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1
Zhang, Jian. "Market efficiency test in the VIX futures market." Laramie, Wyo. : University of Wyoming, 2008. http://proquest.umi.com/pqdweb?did=1798967041&sid=1&Fmt=2&clientId=18949&RQT=309&VName=PQD.
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Antoniou, A. "Futures markets : Theory and tests." Thesis, University of York, 1986. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.377303.
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Pal, Satyajit Banking & Finance Australian School of Business UNSW. "Profitability of butterfly trades in bond markets." Awarded by:University of New South Wales. Banking & Finance, 2007. http://handle.unsw.edu.au/1959.4/40713.
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The Efficient Market Hypothesis (EMH) has had significant impact on the theory and practice of investments. However technical trading rules have continued to be used by practioners and have been the focus of many academic studies which have focused on equity, foreign exchange and futures markets. The scarcity of research into technical trading models for fixed income markets is astonishing considering the significant size and consequent investor importance of fixed income markets relative to other financial markets and the extensive application of technical trading models by market participants. This is one of the few studies that develops a technical trading model applicable to fixed income markets. Black (1986) defined Efficient Markets as a market where deviations from fundamental values were short lived and small in magnitude. Fundamental asset values are hard to calculate, but we are able to identify fundamental values for a set of Government Bonds on the principle that yield relativities between such bonds are quite stable except for 'deliberate' changes in trading behaviour. We find that the deviations from fundamental value are short lived and small in magnitude. We exploit deviations from fundamental value by Butterfly Trading strategies; Normal Butterfly trades earning returns from movements in yield curve slope and curvature and Arbitrage Butterfly trades earning returns from yield curve curvature only. After considering transaction costs, we achieve annualised returns of 120bps from our Normal Butterfly trades and 72 bps from our Arbitrage Butterfly trades. Consistent with the risk-return relationship for financial instruments, we find that the returns and the volatility of returns for Normal Butterfly trades are higher than the returns and volatility of returns for Arbitrage Butterfly trades. Normal Butterfly trades are exposed to yield curve slope changes whereas Arbitrage Butterfly trades are not, resulting in higher risk and higher returns for Normal Butterfly trades. This finding is consistent with the results obtained by Fabozzi, Martellini and Priaulet (2005).
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Alexakis, Christos. "An empirical investigation of the efficient market hypothesis : the case of the Athens stock market." Thesis, University of York, 1992. http://etheses.whiterose.ac.uk/2488/.
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Fuggetta, Massimo. "Conventions and the stock market game." Thesis, University of Oxford, 1991. http://ora.ox.ac.uk/objects/uuid:80ac28d3-605a-45cf-b632-baca334211bf.
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Forecasting stock price movements is a notoriously difficult job. Were it not so, it would be easy to get richer. In this case, however, nobody would get poorer. But if nobody gets poorer, nobody will get richer. There are two ways to get out of this vicious circle. The first, and the more well-trodden, is the Efficient Market Theory (EMT), or: Everybody Understands Everything. The second is the Casino Market Theory (CMT), or: Nobody Understands Anything. This work is an attempt to bridge the gap between these two theories. In the first chapter the EMT is analysed in its fundamental constituents, while Chapter 2 contains a discussion of several empirical tests of the theory. Chapter 3 extends the EMT to incorporate variable risk premia and rational speculative bubbles and Chapter 4 presents the available empirical evidence on the extended model. The line of research based on the EMT paradigm is abandoned in Chapter 5, where the central principle of the EMT - the assumption of homogeneous investors with common priors - is investigated and challenged. The basis is there laid for an alternative view of the stock market game, which emphasises the conventional nature of investors' beliefs about future returns and is consistent with the view that stock market prices do not only reflect the fundamental value of underlying companies. In Chapter 6, the hypothesis that non fundamental information (in particular, past information) may have an influence on current stock prices is evaluated against monthly data relative to the US, UK, Japanese and Italian stock markets. Contrary to popular wisdom, we find that past information has a significant effect on current stock returns. Our evidence indicates that, as Keynes suggested in the General Theory, conventional beliefs play a crucial role in the stock market game.
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Monte, Brent M. "Chaos and the stock market." CSUSB ScholarWorks, 1994. https://scholarworks.lib.csusb.edu/etd-project/860.
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Koh, Sung Soo. "The Korean stock market structure, behavior, and test of market efficiency /." Online version, 1989. http://ethos.bl.uk/OrderDetails.do?did=1&uin=uk.bl.ethos.352906.
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Lam, Eric Campbell Full Yet. "Two essays on stock market anomalies /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?FINA%202009%20LAM.
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Dong, Wei, and 董炜. "Two essays on stock markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B50662211.
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This thesis contains two pieces of empirical study on market efficiency. The first essay tests the semi-strong form of market efficiency in the U.S. We use sell-side analyst target prices as publically available information and test the performance of a mean-variance optimized portfolio which is based on the Treynor and Black model. We focus on constituents of S&P 500 index as our sample universe. During the period of beck-testing from 2004 to 2010, we find that the dynamically rebalanced portfolio beats the market in 6 out of 7 years and that the strategy generates significant risk-adjusted abnormal returns.
In the second essay we study the post-earnings-announcement drift (PEAD) phenomenon, a well-documented market anomaly, on the French stock market. Our empirical study devises a difference-in-difference policy experiment to test if trading activities by individual investors contribute to the magnitude of PEAD. We exploit a recent policy reform on the French stock market, which significantly increased speculative trading costs of individual investors and reduced their trading activities. The impact of reform is found twice as large on individual contrarian traders than momentum traders. Using a group of unaffected stocks to control for potential non-experimental factors, we find magnitude of PEAD dropped significantly after the reform in the experimented group but not in the experimented group but not in the control group.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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Zhang, Hua, and 張華. "Investigating stock market efficiency in China." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B29946542.
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Borrego, Daniel Alexandre Bourdain dos Santos. "Efficient frontier and capital market line on PSI 20." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10462.
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Mestrado em FinançasEste trabalho faz a estimativa da Fronteira Eficiente de Markowitz e da Linha de Mercados de Capital para o mercado bolsista Português, considerando dois diferentes períodos, antes e depois da crise financeira de 2008. Os resultados mostram um forte impacto no GMV portfólio e no portfólio de mercado, com conclusões surpreendentes. A sensibilidade dos resultados perante a dimensão do período é também considerável.
This work estimates the efficient frontier of Markowitz and the capital market line for the Portuguese stock market, considering two different periods, before and after the 2008 financial crisis. The results show the strong impact on the global minimum variance portfolio and the market portfolio, with surprising conclusions. The sensitivity of the results to the period?s length is also considered and remarkable.
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Yuyuenyongwatana, Robert P. (Robert Privat). "Purchasing Power Parity and the Efficient Markets: the Recent Empirical Evidence." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc331946/.
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The purpose of the study is to empirically determine the relevance of PPP theory under the traditional arbitrage and the efficient markets (EPPP) frameworks during the recent floating period of the 1980s. Monthly data was collected for fifteen industrial nations from January 1980 to December 1986. The models tested included the short-run PPP, the long-run PPP, the EPPP, the EPPP with deviations from expectations, the forward rates as unbiased estimators of future spot rates, the EPPP and the forward rates, and the EPPP with forward rates and lagged values. A generalized regression method called Seemingly Unrelated Regression (SUR) was employed to test the models. The results support the efficient markets approach to PPP but fail to support the traditional PPP in both the short term and the long term. Moreover, the forward rates are poor and biased predictors of the future spot rates. The random walk hypothesis is generally supported.
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Riveros, Angela. "A test of short-termism in the New York stock exchange." Thesis, Georgia Institute of Technology, 1995. http://hdl.handle.net/1853/29513.
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McIntosh, Willard. "A Weak-Form Efficient Markets Test of the Dallas-Fort Worth Office Properties Real Estate Market." Thesis, North Texas State University, 1987. https://digital.library.unt.edu/ark:/67531/metadc331391/.
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Few areas of research in the finance literature have received greater attention than the efficient market hypothesis. Much of the research has been directed toward the securities market while very little research has been done in the real estate markets. The existing research on real estate market efficiency has been either descriptive or illustrative with very little empirical testing being performed. The major reason for the lack of empirical testing has been the inability to develop an adequate data base. The results of the empirical work that has been done do not support the widely held belief that real estate markets are inefficient. This study, using the autoregressive-integrative-moving average (ARIMA) time series analysis technique, tests the weak-form efficiency of the Dallas-Fort Worth office properties real estate market. According to the weak-form efficient market hypothesis, all price information should be capitalized into current real estate prices and not provide the basis for earning abnormal returns in trading. Price data formed from office building sales dating from January, 1979 to January, 1985 are used to test the market. The data was gathered from the files of several professional appraisal firms located in the Dallas-Fort Worth area. The transaction information includes (1) transaction price; (2) location of the property; (3) net rentable area; (4) gross income multiplier (GIM); (5) net income multiplier (NIM); and (6) net operating income. The results of the study indicate a lack of significant autocorrelation. This suggests that the Dallas-Fort Worth office properties real estate market is weak-form efficient. As further evidence of weak-form market efficiency, ARIMA models are estimated to predict future sales prices but they are unable to outperform a simple mean series forecast. The results indicate that a change in traditional real estate theory concerning market efficiency may be warranted.
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Jinxiang, Peng. "A new dimension to efficient market theory : Studying the relationship between discretionary accrual and stock returns for a better understanding of the EMH." Thesis, Umeå universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-101843.
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Mungai, Ruguru. "Using Efficient Market Theory and Behavioral Finance Theory to Investigate the Impact of Investor Confidence: Lessons from Global Financial Crises." University of the Western Cape, 2019. http://hdl.handle.net/11394/7600.
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Magister Commercii - MComThe drastic decline in stock prices on the 24th October 1929 sent a frantic wave of panic across the US. Merely a century later, on the 29th September 2008 another financial crisis hit the globe - this time leaving most countries devastated. The main objective of this study is twofold: 1) to determine whether leading indicators have sufficient predictive capacity to predict global financial crises; and 2) to use the Efficient Market Theory (EMT) and/ or Behavioural Finance Theory (BFT) as a means of developing a theory explaining the potential impact bad public announcements had on the level of investor confidence before the 1929 Great Depression and the 2008 Global Financial Crisis. This study was not only designed to qualitatively conceptualise the notion of the term “investor confidence” whilst drawing special attention to its frailty using the 1929 Great Depression and the 2008 Global Financial Crisis, but also assist governments, reserve banks and key institutions to develop effective strategies of mitigating the effects of the latter financial crisis as well as provide guidance on how another financial crisis can be prevented. This study extracted bad public announcements from 40 books and 60 journal articles using 6 NBER-based leading economic indicators (LEI) and 4 systematic risk-based leading non-economic indicators (LNEI) in order to: 1) qualitatively assess the extent to which leading indicators can be used to predict global financial crises 3 – 8 months in advance; and 2) use the EMT and/ or BFT to provide an explanation concerning the potential impact that bad public announcements had on the level of investor confidence before the 1929 Great Depression and the 2008 Global Financial Crisis.
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Martin, Xiumin. "Accrual persistence and accrual anomaly." Diss., Columbia, Mo. : University of Missouri-Columbia, 2007. http://hdl.handle.net/10355/4824.
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Thesis (Ph. D.)--University of Missouri-Columbia, 2007.The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on September 28, 2007) Vita. Includes bibliographical references.
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Chen, Tao. "Three essays on market efficiency on the Tokyo Stock Exchange : a microstructure-level analysis /." access full-text access abstract and table of contents, 2009. http://libweb.cityu.edu.hk/cgi-bin/ezdb/thesis.pl?phd-ef-b23749210f.pdf.
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Thesis (Ph.D.)--City University of Hong Kong, 2009."Submitted to Department of Economics and Finance in partial fulfillment of the requirements for the degree of Doctor of Philosophy." Includes bibliographical references (leaves 107-118)
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Martins, Inês Andrade. "The efficient frontier and the capital market line : the case of the Swiss stock market index." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14865.
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Mestrado em FinançasA crise dos créditos hipotecários de alto risco, que terá levado os investidores a perderem a sua confiança tanto nos bancos e no mercado como na economia norte-americana, trouxe consequências internacionais em todos os outros índices e mercados. Este projeto tem o objetivo estudar o impacto da crise num dos países mais desenvolvidos da Europa, o caso da Suíça - um país geralmente visto como neutro e quase imune a crises - em particular o estudo visa avaliar as mudanças presentes na bolsa. Assim, primeiramente a análise deste projeto foi dividida em dois períodos temporais de 1 de janeiro de 2001 a 31 de dezembro de 2008 e de 1 de janeiro de 2009 a 31 de dezembro de 2016. Posteriormente, o estudo foca-se em subperíodos mais curtos em torno da crise, com o intuito de analisar mais detalhadamente o seu impacto.
The subprime-crisis, which arguably led investors to lose their confidence in banks, in the market, and in the US economy, had international consequences in all indices and markets. In order to analyze the consequences of a crisis in one of the most developed countries of Europe, this project studies the case of Switzerland ? a country usually perceived as neutral and almost immune to crises - in particular it assesses the changes present in the Stock Market. The analysis is divided into two equal periods of time from January 1, 2001 to December 31, 2008 and from January 1, 2009 to December 31, 2016 firstly, and then the study focuses on shorter sub-periods around the crisis, to analyze the impact in more detail.
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Hur, Chang Soo. "Variance bound test : a new approach." The Ohio State University, 1985. http://rave.ohiolink.edu/etdc/view?acc_num=osu1269522789.
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Lepori, Gabriele M. "Three essays on behavioral finance." Diss., Connect to online resource - MSU authorized users, 2008.
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Lam, Weng-i. Janiver. "An examination of efficiency of the Hong Kong private housing market." Click to view the E-thesis via HKUTO, 1993. http://sunzi.lib.hku.hk/hkuto/record/B42574304.
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Ljungberg, Axel, and Anton Högstedt. "Modern Portfolio Theory Combined With Magic Formula : A study on how Modern Portfolio Theory can improve an established investment strategy." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104540.
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This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. Through the process of creating efficient frontiers and weighting the portfolios differently we create two alternative portfolios each year. One portfolio that aimsfor maximum Sharpe ratio and one that aims for minimum variance. These weighted portfolios produce higher risk-adjusted returns consistently during the examined period of 2010-2020. We conclude that the Magic Formula can be improved by using modern portfolio theory.
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Sauer, Knut. "Haftung für Falschinformation des Sekundärmarktes /." Frankfurt am Main [u.a.] : Lang, 2004. http://www.gbv.de/dms/spk/sbb/recht/toc/391834002.pdf.
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Costello, Greg. "Price discovery and information diffusion in the Perth housing market 1988-2000." UWA Business School, 2004. http://theses.library.uwa.edu.au/adt-WU2005.0034.
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[Truncated abstract] This thesis examines informational efficiency and price discovery processes within the Perth housing market for the period 1988-2000 by utilising a rich source of Western Australian Valuer General’s Office (VGO) data. Fama’s (1970) classification of market efficiency as potentially weak form, semi-strong, or strong form has been a dominant paradigm in tests of market efficiency in many asset markets. While there are some parallels, the results of tests in this thesis suggest there are also limitations in applying this paradigm to housing markets. The institutional structure of housing markets dictates that a deeper recognition of important housing market characteristics is required. Efficiency in housing markets is desirable in that if prices provide accurate signals for purchase or disposition of real estate assets this will facilitate the correct allocation of scarce financial resources for housing services. The theory of efficient markets suggests that it is desirable for information diffusion processes in a large aggregate housing market to facilitate price corrections. In an efficient housing market, these processes can be observed and will enable housing units to be exchanged with an absence of market failure in all price and location segments. Throughout this thesis there is an emphasis on disaggregation of the Perth housing market both by price and location criteria. Results indicate that the Perth housing market is characterised by varying levels of informational inefficiency in both price and location segments and there are some important pricing-size influences.
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Lam, Ka-ming. "Overreaction in Asia-Pacific index futures markets." HKBU Institutional Repository, 2009. http://repository.hkbu.edu.hk/etd_ra/1070.
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Jooste, Dirk. "South African security market imperfections." Thesis, Stellenbosch : University of Stellenbosch, 2006. http://hdl.handle.net/10019.1/3313.
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Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006.In recent times many theories have surfaced posing challenging threats to the Efficient Market Hypothesis. We are entering an exciting era of financial economics fueled by the urge to have a better understanding of the intricate workings of financial markets. Many studies are emerging that investigate the relationship between stock market predictability and efficiency. This paper studies the existence of calendar-based patterns in equity returns, price momentum and earnings momentum in the South African securities market. These phenomena are commonly referred to in the literature as security market imperfections, financial market puzzles and market anomalies. We provide evidence that suggests that they do exist in the South African context, which is consistent with findings in various international markets. A vast number of papers on the subject exist in the international arena. However, very few empirical studies on the South African market can be found in the public domain. We aim to contribute to the literature by investigating the South African case.
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Rocha, Emília Marília de Lima. "Security selection in post-modern portfolio theory : an application to the European stock market." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13094.
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Mestrado em FinançasNeste trabalho, comparamos as carteiras tangentes e carteiras de risco mínimo obtidas com a teoria moderna da carteira (MPT) e a teoria pós-moderna da carteira (PMPT) com o propósito de analisar as diferenças na seleção de ações. Baseamos o nosso estudo num conjunto de 16 ações do índice EURO STOXX 50 e estimamos os inputs com dados históricos entre 1997 e 2015. Para medir o risco na PMPT, usamos a semivariância em relação a três retornos alvo - 0, a taxa de juro sem risco e a taxa de retorno do mercado bolsista Europeu. Para atestar a robustez dos resultados, replicamos a análise estimando os inputs a partir de modelos de equilíbrio. Observamos que as carteiras da PMPT escolhem ações que exibem uma distribuição de retorno com assimetria positiva e/ou leptocúrtica. Adicionalmente, a composição destas carteiras privilegia ações com baixa semivariância, caracterizada por baixa frequência de retornos inferiores ao retorno alvo e/ou baixo desvio médio.
In this work, we compare tangent portfolios and minimum risk portfolios derived from the modern portfolio theory (MPT) and the post-modern portfolio theory (PMPT) to analyse the differences in stock selection. We base our study on a set of 16 stocks included in the EURO STOXX 50 index and estimate inputs from historical data since 1997 until 2015. To measure risk in PMPT, we use semivariance in relation to three target returns - 0, the risk-free rate and the European stock market return. To attest the results' robustness, we replicate the analysis estimating inputs from equilibrium models. We find that PMPT's portfolios select stocks that display return distributions with positive skewness and/or leptokurtosis. Additionally, these portfolios' composition favors stocks with low semivariance, characterized by low downside frequency and/or average downside deviation.
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Lam, Weng-i. Janiver, and 林穎怡. "An examination of efficiency of the Hong Kong private housing market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B42574304.
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Karlsson, Viktor, and Emil Nygren. "Beating the Swedish Market : A dynamic approach to Value Investing using Modern Portfolio Theory." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16465.
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Previous research has confirmed the existence of a value premium in a wide array of markets and using this value stock anomaly has yielded superior performance. This thesis investigates if one could take advantage of the existence of a value premium to deploy a dynamic investment strategy on the Swedish stock market (OMXS30) with focus on minimizing risk to achieve higher risk adjusted performance than the stock market index. The investment strategy implemented use Market-to-Book-Value to screen for both entry and exit signals and Modern Portfolio Theory, using the minimum-variance portfolio with short-selling constraints, to allocate assets within the portfolio. The investment strategy is evaluated using the Modigliani-Modigliani Risk Adjusted Performance measure. Conclusions from the thesis are that the strategy does outperform the Swedish stock market index, both in terms of nominal return and risk-adjusted performance. The suboptimal behaviour of investors where they overreact to signals and unconsciously rely on heuristics is used to explain why this is possible. Market-to-Book-Value, using the first quartile as entry signal and third quartile as exit signal, is considered to be a successful key ratio to screen for value stocks.
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Henzlová, Pavla. "Testování teorie efektivních trhů." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-202049.
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This thesis is focused on testing the weak effectiveness of the US, Japanese, German and Czech market in the period 1995 - 2015. The first part contains a theoretical basis for the theory of efficient markets, the conditions, characteristics and models. Further test methods of weak market efficiency are presented and semistrong and strong effectiveness mentioned. The practical part deals with the introduction of tested stock exchange indices and by testing the weak effectiveness of these markets through tests of randomness, variance ratio test and serial correlation.
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Dempsey, Stephen J. "Partitioning market efficiencies by analyst attention: the case of annual earnings announcements." Diss., Virginia Polytechnic Institute and State University, 1985. http://hdl.handle.net/10919/53866.
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This study addresses the empirical question of heterogeneous market efficiency characteristics, specifically as they are attributable to divergent levels of professional securities analyst attention. As a significant group of information intermediaries, analyst institutions conceivably influence, in a profound manner, the efficiency with which security prices respond to new information. Consistent with this notion is the hypothesis that the securities of firms which are neglected in terms of analyst coverage exhibit price inefficiencies relative to their closely followed counterparts.
Two market efficiency constructs with respect to annual earnings announcements are examined in this study. Preannouncement information efficiency is guaged by the degree to which security prices appear to lead or anticipate the information content of subsequent public earnings releases. Such price behavior is indicative of the market's ability to acquire and, process interim, signals that are relevant to the determination of proper and timely security valuations. Postannouncement, or semi-strong-form, efficiency is in turn referenced by the relative absence of anomalous "drifting" patterns in postdisclosure returns. The presence of significant drifts is inconsistent with a market that adjusts quickly and unbiasedly to signals that are transmitted publicly.
Sample firms taken from the NYSE are ranked into three groups according to their relative following by the professional securities analyst community. Analyst attention is surrogated by the number of investment houses providing annual earnings per share forecasts for companies listed in the Institutional Brokers Estimate System (IBES) computer file. The delineation of the three attention concentration groups' relative efficiency profiles is accomplished by means of two uniquely derived metrics that restate cumulative abnormal returns (CAR's) into an ordered domain of pre- and postannouncement efficiency structures. The CAR's are derived from dailly price data immediately surrounding annual earnings announcement dates for the calendar years ended 1976 through 1982. Owing to the nonnormal distributional properties of the inefficiency metrics, two nonparametric procedures are employed to detect group mean differences.
The results overwhelmingly indicate that both pre- and postannouncement efficiency are positively associated with professional analyst attention. Moreover, the detected efficiency differences cannot be attributed to firm size effects or to the extent of the market's forecast error -- two factors that have previously been established in the empirical literature to be associated with event period CAR magnitudes.Ph. D.
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Chitimira, Howard. "A comparative analysis of the enforcement of market abuse provisions." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1015008.
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Market abuse practices may directly or indirectly give rise to diverse problems such as inaccurate stock market prices, low public investor confidence, reduced market integrity and poor efficiency in the affected financial markets. This thesis reveals that three major forms of market abuse, namely insider trading, prohibited trading practices (trade-based market manipulation) and the making or publication of false, misleading or deceptive statements, promises and forecasts relating to listed securities (disclosure-based market manipulation) are prohibited in South Africa. However, although South Africa has had market abuse legislation for about 30 years, and must be commended for its great effort to enhance market integrity by combating market abuse practices, the enforcement of such legislation is still problematic. Moreover, in spite of the fact that there is no empirical data or accurate figures quantifying the occurrence and extent of market abuse activities in the South African financial markets, this thesis submits that market abuse practices are still to be completely eradicated. Accordingly, this thesis suggests that the aforementioned problem might have been aggravated by inter alia, various gaps, flaws and/or inconsistent implementation and enforcement of the market abuse legislation in South Africa. To this end, the anti-market abuse enforcement framework under the Securities Services Act 36 of 2004 is analysed to investigate its adequacy. The co-operation and role of the Financial Services Board, the courts, the Directorate of Market Abuse and other relevant stakeholders is also examined and discussed. Moreover, the co-operation between the Financial Services Board and similar international agencies is discussed to gauge its effectiveness in relation to the combating of cross-border market abuse practices. The adequacy of the awareness and preventative measures in place to curb market abuse practices is also investigated to determine whether such measures are robust enough to combat other new challenges that were posed by the 2007 to 2009 global financial crisis. Furthermore, a comparative analysis is undertaken of the enforcement of the market abuse prohibition in other jurisdictions, namely the United States of America, the United Kingdom, the European Union and Australia. This was done to investigate the relevant lessons that can be learnt or adopted from these jurisdictions. The thesis further discusses the adequacy of the recently introduced provisions of the Financial Markets Bill as well as the subsequent market abuse provisions of the Financial Markets Bill 2012. The thesis highlights that the aforementioned Bills are positive attempts by the policy makers to improve the enforcement of the market abuse provisions in South Africa. Nonetheless, the thesis reveals that most of the shortcomings contained in the Securities Services Act 36 of 2004 were duplicated in the Financial Markets Bill and the Financial Markets Bill 2012. In light of this, it remains to be seen whether the market abuse provisions contained in the Financial Markets Bill and/or the Financial Markets Bill 2012 will improve the combating of market abuse practices in South Africa. Consequently, it is hoped that the relevant market abuse provisions of the Securities Services Act 36 of 2004, the Financial Markets Bill and/or the Financial Markets Bill 2012 will be comprehensively reviewed in regard to the recommendations made in this thesis. To this end, the thesis proposes a viable anti-market abuse model and policy framework and sets out both policy objectives and provisions which policy makers could use to strengthen some of the market abuse provisions in South Africa.
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Landström, Joachim. "The theory of Homo comperiens, the firm’s market price, and the implication for a firm’s profitability." Doctoral thesis, Uppsala universitet, Företagsekonomiska institutionen, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8268.
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This thesis proposes a theory of inefficient markets that uses limited rational choice as a central trait and I call it the theory of Homo comperiens. The theory limits the alternatives and states that the subjects are aware of and only allow them to have rational preference relations on the limited action set and state set, i.e. limited rationality is introduced. With limited rational choice, I drive a wedge between the market price and the intrinsic value and thus create an arbitrage market. In the theory, the subjects are allowed to gain knowledge about something that they previously were unaware of. As the discovery proceeds, the arbitrage opportunities disappear, and the market prices regress towards the intrinsic values. The theory is applied to firms and market-pricing models for a Homo comperiens environment is a result. The application of the theory to firms also leads to testable propositions that I test on a uniquely comprehensive Swedish accounting database that cover the years 1978—1994. Hypotheses are tested which argues that risk-adjusted residual rates-of-returns exist. The null hypotheses argue that risk-adjusted residual rates-of-returns do not exist (since they assume a no-arbitrage market). The null hypotheses are rejected in favor of their alternatives at a 0.0 percent significance level. The tests use approximately 22,200 observations. I also test hypotheses which argue that risk-adjusted residual rates-of-returns regress to zero with time. The null hypotheses are randomly walking risk-adjusted residual rates-of-returns, which are rejected in favor of the alternative hypotheses. The hypotheses are tested using panel regression models and goodness-of-fit tests. I reject the null hypotheses of random walk at a 0.0 percent significance level. Finally, the results are validated using out-of-sample predictions where my models compete with random-walk predictions. It finds that the absolute prediction errors from my models are between 12 to 24 percent less than the errors from the random walk model. These results are significant at a 0.0 percent significance level.
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Ren, Peter. "An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis." Thesis, University of North Texas, 2015. https://digital.library.unt.edu/ark:/67531/metadc801929/.
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This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominated options on the Euro trading on the Philadelphia Stock Exchange (PHLX). Second, this study attempts to investigate the magnitude of any discrepancies that may exist due to a temporary cessation of either put-call parity or lower boundary conditions. Intraday (tick-by-tick) bid prices, ask prices, and trading volume on U.S. dollar denominated European style call options and put options on the Euro are obtained. Option data is collected through a Structured Query Language (SQL) request from the Bloomberg database. Corresponding tick-by-tick spot rates for the underlying exchange rate are obtained for the same time period. Tick-by-tick 3-month Treasury bill rates are obtained to for use as the relevant risk-free interest rate. The primary data set spans an approximate one month period from 11/1/2011 to 12/6/2011. Call and option pricing data for near-the-money exercise prices are obtained for options expiring in December 2011, January 2012, February 2012, March 2012, June 2012, and September 2012. A total of 7,212 ticks (minutes) are analyzed for the conversion strategy and 7,209 ticks are analyzed for the reversal strategy. The data is structured into an unbalanced panel data set (cross-sectional time series data) using put-call pairs as the cross sectional units and ticks as the time-series unit. To test the efficiency of the foreign exchange options market, lower boundary and put-call parity conditions were tested on tick-by-tick currency option data. Analysis shows that lower boundary conditions hold for the overwhelming majority of options, with less than 0.0001% of violations for the observed options. A more detailed econometric analysis was prepared to test the put-call parity condition for currency options. A fixed effects model specification is used to describe the put-call parity relationship. Based on the analysis, it is possible to obtain arbitrage profits in the short run through the use of either a conversion or reversal strategy even after accounting for transaction costs. Taking the first differences of the variables resulted in a model with stationary variables and statistically significant estimators. The inclusion of dummy variables for moneyness did not add significant explanatory power to the deterministic put-call parity relationship. For both first differences of conversion and reversal strategies, the large t-statistics for the slope coefficients and intercept terms indicate a rejection of the null hypothesis, H0: λ0 = 0 and λ1 = 1 after adjusting for standard error. This implies that once transaction costs are adjusted for, put-call parity does not hold. However, the intercept term is only very slightly negative, and the intercept term is only slightly less than one in both cases. This implies that when put-call parity is violated, arbitrage profit should be relatively small.
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Garcia, Elda Aimee Perez. "Stock price reaction to merger and acquisiton [i.e. acquisition]." View electronic thesis, 2008. http://dl.uncw.edu/etd/2008-3/r3/garciae/eldagarcia.pdf.
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Muller, Stacey Leigh. "The impact of internal behavioural decision-making biases on South African collective investment scheme performance." Thesis, Rhodes University, 2015. http://hdl.handle.net/10962/d1020308.
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Market efficiency, based on people acting rationally, has been the dominating finance theory for most of the 20th and 21st Century’s. This classical finance theory is based on assumptions that people are rational, they absorb all available information and maximise utility. This view is outdated; it has been shown that people are in fact irrational and that this could be the cause of anomalies in the market. Behavioural finance takes into account people, and their natural biases. Behavioural finance has integrated classical financial theories and psychological theories to illustrate the way in which irrational people can impact market efficiency. This research looks at the way collective investment scheme manager decision-making can impact market efficiency. Specifically the behavioural biases: overconfidence, over optimism, loss aversion and frame dependence and whether or not collective investment scheme performance is affected by these. This research was carried out using a questionnaire distributed directly to CIS managers and risk-adjusted returns were used in order to allow for comparative results. The results from the questionnaire show evidence that actively managing South African CIS managers do indeed suffer from overconfidence and loss aversion and they do not appear to suffer from frame dependence or over optimism in this research context. There was also evidence showing that managers who suffer from these biases also demonstrated lower investment returns. “The investor’s chief problem, and even his worst enemy, is likely to be himself.” - Benjamin Graham
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Na, Suk-Kwon. "Ownership structure and firm performance in Korea /." free to MU campus, to others for purchase, 2002. http://wwwlib.umi.com/cr/mo/fullcit?p3074431.
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Shayesteh, Ebrahim. "Efficient Simulation Methods of Large Power Systems with High Penetration of Renewable Energy Resources : Theory and Applications." Doctoral thesis, KTH, Elektriska energisystem, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-158946.
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Electrical energy is one of the most common forms of energy these days. Consequently, electric power system is an indispensable part of any society. However, due to the deregulation of electricity markets and the growth in the share of power generation by uncontrollable renewable energies such as wind and solar, power system simulations are more challenging than earlier. Thus, new techniques for simplifying these simulations are needed. One important example of such simplification techniques is the power system reduction. Power system reduction can be used at least for four different purposes: a) Simplifying the power system simulations, b) Reducing the computational complexity, c) Compensating the data unavailability, and d) Reducing the existing uncertainty. Due to such reasons, power system reduction is an important and necessary subject, but a challenging task to do. Power system reduction is even more essential when system operators are facing very large-scale power systems and when the renewable energy resources like hydro, wind, and solar have a high share in power generation. This thesis focuses on the topic of large-scale power system reduction with high penetration of renewable energy resources and tries to pursue the following goals: • The thesis first reviews the different methods which can be used for simplifying the power system studies, including the power system reduction. A comparison among three important simplification techniques is also performed to reveal which simplification results in less error and more simulation time decrement. • Secondly, different steps and methods for power system reduction, including network aggregation and generation aggregation, are introduced, described and discussed. • Some improvements regarding the subject of power system reduction, i.e. on both network aggregation and generation aggregation, are developed. • Finally, power system reduction is applied to some power system problems and the results of these applications are evaluated. A general conclusion is that using power system simplification techniques and specially the system reduction can provides many important advantages in studying large-scale power systems with high share of renewable energy generations. In most of applications, not only the power system reduction highly reduces the complexity of the power system study under consideration, but it also results in small errors. Therefore, it can be used as an efficient method for dealing with current bulk power systems with huge amounts of renewable and distributed generations.The Doctoral Degrees issued upon completion of the programme are issued by Comillas Pontifical University, Delft University of Technology and KTH Royal Institute of Technology. The invested degrees are official in Spain, the Netherlands and Sweden, respectively. QC 20150116
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Leth, Anton, and Jakob Vikström. "INVESTMENT ADVICE FROM INSIDERS : The impact of Insider Trading on Long-Term IPO Stock Performance in Sweden." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172642.
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This thesis analyzes and evaluates the relationship between insider trading and the long-term stock performance of Initial Public Offerings (IPO) in Sweden. The study looks at firms that recently conducted an IPO and how the stock performance of the firm is impacted by insiders making transactions in their own stock. An IPO is known to generate high returns on its first day on the public stock market, but to underperform the market in the long term. The characteristics of an IPO are deviant from the rest of the stock market, and with less information available to the public compared to other firms, the IPO market is hard to navigate for investors. Transactions made by insiders in the share of their own company is usually seen as guidance in public companies. An insider purchase is usually followed by a positive stock return, and insiders selling shares have the opposite impact. The aim of this thesis is to investigate if the information provided by insider transactions can be used to create a potential trading strategy for IPOs. Through statistical analysis, a negative relationship is found between the insider trading and IPO long-term stock performance, indicating that insider buying shares are connected to lesser stock performance. This contradicts previous research regarding insider trading in seasoned firms and opens up for discussion. By implementing a theoretical framework, a deeper analysis of the proposed relationship is be made. This study concludes that the negative relationship between insider trading and long-term IPO stock performance is not directly caused by insider trading itself. Instead, it is a result of insiders making poor investment decisions due to outside pressure and behavioral factors.
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De, La Guarda Vargas María Angélica. "El efecto del efficient market theory sobre las decisiones de asesores financieros: ¿por qué creemos que somos mejores inversionistas de lo que de verdad somos?" Bachelor's thesis, Universidad del Pacífico, 2020. http://hdl.handle.net/11354/2670.
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En la investigación se toma como base la Teoría del Mercado Eficiente, la cual señala que los precios de los valores dentro de los mercados financieros siguen un proceso random walk al tener un ajuste total e instantáneo ante cambios informacionales, llevando al precio a una situación de equilibrio, en dónde obtener mayores retornos de un portafolio se encuentra asociado necesariamente a tomar más riesgos. Partiendo de este contexto, ¿por qué los financistas siguen creyendo que se puede vencer al mercado? Los resultados se presentan en función a dos hipótesis de las finanzas conductuales: el Efecto de Disposición, y un exceso de confianza sobre las habilidades del agente financiero.
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Sosa, Laguna Alejandra, and Chávez Elizabeth Jannet Castillo. "El efecto del efficient market theory sobre las decisiones de asesores financieros : ¿por qué creemos que somos mejores inversionistas de lo que de verdad somos?" Bachelor's thesis, Universidad del Pacífico, 2020. http://hdl.handle.net/11354/2652.
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Por años se ha discutido si la estrategia más efectiva para invertirlo es la gestión pasiva o la activa. La gestión pasiva consiste en seguir el comportamiento del mercado, mientras que la gestión activa consiste en tomar decisiones de inversión para intentar superar o vencer al mercado. La teoría de mercados eficientes formulada por Eugene Fama en 1970 sostiene que los precios de los valores reflejan toda la información disponible y, dado que todos los participantes tienen acceso a la misma información, nadie podría obtener beneficios adicionales. Entonces ¿por qué creemos que somos mejores inversionistas de lo que de verdad somos? Los estudios en finanzas conductuales analizan los efectos de sesgos psicológicos sobre el proceso de toma de decisiones de los inversionistas. Se encontró que los inversores están sujetos a muchos sesgos y errores cognitivos, como el exceso de confianza, la aversión a la pérdida, los sesgos de confirmación, de atribución y de retrospección. En este sentido, el presente trabajo de investigación plantea como hipótesis que existen diferentes factores psicológicos que tienen un impacto en el proceso de toma de decisiones de inversión de los agentes.
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Fakhry, Bachar. "Impact of the crises on the efficiency of the financial market : evidence from the SDM." Thesis, University of Bedfordshire, 2015. http://hdl.handle.net/10547/565811.
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The efficient market hypothesis has been around since 1962, the theory based on a simple rule that states the price of any asset must fully reflect all available information. Yet there is empirical evidence suggesting that markets are too volatile to be efficient. In essence, this evidence seems to suggest that the reaction of the market participants to the information or events that is the crucial factor, rather than the actual information. This highlights the need to include the behavioural finance theory in the pricing of assets. Essentially, the research aims to analyse the efficiency of six key sovereign debt markets during a period of changing volatility including the recent global financial and sovereign debt crises. We analyse the markets in the pre-crisis period and during the financial and sovereign debt crises to determine the impact of the crises on the efficiency of these financial markets. We use two GARCH-based variance bound tests to test the null hypothesis of the market being too volatile to be efficient. Proposing a GJR-GARCH variant of the variance bound test to account for variation in the asymmetrical effect. This leads to an analysis of the changing behaviour of price volatility to identify what makes the market efficient or inefficient. In general, our EMH tests resulted in mixed results, hinting at the acceptance of the null hypothesis of the market being too volatile to be efficient. However, interestingly a number of 2017 observations under both models seem to be hinting at the rejection of the null hypothesis. Furthermore, our proposed GJR-GARCH variant of the variance bound test seems to be more likely to accept the EMH than the GARCH variant of the test.
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Vargas, Cáceres Nancy, and Lam Kelly Hiunyinh Wu. "El efecto del efficient market theory sobre las decisiones de los asesores financieros : ¿por qué creemos que somos mejores inversionistas de lo que de verdad somos?" Bachelor's thesis, Universidad del Pacífico, 2020. http://hdl.handle.net/11354/2657.
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Después de la Crisis Financiera de 2008, han surgido diversas investigaciones que buscan explicar las causas, consecuencias y las lecciones alrededor de este suceso. De manera específica, la comunidad académica ha tomado interés en revisar la condición de este mercado. El presente trabajo pretende evidenciar que, tomando el Crush 2008, los asesores financieros son capaces de generar ganancias solo en el corto plazo, debido a que el mercado de inversiones es eficiente. Para tal efecto, se ha revisado la literatura y el consenso académico para la Crisis de 2008. Específicamente, en base a lo expuesto por Minsky (1992) sobre la eficiencia del mercado financiero se concluye que no es posible “ganarle” al mercado de manera sostenida. Es decir, los momentos donde los inversionistas son cautelosos, conducen a que el policy maker instaure medidas que lleven a dinamizar el mercado y este a su vez a generar booms de inversiones que estallarán en una Crisis Financiera. Puntualmente sobre lo ocurrido en el 2008, los resultados de la crisis Puntocom de 2000 y los sucesos terroristas de 2001 condujeron a que el Federal Reserve System baje la Tasa de Interés de Referencia a 1%. Dadas estas condiciones se generaron incentivos para el desarrollo de nuevos instrumentos financieros con el fin de que todo aquel que desee adquirir una obligación con los bancos, sin considerar su condición crediticia, sea capaz de hacerlo. En esta coyuntura inició la Crisis Financiera como medida para que el mercado vuelva al equilibrio general.
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Lindberg, Per. "Långsiktiga samband mellan aktiemarknader : En kointegrationsanalys av den svenska aktiemarknaden och fyra etablerade aktiemarknader." Thesis, Mid Sweden University, Department of Social Sciences, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:miun:diva-11807.
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I denna magisteruppsats undersöks eventuella långsiktiga samband mellan den svenska aktiemarknaden och aktiemarknaderna i Tyskland, Storbritannien, USA och Japan. Detta sker genom en kointegrationsanalys med Engle-Grangers metod. Undersökningen omfattar åren 1992-2010 och resultaten visar inga tecken på att det skulle existera några långsiktiga samband mellan den svenska aktiemarknaden och någon av de utländska aktiemarknaderna. Resultaten ger därmed indikationer om att den svenska aktiemarknaden tillsammans med de utländska aktiemarknaderna i undersökningen är kollektivt effektiva i åtminstone den svaga formen enligt Fama (1970). Då inga långsiktiga samband existerar bör även portföljdiversifiering mellan den svenska aktiemarknaden och de utländska aktiemarknaderna i undersökningen fungera effektivt på lång sikt.
In this master thesis the Engle-Granger method for cointegration analysis is used to examine long-term relationships between stock markets. The analysis is applied on Swedish stock market together with the stock markets in Germany, United Kingdom, United States and Japan. The result shows no significant signs of any form of long-term relationships between the Swedish and the foreign stock markets for the time period 1992 to 2010. The result therefore indicates that the Swedish stock market together with the foreign stock markets in the study is collectively efficient in at least the weak form according to Fama (1970). The result also indicates that portfolio diversification through investing in the Swedish stock market together with any of the foreign stock markets should be effective in the long run.
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Gleisner, Mattias, and Karoline Edström. "Bitcoin som diversifiering : En kvantitativ studie som undersöker korrelationen mellan bitcoin och finansiella tillgångar." Thesis, Umeå universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-137433.
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Pengar har under en lång tid spelat en central roll i människans samhälle och dagens samhälle präglas av allt mer handel. Utifrån detta har nya betalningsmetoder utvecklats. En förändring i konsumentbeteendet har bidragit till att allt fler individer väljer elektroniska betalningstjänster. En relativt ny innovation är kryptovalutan bitcoin som erbjuder betalning mellan köpare och säljare utan inblandning av en tredje part. Ett flertal studier har gjorts med syftet att fastställa om bitcoin är en valuta eller en tillgång, något som visat sig vara svårt. Något som varit tydligare är att bitcoins värdeförändringar inte tycks vara korrelerad med andra investeringsalternativ. I en studie av Brière et al. (2015) drogs slutsatsen att bitcoin är en intressant tillgång för en investerare tack vare bitcoins låga korrelationskoefficient med andra tillgångar. Denna studie grundar sig i de teoretiska utgångspunkterna om Famas (1970) hypotes om den effektiva marknaden, Markowitz (1952) moderna portföljteori och Rogers (2003) teori om spridning av innovationer. Med detta som utgångspunkt är syftet med denna studie att undersöka hur korrelationskoefficienten mellan bitcoin och traditionella investeringstillgångar som aktier, valutor och råvaror ser ut idag samt hur dessa har förändrats över tid. Med hjälp av Famas (1970) teori om effektiva marknader och Rogers (2003) teori om spridning av innovationer kommer en diskussion om huruvida bitcoins egenskaper som investering i den moderna portföljen har förändrats i takt med att bitcoin blivit mer använd, både som betalningsmedel och investeringsalternativ. För att besvara dessa frågor undersöks korrelationskoefficienterna mellan bitcoin och elva andra tillgångar i kombination med en analys av en deskriptiv statistik. Med en undersökningsperiod som sträcker sig från 18 augusti 2011 till 17 mars 2017. Denna period har även delats upp i mindre tidsperioder för att utifrån detta analysera om det skett några förändringar i korrelationen mellan bitcoin och de traditionella tillgångarna i studien. Resultatet visade att bitcoin inte är korrelerad med andra traditionella tillgångar, oavsett vilken tidsperiod som undersöks. Det visade sig att bitcoin i förhållande till andra tillgångar är en riskfylld investering på grund av bland annat en hög volatilitet. Dock kompenseras detta av bitcoins höga årlig avkastning. Av resultatet framgår det även att volatiliteten för bitcoin har minskat med tiden och att kryptovalutan inte är lika riskfylld idag jämfört med tidigare.
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Saric, Olle, and Pontus Lyngsten. "Investigating Real Earnings Management in the Relationship between Stock Returns and Top Management Stock Ownership." Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-184320.
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In this thesis the relationship between company performance and top management stock ownership in the Swedish market was examined. As well as conducting research on the influence real earnings management has on company performance, and how real earnings management relates to the top management stock ownership. The study was based on a quantitative approach with secondary data that was retrieved from Eikon Refinitiv database, where the data stretched back from 2018-2020. This research found no clear relationship between the main concepts under investigation, that is stock ownership of top management and stock returns. The authors explain this by the sampling method in this research only include companies with share holdings. Furthermore, compared to other studies looking this research considers multiple market capitalizations who may operate differently. Finally, there is a suspicion in the field of research that the relationship between the two is not of a linear nature as such a linear methodology will not find any clear results. In conclusion, this research could be added to the list that does not find a relationship between the above stated variables to the literature which could further be applied to the Swedish market. In terms of real earnings management, a strong negative influence was found on share returns. The authors suggest that this finding can be used as a basis to form investment strategies through monitoring the occurrence of REM to predict when insiders are going to buy and sell. Through pursuing this strategy, it may be possible to create superior return as this study found support for the semi-strong form of market efficiency. Unfortunately, this study found no clear guidance of resolving agency issues. Rather it was concluded that shareholdings in the top management does not resolve agency problems given the occurrence of REM. The management most likely benefit from this through trading the company stock. However, further investigation on the topic should be conducted as it seems that alignment using holdings become more or less effective at certain levels of management share ownership. Furthermore, the notion that American ways of agency alignment may not be appropriate in the Swedish market was considered but no clear conclusion could be made in this research.
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Marashdeh, Hazem Ali. "Financial integration of the MENA emerging stock markets." Access electronically, 2006. http://www.library.uow.edu.au/adt-NWU/public/adt-NWU20061025.155946/index.html.
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Thesis (Ph.D.)--University of Wollongong, 2006.Typescript. "Middle East and North Africa (MENA) region, namely, Egypt, Turkey, Jordan and Morocco." -- Abstract. Includes bibliographical references: leaf 247-261.
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Yilmaz, Emre, and Shakir Husain. "Hitting a BRIC Wall : MIST countries becoming the new BRICs?" Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-18374.
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The purpose of this study is to examine a completely new phenomenon called the MIST, by two portfolios: the Goldman Sachs Next 11 equity fund, and the Goldman Sachs BRIC fund, in order to establish whether or not the MIST countries are a better investment decision in terms of risk, return and growth. Furthermore, the study examines in which form these emerging markets lies in terms of market efficiency, and if the random walk theory is present. The opportunities and challenges for Mexico, Indonesia, South Korea and Turkey are also brought upon to determine whether these countries have the potential to exhibit the same success as the BRIC countries did for a decade. Since the growth of the BRIC countries are slowing down, Jim O’Neill, the same founder of the term BRIC, coined the nations MIST. The BRIC countries are facing several difficulties and have led investors to draw out from these countries stocks. Investors that were pouring in money to the BRIC countries during the period 2001-2009, have from 2011, withdrawn 15 billion dollars from the BRIC stocks. Mexico, Indonesia, South Korea and Turkey. Derived from the next eleven countries, these countries have a major effect on the global economy due to their economical and political circumstances. For many investors, the MIST countries that are growing faster than the BRIC are regarded to be the new biggest emerging markets. Investing in BRIC funds are stated to be a disaster today, while on the other hand, the MIST countries are growing and outpacing the BRIC fund. The methodology used was to compare two different portfolios, Goldman Sachs N-11 equity fund in the period 2011-2013 against the Goldman Sachs BRIC fund in two different periods, 2011-2013 and 2006-2008 with S&P 500 as the market index. In addition, a hypothesis test was carried out for this period to observe whether or not to reject the null hypothesis. The results of this study shows that the null hypothesis was rejected and that the N-11 equity fund is a better investment decision, in terms of risk, return and growth today. These emerging markets are under the weak form market efficiency and the random walk theory is present in the N-11 equity fund. This makes the authors’ results more of a speculation than a definite conclusion about the future, as one cannot "beat the market".
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Kábrt, Tomáš. "Komplexní zajištění akciového portfolia." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-198075.
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This diploma thesis is devoted to the problem of creating a portfolio of shares. First part is focused on the characterization of shares - classes of shares and rights associated with them. The second chapter compares the Efficient market theory and Behavioral approach, as the two opposing schools of thought. The third chapter gradually introduces fundamental analysis, from the global analysis through the analysis of an industry to the analysis of a particular company. Furthermore, this work focuses on the Value investment approach, that is based on fundamental analysis. On the basis of several criteria are particular stocks selected to the portfolio. The intensity of these criteria is then tested in the relationship with the resulting number of selected stocks. The conclusion of the fourth chapter is devoted to the issue of discounts and premiums that are trying to take into account specific factors of securities, which should be reflected into their prices.