Dissertations / Theses on the topic 'Equity market'
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1
Jackson, Andrew Rhys. "Market participant behaviour and equity market dynamics." Thesis, London Business School (University of London), 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.408644.
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Papavassiliou, Vassilios. "Essays on equity market microstructure." Thesis, Queen's University Belfast, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.527887.
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Fong, Joseph Kam Wah. "Market manipulation in seasoned equity offerings." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ63420.pdf.
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4
Ong, Marcus Alexander. "Foundations of equity market leverage effects." Thesis, University of Warwick, 2014. http://wrap.warwick.ac.uk/66718/.
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This thesis examines the Leverage Effect in stocks, stock indices and stock options. The Leverage Effect refers to the observed negative correlation between an asset’s return and its volatility. Part I presents an examination of the Leverage Effect at the stock level. The research provides the first investigation of stock returns, volatility and trading volumes from an information theoretic perspective. It finds support for trading volumes as an explanation for the stock level Leverage Effect and shows that index returns are also an important factor. It also analyses how trading behaviour is influenced by an investor’s risk preference and how this relates to return-volume correlation. Predictions of an analytical model of trading behaviour are verified empirically using a range of stocks and institutional trades in S&P500 stocks. Part II examines the Leverage Effect at the index level. The research supports previous findings that the Leverage Effect is far larger at the index level and decays more quickly. Again using an information theoretic analysis, it shows that it is driven by a combination of trading volumes and an asymmetric relationship between index returns and stock return correlations. Part III examines the time variation of the Leverage Effect at the stock and index levels. It shows that they are both time dependent and discusses the relationship between the stock and index levels. It also documents changes in market behaviour since the 2008 financial crisis. Part IV examines the Leverage Effect in stock options by developing a descriptive statistical model of implied volatility using multivariate q-Gaussian distributions. This is the first research to show that implied volatility can be modelled using q-Gaussian distributions and provides a tool for trading and risk management. It also shows how the multivariate q-Gaussian distribution could be used to generate virtual data for scenario testing and option pricing using a simple Markov Chain or Auto-regressive process. Finally PartV presents the conclusions of the thesis and avenues for future research.
5
Eom, Chanyoung. "Seasoned equity offerings and market volatility." Thesis, University of Oregon, 2011. http://hdl.handle.net/1794/11558.
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x, 51 p. : ill.New equity shares are sold for raising capital via a primary seasoned equity offering (SEO). In their 2010 article, Murray Carlson, Adlai Fisher, and Ron Giammarino discovered an intriguing relationship between market volatility and primary SEOs, namely that the volatility decreases before a primary SEO and increases thereafter. This pattern contradicts the real options theory of equity issuance for investment. In this study, I examine in greater detail whether the pre- and post-issue volatility dynamics are related to the probability of issuing new equity. I find little evidence that the decision to conduct a primary SEO depends on changes in market volatility after controlling for previously recognized determinants of SEOs. This reconciles the volatility finding of Carlson et al. with the real options theory of equity issuance for investment. I also examine secondary SEOs, in which only existing equity shares are sold and therefore no capital is raised by the firm. For secondary SEOs, real options theory makes no predictions about risk changes around the events. I find that market volatility tends to decline before a secondary SEO, a finding which warrants further attention.
Committee in charge: Dr. Roberto Gutierrez, Chair; Dr. Ekkehart Boehmer, Member; Dr. Wayne Mikkelson, Member; Dr. Jeremy Piger, Outside Member
6
Alagidede, Paul. "Market efficiency and stock return behaviour in Africa's emerging equity markets." Thesis, Loughborough University, 2008. https://dspace.lboro.ac.uk/2134/8093.
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The widespread creation of stock markets in developing countries is one of the most conspicuous features of international financial development in the past three decades. The number of stock markets in Africa increased from only six before 1989 to 21 by 2004. The quest for long-term capital for development and the increasing role played by stock markets in the efficient allocation of resources made the stock market culture inevitable in most cases. 'Africa's emerging markets represent a fast growing part of the world economy, and empirical evidence suggests that they have low, even negative, correlations with the more developed financial markets. Thus inclusion of African assets in a mean-variance efficient portfolio could significantly reduce portfolio volatility and increase expected returns. In spite of these facts, little is known about Africa's markets. Although the Efficient Markets Hypothesis (EMH) has been with us for nearly five decades, and knowledge of stock return behaviour has been accumulating in emerging market economies of Asia and Latin America, Africa's markets continue to escape the attention of the research community. This thesis contributes to our knowledge of the dynamic behaviour of stock returns in Africa's biggest markets (South Africa, Egypt, Nigeria, Kenya, Tunisia and Morocco). The novelty of this study rests on applying a variety of econometric techniques and which leads to the following conclusions: Weak form efficiency is rejected for all the markets; however, this is discussed with reference to the institutional characteristics of the markets studied (i. e., capitalisation, turn over, liquidity and information and legal architecture). Seasonal patterns exist in African stock returns: however, with appropriate specification, they tend to disappear, and where they are significant, they tend to be unexploitable. We also show that Africa's markets are not well integrated, regionally, and globally. While this evidence calls for more openness to trade and policy coordination, it also implies that Africa's markets can play a role in diversifying investment risk. Finally, stock prices tend to provide a hedge to investors against rising consumer prices over a relatively long period of time.
7
Wu, Juan. "Essays on equity prices and market structures." Thesis, [College Station, Tex. : Texas A&M University, 2007. http://hdl.handle.net/1969.1/ETD-TAMU-1509.
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Ray, Rina. "Three essays on the primary equity market." [Bloomington, Ind.] : Indiana University, 2007. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3277977.
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Thesis (Ph.D.)--Indiana University, Kelley School of Business, 2007.Source: Dissertation Abstracts International, Volume: 68-09, Section: A, page: 4005. Advisers: Gregory F. Udell; Xiaoyun Yu. Title from dissertation home page (viewed May 5, 2008).
9
Chen, Jing. "Three essays on the Chinese equity market." Thesis, University of Aberdeen, 2011. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=165867.
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This thesis presents three essays on the Chinese equity market. Specifically I focus on the long run common trends and microstructure of the market after a set of regulatory events that surrounded a trading reform in 2001. The major goal of the thesis is to establish the interaction between the composition and medium of the transaction environment and the overall observed trends within the market at the aggregate level. In Chapter 2, I present a model of common trends amongst the Chinese equity market segments and implement a robust test for cointegrating relations. In Chapter 3, I derive a multivariate linear rational expectations model in the presence of heteroscedasticity and information asymmetry. In Chapter 4, I implement this theoretical model for A and B share cross listed stocks on the Shanghai stock exchange and impute the model parameters. Whilst these chapters concentrate on China, the methodology and economic rationale are of practical relevance to all countries and most types of traded securities.
10
Iliev, Radoslav. "Stock market correlations and cross-equity holdings." Honors in the Major Thesis, University of Central Florida, 2012. http://digital.library.ucf.edu/cdm/ref/collection/ETH/id/569.
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The objective of this research is to find how world stock markets correlate with each other and what causes that correlation. Multiple dependent variables that may have a high impact on correlations are tested, with a particular focus on cross-equity holdings. All the variables but one tested significant at the accepted 90% confidence level. The model showed a negative relationship between equity holdings and stock market correlation. The results may inspire further research with more in depth analysis of international equity holdings and investor behavior in world stock markets.B.A.
Bachelors
Business Administration
Economics
11
Arild, Elinor, and Ann Iren Haave. "Investor Behavior in the Norwegian Equity Market." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for industriell økonomi og teknologiledelse, 2014. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-26158.
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We examine investor behavior in the Norwegian equity market by studying two behavioral finance phenomena: The Disposition Effect and Herd behavior. Both utilize market data from Oslo Stock Exchange. This thesis will contribute to the existing literature on investor behavior by including evidence from Norway, characterized as a developed market. In the disposition effect paper, the methodology employed on the data examines the relationship between volume at a given point in time, and volume that took place in the past at different stock price levels. In the second paper focusing on herd behavior, a model that analyses the relationship between cross-sectional absolute deviations of asset returns and the corresponding market returns is used for the main part, while the final part combines the volume perspective from the disposition effect study with relevant assumptions for detecting herd behavior. The empirical analysis of the disposition effect presents scattered evidence, suggesting that the disposition effect exists to some extent in Norway. In addition, the evidence for tax-loss-selling, representing the opposite prediction of the disposition effect, is limited. Equivalently, by using the cross-sectional approach for detecting herd behavior we find no evidence of herding in the Norwegian market. In addition, no significant signs of herding are found in the investigation of herding through a volume perspective. Our results for the disposition effect and herd behavior in Norway suggests that they are not powerful factors in determining equity returns and volumes in the market, coinciding with similar empirical research on developed markets. This can partly be explained by sufficient access to diverse information and investment opportunities on individual stocks, and partly by the lack of comprehensive empirical models.
12
Shin, Sungchul S. M. Massachusetts Institute of Technology. "Is there momentum in Korean equity market?" Thesis, Massachusetts Institute of Technology, 2017. http://hdl.handle.net/1721.1/112020.
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Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2017.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 47-48).
Momentum, whereby past returns are positively associated with future returns, has been documented in most of global equity markets. However, momentum is known to be relatively mild in East Asian equity markets. The momentum strategy does not yield significant returns in the Korean equity market until the early 2000s but does so afterwards. Momentum arises in the Korean equity market as foreign investment increases. Stocks that have a higher proportion of foreign investment exhibit stronger momentum. Similar to other global equity markets, the momentum strategy in Korea is stronger for small stocks and over intermediate horizons, and does not persist for long.
by Sungchul Shin.
S.M. in Management Research
13
Sachelarie, Vlad. "Improvements on the equity indexed annuity market." The Ohio State University, 2002. http://rave.ohiolink.edu/etdc/view?acc_num=osu1037997764.
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Sachelairie, Vlad. "Improvements on the equity indexed annuity market." Columbus, Ohio : Ohio State University, 2002. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1037997764.
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Thesis (Ph. D.)--Ohio State University, 2002.Title from first page of PDF file. Document formatted into pages; contains xii, 81 p. Includes abstract and vita. Advisor: Bostwick Wyman, Dept. of Mathematics. Includes bibliographical references (p. 81).
15
Hon, Tow Siew Mark. "Aspects of market efficiency : an investigation of the UK equity market." Thesis, University of Bristol, 2001. http://hdl.handle.net/1983/d9cf9a7f-7b17-4968-96a2-09effffdc6ed.
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Baek, Kiwoong 1960. "Economic modeling of Korean private equity market through comparisons of market structures and investment strategies between the Korean and American private equity market." Thesis, Massachusetts Institute of Technology, 2004. http://hdl.handle.net/1721.1/17852.
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Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2004.Includes bibliographical references (leaves 198-202).
Modem capitalist societies depend on entrepreneurship for their progress. Entrepreneurs seek profits by introducing new goods, services, and technologies and, in doing so, they advance the economic welfare of society. To maintain and further entrepreneurial activities, each society requires a well-organized resource allocation system that can distribute resources to selected industries or firms. The private equity market is an efficient resource allocation system that provides equity capital to the firms not quoted in the stock market. However, a private equity market is difficult to develop not only due to the high risk characteristics of the market but also because of the needs to establish value added infrastructure and to change the current financial mechanisms as the capital market evolves. The government plays one of the most important roles in initiating a new type of capital market, the private equity market. Significant changes and evolution in the development of private equity markets are typically preceded by changes in the regulatory system (deregulation), tax structure, monetary policy, government policy, and/or pension fund operations. Different starting points lead to different paths of market development. However, many countries have tried to introduce private equity markets with various degrees of success. These attempts highlight the fact that different schemes of private equity market structure are necessary for each country. They will, however, converge into one economic model with efficient and effective resource allocation system in the long run. This thesis analyzes the development history, development strategy, and current situation of the private equity industry in Korea and compares it to
(cont.) the overall situation in leading global countries-specifically, United States. It ultimately delivers recommendations for government policy and investment strategies in Korea and discusses economic modeling aimed at providing guidelines on how to successfully introduce a new private equity market in a certain country to serve as a resource allocation system. Through this thesis, I found that Korea's venture capital industry made an unprecedented economic improvement on the basis its economic recovery after the Korean financial crisis and the introduction of government supporting programs and the KOSDAQ stock market. The KOSDAQ stock market created the third largest market capitalization in the world emerging stock markets. In just eight years, this emerging stock market became a leading trading center in OECD countries due to government driven policies of the previous 22 years. It stimulated the shifting of economic growth engines from large firms to small technology firms in Korea. But after the IT bubble collapsed in 2000, it also experienced long re-adjustment period. Korea's venture capital market seems to have entered into a transitional period from the more government driven system, characterized by corporate venture capital firms, to a market driven system, characterized by limited partnerships, from which the US venture capital market evolved in the 1980s. The Korean venture capital market seems to be about 20 years behind the US market in terms of its economic maturity. The current Korean market situation is similar to that of the American market in the early 1980s ...
by Baek Kiwoong.
M.B.A.
17
Ozberki, Izzet Mehmet. "Is The Turkish Equity Market Integrated With European North American And Emerging Markets." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/12611962/index.pdf.
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Modern portfolio theory stipulates that an investor can reduce systemic risk simply by diversifying its assets across national boundaries. Therefore, the issue of whether stock markets are cointegrated carries important implications for portfolio
diversification. This study aims to identify and model a relationship between four equity markets namely, Turkish, European, North American and emerging markets using cointegration technique. We investigated the existence of cointegrating equation between four stock market indices and also the existence of a structural break. During our investigation, we constructed a vector error correction model (VECM) to observe short and long run relationships between the four markets. We used daily data from the October 23, 1995 until November 20, 2009 and relevant Morgan Stanley Capital International (MSCI) indices, namely MSCI Turkey, MSCI North America, MSCI Europe and MSCI Emerging Markets. Our first finding was that the Turkish equity markets are cointegrated with European, North American and emerging markets indicates that investing in the Turkish equity market does not provide an opportunity for risk diversification for international investors in the long run. It is only possible to
benefit from the discrepancies which may occur in the short run. Furthermore, we identified a structural break contemporaneous with crisis of November 2000.
18
Violaris, Antonis M. "Tests of capital market integration/segmentation : the case of the European equity markets." Thesis, Durham University, 1999. http://etheses.dur.ac.uk/1439/.
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Chan, Kelly Australian Graduate School of Management Australian School of Business UNSW. "Accounting-based composite market multiples and equity valuation." Awarded By:University of New South Wales. Australian Graduate School of Management, 2010. http://handle.unsw.edu.au/1959.4/44596.
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In this study I investigate the potential improvement in multiple-based valuations from using composite valuations based on price to earnings and price to book ratios against their respective individual ratios and actual price in terms of their predictive accuracy against future price. It is motivated by the popularity of accounting-based market multiples used by practitioners in valuation activities with little published research documenting the absolute and relative performance of composite multiples and its vulnerability to manipulation by biased analysts. First, I generate benchmark multiples using a multiple regression approach and in turn these benchmark multiples are used in the generation of composite valuations. Second, I incorporate firm characteristics such as anticipated growth and financial positions in the development of these composite valuations. Third, I investigate any further improvement in predictive accuracy from enterprise value to sales ratio which is less subjective to accounting policy choices and conservative accounting. The main results support the hypothesis that composite benchmark multiples lead to improved valuations over single multiples and further improvement is achieved by incorporating the potential growth rate and financial condition in the composite benchmark multiples. In particular, the three ratio regression-based composite multiples with the growth and the financial condition factor has the smallest mean and median absolute valuation errors. Findings remain unchanged when the analysis is based on December fiscal year end firms and using a parsimonious model in the estimation regression. However, the analysis of mispricing reveals that the valuation model might be useful in settings where market price is not available, such as initial public offerings and court valuation of private firms where a valuation is needed due to strong evidence that high positive pricing errors identify subsequent high returns.
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Röhrs, Alexander. "Equity market cointegration in the extended European Union." Marburg Tectum-Verl, 2006. http://deposit.d-nb.de/cgi-bin/dokserv?id=3042727&prov=M&dok_var=1&dok_ext=htm.
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Röhrs, Alexander. "Equity market cointegration in the extended European Union /." Marburg : Tectum, 2007. http://www.gbv.de/dms/zbw/555690601.pdf.
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GOMES, RICARDO MAGALHAES. "DIVIDENDS, TAXES AND RETURNS IN BRASILIAN EQUITY MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=4387@1.
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A política de distribuição de dividendos têm despertado o
interesse de economistas deste século e nas últimas cinco
décadas foi objeto de uma intensa modelagem teórica e de
testes empíricos. Um grande número de modelos é conflitante
entre si (todos sem grande suporte empírico), e definem as
tentativas de explicar o comportamento da distribuição de
lucros. Buscaremos explicar o comportamento, fazendo uma
análise empírica da distribuição de dividendos no mercado
brasileiro.The politics of distribution of dividends has been an important matter of economists of this century and in last the five decades. It was object of an intense theoretical modeling and empirical tests. A great number of models are conflicting among thenselves(all without great empirical support), and define the attempts to explain the behavior of the distribution of profits. We will try to explain the behavior, making an empirical analysis of the dividends distribution, in the brazilian equity market.
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CANALINI, ALEXANDRE DE ALMEIDA. "THE DEVELOPING PRIVATE EQUITY INVESTMENT IN BRAZILIAN MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2007. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=9858@1.
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O segmento das participações privadas vem funcionando com
sucesso
nos países desenvolvidos. Graças à maturidade alcançada
por esta modalidade
de investimento nestes mercados, esses empreendimentos
passaram a ter
relevância também nos países em desenvolvimento. No
Brasil, entretanto, o
segmento de participações privadas não se desenvolveu como
esperado. Assim,
o objetivo deste estudo foi o de conhecer as principais
razões do não
desenvolvimento das participações privadas no mercado
nacional. Pesquisas
bibliográficas e de campo, apontaram cinco principiais
fatores que dificultaram o
desenvolvimento deste tipo de investimento no país nos
últimos 15 anos. Foram
eles: (a) a dificuldade que o investidor encontra para
sair de investimentos,
principalmente devido a um mercado de capitais pequeno,
poucos compradores
estratégicos e dificuldade para abertura de capital; (b) a
elevada taxa de juros,
que aumenta o custo de oportunidade e restringe o fomento
de capital para o
setor produtivo; (c) a instabilidade política e a
econômica, que colocam em
dúvida o destino do país e afastam investimentos de longo
prazo e alto risco; (d)
a ineficiência do poder judiciário, inapta para avaliar
rapidamente disputas e a
falta de instrumentos alternativos para fazer avaliações e
tomar decisões; (e) a
informalidade da cadeia produtiva, que cria ambientes onde
os concorrentes não
pagam impostos gerando desvantagens competitivas. Apesar
destes problemas
a perspectiva para investimentos das participações
privadas no país é boa,
porém, condicionada à manutenção da estabilidade
econômica, crescimento
econômico, alternativas para saída de investimentos,
modernização do poder
judiciário e melhoria da legislação vigente.There has been a global growth in the private equity segment over the last fifteen year. The current levels of global liquidity have facilitated the capital flows and emerging countries have been among the beneficiaries. Brazil, has been slow to develop in the private equity segment. Therefore, the objective of this study is to uncover the main factors that have arrested the development of this sector of the capital market in the country in the past 15 years. Research on specialized bibliography and interviews allowed us to pinpoint the five main factors: (a) difficulties to exit investments, due to a small market, shortage of strategic buyers and difficulties in creating an open capital market; (b) high interest rates, which increase costs and reduce applications in production; (c) economical and political instability, which generates uncertainty and scares investors; (d) inefficiency and slowness of the judicial system, unable to efficiently settle disputes and, the lack of alternative instruments, such as arbitration chambers, to evaluate and resolve disputes; (e) the informality of the production chain, that creates an environment of unfair competition which, in turn, dampens productivity and economic growth. Despite all these problems, the professionals believe that there could be room in the Brazilian market for the development of the private equity segment. However, before this can happen, conditions such as, stability of the economy and economic growth, better alternatives to exit businesses, modernization of the judiciary and improvement of the legislation have to be attained.
24
Cai, Minnan. "The Chinese equity market : characteristics, microstructure and efficiency." Thesis, University of Leeds, 2005. http://etheses.whiterose.ac.uk/621/.
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The purpose of this research is to examine various issues about market efficiency and market microstructure in the Chinese equity market. Where. to date, there has been relatively little attention. Specifically. this thesis intends to answer the following questions. Is the Chinese equity market efficient? If not, has it been evolving towards efficiency over the years? What are the intraday patterns of price behaviour? Which trades move prices? Finally, does Chinese investors' psychology have effects on prices? In order to answer these questions four sets of empirical analysis have been undertaken. The first study investigates the evolution of China's stock market via analysing the ongoing predictive ability and profitability of simple, well known technical trading rules. The results suggest that while technical trading rules had short term predictive ability and profitability in the Chinese stock markets during the 1990's, this lessened as the markets evolved. The second research study documents the intraday variation in bid-ask spreads, trading volumes and volatility. The findings suggest that the existence of the intraday anomalies is not due to the peculiarities of the US markets. However, the shape of the intraday patterns in order-driven markets is different from those in quote-driven markets, which suggests a need for new theoretical models. The third area of work examines which trades move prices by testing three hypotheses: stealth trading, public information and price manipulation hypotheses. The results show that while medium and large-size trades are associated with disproportionately cumulative price changes, it is the large-size trades which have the largest effect on cumulative price increases. Aligned with the concerns noted by some eminent individuals in China, there seems to be price manipulation in China's stock market. The final research area studies the influence of Chinese cultural factors on price clustering and resistance. The results show a higher propensity of clustering on the digit 8 and lower propensity on digits 4 and 7, which is consistent with the preference for number 8 and the avoidance of numbers 4 and 7 in Chinese culture. The results suggest that investors' psychology does have effects on prices. This research hopes to help academics and practitioners understand better the market efficiency and the trading behaviour in the Chinese equity market. Especially, it has implications for policy makers and regulators who involve in the design of an efficiency market.
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Buchanan, Lauren J. "The Success of Long-Short Equity Strategies versus Traditional Equity Strategies & Market Returns." Scholarship @ Claremont, 2011. http://scholarship.claremont.edu/cmc_theses/286.
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This study examines the performance of long-short equity trading strategies from January 1990 to December 2010. This study combines two financial screens that will yield candidates for both long and short positions for each month during the aforementioned time period. Two long-short strategies are tested: (1) perfectly-hedged, or equal allocation to long and short positions, and (2) net-long. The results of this thesis reveal that if a long-short equity manager is able to successfully determine what companies are overvalued and undervalued and actively rebalance their portfolio, perfectly-hedged and net-long strategies can generate superior risk-adjusted alpha.
26
Kuo, Weiyo. "Essays on equity style and asset management." Thesis, University of Cambridge, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.324848.
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FitzGerald, Adrian. "Time variations in equity returns." Thesis, University of Edinburgh, 2009. http://hdl.handle.net/1842/3276.
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Investors accept that there is uncertainty, or risk, associated with equity investment returns. Consequently, equities are normally priced so that they provide a premium to the returns available on risk-free investments. Equity returns, however, are cyclical. There can be long periods when equity returns greatly exceed risk-free returns; there can be long periods when the premium disappears altogether. This thesis explores the influences and driving forces in equity markets, with a particular emphasis on the UK equity market. Both rational and irrational influences are examined and discussed. A General Literature Review examines the general progression in academic thinking in the area of equity pricing over four decades and takes a close look at the concepts of market efficiency and the challenges mounted by behavioural finance. The “equity risk premium puzzle” is also examined. Chapters 3 to 6 contain empirical studies of the variation in UK equity returns over time from four angles. The chapters look, respectively, at: macro-economic influences on the equity market; the relationship between equity returns and market volatility; the impact of variation in risk-free returns; a full decomposition of both ex-ante and ex-post equity returns. Reassuringly, the results confirm that the UK equity market is driven, in the main, by economic factors. However, the results also indicate that the full set of influences on the equity market is complex. The analyses undertaken suggest that significant swings occur in the risk premium element of expected equity returns. The results also suggest that there are periods when the UK equity market may be in disequilibrium with other financial markets. It is not the contention that many of the puzzles that have confronted equity market researchers over recent decades are now resolved by the analyses undertaken and presented in this thesis. It is to be hoped, however, that a useful platform has been built from which further investigation and analysis can be taken forward. In particular, it is suggested that comprehensive surveys of long-term expectations could lead to a better understanding of equity market mechanisms.
28
Wagener, Martin [Verfasser], and R. [Akademischer Betreuer] Riordan. "Trading in European Equity Markets : Fragmentation and Market Quality / Martin Wagener. Betreuer: R. Riordan." Karlsruhe : KIT-Bibliothek, 2011. http://d-nb.info/1017321949/34.
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Shafie, Abdul Ghani. "The structural relationship between stock market returns and macroeconomic variables in international equity markets." Thesis, University of Stirling, 1991. http://hdl.handle.net/1893/2251.
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This study is concerned with investigating the structural relationship between stock markets and economic variables in different countries. In investigating the relationships, the following six questions are posed:- Are stock markets in the United States, the United Kingdom, West Germany, France, Norway, Japan, Singapore, Malaysia, Australia and South Africa related to each other and do they influence each other? Does the level of any relationship change over time? Are variables representing economic activity in each country related to similar variables in the other countries? Does the level of any economic relationship change over time? Are the comovements of both equity markets and economic indicators consistent? and Are stock markets examined in this study influenced by similar common underlying factors? The empirical results suggest positive answers to these questions. The main findings from the study suggest that equity returns are related and although some markets have a higher degree of similarity, the covariance between international equity returns remain stable over the short period but tend to change in the long run. It is also found that economic variables of different countries are related in a consistent way to the equity markets. Finally it is shown that stock prices in each country are systematically affected by similar economic factors.
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Lucey, Brian M. "Calendar seasonality in the Irish equity market, 1988-1998." Thesis, University of Stirling, 2003. http://hdl.handle.net/1893/26675.
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Detection of 'anomalies', empirical regularities that are inexplicable within a preeminent or accepted paradigm, is a key aspect of the operation of scientific endeavour. The dominant theories of financial economics, those deriving from the CAPM/APT literature, hold that there should not exist persistent differences in the returns to assets across calendar frequencies. An extensive review of the literature reveals that in a wide variety of assets and markets there is evidence that returns differ according to the calendar frequency, in particular across days of the week and months of the year and around recurrent holidays. However, this review also reveals considerable room for increased methodological and statistical sophistication. In particular, the nature and extent of the data indicate that techniques based on robust regression, non-parametric statistics and Bayesian inference are more appropriate than the predominantly OLS based approaches displayed in the literature. Papers that adopt these more sophisticated approaches generally find much weaker evidence for such calendar anomalies. In essence, the Irish Stock Exchange operated free from exchange controls and in a broadly homogenous monetary and economic environment from 1988 to 1998. Daily returns from 1988 to 1998, on official equity indices, and from 1993 to 1998 on equal and value weighted equity indices, are examined. The evidence is that even when more sophisticated and appropriate techniques are used there is still some evidence for a daily pattern in the returns to these indices. However this pattern is dissimilar to that found elsewhere, consisting of a midweek positive peak as opposed to the more commonly found low returns at the start of the week and higher returns on Friday. This pattern is not a function of the settlement system, does not appear to be related to the pattern of either microeconomic (firm-specific) or macroeconomic information releases, nor does it appear to be a function of endogenous news generation. Previous international research indicates a January peak in returns, while previous research on the Irish market had also found an April peak. While the investigation here of the monthly pattern of returns confirms, in a statistically and methodologically robust manner, the January peak no evidence is found of an April peak. Examination of the return pattern around exchange holidays indicates that, in common with other markets referenced in the literature, there is a rise in returns before a holiday. However, on decomposition into local and international components we find that although the local effect is strong this effect is negative, which is a major point of departure from previous research findings.
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Tong, Xiao. "Creation of brand equity in the Chinese clothing market." Diss., Columbia, Mo. : University of Missouri-Columbia, 2006. http://hdl.handle.net/10355/4367.
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Thesis (Ph. D.) University of Missouri-Columbia, 2006.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 August 9, 2007) Vita. Includes bibliographical references.
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Low, Buen Sin. "Equity warrant pricing - empirical evidence from Malaysia KLSE market." Thesis, University of Manchester, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.616998.
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An equity warrant gives the holder the right to buy a fixed number of underlying shares at a specified price before the warrant's maturity date. This is similar to call options. The similarities allow practitioners and researchers to adopt the Black-Scholes (BS) model developed by Black & Scholes (1973) to approximate the value of equity warrants. However, there are several features of equity warrants that differ from normal call options on shares. These features can have important implications on valuing warrants using the BS model. They include: • Potential dilution effect on share value and management control. • The long time to maturity of warrant at the time of issuance. This poses a challenge to a number of assumptions in the BS model, specifically the assumption of constant instantaneous volatility, constant risk-free interest rate and a perfect knowledge of the dividend size and the timing of ex-dividend date. This study focuses on two special aspects of equity warrant, i.e. its potential dilution effect on equity value and the potential impact of the long maturity period on the constant volatility assumption in warrant pricing. A warrant pricing model that incorporates a flexible stochastic volatility process on an equity return and adjusted for potential dilution effect was proposed. It is a model based on the stochastic volatility option pricing model derived by Hull & White (1988). The impact of potential dilution effect on the pricing error results from the use of the BS model to price equity warrants is studied. The necessity of incorporating a stochastic volatility and/or a stochastic interest rate process into the pricing model is then analysed. Empirical tests that compares the performance of several warrant pricing models - Simple BS Model, Dilution Adjusted BS Model, Free-9 Dilution Adjusted Constant Elasticity Variance Model and Dilution Adjusted Stochastic Volatility Model are carried out.
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Sun, Yuxin. "UK equity market microstructure in the age of machine." Thesis, University of Edinburgh, 2018. http://hdl.handle.net/1842/31413.
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Financial markets perform two major functions. The first is the provision of liquidity in order to facilitate direct investment, hedging and diversification; the second is to ensure the efficient price discovery required in order to direct resources to where they can be best utilised within an economy. How well financial markets perform these functions is critical to the financial welfare of every individual in modern economies. As an example, retirement savings across the world are mostly invested in capital markets. Hence, the functioning of financial markets is linked to the standard of living of individuals. Technological advancements and new market regulations have in recent times significantly impacted how financial markets function, with no period in history having witnessed a more rapid pace of change than the last decade. Financial markets have become very complex, with most of the order execution now done by computer algorithms. New high-tech trading venues, such as dark pools, also now play outsized roles in financial markets. A lot of the impacts of these developments are poorly understood. In the EU particularly, the introduction of the Markets in Financial Instruments Directive (MiFID) and advancements in technology have combined to unleash a dramatic transformation of European capital markets. In order to better understand the role of high-tech trading venues in the modern financial markets' trading environment generally and in the UK in particular, I conduct three studies investigating questions linked to the three major developments in financial markets over the past decade; these are algorithmic/high-frequency trading, market fragmentation and dark trading. In the first study, I examine the changing relationship between the price impact of block trades and informed trading, by considering this phenomenon within a high-frequency trading environment on intraday and inter-day bases. I find that the price impact of block trades is stronger during the first hour of trading; this is consistent with the hypothesis that information accumulates overnight during non-trading hours. Furthermore, private information is gradually incorporated into prices despite heightened trading frequency. Evidence suggests that informed traders exploit superior information across trading days, and stocks with lower transparency exhibit stronger information diffusion effects when traded in blocks, thus informed block trading facilitates price discovery. The second study exploits the regulatory differences between the US and the EU to examine the impact of market fragmentation on dimensions of market quality. Unlike the US's Regulation National Market System, the EU's MiFID does not impose a formal exchange trading linkage or guarantee a best execution price. This has raised concerns about consolidated market quality in increasingly fragmented European markets. The second study therefore investigates the impact of visible trading fragmentation on the quality of the London equity market and find a quadratic relationship between fragmentation and adverse selection costs. At low levels of fragmentation, order flow competition reduces adverse selection costs, improves market transparency and enhances market efficiency by reducing arbitrage opportunities. However, high levels of fragmentation increase adverse selection costs. The final study compares the impact of lit and dark venues' liquidity on market liquidity. I find that compared with lit venues, dark venues proportionally contribute more liquidity to the aggregate market. This is because dark pools facilitate trades that otherwise might not easily have occurred in lit venues when the spread widens and the limit order queue builds up. I also find that informed and algorithmic trading hinder liquidity creation in lit and dark venues, while evidence also suggests that stocks exhibiting low levels of informed trading across the aggregate market drive dark venues' liquidity contribution.
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Lebre, Frederico Salazar. "The Fed policy announcement effect on the equity market." Master's thesis, NSBE - UNL, 2009. http://hdl.handle.net/10362/9505.
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsFed Policy announcements have always created controversy when analyzing its effects on asset prices. This project analyzes the relationship between the Fed announcements and the stock market’s return. We use an econometric methodology suggested by Kenneth Kuttner (2000) that uses the futures market to divide the announcement in two parts the expected and unexpected component. The relationship between the equity market reaction and the Fed policy announcements has shown to be statistically significant. A considerably negative reaction of the equity market has been observed in response to an unexpected announcement by the Federal Reserve while the expected part of the announcement revealed to have no effect on the equity market. This relation was also tested for the existence of asymmetries and cross industry effect.
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Soares, Sílvia Leal. "Intraday volatility: evidence from the Euronext Lisbon equity market." Master's thesis, NSBE - UNL, 2009. http://hdl.handle.net/10362/9650.
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsDaily stock price volatility is found to be significanlty and frequently different whether measured via successive open or close prices. This induced different authors to the analysis of the volatility behaviour during the trading session in several important Stock Exchanges around the globe. This paper focuses on the analysis of the Portuguese case. The major finding is that intraday volatility tends to depict a U-shaped curve for the average variance of returns measured during the trading session. This has important implications for regulators and practioners since it suggests that prices discovered both at the opening and at the closing periods may not clearly reflect the market dynamics around these two moments. Few reasons are predicted for such misrepresentation. This analysis covers the main share index - PSI 20 - and three individual shares selected from different industrial sectors and with different levels of liquidity.
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Tedford, Emily Grace. "The Disposition Effect in the U.S. Equity Options Market." Ohio University Honors Tutorial College / OhioLINK, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=ouhonors1460313705.
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Benzennou, Bouchra. "The market microstructure of stock futures and equity options." Thesis, Bangor University, 2017. https://research.bangor.ac.uk/portal/en/theses/the-market-microstructure-of-stock-futures-and-equity-options(74b04d92-a88d-40af-a8a1-0e8600246972).html.
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This thesis investigates aspects of the market microstructure of single stock futures (SSF) and equity options. The first empirical chapter studies the intraday patterns of time-weighted bid-ask spreads, volatility, and the number of quotes. For SSF contracts traded in London and Lisbon, the chapter reports statistical evidence of intraday features in the three variables. The overall results reveal U-shapes in spreads, volatility (except for the Lisbon market), and the number of quotes, implying a concentrated demand to trade and an increase in order execution costs at the open and close, as spreads are wider and volatility is higher. Moreover, the chapter’s results suggest that the impact of US news announcements is evident in the London SSF market, causing it to be less liquid and more volatile. The second investigation tests the hypothesis that traders use SSF as a substitute instrument for short-selling, in which case they will shift to SSF trading when short-sales are banned. A significant increase in the trading activity of SSF in the London market during the 2008-9 ban period is documented, accompanied by narrower spreads, i.e. higher liquidity. Volatility did not react to the ban which suggests that the increase in trading activity did not weaken SSF market quality. The quality of the underlying market in the presence of SSF is also assessed and the results suggest that SSF neither improve nor worsen the underlying assets’ liquidity, volatility and volume over the ban period. The findings offer important insights into the effectiveness of regulatory interventions on short-selling. The third empirical chapter investigates the existence of common aggregate factors driving liquidity across different markets. The evidence suggests that liquidity across different European equity options markets co-moves. Similar results are observed for commonality in liquidity across options and SSF markets, implying that liquidity in different derivative markets concurrently moves in the same direction. These findings are relevant to investors when timing their hedging, speculation, or arbitrage strategies.
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Wendt, Mariana Dalla Barba. "International private equity funds strategies in the Brazilian market." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/10900.
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The Private Equity Market in Brazil has flourished in the last two decades, and international Funds have been entering the market since then. The activity of these enterprises and how they deal with institutional voids that are present in the brazilian market and the all spheres of distances they have with Brazil are investigated in this research. What are the main challenges for those players in the local market and how private equity functions in Brazil? The first chapter reviews all the literature that concerns private equity in their home countries, such as the United States and Spain (Europe) and Brazil. It also discourses about the concept of private equity in all its different senses, the routine of investees and how is the relationship between Private Equity Fund and Investee. In addition to that, the due diligence process is also explained as well as the private equity sector in Brazil and its regulation. Moreover, the distance between countries and how it affects business is presented followed by the concepts of institutional voids. For the inquiry proposed interviews were conducted in order to capture the perspective of International Private Equity Funds on the Brazilian market. Advent International, The Carlyle Group and Mercapital replied to the inquiries and provided the tools so a picture of the sector was developed. This sector has a range of challenges and opportunities and requires the International Fund to establish a local branch in order to really succeed in the market. The results of this project pointed out to the challenges the market presents and how International Private Funds are coming about it. There are definitely gaps that need to be fulfilled however the industry is going in the right direction. Revenues may change its nature in the next couple of years, however from the Private Equity Fund perspective Brazil has been a worthwhile investment. Nonetheless, it is important to question the vision also of the investee and institutional investor so one can have the entire picture of the sector.
O Mercado de Private Equity no Brasil tem se desenvolvido bastante nas últimas duas décadas e fundos internacionais têm penetrado a indústria desde então. A atuação destas empresas e como elas lidam com as deficiências institucionais brasileiras e todos as dimensões de distanciamento que encontramos entre os seus mercados de origem e o Mercado brasileiro são pesquisados neste trabalho. Qual são os principais desafios para estes atores no Mercado local de Private Equity e como a atuação dos mesmos se dá em solo brasileiro? O primeiro capitulo se direciona á revisão literária de publicações acerca de Private Equity nos países de origem dos fundos estrangeiros como Estados Unidos e Espanha, além do mercado Brasileiro de Private Equity. Além disso também se discorre á respeito do conceitos de Private Equity e suas diferentes perspectivas, a rotina das empresas investidas e como é regido o relacionamento estratégico entre o fundo de Private Equity e a empresa investida. Adicionalmente, o processo de diligencia também é abordado assim como a regulamentação da indústria no Brasil. Ademais, a distancia entre os países e como isso afeta o relacionamento de negócios e as deficiências institucionais também são apresentados. Adicionalmente, para o objetivo desta pesquisa foram conduzidas entrevistas de maneira á observar a perspectiva do mercado, em especial, dos fundos internacionais instalados no Brasil sobre o tema proposto. Advent International, The Carlyle Group e Mercapital foram entrevistados e suas respostas deram suporte para a criação de uma panorama do setor. A indústria de Private Equity possui uma gama de desafios e oportunidades e requer que os atores internacionais estabeleçam filiais no mercado local para que tenham sucesso. Os resultados deste projeto apontaram os principais desafios do mercado e de maneira os fundos internacionais estão lidando com os mesmos. Existem deficiências que necessitam de soluções entretanto a indústria está caminhando na direção correta. O perfil das receitas tende a mudar nos próximos anos, entretanto, de uma perspectiva dos fundos internacionais o Brasil tem sido um investimento que vale a pena. Todavia, é importante pesquisar a visão das empresas investidas e dos investidores institucionais para que se possa ter uma imagem completa do setor.
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Barkhagen, Mathias. "Risk-Neutral and Physical Estimation of Equity Market Volatility." Licentiate thesis, Linköpings universitet, Produktionsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-94360.
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The overall purpose of the PhD project is to develop a framework for making optimal decisions on the equity derivatives markets. Making optimal decisions refers e.g. to how to optimally hedge an options portfolio or how to make optimal investments on the equity derivatives markets. The framework for making optimal decisions will be based on stochastic programming (SP) models, which means that it is necessary to generate high-quality scenarios of market prices at some future date as input to the models. This leads to a situation where the traditional methods, described in the literature, for modeling market prices do not provide scenarios of sufficiently high quality as input to the SP model. Thus, the main focus of this thesis is to develop methods that improve the estimation of option implied surfaces from a cross-section of observed option prices compared to the traditional methods described in the literature. The estimation is complicated by the fact that observed option prices contain a lot of noise and possibly also arbitrage. This means that in order to be able to estimate option implied surfaces which are free of arbitrage and of high quality, the noise in the input data has to be adequately handled by the estimation method. The first two papers of this thesis develop a non-parametric optimization based framework for the estimation of high-quality arbitrage-free option implied surfaces. The first paper covers the estimation of the risk-neutral density (RND) surface and the second paper the local volatility surface. Both methods provide smooth and realistic surfaces for market data. Estimation of the RND is a convex optimization problem, but the result is sensitive to the parameter choice. When the local volatility is estimated the parameter choice is much easier but the optimization problem is non-convex, even though the algorithm does not seem to get stuck in local optima. The SP models used to make optimal decisions on the equity derivatives markets also need generated scenarios for the underlying stock prices or index levels as input. The third paper of this thesis deals with the estimation and evaluation of existing equity market models. The third paper gives preliminary results which show that, out of the compared models, a GARCH(1,1) model with Poisson jumps provides a better fit compared to more complex models with stochastic volatility for the Swedish OMXS30 index.Det övergripande syftet med doktorandprojektet är att utveckla ett ramverk för att fatta optimala beslut på aktiederivatmarknaderna. Att fatta optimala beslut syftar till exempel på hur man optimalt ska hedga en optionsportfölj, eller hur man ska göra optimala investeringar på aktiederivatmarknaderna. Ramverket för att fatta optimala beslut kommer att baseras på stokastisk programmerings-modeller (SP-modeller), vilket betyder att det är nödvändigt att generera högkvalitativa scenarier för marknadspriser för en framtida tidpunkt som indata till SP-modellen. Detta leder till en situation där de traditionella metoderna, som finns beskrivna i litteraturen, för att modellera marknadspriser inte ger scenarier av tillräckligt hög kvalitet för att fungera som indata till SP-modellen. Följaktligen är huvudfokus för denna avhandling att utveckla metoder som, jämfört med de traditionella metoderna som finns beskrivna i litteraturen, förbättrar estimeringen av ytor som impliceras av en given mängd observerade optionspriser. Estimeringen kompliceras av att observerade optionspriser innehåller mycket brus och möjligen också arbitrage. Det betyder att för att kunna estimera optionsimplicerade ytor som är arbitragefria och av hög kvalitet, så behöver estimeringsmetoden hantera bruset i indata på ett adekvat sätt. De första två artiklarna i avhandlingen utvecklar ett icke-parametriskt optimeringsbaserat ramverk för estimering av högkvalitativa och arbitragefria options-implicerade ytor. Den första artikeln behandlar estimeringen av den risk-neutrala täthetsytan (RND-ytan) och den andra artikeln estimeringen av den lokala volatilitetsytan. Båda metoderna ger upphov till jämna och realistiska ytor för marknadsdata. Estimeringen av RND-ytan är ett konvext optimeringsproblem men resultatet är känsligt för valet av parametrar. När den lokala volatilitetsytan estimeras är parametervalet mycket enklare men optimeringsproblemet är icke-konvext, även om algoritmen inte verkar fastna i lokala optima. SP-modellerna som används för att fatta optimala beslut på aktiederivatmarknaderna behöver också indata i form av genererade scenarier för de underliggande aktiepriserna eller indexnivåerna. Den tredje artikeln i avhandlingen behandlar estimering och evaluering av existerande modeller för aktiemarknaden. Den tredje artikeln tillhandahåller preliminära resultat som visar att, av de jämförda modellerna, ger en GARCH(1,1)-modell med Poissonhopp en bättre beskrivning av dynamiken för det svenska aktieindexet OMXS30 jämfört med mer komplicerade modeller som innehåller stokastisk volatilitet.
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Hedefält, Håkan, and Fredrik Svensson. "The Influence of Investor Protection and Legal Origin on Equity Market Size." Thesis, Jönköping University, JIBS, Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-985.
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This thesis examines the influence of investor protection and legal origin on equity market size. Previous studies have shown a relationship between legal origin and equity markets as well as quality of law. We examine whether there are any relationship between stock market capitalization as a percentage of GDP, private property rights, anti director rights and legal origin.
We use data from 49 countries in our sample that is collected from the World Bank, Heri-tage foundation and La Porta et al. (1998). Our study is based upon a cross-sectional re-gressions and a variance analyzes.
Our results show that property rights as well as anti director rights have a positive relation-ship to stock market capitalization as a percentage of GDP. We could not find any signifi-cant results in our regressions that stock market capitalization as a percentage of GDP can be explained by legal origin.
We consider previous conducted studies regarding legal origin to have exaggerated legal origins’ impact on equity markets. Equity markets are more related to the level of develop-ment in countries, no matter legal origin.
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Stark, Jens, and Fredrik Wiklund. "The Chinese Equity Market : An Economic Inquiry into Investment Opportunities and Risks." Thesis, Linköping University, Department of Management and Economics, 2002. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-1126.
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The final aim of this thesis is to evaluate opportunities and risk factors of investing in China, in terms of pros and cons, and also to elaborate an optimal portfolio strategy. The pros regarding investments in China are (1) the economic liberalisation and reforms of the institutional framework; (2) the Chinese market’s huge potential and the high-growth IT and telecommunications sectors; (3) a favourable macroeconomic climate and an impressive development. The cons are (1) the mismanagement of the state-run companies; (2) the mainland exchanges’ intra-year volatility; (3) the export sector’s performance might decline; (4) the institutional framework is largely responsible for many risk factors; (5) a tougher competition climate after the entry in the WTO. Also, our calculations on an optimal portfolio strategy suggest that less risk-averse investors may want to consider the World/Shanghai portfolio, whereas the World/Shenzhen portfolio might instead suit the preferences of more risk-averse investors.
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Voronkova, Svitlana. "Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market." [S.l. : s.n.], 2004. http://deposit.d-nb.de/cgi-bin/dokserv?idn=975178873.
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Ergul, Nuray. "The efficient market hypothesis revisited : some evidence from the Istanbul Stock Exchange." Thesis, Brunel University, 1995. http://bura.brunel.ac.uk/handle/2438/5262.
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This thesis seeks to address three important issues relating to the efficient functioning of the Istanbul Stock Exchange. In particular the thesis seeks to answer the following questions 1. What makes markets informationally efficient or inefficient? 2. Has increased stock market volatility had an impact on the equity risk premium and the cost of equity capital to firms? and 3. How is it possible to reconcile the view that markets are weak form efficient and technical analysis is a pervasive activity in such markets? Unlike previous studies, this thesis seeks to examine the issue of efficiency when institutional features specific to the market under investigation are taken into account. Specifically, the thesis adopts a testing methodology which enables us to recognize possible non-linear behaviour, thin trading and institutional changes in testing market efficiency. The results from this investigation show that informationally efficient markets are brought about by improving liquidity, ensuring that investors have access to high quality and reliable information and minimising the institutional restrictions on trading. In addition, the results suggest that emerging markets may initially be characterised as inefficient but over time, with the right regulatory framework, will develop into efficient and effective markets. The second important issue to be examined in this thesis concerns the impact of regulatory changes on market volatility and the cost of equity capital to firms. It is not sufficient to simply examine whether volatility has increased following a fmancial market innovation such as changes in regulation. Rather, it is necessary to investigate why volatility has changed, if it has changed, and the impact of such a change on the equity risk premium and the cost of equity capital to firms. Only then can inferences be drawn about the desirability or otherwise of innovations which bring about increases in volatility. Surprisingly, these issues have not been addressed in the literature. The evidence presented here suggests that the innovations which have taken place in the ISE have increased volatility, but also improved the pricing efficiency of the market and reduced the cost of equity capital to firms. Finally, the thesis tries to identify the conditions under which weak-form efficiency is consistent with technical analysis. It is shown that this paradox can be explained if adjustments to information are not immediate, such that market statistics, in particular statistics on trading volume contain information not impounded in current prices. In this context technical analysis on volume can be viewed as part of the process by which traders learn about fundamentals. Therefore, the thesis investigates the issue whether studying the joint dynamics of stock prices and trading volume can be used to predict weakly efficient stock prices. In summary, the findings of this thesis will be of interest to international investors, stock market regulators, firms raising funds from stock markets and participants in emerging capital markets in general. The implication of the results presented here is that informational efficient emerging markets are brought about by improving liquidity, ensuring that investors have access to high quality and reliable information and minimising the institutional restrictions on trading. In addition, the evolution in the regulatory framework of, and knowledge and awareness of investors in, emerging markets may mean that they will initially be characterised by inefficiency, but over time will develop into informational efficient and effectively functioning markets which allocate resources efficiently. In addition, the results of this thesis have important implications, for emerging markets in general, in identifying the regulatory framework that will achieve efficient pricing and a reduction in the cost of equity capital to firms operating in the economy.
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Powers, Victoria. "Equity financing : a look at new equity issues in manufacturing on the Hong Kong stock exchange from 1980-1985 /." [Hong Kong : University of Hong Kong], 1987. http://sunzi.lib.hku.hk/hkuto/record.jsp?B1233537X.
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Viberg, Robert, and Kristin Åberg. "The future of equity risk premiums : A study of equity risk premium in the Swedish market." Thesis, Jönköping University, JIBS, Business Administration, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-535.
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Bakgrund: Marknadens riskpremie kan förklaras som den förväntade avkastning en investerare kräver för att acceptera en viss risk. Hur riskpremien skall bestämmas har stått i fokus för omfattande debatter de senaste åren men fortfarande har ingen ultimat lösning infunnit sig. Det finns två huvudsakliga tillvägagångssätt för att uppskatta riskpremien. Det ena att använda historisk data över aktieutvecklingen och därefter förvänta sig att en framtida utveckling kommer att vara likvärdig. Den andra är att göra uppskattningar av den framtida utvecklingen, så som framtida utdelningar, framtida vinster, BNP och inflation och därifrån göra en uppskattning utav riskpremien. Att använda sig av historiska värden har tidigare varit en accepterad metod både i den akademiska och finansiella värden men då den på senare tid har mötts av omfattande kritik, har modeller baserade på uppskattningar av framtiden vuxit sig starkare.
Syfte: Syftet med denna uppsats är att ge en djupgående beskrivning av hur svenska finansiella företag uppskattar och hanterar riskpremium för den svenska aktiemarknaden. Därigenom fanns en avsikt att studera vilken metod som främst användes, hur viktigt riskpremium i form av ett investeringsinstrument var, och morgondagens betydelse av riskpremium.
Metod: Författarna använde sig av en kvalitativ metod, där det empiriska materialet samlades in med hjälp av personliga intervjuer. Intervjufrågor av öppen karaktär skickades ut till respondenterna i förväg, och intervjuerna ägde därefter rum i Stockholm och Göteborg. I den teoretiska referensramen användes både så kallad primär och sekundär litteratur för att kunna redogöra en övergripande bild av problemområdet. Den primära litteraturen, som framförallt ligger till grund för kapitel tre, sågs extra viktig att inkludera då den möjliggjorde en minskad subjektivitet som annars hade riskerat att belasta uppsatsen.
Resultat: Resultaten visade en varierad syn mellan respondenterna där vissa ansåg att riskpremien hade ringa betydelse och andra att det var en mycket viktig variabel. Överlag fanns det dock ett ökat intresse de senaste åren. Även val av metod varierade och vare sig historisk data eller framtida uppskattningar kunde sägas ha ett övertag bland användarna. Avslutningsvis såg författarna ett ökat intresse för de ingående variablerna i modeller som baseras på framtida förväntade värden och kunde därav visa att den framtida debatten sannolikt kommer att behandla vilka variabler som bör inkluderas i denna typ av modeller och hur de bör uppskattas.
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Lutchmun, Thashveen. "Earnings quality and equity returns : evidence of the accrual anomaly from the South African equity market." Thesis, Rhodes University, 2015. http://hdl.handle.net/10962/d1017537.
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A key incentive for accounting research is to provide evidence on the usefulness of earnings in making economic decisions. Of particular interest over the last two decades is the issue of the quality of financial reporting, specifically the quality of earnings, given the number of global financial scandals reported during that period. The quality of earnings is driven by the choices, estimates and judgments that the accounting standards make available to managers in order to portray the firm’s economic position and performance in a timely and credible manner. However, this leeway in financial reporting also creates opportunities for earnings management. The objective of this thesis is firstly to establish whether earnings manipulation has had the ability to predict cross-sectional returns in South Africa during the 2007-2014 period. In other words, the purpose of this thesis is to find evidence whether the market reacts to earnings management practices, as measured by accruals, and rewards high earnings quality companies with higher equity returns (a process known as the accrual anomaly). The timeframe selected for the research encompasses the global financial crisis, a period in which accounting manipulation incentives are likely to be strong. Secondly, this study attempts to establish the presence of the accrual anomaly amongst growth and value firms. The motivations for earnings management of the former are expected to be strong. Securities are allocated to portfolios according to accruals and the subsequent equity returns are analysed cross-sectionally to establish the existence of the accrual anomaly and hence assessing the usefulness of earnings manipulation in predicting equity returns. To provide evidence for the presence of the accrual anomaly amongst growth and value shares, securities are independently allocated to portfolios according to their book-to-market ratio and accruals and a cross-sectional analysis is performed on their subsequent equity returns. In order to increase the robustness of the tests, two measures of accruals are used: a balance sheet approach and a cash flow measure. Evidence is provided for the presence of the accrual anomaly among South African listed companies for the balance sheet measure of accruals but not the cash flow approach. Whilst the accrual anomaly is significantly present in a growth-neutral-value construct, statistical significance is not established when growth and value shares are considered individually.
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Makomaski, Kristofer, and Mikael Johansson. "Venture Capital -The Current State of the Swedish Market." Thesis, KTH, Fastigheter och byggande, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-124336.
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Under de senaste åren har risk kapitalmarknaderna stått inför flera signifikanta problem. Den svenska VC industrin har minskat med över 60 % sedan Dotcom-kraschen. Antalet aktiva VC- företag har minskat i antal från 100-200 till endast 5-10 större VC-företag. Jämför man dagens marknad med hur den såg ut innan Dotcom-kraschen, så fanns det betydligt fler aktiva företag inom den svenska VC-industrin. Nya finansieringsformer har trätt in på marknaden som bland annat Evergreen fonder och crowd-funding. Den svenska VC-industrin har kännetecknats av en "rensning" av marknaden var tionde år, och var femte år uppstår en mindre krasch på marknaden. De svenska riskkapitalaktörerna har tagit en högre risk än vad som faktiskt var motiverat. Syndikatinvesteringar görs för att undvika investerarnas enskilda risk. Detta fenomen kan illustreras genom de två lyckosamma Svenska investeringarna, Spotify och iZettle. Riskkapitalmarknaden har varit karakteriserad av legala hinder vilket skapat flera stora problem. Trots detta finns det positiva trender och förändringar som idag genomförs på marknaden. Dett kommer lyfts fram ytterligare i arbetet. Bland annat har det diskuterats att införa ett skatteavdrag vilket anses vara fördelaktigt för riskkapitalbolagen. Detta arbete fokuserar huvudsakligen på de olika finanseringsformerna och de olika marknadsaktörerna. Fokus ligger på utvecklingen av industrin och dess aktuella trender, men även på den kommande framtiden. Studien är baserad på intervjuer med marknadsaktörer och på befintlig forskning vilket ger en god insikt i den Svenska riskkapitalbranschen.
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Ping, Liu. "Market thinness and the potential benefits of domestic-only portfolio diversification in Canadian equity markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/MQ59284.pdf.
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Ezekwelu, Henry. "An investigation into the demise of the unlisted securities market." Thesis, University of Westminster, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.322997.
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Unite, Angelo Africa. "An empirical investigation of the impact of capital market liberalization on the Philippine equity market." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/nq23081.pdf.
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