 0.09% respectively.
The third essay is the effect of a firm’s environmental performances on a firm’s idiosyncratic risk. Idiosyncratic risk measures an individual stock’s volatility independent from the market price. This study also uses the Newsweek Green Ranking’s environmental variables. The results show significant non-linear relationships between environmental variables and idiosyncratic risk, even though there is no unanimous shape among the environmental variables. In the case of green ranking, for example, it has U-shape; for the firms in the bottom rank, improving green ranking will lower idiosyncratic risk and for firm in the top green ranking, improving green ranking will increase idiosyncratic risk. On average the marginal effect for firm in bottom and top 25 firms are -0.4% and 0.2% respectively.
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Fausch, Jürg. "Essays on Financial Markets and the Macroeconomy." Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-140151.
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Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. Using a reasonable calibration, the macroeconomic DSGE model is consistent with a number of stylized facts observed in financial markets like the equity premium, a negative real term spread, a positive nominal term spread and the predictability of stock returns, without compromising the model's ability to fit key macroeconomic variables. The interest rate smoothing in the monetary policy rule helps generate a low risk-free rate volatility which has been difficult to achieve for standard real business cycle models where monetary policy is neutral. In an application, I show that the model provides a framework for analyzing monetary policy interventions and the associated effects on asset prices and the real economy. Macroeconomic news and the stock market: Evidence from the eurozone. This paper is an empirical study of excess return behavior in the stock market in the euro area around days when important macroeconomic news about inflation, unemployment or interest rates are scheduled for announcement. I identify state dependence such that equity risk premia on announcement days are significantly higher when the interests rates are in the vicinity of the zero lower bound. Moreover, I provide evidence that for the whole sample period, the average excess returns in the eurozone are only higher on days when FOMC announcements are scheduled for release. However, this result vanishes in a low interest rate regime. Finally, I document that the European stock market does not command a premium for scheduled announcements by the European Central Bank (ECB). The impact of ECB monetary policy surprises on the German stock market. We examine the impact of ECB monetary policy surprises on German excess stock returns and the possible reasons for such a response. First, we conduct an event study to asses the impact of conventional and unconventional monetary policy on stock returns. Second, within the VAR framework of Campbell and Ammer (1993), we decompose excess stock returns into news regarding expected excess returns, future dividends and future real interest rates. We measure conventional monetary policy shocks using futures markets data. Our main findings are that the overall variation in German excess stock returns mainly reflects revisions in expectations about dividends and that the stock market response to monetary policy shocks is dependent on the prevailing interest rate regime. In periods of negative real interest rates, a surprise monetary tightening leads to a decrease in excess stock returns. The channels behind this response are news about higher expected excess returns and lower future dividends.
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Karl, Velander, and Callerud Karin. "The development of the financialsystem and economic growth in Sweden : A Granger causality analysis." Thesis, Karlstads universitet, Handelshögskolan (from 2013), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-78703.
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Gallo, Érika Regina da Silva [UNESP]. "Economia Comportamental aplicada a Finanças e o Modelo de Agentes: um estudo sobre a presença da subjetividade humana na tomada de decisão e suas implicações no mercado acionário." Universidade Estadual Paulista (UNESP), 2016. http://hdl.handle.net/11449/143919.
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
Neste trabalho temos a intenção de contribuir com o debate na área de economia e finanças comportamentais ao realizar um estudo sobre o comportamento do mercado acionário ao incluirmos o viés de comportamento aversão à perda aos agentes que ali operam. Para tanto, em um primeiro momento, fez-se uma concisa revisão da teoria da decisão na escola econômica e seus desdobramentos em finanças, no que tange à Hipótese dos Mercados Eficientes. Em um segundo momento, apresentamos um modelo de agente aplicado ao mercado acionário que foi programado em software livre NetLogo, cujo método é, em parte, baseado em modelos de agentes já programados para mercados financeiros artificiais e, ao mesmo tempo, parcialmente novo ao propor a realização de testes com parâmetros diferentes dos utilizados por outros autores – a saber: aversão à perda. Os resultados encontrados sugerem que a subjetividade humana presente na tomada de decisão, isto é, quando os agentes possuem aversão à perda, faz com que o movimento do mercado acionário artificial apresente alguns ruídos. Destarte, concluímos que os experimentos realizados nos oferecem indícios de que há certa fragilidade em alguns pressupostos da Hipótese dos Mercados Eficientes.
In this work, we intend to contribute to the debate in behavioral economics and finance to conduct a study on how Stock Markets behaves by including the loss averse agent's bias on this environment. At first, we built a concise review of the decision theory on economic school and its developments in finance, regarding to Efficient Market Hypothesis. Secondly, we presented an agent-based model applied to the stock market which has been programmed in the free software NetLogo, whose has, in part, agent-based models already programmed for artificial financial markets and at the same time, is partially new to propose conduction tests, which differ from other parameters used by several authors such as: loss aversion. The results suggest that human's subjectivity, inherently presented in decision-making, that is, when agents have loss aversion, it may cause the artificial stock market movement to present some noise. Thus, we conclude that the experiments give us evidence that there is some fragility on the Efficient Market Hypothesis.
CNPq: 130136/2015-8
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Lagnado, Leonardo Mathiazzi. "Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17047.
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This dissertation is aimed at evaluating the risk-return relationship of stocks by incrementing the Fama and French five-factor model (F. FAMA and R. FRENCH, 2015) with two new variables. This was done by creating a six-factor model aimed at capturing the size, value, profitability, investment and governance patterns in average stock returns. An additional seven-factor model was also created by adding a herding factor. Governance and herding were chosen as additional factors because of a hypothesis that they would be relevant in less efficient markets such as Brazil. The evaluation of the two model´s performance versus the traditional five-factor model was performed next, as well as the assessment of relevance of the newly added factors. Testing the six-factor model, it had a similar performance to the five-factor model, and the governance factor proved to be relevant in the Brazilian market. Adding the herding factor weakened the results, although the factor still proved to be relevant in some cases.
O objetivo desta dissertação é avaliar a relação risco-retorno de ações incrementando o modelo de cinco fatores de Fama e French (F. FAMA and R. FRENCH, 2015) com duas novas variáveis. Isso foi feito criando um modelo de seis fatores que busca capturar os padrões de tamanho, valor, lucratividade, investimento e governança nos retornos médios de ações. Um modelo adicional de sete fatores também foi criado adicionando um fator para o efeito manada. A governança e o efeito manada foram escolhidos como fatores adicionais por conta da hipótese de que eles seriam relevantes em mercados menos eficientes como o Brasil. A avaliação da performance dos dois modelos contra o modelo tradicional de cinco fatores foi então realizada, bem como a avaliação da relevância dos novos fatores. Testando o modelo de seis fatores, descobrimos que ele tem uma performance semelhante ao de cinco fatores, e o fator de governança mostrou ser relevante no mercado Brasileiro. Adicionando o fator para o efeito manada enfraqueceu os resultados, embora o fator ainda mostrou-se relevante em alguns casos.
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Eliassen, Oliver, and Amelie Dahlgren. "Making Smart Money : An Evaluation of Fundamental Smart Beta Investment Strategies." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-325919.
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In recent decades, many investors have abandoned hopes of achieving above market returns through active management, and consigned themselves to passive investing in the form of market capitalization based portfolios. Using Swedish stock exchange data from 2002-2016, this thesis investigates if there is a way to harmonize the strengths of active management, yielding potential above market returns, and passive index investing, implying lower fees and transparency. Based on observations from 275 companies, analysed through market model regressions, the results suggest that fundamentally invested value and quality portfolios create an alpha of 1-2 percent quarterly relative the market capitalization benchmark portfolio. Moreover, the results constitute basis for performing real investments, as they take into consideration the transaction costs implied by portfolio turnover. Furthermore, the findings of greater risk-adjusted returns through fundamentally weighted portfolios stand in opposition to the efficient market hypothesis.
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Bury, Thomas. "Collective behaviours in the stock market: a maximum entropy approach." Doctoral thesis, Universite Libre de Bruxelles, 2014. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209341.
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Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated behaviours find their origin in the theory of complex systems. There are several mechanisms which generate scale invariance but maximum entropy models are able to explain both scale invariance and collective behaviours.The study of the structure and collective modes of financial markets attracts more and more attention. It has been shown that some agent based models are able to reproduce some stylized facts. Despite their partial success, there is still the problem of rules design. In this work, we used a statistical inverse approach to model the structure and co-movements in financial markets. Inverse models restrict the number of assumptions. We found that a pairwise maximum entropy model is consistent with the data and is able to describe the complex structure of financial systems. We considered the existence of a critical state which is linked to how the market processes information, how it responds to exogenous inputs and how its structure changes. The considered data sets did not reveal a persistent critical state but rather oscillations between order and disorder.
In this framework, we also showed that the collective modes are mostly dominated by pairwise co-movements and that univariate models are not good candidates to model crashes. The analysis also suggests a genuine adaptive process since both the maximum variance of the log-likelihood and the accuracy of the predictive scheme vary through time. This approach may provide some clue to crash precursors and may provide highlights on how a shock spreads in a financial network and if it will lead to a crash. The natural continuation of the present work could be the study of such a mechanism.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
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Mittoo, Usha Rani. "Academic information and financial markets : an empirical investigation of market learning from the size anomaly." Thesis, University of British Columbia, 1988. http://hdl.handle.net/2429/29023.
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This dissertation examines the impact of academic information on the capital markets.
A test of market learning from academic information is performed by examining
the impact of published research about the size anomaly on the underlying asset pricing process.
A theoretical framework to examine the effect of events that affect the equilibrium
pricing process is first developed in a simple economy with one single risky asset. A learning model based on Bayesian updating is proposed and its empirical implications are derived. The model predicts a change in the asset prices in the case of market learning. The predictions about the learning path depend on the assumed information structure. The key hypotheses are motivated through an illustrative
case in a multi-asset economy where there is more information available concerning large firms than about small firms.
The econometric model of switching regimes is used to analyze the hypothesized
structural change in the mean returns associated with the size variable. We postulate two regimes, one prior to and another after the incorporation of research information on the size anomaly. We find evidence of a switch in regimes with estimated mean switch located in 1983. The estimated average size premium has declined from approximately 13.6% per annum in the first regime to about -2.8% per annum in the second regime. More importantly, the switch in 1983 is not explained
by any of the hypothesized economic factors that explain a large part of the stochastic variation in the size effect in the periods prior to 1983. We also find evidence of a switch in regimes when the seasonal January size effect is excluded. The evidence also suggests an increase in the trading volume associated with the information arrival.
Our evidence strongly suggests that the market has undergone a change in its underlying equilibrium pricing process after the discovery of the size anomaly. The evidence supports the hypothesis that academic research relating to the size anomaly has provided useful information to the investors and the market has learnt from this information.Business, Sauder School of
Graduate
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Humpe, Andreas. "Macroeconomic variables and the stock market : an empirical comparison of the US and Japan." Thesis, St Andrews, 2008. http://hdl.handle.net/10023/464.
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Silva, Vinicius Ferrasso da. "Volatilidade estatística determinística : uma avaliação para o retorno da ação "Vale do Rio Doce"." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2006. http://hdl.handle.net/10183/9996.
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Esta dissertação estima os modelos de volatilidade para a série de preços da Vale do Rio Doce, para uma série de sub-períodos de 1998 até 2004. Está organizada em quatro capítulos, icluindo a introdução e aconclusão. O primeiro capítulo, faz uma apresentação geral do trabalho. O capítulo segundo, faz um histórico da Vale do Rio Doce e discute o mercado de capitais, bem como a sua relação com o desenvolvimento econômico. O terceiro capítulo faz referência aos procedimentos empíricos que serão utilizados no último capítulo e faz uma revisão empírica para o Brasil. Por fim, no quarto e último capítulo é realizada uma análise econométrica para a ação da Vale do Rio Doce.This work of conclusion esteem the models of volatileness for the series of prices of the Valley of the River Candy, for a series of sub-periods of 1998 up to 2004. It is organized in four chapters, having icluindo the introduction and the conclusion. The first chapter, makes a general presentation of the work. The chapter second, makes a description of the Valley of the River Candy and argues the stock market, as well as its relation with the economic development. The third chapter make reference to reference the empirical procedures that will be used in the last chapter and makes an empirical revision for Brazil. Finally, in the room and last chapter a econometrical analysis for the action of the Valley of the River is carried through Candy.
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Wong, Chun-mei May, and 王春美. "The statistical tests on mean reversion properties in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211975.
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Whitbread, Christopher. "Stock markets, takeovers and economic growth : testing the Odagiri model." Thesis, Birkbeck (University of London), 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.419775.
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DI, GIACOMO STEFANIA. "Essays on financial markets and on effects of information and communication technology." Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2005. http://hdl.handle.net/2108/39.
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La tesi di dottorato si compone di quattro saggi empirici.
Il primo saggio verifica la performance delle strategie di portafoglio "value" e "growth" formate sulle deviazioni fra il valore osservato di un titolo e il valore fondamentale (determinato con il metodo di attualizzazione dei flussi di cassa), utilizzando il modello CAPM a 4-fattori. I risultati mostrano che, sia nel mercato azionario europeo che in quello americano, le strategie "short term DCF value" (basate su una selezione mensile dei titoli che hanno il più basso rapporto tra valore osservato e valore fondamentale nel periodo precedente) hanno rendimenti medi mensili che sono superiori a, non soltanto le strategie "growth" alternative, ma anche a quelle passive di "buy&hold" sul portafoglio campionario totale (il benchmark).
Il secondo saggio è dedicato allo studio di quanto i componenti "fondamentali" e "non fondamentali" sono importanti nella determinazione dei prezzi dei titoli azionari, in base alle differenze regolamentari tra paesi e alla composizione degli investitori nel mercato finanziario. I risultati empirici mostrano che il P/E fondamentale spiega una parte significativa della variazione del P/E osservato, soprattutto nel mercato americano (dove c’è più trasparenza di informazioni e una più dominante presenza dei fondi pensione). Mentre soltanto per il campione europeo c’è presenza di insider trading.
Il terzo saggio analizza il contributo dell’Information&Communication Technology ai livelli e alla crescita del GDP pro-capite. Le due ipotesi, che l’ICT aggiunge valore al capitale fisico tradizionale o rimuove i "colli di bottiglia" che limitano l’accesso alla conoscenza, risultano migliori del modello di MRW (1992) e di quello di Islam (1995). Il miglioramento della "within country" significatività nelle stime panel conferma che l’approccio seguito riesce a catturare due dimensioni del "time varying-country specific" progresso tecnologico.
Il quarto saggio è dedicato allo studio, tramite un modello a coefficienti random, del ruolo della tecnologia come fattore che, influenzando il potere e la produttività delle donne, ha effetti significativi sulle decisioni di fertilità. I risultati indicano che la diffusione di ICT ha un effetto negativo e significativo sui tassi di fertilità, anche dopo il controllo per il capitale umano e la qualità delle istituzioni di un paese. Inoltre questo effetto è altamente eterogeneo tra macroaree (vengono infatti identificati cinque diversi sottogruppi di paesi) per via di tre fattori latenti: le norme religiose pro-fertilità delle culture cattoliche ed islamiche, il grado di modernizzazione e di educazione di un paese e il "digital divide".The present dissertation is divided into four empirical essays. The first essay tests the performance of "value" and "growth" portfolio strategies formed on deviations between observed and discounted cash flow fundamental (DCF) values, using the four-factor CAPM model.The results show that, both in the American and European stock exchanges, "short term DCF value" strategies (based on a monthly selection of the stocks with the lowest observed to fundamental ratio in the previous period) have mean monthly returns which are higher than, not only the corresponding growth strategies, but also passive buy and hold strategies on the total sample portfolio (the benchmark). The second essay is dedicated to the study of how much "fundamental" and "non- fundamental" components matter in determining stock prices according to differences in regulatory environments between countries and in the composition of financial market investors. Empirical show that the "fundamental" P/E explains a significant share of variation of the observed P/E, expectially for US stocks (where there is more transparency of information and more pervasive presence of pension funds). Instead only for the EU sample there is presence of insider trading. The third essay analyzes the contribution of Information&Communication Technology to levels and growth of per capita GDP. The two hypotheses, that ICT adds value to traditional physical capital or removes the "bottlenecks" which limit access to knowledge, improve upon the classical MRW (1992)-Islam (1995) framework. The improvement of "within" country significance in panel estimates documents that this approach captures two dimensions of time varying-country specific technological progress. The forth essay is dedicated to the study, by a random coefficient model, of the role of technology as a factor which, by affecting women’s empowerment and productivity, have significant effects on fertility decisions. The empirical results show that ICT diffusion has significant negative effect on fertility rates, after controlling for human capital and institutional quality. Moreover this effect is highly heterogeneous across macroareas (five subgroups of countries are optimally identified) because of three latent factors: pro fertility religious norms of Catholic and Islamic culture, the degree of secularization and education of a country, and the digital divide.
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Leone, Vitor. "The effects of economic variables in the UK stock market." Thesis, Loughborough University, 2006. https://dspace.lboro.ac.uk/2134/7787.
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This thesis examines the links between economic time-series innovations and statistical risk factors in the UK stock market using principal components analysis (PCA) and the general-to-specific (Gets) approach to econometric modelling. A multi-factor risk structure for the UK stock market is assumed, and it is found that the use of economic 'news' (innovations), PCA, the Gets approach, and different stock grouping criteria helps to explain the relationships between stock returns and economic variables. The Kalman Filter appears to be more appropriate than first-differencing or ARIMA modelling as a technique for estimating innovations when applying the Gets approach. Different combinations of economic variables appear to underpin the risk structure of stock returns for different sub-samples. Indications of a possible influence of firm size are found in principal components when different stock sorting criteria are used, but more definite conclusions require simultaneous sorting by market value and beta. Overall it appears that the major factor affecting the identification of specific explanatory economic variables across different sub-samples is the general economic context of investment. The influence of firm size on stock returns seems in particular to be highly sensitive to the wider economic context. There is an apparent instability in the economic underpinnings of the risk structure of stock returns (as measured by principal components) that might also be a result of changing economic conditions.
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Molin, Simon. "Volatility forecasting on global stock market indices : Evaluation and comparison of GARCH-family models forecasting performance." Thesis, Umeå universitet, Nationalekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-184480.
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Volatility is arguably one of the most important measures in financial economics since it is often used as a rough measure of the total risk of financial assets. Many volatility models have been developed to model the process, where the GARCH-family models capture several characteristics that are observed in financial data. An accurate volatility forecast is of great value for monetary policymakers, risk managers, investors and for assessing the price and value of financial derivates. The purpose of this thesis is to evaluate if asymmetric or symmetric GARCH models generate better volatility forecast and specifically which model that is superior. Two symmetric models, the GARCH and IGARCH, and two asymmetric models, the EGARCH and TGARCH are used. Daily volatility forecasts on the returns from 10 stock market indices, where the predicted forecasts cover the period from 2020-03-31 to 2021-03-31, will be compared to the realized volatility by four different evaluation measures. The evidence suggests that the symmetric GARCH models, on average, produce the best volatility forecast and specifically the IGARCH model.
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Lakshminarayanan, Sriram. "An Integrated Stock Market Forecasting Model Using Neural Networks." Ohio University / OhioLINK, 2005. http://rave.ohiolink.edu/etdc/view?acc_num=ohiou1127333497.
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Sufar, Saiful Bahri. "Risk factors in the UK stock market." Thesis, Loughborough University, 2000. https://dspace.lboro.ac.uk/2134/7346.
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This thesis examines risk factors in the UK Stock Market. This objective is achieved by testing the validity of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The models were tested using data for the period between 1972 to 1993. Test of the CAPM was conducted by examining the relationship between stocks returns and systematic risk as measured by beta. By regressing returns against estimates of beta, the results showed that for the overall period the relationship was negative and the estimated risk premium is smaller than the observed risk premium. The results in sub-periods also failed to validate the model. However, examining the results under up and down-market conditions, showed some support to the usefulness of beta. Beta is a good predictor of average returns under down-market conditions as well as under extreme up-market conditions. Test of the APT entails the detennination on the number of factors, estimating the sensitivities or risks of stocks to these factors and finally the pricing of these risks. This study used the Principal Components Analysis (PCA) for the first two procedures. A two stage PCA was performed specifically for short sub-periods of data. The stability of the factor structure across sub-periods was also examined. For the third procedure, a cross-sectional regression between returns and the sensitivities was performed and the risk premia was estimated. The results showed that the number of factors were consistent across sub-periods. A PCA on any sample of stocks cou1l produce a first factor that is common among stocks, while other factors are more sample specific. The study found at least one significant risk premium in all the sub-periods. The first factor was the most likely to produce a significant risk premium. The sensitivities of the stocks to the factors were found to differ across sub-periods, but the risk premia remain constant. This suggests the factor structure may be stable. This thesis then identifies the economic nature of the factors. The factors were regressed against a selection of macroeconomic variables. The result showed that the first factor is related to stock market return, money supply, US and European exchange rates and dividend yield. The first factor from small size firms and low beta stocks are strongly related than usual to money supply. The second factor is related to default risk, term structure and stock market returns.
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de, Oliveira Andersson Daniela. "Exchange rate risk and its determinants. : Evidence from international stock markets." Thesis, Uppsala University, Department of Economics, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-5985.
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This paper evaluates if international stock markets are exposed to fluctuation in the
exchange rate and whether this exposure is related to exports, imports and inflation. Eight
countries are studied: Australia, Belgium, Brazil, Hong Kong, Sweden, Switzerland, the
United Kingdom and the United States. The empirical investigation covers the period
from 1995 to 2004 and the estimation is conducted using the framework of Patro, D.K.,
Wald, J.K. and Wu, Y. (2002). The empirical findings show that all international stock
markets are exposed to exchange rate risk, except for Brazil. The amount of exchange rate
exposure is found to be sensitive to a country’s export, import and inflation. The results
imply that there are predictable relationship between changes in the return of the national
stock index return and fluctuation in the exchange rate. In addition, imports and exports
as well as inflation may be useful in predicting exchange rate risks.
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Elshqirat, Mohammad Kamel. "Multifactor Capital Asset Pricing Model in the Jordanian Stock Market." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/5186.
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A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns and thus, may increase profits which can be reflected on the community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test the validity of a multifactor CAPM in the Jordanian stock market. The study was informed by the modern portfolio theory and specifically by the single-factor CAPM developed by Sharpe, Lintner, and Mossin. The research questions for the study examined the factors that may explain the variation in the expected rate of return on stocks in the Jordanian stock market and the relationship between the expected rate of return and factors of market return, company size, financial leverage, and operating leverage. A causal-comparative quantitative research design was employed to achieve the purpose of the study by testing the listed companies on the Amman stock exchange (ASE) for the period from 2000 to 2015. Data were collected from the ASE database and analyzed using the multiple regression model and t test. The results revealed that market return, company size, and financial leverage are not predictors of the expected rate of return while operating leverage is a predictor. The results of this study may contribute to positive social change by changing the way the individual investors and mutual funds managers select their investing portfolios which can lead to better resource distribution in the economy.
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Golab, Anna. "An investigation into the volatility and cointegration of emerging European stock markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2013. https://ro.ecu.edu.au/theses/572.
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This dissertation examines the interaction between European Emerging markets including cointegration, volatility, correlation and spillover effects. This study is also concerned with the process of the enlargement of the European Union and how this affects the emerging markets of newcomers. The twelve emerging markets studied are Bulgaria, the Czech Republic, Cyprus, Estonia, Hungry, Latvia, Lithuania, Malta, Poland, Romania, Slovakia and Slovenia, which are all progressing very rapidly in their reforms and domestic economic stability.
The majority of prior studies on stock market comovements and integration have concentrated on mature developed markets or the advanced emerging markets of the Czech Republic, Hungary and Poland whilst the behaviour and interrelationship of other Central and Eastern European equity markets has been neglected. This study fills that gap.
There are two key aspects investigated in this study. Firstly the cointegration between studied emerging markets and secondly the volatility and spillover effects.
The cointegration analysis examines the short and long run behaviour of the twelve emerging stock markets and assesses the impact of the EU on stock market linkages as revealed by the time series behaviour of their stock market indices. The adopted time- series framework incorporates the Johansen procedure, Granger Causality tests, Variance Decompositions and Impulse Response analyses. The cointegration results for both pre- and post- EU periods confirm the existence of long run relationships between markets. Granger Causality relationships are indentified among the most advanced emerging markets. The Variance Decomposition analyses find evidence of regional integration amongst the markets. Furthermore, the Impulse Response function illustrates that the shocks in returns for all twelve markets persist for very short time periods.
The volatility and spillover analysis applies several univariate models of Autoregressive Conditional Heteroscedasticity, including GARCH, GJR and EGARCH. The models used in the analysis of cross market effects include CCC, diagonal BEKK, VARMA GARCH and VARMA AGARCH. Overall, the econometric analysis using these models shows stock market integration during the pre-EU period, however interdependence of the markets is established for the post-EU period. The results provide important information on the impact of the accession of new countries to the EU, with clear evidence of stability in Central and Eastern Europe markets and integration within the region.
This study has important implications for investors wishing to diversify across national markets, such as the implications of growing asset correlations, if they are displayed, and whether investors should diversify outside the Central and Eastern European countries. It could be argued that the former Eastern block economies constitute emerging markets which typically offer attractive risk adjusted returns for international investors. Moreover, stock market comovement is of considerable interest to policy makers from a perspective of the effects on the macroeconomy, the planning of monetary policy and impact of the degree of stock market comovements on the stability of international monetary policy.
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Xu, Donghui, and Xi Yang. "Testing the CAPM Model : A study of the Chinese Stock Market." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1011.
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There have been countless empirical studies conducted to test the validity of the Capital Asset Pricing Model（CAPM）since its naissance. However, few have considered the Chinese Stock Market. The purpose of this paper is to test the CAPM to see if it holds true in the Shanghai Stock Exchange (SSE). We use weekly stock returns from 100 companies listed on the SSE during 2000.1.1 to 2005.12.31. Black, Jensen and Scholes (1972) (time-series test) and Fama and MacBeth (1973) (cross-sectional test) methods were used to test the CAPM.
We found that the excepted returns and betas are linear related with each other during the entire period of 2000.1.1 to 2005.12.31, which implies a strong support of the CAPM hypothesis.
On the other hand, as the CAPM hypothesizes for the intercept, is it should equal zero and the slope should equal to the average risk premium. However, the results from the test refute the above hypothesizes and offer evidence against the CAPM.
According to the findings of the empirical test, we conclude that the Capital Asset Pricing Model does not give a valid description of the Chinese Stock Market during 2000.1.1 to 2005.12.31.
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Bergman, August, and Sonja Ericsson. "Applying investor sentiment to a prediction model of the stock market." Thesis, KTH, Skolan för datavetenskap och kommunikation (CSC), 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-208663.
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Using data-driven methods to predict the movements of the stock market is a growing field of research. Recently, large amounts of data sourced from online news and social media have been utilized to predict movements in financial markets. With the emergence of social media platforms, data can be gathered and used to quantify the sentiment of the market. This study investigates whether investor sentiment can be used to improve the precision of a prediction model of the stock market, specifically to explore whether the precision of a model which predicts intraday price change in direction of certain equities can be enhanced by the addition of investor sentiment. By collecting sentiment data derived from the classification of large amounts of messages from a social media platform aimed at investors and traders, a model was trained using technical data and subsequently retrained combined with sentiment data, to compare their performance. The results show that the predictive performance of the model is enhanced slightly by using sentiment data which indicates that there are potential benefits in using sentiment data to predict intraday price change in direction. However, as neither of the models shows significant classification performance, the results of this study should not be viewed as conclusive.Att använda data för att förutspå kommande prisförändringar på aktiemarknaden får allt mer ökad uppmärksamhet inom forskning. Nyligen har nyheter och aktivitet på sociala medier använts för att förutspå rörelser i finansiella marknader. Med uppkomsten av sociala medieplattformar riktade mot investerare har det blivit möjligt att samla in stora mängder data och använda det för att kvantifiera den samlade uppfattningen om marknaden. Denna studie undersöker om precisionen av en prediktionsmodell av aktiemarknaden kan förbättras genom att använda sig av tonalitetsanalys inom investerarplattformar för att finna den samlade bedömningen om en finansiell tillgång, mer specifikt huruvida precisionen hos en modell som förutser de dagliga prisförändringarna för specifika aktier kan förbättras. Detta har genomförts genom att samla in data som framställts genom att klassificera en stor mängd meddelanden från en social medie-plattform för investerare. Resultaten från studien tyder på att en tonalitetsanalys lett till att modellens klassificeringsprecision förbättrats, vilket indikerar att investerares uppfattningar om marknaden kan användas för att förutspå prisförändringar för en aktie. Modellernas precision är däremot inte tillräckligt signifikanta för att studiens resultat ska bedömas som slutgiltiga.
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Lacava, Demetrio. "Stock Market Volatility and ECB’s Unconventional Monetary Policies." Doctoral thesis, 2020. http://hdl.handle.net/11570/3182149.
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To address the Great Recession, with interest rates close to the zero lower bound, the main central banks, among which the European Central Bank (ECB), resorted to unconventional monetary policy (UMP) measures. These policies mainly consist of asset purchases programmes, which, in the case of the ECB, caused an increase of the Central Bank’s balance sheet of about 185% in the period 2009-2019. Since the main aim pursued by ECB through the UMP implementation was to give new stimulus to the real economy, most of the literature analyses their impact on output, inflation as well as on financial stability; however, only a narrow branch of the literature has volatility as a key research objective. Within this PhD thesis, an extended literature review is discussed in Chapter 1, whereas in Chapter 2 we present a new model that, differently to the current literature, allow us to analyse the UMP effects on stock market volatility, by distinguishing the volatility component depending directly on these new monetary policy tools (which accounts for about the 1.4% of the general volatility process). From an empirical application of our model - which focus on four Eurozone stock indexes (CAC40, DAX30, FTSEMIB and IBEX35) - it emerges clearly the UMP effectiveness in stabilising financial markets: therefore, whereas we observe a volatility jump on announcement days, we find a remarkable volatility reduction due to the UMP implementation. Finally, in Chapter 3, we extend our analysis within the Markov switching (MS) framework, proving the ECB ability to keep the volatility component depending on UMP within a low volatility regime for a maximum of 53 business days. Moreover, the Model Confidence Set procedure finds out how the forecasting power of our unconventional policy proxies improves after the EAPP announcement, giving also evidence in favour of the better out-of-sample performance of the MS models, at the same time.
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Nugraha, Asep Tatip. "Determinants of, and Stock Market Reactions to, Financial Reporting Lag in Indonesia." Thesis, 2021. https://vuir.vu.edu.au/44706/.
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Financial reporting timeliness is one of the characteristics that enhance and improve the quality
of useful financial information, which can affect stock prices. Given the importance of financial
reporting timeliness, this research extends prior studies regarding determinants of, and stock
market reactions to, financial reporting lag. However, the impact of tax-related variables (related
party transactions, capital structure and tax audits) on financial reporting lag was analysed in this
as well as other determinants (audit report lag, firm size, profitability, and audit opinion). The
related party transactions and a high level of debt on capital structure are notoriously popular for
achieving tax benefits and possibly considered as bad news. Investors could consider that gaining
tax benefits or minimising tax payment as a negative behaviour in business. This study uses a
stratified random sampling method to obtain the data from various industry sectors on the
Indonesia Stock Exchange (IDX) from 2014 to 2017. The sample consists of 468 firm-year
observations. Two-stages least squares regression method, the OLS model, and dynamic GMM
model were used to analyse the relationship between stock market reactions and financial
reporting lag. In addition, the least square model and Wald test were also used to analyse the
asymmetric stock market reactions between timely and late financial reporting lags.
Using LASSO Regression, the findings show that leverage, related party transactions, and tax
audits are found to have no relationship with financial reporting lag. These findings indicate that
the tax-related variables do not affect financial reporting timeliness. This means that the IDX
firms do not consider related party transactions, high level of loan on capital structure, and tax
audit results as bad news. Also, profitability and audit opinion have no relationship with financial
reporting lag. Meanwhile, audit report lag and firm size are the variables, which are found to show
a relationship with financial reporting lag. Moreover, the Wald tests on least square model reveal
some evidence about asymmetric stock market reactions between timely and late financial
reporting lag. Also, the data analysis using two-stage least-square model, the OLS model, and the
dynamic GMM shows significantly negative relationship between predicted financial reporting
lag and stock market reactions. However, the dynamic GMM model presents better results than
those from the two-stage least square model and the OLS model due to the endogeneity problem
on panel data used in this study. The results are consistent with the semi-strong form of the
efficient market hypothesis. It indicates that the stock markets react to the publicly available
information including prior stock prices and annual financial reporting during the event windows.
The academic contributions of this study are as follows:
1. Investigating the audit report lag and tax-related variables into financial reporting lag and
stock market research for emerging economies.
2. Selecting samples from various industry sectors for stock market reactions to financial
reporting lag because prior studies used the sample from listed manufacturing firms in
Indonesia.
3. Applying the two-stage least square method and the dynamic GMM model to analyse the
stock market’s reactions to financial reporting lag because this method considers and
tackles the endogeneity problem experienced in the model particularly on the panel data
by the dynamic GMM model.
4. Using the Wald test to analyse the asymmetric stock market reactions between timely and
late financial reporting lag.
Finally, the practical contributions of this study are as follows:
1. The Financial Service Authority of Indonesia (OJK) could enhance its supervision toward
the non-compliant firms in submitting their annual financial reports.
2. Investors may discover that publicly listed corporations do not take related party
transactions, a high degree of debt on a capital structure, and tax audit results into
consideration when releasing their annual financial reports. As a result, to make an
investment choice, investors do not need to seek information about listed corporations
declaring those accounts.
3. The investors also may find the appropriate timeliness to invest or divest their money
from the timely and late financial reporting firms.
4. The companies’ managers could assess the impact of timely and late financial reporting
of the listed firms.
5. The findings of this study have implications for investors in countries, which have similar
financial reporting and tax regulations to Indonesia.
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Chu, Kaian. "Function analysis of chinese stock "Barometer"." Master's thesis, 2018. http://hdl.handle.net/10071/17838.
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This thesis studies the function of the "barometer" of the Chinese stock market, a market with
a development history of only 20 years We use theoretical analysis and empirical test methods
to select seven indicators: Shanghai Composite Index Year-on-Year Growth Rate, Social
Consumer Goods Retail Total Year-on-Year Growth Rate, Consumer Price Index Year-on-Year
Growth Rate, Total Imports and Exports Year-on-Year Growth Rate, Industrial Value-Added
Year-on-Year Growth Rate, Broad-Term Money Supply Year-on-Year Growth Rate, Bank 6
Months to 1 Annual Loan Base Rate. Finally, this paper analyses a VAR vector auto regressive
model. The results indicate that there is no significant relationship between the operation of the
Chinese stock market and the trends of the macroeconomy. The stock market does not
effectively reflect the changes in the macroeconomy although playing an effective leading role
for the trend of the macroeconomy. Therefore, the Chinese stock market “barometer" function
is not significant.Esta tese estuda a função do "barómetro" do mercado acionista chinês, um mercado com um historial de apenas 20 anos. Utilizamos métodos teóricos empíricos para selecionar sete indicadores: o crescimento anual do Shanghai Composite Index , a taxa de Crescimento Anual do Índice de Retalho de Bens de Consumo, a Taxa de Crescimento Anual do Índice de Preços ao Consumidor, a Taxa de Crescimento anual das Importações e Exportações Totais, a Taxa de Crescimento anual do Valor Agregado Industrial, a Taxa de Crescimento Anual da Oferta Monetária de Longo Prazo, e a Taxa de base de empréstimos de 6 meses a 1 ano. Finalmente, este artigo analisa um modelo VAR. O estudo conclui que não há relação significativa entre a operação do mercado acionista chinês e as tendências da macroeconomia. O mercado acionista não reflete efetivamente as mudanças na macroeconomia mas desempenha um papel de liderança importante para a tendência da macroeconomia. Portanto, a função "barómetro" do mercado de ações chinês não é significativa.
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Dzikiti, Weston. "Banking sector, stock market development and economic growth in Zimbabwe : a multivariate causality framework." Diss., 2017. http://hdl.handle.net/10500/22818.
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The thesis examined the comprehensive causal relationship between the banking sector, stock market development and economic growth in a multi-variate framework using Zimbabwean time series data from 1988 to 2015. Three banking sector development proxies (total financial sector credit, banking credit to private sector and broad money M3) and three stock market development proxies (stock market capitalization, value traded and turnover ratio) were employed to estimate both long and short run relationships between banking sector, stock market and economic growth in Zimbabwe. The study employs the vector error correction model (VECM) as the main estimation technique and the autoregressive distributed lag (ARDL) approach as a robustness testing technique.
Results showed that in Zimbabwe a significant causal relationship from banking sector and stock market development to economic growth exists in the long run without any feedback effects. In the short run, however, a negative yet statistically significant causal relationship runs from economic growth to banking sector and stock market development in Zimbabwe. The study further concludes that there is a unidirectional causal relationship running from stock market development to banking sector development in Zimbabwe in both short and long run periods. Nonetheless this relationship between banking sector and stock markets has been found to be more significant in the short run than in the long run. The thesis adopts the complementary view and recommends for the spontaneity implementation of monetary policies as the economy grows. Monetary authorities should thus formulate policies to promote both banks and stock markets with corresponding growth in Zimbabwe’s economy.Business Management
M. Com. (Business Management)
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Pierz, Anna Mariola. "Stock market reaction to corporate political activity : when companies confront the government." Master's thesis, 2018. http://hdl.handle.net/10400.14/25475.
Full textAbstract:
The purpose of this study is to investigate the market reaction to Corporate Political Activity (CPA) using an event study methodology to determine the impact of a specific event on firm’s abnormal stock returns. The sample consists of The Standard & Poor's 500 Index, US-based companies which signed the declaration We are still in, to express their disagreement with the government’s decision to pull the United States of America out of the Paris Agreement, announced on 01.06.2017. Daily stock return data is used in order to calculate the Cumulative Average Abnormal Return (CAAR) and Cumulative Abnormal Return (CAR) for the event window [0,1], including the day of the event and the following day. The main results indicate that there is no market reaction to the studied event. Furthermore, the study presents the results of Hierarchical Multiple Regression models used to investigate the relation between CARs and firm-related factors such as size, reputation, industry regulation and previous engagement in CPA. It was proven that none of these aspects has a significant influence on the studied market reaction.O objectivo deste estudo é investigar a reacção do mercado à Estratégia Política Corporativa, por meio de uma metodologia de estudo de eventos, para determinar o impacto de um evento específico nos retornos anormais da cotação de mercado de uma empresa. A amostra consiste em empresas americanas listadas no índice Standard & Poor’s 500 que assinaram a declaração We are still in, para expressar o desacordo em relação à decisão do governo de retirar os Estados Unidos da América do Acordo de Paris, anunciada a 01.06.2017. Os retornos da cotação de mercado diários são utilizados de forma a calcular os Retornos Médios Anormais Acumulados e os Retornos Anormais Acumulados para a janela de evento [0,1], incluindo o dia em que as empresas assinaram a declaração e o dia seguinte. Os resultados principais indicam que não há uma reação do mercado ao evento estudado. Além disso, o estudo apresenta os resultados de modelos de Regressão Múltipla Hierárquica usados para averiguar a relação entre os Retornos Anormais Acumulados e factores empresariais como o tamanho, a reputação, a regulação da indústria e os envolvimentos prévios em estratégias políticas corporativas. Foi provado que nenhum destes factores tem uma influência significativa na reação de mercado estudada.
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Vieira, Francisco Eduardo Porfírio. "O impacto do preço do petróleo na economia e na bolsa de valores portuguesa." Master's thesis, 2020. http://hdl.handle.net/10316/94403.
Full textAbstract:
Trabalho de Projeto do Mestrado em Economia apresentado à Faculdade de EconomiaIt’s undeniable the role that oil has in the contemporary economy. In the early 1970s, when the nominal price of oil ceased to be stable, its price became a particularly important variable for explaining the evolution of economic activity. However, there is heterogeneity in the way economies react to oil price shocks. The intensity and duration of the effects of oil price shocks is determined by the characteristics of each economy. In this work, the main objective is to measure the impact of oil prices, measured by the price of the Brent, on the Portuguese economy. Firstly, the evolution of some indicators related to the use of oil in Portugal is presented. This is relevant for assessing the degree of dependence of the Portuguese economy on oil. Then, using a VAR model, the effect that a positive shock on the price of oil has on a set of economic and financial variables is estimated with resort to the Cholesky decomposition. In this model, the variables of concern for the portuguese economy are: unemployment rate, gross domestic product, consumer price index, interest rate and effective exchange rate. Additionally, a model is estimated to determine whether the price of oil has any effect on the Portuguese stock exchange, which was measured using the PSI20 index. Given the results obtained, it was concluded that, economically, the dimension of the effect exerted by the price of oil in the Portuguese economy is not very significant, which is in line with the characteristics of a small oil importing economy.
É inegável o contributo que o petróleo tem para a economia contemporânea. No início da década de 70, com a perda de estabilidade do preço nominal do petróleo, este assume um papel relevante para explicar as alterações na conjuntura económica. Existe heterogeneidade no modo como as economias reagem aos choques no preço do petróleo, pelo que a intensidade e duração dos efeitos dos choques no preço do petróleo é determinada pelas características da economia. Com este trabalho, pretende-se fazer uma mensuração de qual o impacto do preço do petróleo na economia portuguesa. Em primeiro lugar, apresenta-se a evolução de alguns indicadores relacionados com a utilização de petróleo em Portugal, considerados relevantes para conjeturar sobre o grau de dependência do petróleo na economia nacional. Em seguida, através de um modelo VAR, estima-se o efeito que um choque positivo no preço do petróleo tem sobre um conjunto de variáveis económicas e financeiras, aplicando para o efeito a decomposição de Cholesky. As variáveis referentes à economia portuguesa são: taxa desemprego, produto interno bruto, índice de preços no consumidor, taxa de juro e taxa de câmbio efetiva. Adicionalmente, foi estimado um modelo para determinar se o preço do petróleo provoca algum tipo de efeito na bolsa de valores portuguesa, utilizando para o efeito o PSI20. Concluiu-se que economicamente, a dimensão do efeito exercido pelo preço do petróleo na economia portuguesa é pouco expressiva, o que está em conformidade com as características de uma pequena economia importadora de petróleo.
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Novak, Daniel Georg. "The fama and french six-factor model : evidence for the german market." Master's thesis, 2021. http://hdl.handle.net/10400.14/36816.
Full textAbstract:
The Fama and French models have influenced the research around multi-factor asset pricing in the past decades as no other approach (Fama and French 1993; 2015; 2018). In search of patterns and bias that tend to explain stock performances, investors and financial theorists continuously investigate the three-, five-, and recent six-factor models and their individual factors in different markets.
In their well-known papers, Fama and French developed the models over various years based on data for the US market starting in July 1963. Almost simultaneously with the enhancement evolved also more research regarding the models’ applicability and robustness in other markets outside the US. However, even though insights about the international evidence of the models increased, significant research on the German market is still rare.
The present work analyzes the explanatory power of the Fama and French Six-Factor Model (FF6) on average stock returns in Germany. Data is collected from Thomson Reuters Datastream and Worldscope for the time between July 1982 and June 2021 and I create factor portfolios according to the criteria defined by Fama and French.
The evaluation shows a tendency for superior performance of the Fama and French Six-Factor Model over the previous three- and five-factor models. While big stocks seem to perform better than small stocks, there is indication for value and momentum premiums in the German market. Nevertheless, the results reveal only weak evidence for the explanatory power of the Fama and French Six-Factor Model on average stock returns in Germany.Nas últimas décadas, os modelos de Fama e French têm influenciado a investigação sobre a precificação de ativos como nenhuma outra abordagem (Fama e French 1993; 2015; 2018). Na procura de padrões que tendem a explicar o desempenho de ações, investidores e teóricos financeiros investigam continuamente estes modelos de três, cinco, e seis fatores e os seus fatores individuais em diferentes mercados. Nos seus artigos, Fama e French desenvolveram os modelos durante vários anos baseado em dados com início em julho de 1963 do mercado dos EUA. Além das melhorias, foram desenvolvidos estudos sobre a validade e robustez dos modelos em outros mercados. No entanto, mesmo com o aumento do conhecimento sobre a evidência internacional dos mo-delos, uma investigação substancial sobre o mercado alemão ainda não foi feita. O presente trabalho analisa o poder explicativo do Modelo de Seis Fatores de Fama-French (FF6) no retorno médio de ações na Alemanha. Consequentemente, recolho os dados da Thomson Reuters Datastream e Worldscope para o período entre julho de 1982 e junho de 2021 e desenvolvo os portfólios de fatores respeitando os critérios definidos por Fama e French. A avaliação mostra uma tendência de desempenho superior do FF6 relativamente aos mo-delos anteriores, de três e cinco fatores. Enquanto grandes ações parecem gerar melhores resultados que pequenas ações, há indícios de retornos significativos para a estratégia de valor e a de momentum no mercado alemão. Entretanto, os resultados revelam pouca evidência de que o FF6 consiga explicar os retornos médios de ações na Alemanha.
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Anjos, Helena Maria Chaves. "What drives insurance companies´ stock returns? The impact of new rules and regulation." Master's thesis, 2015. http://hdl.handle.net/10362/30148.
Full textAbstract:
The contribution of this dissertation is to highlight the financial market efficiency
theory based on insurance companies' stock performance focusing on the main drivers
of expected returns and the impacts of new rules and regulation. The methodology is
based on the return decomposition model. The insurance sector is represented by four
major players and the analysis performed during the period of financial turbulences and
economic recovery. Distinction is made between large and small players and relevance
is given to “Return News” as main drivers of stock returns for the first and to “Cash-
Flows News” for the latter. This evidence is supported by a vector autoregressive model
and an impulse response analysis. These findings represent a major challenge for the
sector in terms of risk management, strategy settings and supervision process, given the
impact on market and equity risk modules, under the Solvency II regime, as risk-based
approaches and capital adequacy framework, especially given the importance of large
players in case of distress, for the systemic risk and real economy, and the low
expressiveness of small players listed securities, in peripheral countries where new
capital sources are available, toward the upcoming European capital markets union.
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Resende, Alfredo Manuel Carvalhão Tavares Ruas. "Empirical evidence of the Gordon’s growth model accuracy on US stocks’ valuation." Master's thesis, 2020. http://hdl.handle.net/10400.14/31246.
Full textAbstract:
Research findings suggest that the Gordon’s growth model is not an accurate tool to value US companies in the twenty-first century (regardless of the economic cycle) and, its growing underestimation tendency throughout the analyzed period (2002-2018), may lead investors to engage in wrong investment decisions.
Both company’s dividend payout ratio and share repurchase activities were not considered statistically significant to explain the observed difference in prices, in contrary to the company’s dividend yield ratio, profitability level and some GIC sectors (information technology, consumer discretionary and utility) that proved to be significant. However, neither of these variables were able to control Gordon’s growth model lack of accuracy. Dividend yield and profitability variables did not denote a particular range that ensures a superior accuracy of the model results (overpricing outcome closer to 0%) and, accurate overpricing results across different GIC Sectors were always a minority, although it is possible to identify specific sectors with a higher underestimation propensity (information technology and consumer discretionary) and others with a higher overestimation propensity (utility and real estate).Os resultados desta pesquisa sugerem que o modelo de crescimnento de Gordon não é um mecanismo preciso para avaliar empresas americanas no século XXI e, a sua crescente propensão para subvalorizar empresas no período analizado (2002-2018), pode levar investidores a tomarem decisões de investimento erradas. Tanto o rácio de pagamento de dividendos, como a atividade de recompra de ações da empresa não foram considerados estatisticamente significantes para explicar a diferença de preços evidenciada, ao contrário da taxa de rendimento do dividendo (DPS/P), rentabilidade da empresa e alguns setor GIC (tecnologias de informação, bens de luxo e serviços públicos), que provaram ser significativos. No entanto, nenhuma dessas variáveis foi capaz de controlar a falta de precisão do modelo de crescimnento de Gordon. A taxa de rendimento do dividendo (DPS/P) e a rentabilidade da empresa não verificaram um intervalo específico que garanta uma maior precisão dos resultados do modelo e, resultados “overpricing” precisos foram sempre uma minoria em diferentes setores GIC, apesar de ser possível identificar setores com uma maior propensão para estarem subvalorizados (tecnologias de informação e bens de luxo) e outros com uma maior propensão para estarem sobrevalorizados (serviços públicos e imobiliário).
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Jesus, João Pereira Pedro de. "Caixabank's Takeover of BPI: the impact on BPI's stock." Master's thesis, 2018. http://hdl.handle.net/10071/18641.
Full textAbstract:
Caixabank, the Spanish bank that belongs to the "La Caixa" financial group, has been BPI's
shareholder for more than twenty years and since 2015 it has tried to take over the Portuguese
bank. The ultimate takeover bid was in January 2017 and Caixabank became BPI's majority
shareholder in February 2017.
This thesis main objective is to study the impact this takeover had on BPI's security, focusing
on measuring the unexpected performance of the stock. Thus, we applied the event study
methodology, using the market model as estimation model and choosing an estimation and event
window that better fitted the corresponding event.
We computed the abnormal returns for the event window days and evaluated if these returns
were statistically significant, presenting the main findings obtained.
This thesis outcome reveals that the takeover had a negative impact on BPI's security price,
which was statistically significant on the day of the takeover and the following day. Moreover, we
observed the takeover had an unfavorable effect for the stock, which ended up being excluded
from the PSI 20 index.O Caixabank, o banco espanhol que pertence ao grupo financeiro espanhol "La Caixa", faz parte da estrutura acionista do BPI há mais de vinte anos e desde 2015 que tem tentado assumir o controlo do banco português. A derradeira oferta pública de aquisição foi em janeiro de 2017 e o Caixabank tornou-se acionista maioritário em fevereiro de 2017. O principal objetivo desta tese é estudar o impacto que esta aquisição teve no título do BPI, mais precisamente, quantificar a performance inesperada da ação. Assim, aplicámos a metodologia de estudo de eventos, utilizando o Modelo de Mercado como modelo de estimação e tendo em conta a janela temporal de evento e de estimação que se adapta melhor ao respetivo evento. Calculámos os retornos anormais dos dias correspondentes à janela temporal do evento e avaliámos a significância estatística destes retornos, apresentando os principais resultados obtidos. O resultado desta tese evidencia que a aquisição teve um impacto negativo no preço da ação do BPI, sendo que este foi estatisticamente significativo no dia da aquisição e no dia a seguir. Para além disso, observámos que a aquisição teve um efeito desfavorável para a ação, que acabou por ser excluída do índice PSI 20.
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Young, Nicara Romi. "Liquidity and the convergence to market efficiency." Thesis, 2017. https://hdl.handle.net/10539/24391.
Full textAbstract:
Master of Commerce (Finance) in the Finance Division, School of Economic and Business Sciences at the University of the Witwatersrand, Johannesburg, 6 September 2017The aim of this study is to investigate the relationship between market liquidity changes on the Johannesburg Stock Exchange (JSE), and the market’s degree of efficiency. Market efficiency is characterised in terms of two philosophies: Fama’s (1970) Efficient Markets Hypothesis, and Shiller’s (1981; 2003) informational efficiency designation. Efficiency was tested using measures of return predictability, a random walk benchmark, and price volatility; liquidity was measured using market turnover. The tests were conducted on JSE Top 40 shares across three regimes, spanning January 2012 – June 2016. The regimes are demarcated by two structural breaks in the JSE’s microstructure: the 2012 trading platform upgrade, and the 2014 colocation centre launch. The results show that past order imbalances are a significant predictor of daily returns, although the significance of this predictability has dissipated over time. Return predictability is not influenced by liquidity. In fact, there is evidence that illiquidity weakens return predictability. Prices were closer to random walk benchmarks during the third regime. In consideration of informational efficiency, during the latter two regimes price volatility is greater during trading versus non-trading hours. This is coupled with an emergence of nonlinear return dependence, which is indicative of greater mispricing. Thus, over the three regimes, market efficiency improved in the sense of the EMH, but informational efficiency deteriorated. The study contributes to the field by: introducing an inverse measure of market efficiency; providing insight into the measure’s time variation and relation to liquidity; and demonstrating that market efficiency tests should incorporate its dual meanings, enabling richer understanding of their intersection.
GR2018
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Hariharan, R. "System Dynamics Modeling Of Stylized Features Of Stock Markets." Thesis, 2006. https://etd.iisc.ac.in/handle/2005/463.
Full textAbstract:
The common theme throughout the thesis is to explore the possibility of using a single framework, namely the systems theory framework, in modeling a few stylized features of a financial market. A systems theoretic model is developed, in this thesis in Chapter 3, for confidence bias of an individual. The effect of this bias on his investment decision is brought out explicitly. The phenomenon of excessive trading, arising due to overconfidence and optimism, has been explained. The concept of virtual capital, incorporating the ideas from prospect theory, is introduced. We have proposed a dynamical system framework to model limits to arbitrage and the herding behavior in financial markets in Chapter 4. The market evolves due to the participation of traders. It is instructive to look at the market as a system evolving from a set of initial conditions during every time interval. In the proposed model, herding is defined as a specific relation between the system responses. The proposed herding measure quantifies how far the individual is from clustering with others. It is also shown how this interpretation helps us to understand the effects of herding. There exists a risk when the market price variation, due to herding, is thought of as entirely due to the portfolio fundamentals. The generic dynamical system model that captures some aspects of the limits of arbitrage is also proposed wherein fundamental risk, noise trader risk, implementation risk, and model risk can be incorporated. The proposed model offers a single framework to study the Marginally Efficient Market and Synchronization Risk models. In Chapter 5, we have proposed a switching dynamical system with minority game rules incorporated within the framework. We have explored the possibility of developing a market model, in Chapter 6, in the same framework that has been used to develop models for arbitrage and herding.
We have explored, in this thesis, the possibility of using a single framework to model stylized features of stock market. It will be a long way before a single model can capture all complex characteristic features of a stock market. We have attempted, in this thesis, to capture a few stylized features in a single framework, if not in a single model. Different models proposed for individual confidence bias, limits to arbitrage, herding, and switching model for incorporating minority games are all set up in system dynamics framework. This leads to a stage where one can explore incorporating other features, not addressed in this thesis, in system dynamics framework. If each feature is captured using a different framework like confidence bias as stochastic system, herding as pattern cluster, limits to arbitrage as rule-based agents, etc., it would be difficult to integrate them into a single framework. But, in the present work, we have captured the chosen stylized features using system dynamics framework though individual models differ from each other substantially.
The challenges are many in creating a single framework. The vision of such framework may involve different components such as modeling decision making, considering risk profiles, devising investment strategies, etc. Stylized features would come as emergent properties of complex interactions among the components of the system. Emergence refers to the way in which multiplicity of simple interactions lead to complex behavior. Emergence of such features may include different time scales of causal relationships among components. System may have thresholds, determined by diversity of traders and nature of interactions, which is vital for features to become emergent. This can be seen in practice. Stock market regulates the relative prices of companies across the world. There is no single central agency to control the workings of the market. Traders have knowledge of only few companies within their portfolio, and to follow transaction rules. Trends and patterns are still emerging which are studied by technical analysts.
Emergent properties are mostly signature of self-organizing complex system. Self-organization in complex system relies on four properties which are fundamental in system dynamics framework: positive feedback, negative feedback, multiple interactions, and balance among strategies. A complex adaptive stock market system which is self-organizing and exhibit stylized features as emergent property is a distant goal of system theorists around the world.
The challenge does not end there. We have attempted to model and study the stylized features of a stock market in systems theory framework. The focus of our approach is to use the dynamical system modeling to study the features. We have not considered the investment aspects in a financial market. The investment models are very important in real life for individuals and policy-makers. Future extension of the ideas explored in this thesis could be along the lines of creating investment models for individuals and policy-makers. Creating such models using complex adaptive stock market system goes a long way in understanding a phenomenon that had started by Dutch East India Company issuing shares on Amsterdam Stock Exchange way back in 1602.
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Hariharan, R. "System Dynamics Modeling Of Stylized Features Of Stock Markets." Thesis, 2006. http://hdl.handle.net/2005/463.
Full textAbstract:
The common theme throughout the thesis is to explore the possibility of using a single framework, namely the systems theory framework, in modeling a few stylized features of a financial market. A systems theoretic model is developed, in this thesis in Chapter 3, for confidence bias of an individual. The effect of this bias on his investment decision is brought out explicitly. The phenomenon of excessive trading, arising due to overconfidence and optimism, has been explained. The concept of virtual capital, incorporating the ideas from prospect theory, is introduced. We have proposed a dynamical system framework to model limits to arbitrage and the herding behavior in financial markets in Chapter 4. The market evolves due to the participation of traders. It is instructive to look at the market as a system evolving from a set of initial conditions during every time interval. In the proposed model, herding is defined as a specific relation between the system responses. The proposed herding measure quantifies how far the individual is from clustering with others. It is also shown how this interpretation helps us to understand the effects of herding. There exists a risk when the market price variation, due to herding, is thought of as entirely due to the portfolio fundamentals. The generic dynamical system model that captures some aspects of the limits of arbitrage is also proposed wherein fundamental risk, noise trader risk, implementation risk, and model risk can be incorporated. The proposed model offers a single framework to study the Marginally Efficient Market and Synchronization Risk models. In Chapter 5, we have proposed a switching dynamical system with minority game rules incorporated within the framework. We have explored the possibility of developing a market model, in Chapter 6, in the same framework that has been used to develop models for arbitrage and herding.
We have explored, in this thesis, the possibility of using a single framework to model stylized features of stock market. It will be a long way before a single model can capture all complex characteristic features of a stock market. We have attempted, in this thesis, to capture a few stylized features in a single framework, if not in a single model. Different models proposed for individual confidence bias, limits to arbitrage, herding, and switching model for incorporating minority games are all set up in system dynamics framework. This leads to a stage where one can explore incorporating other features, not addressed in this thesis, in system dynamics framework. If each feature is captured using a different framework like confidence bias as stochastic system, herding as pattern cluster, limits to arbitrage as rule-based agents, etc., it would be difficult to integrate them into a single framework. But, in the present work, we have captured the chosen stylized features using system dynamics framework though individual models differ from each other substantially.
The challenges are many in creating a single framework. The vision of such framework may involve different components such as modeling decision making, considering risk profiles, devising investment strategies, etc. Stylized features would come as emergent properties of complex interactions among the components of the system. Emergence refers to the way in which multiplicity of simple interactions lead to complex behavior. Emergence of such features may include different time scales of causal relationships among components. System may have thresholds, determined by diversity of traders and nature of interactions, which is vital for features to become emergent. This can be seen in practice. Stock market regulates the relative prices of companies across the world. There is no single central agency to control the workings of the market. Traders have knowledge of only few companies within their portfolio, and to follow transaction rules. Trends and patterns are still emerging which are studied by technical analysts.
Emergent properties are mostly signature of self-organizing complex system. Self-organization in complex system relies on four properties which are fundamental in system dynamics framework: positive feedback, negative feedback, multiple interactions, and balance among strategies. A complex adaptive stock market system which is self-organizing and exhibit stylized features as emergent property is a distant goal of system theorists around the world.
The challenge does not end there. We have attempted to model and study the stylized features of a stock market in systems theory framework. The focus of our approach is to use the dynamical system modeling to study the features. We have not considered the investment aspects in a financial market. The investment models are very important in real life for individuals and policy-makers. Future extension of the ideas explored in this thesis could be along the lines of creating investment models for individuals and policy-makers. Creating such models using complex adaptive stock market system goes a long way in understanding a phenomenon that had started by Dutch East India Company issuing shares on Amsterdam Stock Exchange way back in 1602.
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Obadire, Ayodeji Michael. "The impact of macroeconomic variables on the equity market risk premium in South Africa." Diss., 2018. http://hdl.handle.net/11602/1251.
Full textAbstract:
MComDepartment of Accountany
The relationship between the Equity Market Risk Premium (MRP) and macroeconomic variables has been a subject of extensive discussion in the finance literature. The MRP is a central component of the main asset pricing models which are used to estimate the cost of equity which is mainly used in investment appraisal, performance measurement and valuation of equity assets. Past studies have identified inflation rate, interest rate, foreign exchange rate and political risk as the key macroeconomic variables that determine the size of the MRP. The test of the impact of these variables on the MRP have however been based mainly on data from developed countries and a few emerging countries. To the researcher’s knowledge, there are no studies that have investigated the impact of these macroeconomic variables on the MRP in South Africa. It is necessary to test the impact of these variables in the context of South Africa as these variables vary across countries. Using time series secondary data that was obtained from the SARB database, JSE database and World Bank database for the period 2002 to 2017, this study investigated the impact of these variables on the MRP in South Africa. A total of 192 observations per series of the inflation rate, interest rate, foreign exchange rate, political risk, JSE-ALSI and 91-days Treasury bill was used in the study. The data used were tested for possible misspecification errors that could arise from using a time series secondary data and the regression model was fitted using the Ordinary Least Square (OLS) estimator. The misspecification tests and models were both implemented on STATA 15 software. The results shows that inflation rate, interest rate and foreign exchange rate have a negative impact on the MRP whilst political risk has a positive impact on the MRP. Furthermore, the result shows that the inflation rate is the only variable amongst other variable tested that has a significant influence on the MRP for the study period. The study, therefore, concludes that inflation rate has the highest impact on the MRP in the context of South Africa. The study recommends that inflation rate should be monitored and kept within its target of 3-6% amongst other variables tested in order to increase investors’ confidence in the security market and also foster economic growth. The main limitations to the study were the limited data sources and insufficient funds.
NRF
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Nóbrega, Isabel de Goes. "Impacto da política monetária no mercado acionista em Portugal: uma abordagem através de dois canais distintos." Master's thesis, 2016. http://hdl.handle.net/10071/13015.
Full textAbstract:
JEL classification: E52 Monetary Policy; E44 Financial Markets and MacroeconomyEste trabalho tem como objetivo explorar a influência da política monetária no mercado acionista português. Para o efeito, estuda qual o impacto que a variação da taxa EONIA tem no índice do PSI20 através de uma abordagem diferente, que engloba o estudo de dois canais distintos. O primeiro debruça-se sobre o efeito da taxa EONIA na procura agregada e efeito desta na bolsa. O segundo olha para o efeito da taxa EONIA nas obrigações do tesouro a um ano e para o efeito destas no PSI20. O método utilizado foi a explicitação de modelo VAR (Vetor Autorregressivo) incluindo as quatro variáveis, que são analisadas com dados trimestrais relativos ao período 2002-2014. Os resultados sugerem que os dois canais são importantes e que o canal das obrigações do tesouro exerce efeito a um prazo mais curto relativamente ao canal da procura agregada.
The purpose of this work is to explore the influence of monetary policy in the Portuguese stock market. To do so, it analyses the impact that the variation of the EONIA rate has in the PSI20 index through a different approach which includes the study of two distinct channels. The first focuses on the effect of EONIA rate in aggregate demand and its effect on the stock market. The second looks at the effect of EONIA rate on one-year treasury bonds and its effect on PSI20 index. A VAR (Vector Autoregressive) model with the four variables, including data from 2002 to 2014, was used as the methodology to answer the question proposed. The results suggest that the two channels are important and that the channel of the treasury bonds has an effect on PSI20 on a shorter term when comparing to the channel of aggregate demand.
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"Essays in Finance and Macroeconomics: Household Financial Obligations and the Equity Premium." Doctoral diss., 2017. http://hdl.handle.net/2286/R.I.43948.
Full textAbstract:
abstract: This dissertation is a collection of three essays relating household financial obligations to asset prices. Financial obligations include both debt payments and other financial commitments.
In the first essay, I investigate how household financial obligations affect the equity premium. I modify the standard Mehra-Prescott (1985) consumption-based asset pricing model to resolve the equity risk premium puzzle. I focus on two channels: the preference channel and the borrowing constraints channel. Under reasonable parameterizations, my model generates equity risk premiums similar in magnitudes to those observed in U.S. data. Furthermore, I show that relaxing the borrowing constraint shrinks the equity risk premium.
In the Second essay, I test the predictability of excess market returns using the household financial obligations ratio. I show that deviations in the household financial obligations ratio from its long-run mean is a better forecaster of future market returns than alternative prediction variables. The results remain significant using either quarterly or annual data and are robust to out-of-sample tests.
In the third essay, I investigate whether the risk associated with household financial obligations is an economy-wide risk with the potential to explain fluctuations in the cross-section of stock returns. The multifactor model I propose, is a modification of the capital asset pricing model that includes the financial obligations ratio as a ``conditioning down" variable. The key finding is that there is an aggregate hedging demand for securities that pay off in periods characterized by higher levels of financial obligations ratios. The consistent pricing of financial obligations risk with a negative risk premium suggests that the financial obligations ratio acts as a state variable.Dissertation/Thesis
Doctoral Dissertation Economics 2017
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Elvanlioglu, Can. "Economic evolution of Turkish stock market: a regime switching approach." Master's thesis, 2021. http://hdl.handle.net/10362/122670.
Full textAbstract:
This work project compares simple linear predictive regressions and regime switching predictive regression, to analyse time varying predictability of the stock returns in XU100 index. The approach is to compare regression statistics in-sample and to compare error statistics and predictive graphs out-of-sample. Findings reveal that employing predictive regime switching models reflect arbitrage opportunities better than predictive linear models in-sample. Out-of-sample analysis, however, provide no evidence for high predictive power for either predictive linear models or regime switching models.
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Madeira, Pedro Rafael Correia da Ascenção. "Stock market development, financial development and economic growth in Portugal." Master's thesis, 2018. http://hdl.handle.net/10400.6/9847.
Full textAbstract:
Financial system and economic growth are closely related, since a lot of decades this theme had been the subject of many research. As we know financial system might be divided into two components: the stock market and the banking system. This study tests the relationship between stock market, financial system and economic growth for Portugal, using a quarterly data from 1993 to 2016, which as European country had an economy dependent on bank financing. Meanwhile to reach the central point the variables tested was real gross domestic product, stock market capitalization ratio, domestic credit ratio, investment, and for a control variable is utilized the consumer price index. Performed the unit root test to confirm the integration order and the graphical analysis of the variables is concluded that all are I(1), and they are not cointegrated (Johansen test), Vector Autoregressive (VAR) modeling is carried out, also Granger Causality, variance decomposition and impulse response function are discussed. VAR specification tests express normality, absence of autocorrelation and homoscedasticity. As consequence of the integration in the European Monetary Union, occur the physical replacement of the currency, proves to be an economic regime change but also the subprime crisis was proved. There was found an evidence of Granger bidirectional causality between stock market and economic growth. Indeed, economic growth seems to be favorable to banking system, unidirectional causality running was found from economic growth to banking financing.O sistema financeiro e o crescimento económico estão muito relacionados, sendo este tema alvo de muitas pesquisas nas últimas décadas. Como temos conhecimento, o sistema financeiro pode ser dividido em duas vertentes: mercado de capitais e sistema de crédito bancário. Este estudo tem como finalidade estudar a relação entre mercado de capitais, sistema bancário e crescimento económico para Portugal, utilizando dados trimestrais que estão compreendidos entre 1993 e 2016, que como país europeu é expectável que uma economia mais dependente do sistema bancário. De forma a capturar a questão central do estudo as variáveis testadas foram produto interno bruto, rácio de capitalização do mercado de capitais, rácio do crédito doméstico, investimento e, para variável de controlo é utilizado o índice de preços do consumidor. Após a realização dos testes de raízes unitárias para confirmarmos a ordem de integração das variáveis e a sua análise gráfica concluímos que estas são I(1), sendo que não são co-integradas (Johansen test). Modelo Vector Autoregressive (VAR) é então realizado, bem como, as causalidades de Granger, decomposição da variância e funções impulso-resposta são discutidas no presente estudo. As especificações do VAR revelam normalidade, ausência de auto correlação e de homocedasticidade. Como consequência da entrada para a União Monetária Europeia, ocorrendo a substituição física da moeda, revela-se uma mudança de regime económico, mas também a grande crise for provada. Finalmente foi encontrada uma evidência bidirecional nas causalidades de Granger entre mercado de capitais e crescimento económico. Na verdade, o crescimento económico aparenta ser favorável para o sistema de crédito bancário, uma relação unidirecional foi encontrada desde o crescimento económico para o sistema de crédito bancário.
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Aldonsa, Tomaz Ravasco Rojão Ferreira. "Determinantes macroeconómicos do índice acionista PSI-20." Master's thesis, 2018. http://hdl.handle.net/10071/18704.
Full textAbstract:
Este trabalho tem como objetivo determinar de forma empírica, como é que os
determinantes macroeconómicos influenciam o índice acionista do PSI-20. Esta análise
econométrica de séries temporais é feita para o período compreendido entre o primeiro
trimestre de 2000 e o último trimestre de 2017. Considerando a literatura existente, foi
estimada uma equação para o índice PSI-20 usando o método econométrico ARDL. Esta
estimação utiliza oito variáveis independentes (PIB real, oferta monetária, brent, dívida
pública, Eurostoxx 50, taxa de inflação, taxa de câmbio efetiva e taxa de juro). Os
resultados indicam que o agregado monetário M3, o Eurostoxx 50, a taxa de inflação e a
taxa de câmbio efetiva têm um efeito positivo no índice PSI-20. As variáveis PIB, brent
e taxa de juro das OT’s a 10 anos exercem um efeito negativo no respetivo índice. A
dívida pública não exerce qualquer efeito no índice.This work aims to analyze, from an empirical point of view, how macroeconomic determinants influence the evolution of stock market index of PSI-20. This time series econometric analysis is performed for the period from the first quarter of 2000 and the last quarter of 2017. Taking into account the existing literature, we estimate an equation for the stock market index of PSI-20 using the ARDL econometric model. This estimation uses eight independent variables (real GDP, money supply, oil prices, public debt, Eurostoxx 50, inflation rate, effective exchange rate and interest rate). We conclude that money supply, Eurostoxx 50, inflation rate and effective exchange rate exert a positive impact on stock market index of PSI-20. GDP, oil prices and interest rate impact negatively in the respective stock market index. Public debt does not exert any effect on PSI-20.