Dissertations / Theses on the topic 'Stocks – Rate of return'
To see the other types of publications on this topic, follow the link: Stocks – Rate of return.
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Stocks – Rate of return.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Wong, Po-shing. "Some mixture models for the joint distribution of stock's return and trading volume /." [Hong Kong] : University of Hong Kong, 1991. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13009485.
Full text
2
Man, Kai-sze. "Stock market performance in Hong Kong : an empirical investigation /." Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19740773.
Full text
3
Lee, John Byong Tek. "Higher idiosyncratic moments and the cross-section of expected stock returns /." Thesis, Connect to this title online; UW restricted, 2008. http://hdl.handle.net/1773/8710.
Full text
4
Zhao, Wenli. "Is earnings surprise the real king?: post-earnings announcement drift on the Hong Kong stock market." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/b40203566.
Full text
5
Wang, Qi (Carol). "New equity issues, share repurchases, and the predictability of aggregate stock returns an international perspective /." Diss., Columbia, Mo. : University of Missouri-Columbia, 2006. http://hdl.handle.net/10355/5851.
Full textAbstract:
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 April 29, 2009) Vita. Includes bibliographical references.
6
Kot, Hung Wan. "Two essays in empirical finance /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?FINA%202004%20KOT.
Full text
7
Shum, Wai Cheong. "An assessment of the conditional risk-return relations : evidence from four Asian emerging stock markets." HKBU Institutional Repository, 2004. http://repository.hkbu.edu.hk/etd_ra/518.
Full text
8
Lin, Gang. "Nesting regime-switching GARCH models and stock market volatility, returns and the business cycle /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9906497.
Full text
9
Voigt, Ivan. "Published share tips : do they out-perform the JSE?" Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/49704.
Full textAbstract:
Study project (MBA) -- University of Stellenbosch, 2001.University of Stellenbosch Business School
ENGLISH ABSTRACT: This study considers share tips published in a respected publication, and determines whether an investment strategy based on the recommendations of its journalists could allow investors to exceed the stock market average. Six journalists were selected, and the recommendations that they made over a 30-month period grouped into “buy” and “do not buy” recommendations. The change in price of the recommended shares was measured after periods of one week, one month, three months and six months after the date of publication and after inclusion of dividends paid during those periods, returns were calculated. The returns attained for each share was compared to the return on the JSE-Overall Index during that period, the difference between the two being the excess return of the share. The excess returns of the shares recommended by each journalist were used to calculate portfolio excess returns, on which tests of statistical significance carried out. The portfolio of one journalist showed statistically significant excess returns in all four periods under review. One other achieved a statistically significant excess return over 1 week. No other portfolios achieved significant excess returns over the market.
AFRIKAANSE OPSOMMING: In hierdie werkstuk word die aandeelwenke wat in ‘n gerespekteerde tydskrif gepubliseer is, ondersoek om vas te stel of ‘n beleggingsstrategie wat op die wenke van die joernaliste gebaseer is, die mark gemiddlede opbrengs kan klop. Ses joernaliste is gekies, en hul wenke oor ‘n periode van 30-maande is geklassifiseer in “koop” en “nie koop” wenke. Vir die “koop” wenke is die prys-verandering oor tydperke van een week, een maand, drie maande en ses maande gemeet. Opbrengste met insluiting van dividende is bereken. Die opbrengste is met die JE-algehele indeks se opbrengs vir elk van die periodes vergelyk, en die verskil is as bo-opbrengste gedefinieer. Die bo-opbrengste vir elke aandeel is gebruik om portfolio bo-opbrengste te bereken, weereens vir elk van die periodes. Hierdie bo-opbrengste is vir statistiese betekenisvolheid getoets. Die portfolio van een joernalis het statisties beteksnisvolle bo-opbrengste vir al vier periodes getoon. Die portfolio van een ander joernalis het statisties betekenisvolle bo-opbrengste vir ‘n hou-periode van een week getoon. Geen ander portfolios het bo-opbrengste getoon nie.
10
Rendon, Jairo Andres. "Essays in international finance." Diss., Restricted to subscribing institutions, 2009. http://proquest.umi.com/pqdweb?did=1905639781&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
Full text
11
Fratus, Brian J. "Rational asset pricing : book-to-market equity as a proxy for risk in utility stocks /." Thesis, This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-11242009-020322/.
Full text
12
Schlinger, Jean M. "The effects of the CEO's stock option portfolio on stock return volatility and firm performance /." Thesis, Connect to this title online; UW restricted, 2001. http://hdl.handle.net/1773/8840.
Full text
13
Kim, Sangbae 1968. "Essays on asset pricing theory." Monash University, Dept. of Accounting and Finance, 2003. http://arrow.monash.edu.au/hdl/1959.1/5680.
Full text
14
Van, der Merwe Rachelle. "Estimating the negative impact of noise on the returns of cap-weighted portfolios in various segments of the JSE." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/97363.
Full textAbstract:
Thesis (MBA)--Stellenbosch University, 2015.ENGLISH ABSTRACT:The main aim of this study was to determine the effect of unanticipated information, or noise, on the returns of cap-weighted portfolios in various segments of the JSE for the period 1995 to 2014. Capital Market Theory states that the optimal ex ante portfolio comprises all shares in a market/segment weighted by ex ante market capitalisation. The optimal ex ante portfolio is however rarely the optimal ex post portfolio, because it is underweighted in shares that will unexpectedly become ‘winners’ during the investment period and overweighted in those that will become ‘losers’. According to Fuller, Han and Tung (2012), all investors in a segment would gain maximum alpha from a portfolio weighted by ex post market capitalisation – in other words, a ‘perfect foresight’ (PF) portfolio. The excess return of the PF portfolio over the benchmark portfolio therefore is an estimate of the negative effect of noise on the return of the benchmark portfolio. In this study, the returns of PF portfolios were compared with the All Share, Large Cap, Mid Cap, Small Cap, Financials, Industrials and Resources segments of the JSE. Intuitively, information to guide decisions on portfolio weighting would be more valuable and deliver more profit when the cross-sectional standard deviation of share returns is high. A secondary aim was therefore to investigate the correlation between cross-sectional standard deviation and PF excess return. It was found that a strong positive correlation (more than 88%) existed between cross-sectional standard deviation and PF excess return in all segments. In ascending order of cross-sectional standard deviation and PF excess return, the results for the segments were Financials (25% and 5%), Resources (28% and 6%), Large Cap (29% and 8%), Industrials (30% and 9%), All Share (32% and 9%), Mid Cap (36% and 13%) and Small Cap (43% and 17%).
15
Schill, Michael J. "Frothy markets? : an examination of aggregate equity issue clustering /." Thesis, Connect to this title online; UW restricted, 1998. http://hdl.handle.net/1773/8780.
Full text
16
Zhou, Haigong. "Cross sectional and time series analysis of individual stock volatility : an international study /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?FINA%202004%20ZHOU.
Full textAbstract:
Thesis (M. Phil.)--Hong Kong University of Science and Technology, 2004.Includes bibliographical references (leaves 34-35). Also available in electronic version. Access restricted to campus users.
17
Tang, Alex Yee Yuk. "Can stock visibility or neglected-firm effect help explain the outperformance of HK-listed mainland companies?" HKBU Institutional Repository, 2016. https://repository.hkbu.edu.hk/etd_oa/572.
Full textAbstract:
This study examines factors that affect share prices for Hong Kong-listed mainland companies by examining the outperformance of H-shares and red chips compared with local large-cap stocks on the Hong Kong Stock Exchange in 2013 and 2014. To the best of my knowledge, this is the first empirical study focusing on these three types of stocks. In efficient markets, share prices should reflect the fundamentals of the listed companies, as revealed by the firm's earnings. If the assumption of market efficiency is relaxed, or markets are less efficient due to institutional factors, the correlation will be less pronounced. In this regard, I examine the links between firm performance, stock visibility, and share price movements. I find that the fundamentals of listed firms do not account for the superior price performance in the case of H-shares. By contrast, the price performance of Hong Kong large-cap stocks and red chips is more closely correlated to earnings. In addition, the hypothesis that the neglected-firm effect plays a role in the relationship between firm performance and stock returns of Hong Kong-listed China-related companies is not supported. Instead, I find support for the hypothesis that stock visibility acts as a moderator in the relationship between firm performance and stock returns, particularly in the case of China-related shares. With the introduction of stock visibility, the effect of Return on Equity (ROE) on stock returns is reduced, but still significantly positive. This indicates that stock visibility partially mediates the link between firm performance and stock returns, supporting the mediation hypothesis. By revealing the limited link between fundamentals and share prices in H-shares, this study also supports the notion, found in other studies, that market efficiency is less applicable to China H-shares in particular and the Hong Kong financial market in general.
18
Man, Kai-sze, and 文啓斯. "Stock market performance in Hong Kong: an empirical investigation." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1996. http://hub.hku.hk/bib/B31954534.
Full text
19
King, Daniel Jonathan. "Modelling stock return volatility dynamics in selected African markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006452.
Full textAbstract:
Stock return volatility has been shown to occasionally exhibit discrete structural shifts. These shifts are particularly evident in the transition from ‘normal’ to crisis periods, and tend to be more pronounced in developing markets. This study aims to establish whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected African markets for the period 2002-2012. In the univariate portion of the study, the performances of various Markov-switching models are tested against a single-state benchmark model through the use of in-sample goodness-of-fit and predictive ability measures. In the multivariate context, the single-state and Markov-switching models are comparatively assessed according to their usefulness in constructing optimal stock portfolios. It is found that, even after accounting for structural breaks in the conditional variance process, conventional GARCH effects remain important to capturing the heteroscedasticity evident in the data. However, those univariate models which include a GARCH term are shown to perform comparatively poorly when used for forecasting purposes. Additionally, in the multivariate study, the use of Markov-switching variance-covariance estimates improves risk-adjusted portfolio returns when compared to portfolios that are constructed using the more conventional single-state models. While there is evidence that the use of some Markov-switching models can result in better forecasts and higher risk-adjusted returns than those models which include GARCH effects, the inability of the simpler Markov-switching models to fully capture the heteroscedasticity in the data remains problematic.
20
Li, Hao Yost Keven E. "Corporate risk and corporate governance." Auburn, Ala, 2009. http://hdl.handle.net/10415/1686.
Full text
21
Wong, Po-shing, and 黃寶誠. "Some mixture models for the joint distribution of stock's return and trading volume." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31210065.
Full text
22
Zebedee, Allan A. "The flow of information in financial markets : a market microstructure examination /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2001. http://wwwlib.umi.com/cr/ucsd/fullcit?p3026388.
Full text
23
Van, Wyk Tyrone. "The relationships between the price-earnings ratio and selected risk and return and valuation models." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/53156.
Full textAbstract:
Assignment (MAcc )--University of Stellenbosch, 2002.ENGLISH ABSTRACT: The price-earnings ratio is one of a series of benchmarks developed after the Great Depression, to measure the fair value of shares on a relative basis. It originated from the idea that investors buy the earnings of a company and that the price-earnings ratio provides a consensus indication of the future growth potential of a company. Therefore, the price-earnings ratio is a rating of a company's future profitability. The price-earnings ratio developed, over the years, firstly, into an indicator of the relative risk associated with a company as the market anomalies associated with the ratio were investigated and clarified, and the theoretical background of the ratio integrated with the portfolio theory. It is now clear that the price-earnings ratio can be a useful indicator of the risk associated with an investment and the uncertainty associated with the duration of the growth phase of a company. Secondly, the price-earnings ratio is also a growth and valuation model with a theoretical background that can be linked to popular dividend discount models and the growth opportunities approach to investment valuation. With the use of the price-earnings ratio it is easy to visualise the relative profitability and the total investment required to raise a company's rating of future profitability. This simplicity allows one the opportunity to evaluate the reasonableness and likelihood of the investment reaching its projected potential profit targets. Lastly, as a result of accounting changes and the different accounting rules in force today, the price-earnings ratio also assists in the identification and elimination of the effects of accounting on investment decisions. It is apparent that the price-earnings ratio possesses the capabilities to assist investors significantly with the analysis of investment opportunities.
AFRIKAANSE OPSOMMING: Die prys-verdienste verhouding is een van 'n reeks relatiewe maatstawwe ontwikkel na die Groot Depressie om die redelike waarde van aandele te bepaal. Dit is gebaseer op die idee dat beleggers die winste van 'n maatskappy koop en dat die prys-verdienste verhouding 'n konsensus aanduiding verskaf van die toekomstige groeipotensiaal van 'n maatskappy. As gevolg hiervan is die prys-verdienste verhouding 'n aanduiding van die relatiewe toekomstige winsgewendheid van 'n maatskappy. Die prys-verdienste verhouding het oor die jare ontwikkel, eerstens as 'n aanwyser van die relatiewe risiko verbonde aan 'n maatskappy soos abnormaliteite wat daaraan verwant is ondersoek en verklaar is, en die teorieë onderliggend aan die verhouding ontwikkel het saam met die portefeulje teorie. Dit is nou duidelik dat die prys-verdienste verhouding 'n bruikbare aanduider is van die risiko wat geassosieer word met 'n belegging en die onsekerheid wat gepaard gaan met die duur van die groeifase van 'n maatskappy. Tweedens is die prys-verdienste verhouding ook 'n waardasie- en groeimodel met 'n teoretiese agtergrond wat verband hou met die populêre dividend verdiskonteringsmodelle en die groeigeleenthede-benadering tot waardasie. Met die gebruik van die prys-verdienste verhouding is dit maklik om die relatiewe winsgewendheid en die totale belegging wat benodig word om die waarde van die relatiewe winsgewendheid van 'n maatskappy te verhoog, tevisualiseer. Hierdie eenvoud verskaf die geleentheid om die redelikheid en die waarskynlikheid van 'n belegging om sy voorsiene winsgewendheidsdoelwitte te bereik, te evalueer. Laastens, as 'n resultaat van die rekeningkundige veranderinge, en die verskillende rekeningundige reëls huidiglik van toepassing in die wêreld, help die prys-verdienste verhouding ook met die identifikasie en die eliminasie van rekeningkundige komplikasies op beleggingsbesluite. Dit is duidelik dat die prys-verdienste verhouding die vermoë het om die belegger by te staan met die ontleding van beleggingsgeleenthede.
24
Zhao, Wenli, and 趙文利. "Is earnings surprise the real king?: post-earnings announcement drifton the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203566.
Full text
25
GARCIA, CONRADO DE GODOY. "INTEREST RATE AS AN ADDITIONAL FACTOR TO EXPLAIN STOCKS RETURNS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33183@1.
Full textAbstract:
Este trabalho tem como objetivo explorar o benefício da inclusão de um novo fator relacionado a juros aos principais modelos de análise do cross-section dos retornos de ações, como o CAPM e o modelo de 3 fatores de Fama & French. O foco em especial é sobre a anomalia dos maiores retornos ajustados ao risco das estratégias de spread entre ações de baixo e alto beta de mercado, que também pode ser visto nos spreads entre ações de baixa e alta volatilidade. A motivação para inclusão deste fator vem da teoria de que o bom desempenho destas estratégias é simplesmente uma exposição a taxa de juros, não capturada pelos modelos usuais. Apesar da literatura apontar que as taxas de juros afetam diversas variáveis econômicas, a maior parte dos trabalhos de análise do cross-section dos retornos de ações é conduzida através de modelos de fatores compostos apenas por ações, sem fatores ou ativos diretamente relacionados a mudança da taxa de juros. A análise é feita com modelos lineares de fatores para o mercado acionário norte-americano entre 1976 até 2015.The literature shows that interest rates influence different economic variables such as consumption willingness, investment or expected asset returns. Notwithstanding, most works dealing with cross-sectional analysis of stock returns use only stock-based factor models disregarding the effects of interest rate movements. In this work, we explore the benefits of incrementing the traditional cross-sectional analysis (CAPM and Fama-French 3-factor model) with a new factor characterizing interest rate evolution over time. With this new factor, our model aims at better explaining stock return dispersion as well as a known anomaly of high risk-adjusted returns for low-volatility stock portfolios. Empirical analysis of linear factor models are carried out using US stock data using the Kenneth French database and the new factor is constructed using the US Aggregate do Barclays index that measures the return of low-risk assets.
26
Ren, JinJuan, and 任錦娟. "Investigating the role of accounting earnings in explaining increasingidiosyncratic volatility." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B29851051.
Full text
27
Xu, Jin, and 徐瑾. "Distress risk and value premium: evidence from Japan." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203682.
Full text
28
Tsang, Yat-ming, and 曾日明. "Risk and return in financial markets: a studyof the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31976736.
Full text
29
Kim, Young Do. "Return distributions and applications." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2007. http://wwwlib.umi.com/cr/ucsd/fullcit?p3266772.
Full textAbstract:
Thesis (Ph. D.)--University of California, San Diego, 2007.Title from first page of PDF file (viewed August 7, 2007). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references.
30
Paye, Bradley S. "Essays on stock return predictability and portfolio allocation /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2004. http://wwwlib.umi.com/cr/ucsd/fullcit?p3148255.
Full text
31
Emeny, Matthew. "The book-to-market effect and the behaviour of stock returns in the Australian equity market." Title page, contents and abstract only, 1998. http://web4.library.adelaide.edu.au/theses/09ECM/09ecme533.pdf.
Full textAbstract:
"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-reaction. An alternative explanation IS offered, relying on the dynamic behavior of firms and the process by which investors value the stocks of these firms.
32
Mahura, Kagisho. "Dividends as a contributor to the total returns of South African equities over the long-term." Thesis, Stellenbosch : Stellenbosch University, 2007. http://hdl.handle.net/10019.1/70661.
Full textAbstract:
Thesis (MBA)--Stellenbosch University, 2007.ENGLISH ABSTRACT: When considering the expected returns from an investment, investors often focus on the appreciation of the share price (capital appreciation) and ignore the contribution of dividends paid, thus overlooking a potentially significant contributor to returns. The objectives of this study are to determine the respective contributions of dividends and capital appreciation to the total returns of South African equities over a 10-year period, beginning 31 July 1996 and ending 31 July 2006, by using the Top 40 index of shares listed on the Johannesburg Securities Exchange over that period. The study also aims to determine whether dividend policy should be considered as carefully as the share's potential capital appreciation by investors when constructing portfolios. The study determined that dividends paid contributed more than 50% of the total return for 10% of the shares in the sample tested. In total, dividends contributed more than 25% of the total return for 33% of the shares. The study also concludes that a share's dividend policy should be considered carefully, as dividends paid may be a significant contributor to a share's expected return.
AFRIKAANSE OPSOMMING: Wanneer die verwagte opbrengste van 'n belegging in ag geneem word, Ie beleggers dikwels klem op die waardestyging van die aandeleprys (kapitaalappresiasie) en ignoreer die bydrae van dividende wat betaal word. Hulle sien nie dividende as 'n potensieel belangrike bydraer tot opbrengste raak nie. Die doelwitte van hierdie studie is om die onderskeie bydraes van dividende en kapitaalappresiasie tot die totale opbrengs van Suid-Afrikaase aandele oor 'n tydperk van 10 jaar - vanaf 31 Julie 1996 tot 31 Julie 2006 - te bepaal deur die Top 40 indeks van aandele te gebruik wat in daardie tydperk op die Johannesburgse Aandelebeurs genoteer was. Die ondersoek wil ook bepaal of beleggers net so versigting na dividendbeleid as na aandele se potensiele kapitaalappresiasie behoort te kyk wanneer portefeuljes saamgestel word. Die studie het bepaal dat dividende wat betaal is, meer as 50% van die totale opbrengste vir 10% van die aandele in die toetsvoorbeeld uitgemaak het. Dividende het altesaam meer as 25% van die totale opbrengs vir 33% van die aandele uitgemaak. Die studie het ook tot die gevolgtrekking gekom dat 'n aandeel se dividendbeleid baie versigtig oorweeg moet word omdat dividende wat betaal word 'n belangrike bydraer tot 'n aandeel se verwagte opbrengs kan wees.
33
Du, Toit Nicol Eduan. "Dividend policy and wealth maximisation : the effect of market movements on dividend-investing returns." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/80278.
Full textAbstract:
Thesis (MComm)--Stellenbosch University, 2013.ENGLISH ABSTRACT: This study sets out to evaluate the possible influence of increasing and declining markets on the returns of dividend-investing strategies. This study’s objective, therefore, was to evaluate the possible influence dividend pay-out policy has on share return. Secondary objectives serve to investigate how the size of cash dividend payments, measured in dividend yield (DY), influence share value, especially during bull and bear markets respectively. In order to address the stated objectives of this study and prevent possible survivorship bias, the sample included listed and delisted shares for the period 1995 to 2010. Initially, all firms that were listed on the Johannesburg Stock Exchange (JSE) during the period under review were considered, both that were listed at the end as well as firms that delisted. However, due to the nature of the financial structures of firms in the financial and basic industries, the study did not include their data. The final sample consisted of 291 firms, providing 22 927 monthly observations. Dividend-investing strategies were constructed using non-dividendpaying (Portfolio one) and dividend-paying firms (Portfolio two). Portfolio one and two were then further deconstructed into four groups based on monthly DY rankings. Portfolio one was represented by Group 1, whilst Portfolio two was grouped into the lowest, medium, and highest DYs and classified as Group 2 to Group 4 accordingly. The results obtained from statistical analyses performed in this study indicate that the level of DY appears to influence returns positively. Furthermore, after investigating the results obtained during opposing market scenarios, some important findings resulted. During bear markets no significant difference in abnormal risk-adjusted returns was observed for the portfolios and four groups, however, in bull markets the return for Portfolio two, specifically Group 4, was more than double the result for the non-dividend payers. This study, therefore proposes that firms should have a DY in the range of the highest market DY average for bull markets specifically. From the perspective of the potential investors, the study suggests that dividend-investing could allow for the generation of positive risk-adjusted returns during bull markets.
AFRIKAANSE OPSOMMING: Hierdie studie evalueer die moontlike invloed van stygende en dalende markte aangaande opbrengs op dividend-investerings strategie . Die studie se primêre doelwit is om die invloed van dividend uitbetalings op aandeel opbrengste te bestudeer. Sekondêre doelwitte ondersoek hoe die grootte van ‘n kontant dividend, soos gemeet in dividend opbrengs, die aandeel-waarde beïnvloed, spesifiek tydens bul en beer markte. Om oorlewingsydigheid te voorkom, sluit die steekproef genoteerde sowel as gedenoteerde firmas in vir ‘n tydperk van 1995 tot 2010. Aanvanklik was alle sektore van die Johannesburg Aandele-beurs (JSE) ondersoek, maar weens die komplekse kapitaal struktuur van finansi le en die basiese nywerheid sektore was hul aandeel inligiting uitgesluit. Die finale steekproef het ‘n totaal van 291 firmas ingesluit en 22 927 maandelike waarnemings verskaf. Dividend-investerings strategie was saamgestel deur nie-dividend-betalende firmas (Portefeulje een) teenoor dividendbetalende firmas (Portefeulje twee) te vergelyk. Die twee portefeuljes was ook verder onderdeel in vier groepe volgens maandelikse dividend opbrengstes. Portefeulje een was verteenwoordig deur Groep 1, terwyl Portfeulje twee opgedeel was volgends laag, medium, en hoë dividend opbrengstes en geklasifiseer as Groep 2 tot 4 onderskeidelik. Die resultate van die statististiese ontleding van hierdie studie dui moontlik daarop dat die vlak van dividend opbrengs aandeel waarde positief beïnvloed. Nadat die spesifieke bul en beer markte ontleed is, was belangrike resultate waargeneem. Tydens beer markte was daar geen beduidende verskil tussen die risiko-aangepaste opbrengstes van die twee portefeuljes en vier groepe nie, maar tydens bul markte het die opbrengstes van Portefeulje twee, spesifiek Groep 4, meer as dubbel dié van die nie-dividend betalers getoon. Die studie stel dus voor dat ‘n firma tydens bul markte moet poog om ‘n dividend opbrengs te handhaaf wat die hoogste gemiddeld van die mark verteenwoordig. Vanuit die belegger se oogpunt, stel die studie voor dat dividend investering stategie moontlik gebruik kan word om positiewe risikoaangepaste opbrengstes te genereer, veral tydens bul markte.
34
Chau, Siu Man Sandy. "Fundamentals and stock returns of red-chips and H-shares in Hong Kong." HKBU Institutional Repository, 2003. http://repository.hkbu.edu.hk/etd_ra/431.
Full text
35
Naude, Kristo. "Technical analysis and stock price behaviour : a pilot study using OmniTrader." Thesis, Stellenbosch : Stellenbosch University, 2000. http://hdl.handle.net/10019.1/51931.
Full textAbstract:
Thesis (MBA)--Stellenbosch University, 2000ENGLISH ABSTRACT: An increase in personal wealth and higher emphasis on profitable investments for retirement has materiálised in a search for investment vehicles to produce superior returns. Two main disciplines of analyses are being used in an attempt to forecast future stock returns. These are fundamental analysis and technical analysis. This study will use technical analysis to generate buy and sell signals for a pseudoportfolio. Portfolio returns were analysed to determine their performance relative to a market index, in this case the S&P 500. A backtesting period of nine years was used to "train" the indicator variables, and applied to a tenth year's data, used as forward testing. Backtesting returns were significantly superior than that of the market, and forward testing significantly inferior. These results appear to confirm the efficient market and random walk theories. A .number of differences of opinion were identified, indicating the need for further research.
AFRIKAANSE OPSOMMING: Toenemende strewe na materiële welvaart en 'n groter fokus op gemaklike aftrede het studies ter hoër beleggings opbrengs gestimuleer. Beide fundamentele en tegniese analises word tans gebruik in 'n poging om toekomende mark prysbeweging te kan voorspel. In hierdie studie is tegniese analise gebruik om koop en verkoop wysers te genereer, waarvan die opbrengs in 'n skyn-portefeulje bepaal is. Die opbrengs van hierdie portefeulje is vergelyk met 'n toepaslike mark - indeks, in hierdie geval die S&P 500. 'n Periode van nege jaar se data is gebruik om tegniese parameters se optimum waardes te bereken, en daarna onveranderd op 'n tiende jaar se historiese data toegepas. Die opbrengste is in beide gevalle bepaal, met terugwaartse opbrengste hoër as mark opbrengs en vooruit toetsing statisties beduidenisvol laer as mark opbrengs. Hierdie resultate is beduidenisvol, en bevestig die geldigheid van die doeltreffende markhipotese asook die toevallige prysbewegingsteorie. 'n Aantal leemtes in huidige portefeulje opbrengste teorieë is geïdentifiseer wat in verdere studies aangespreek behoort te word.
36
Gao, Ning. "Two essays on the informativeness of stock prices : perspectives from M&A and the cross-listing of American depository receipts /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?FINA%202005%20GAO.
Full text
37
Van, Niekerk Rudi. "Analysis of sources of return in South African private equity." Thesis, Stellenbosch : Stellenbosch University, 2008. http://hdl.handle.net/10019.1/963.
Full textAbstract:
Thesis (MBA (Business Management))--Stellenbosch University, 2008.ENGLISH ABSTRACT: Private Equity is rapidly growing as an alternative asset class for investors in South Africa. Local and international literature presents overwhelming evidence to suggest that Private Equity offers superior risk-adjusted returns and portfolio diversification benefits. Private Equity managers charge quite substantial fees and investors might be concerned about the sustainability of the returns achieved by these firms. This research report addresses the question of how exactly Private Equity managers are able to achieve their superior returns. Although literature is limited and differing in opinion, several methods were identified as being used by managers to increase returns. A sample of 46 individual investments made by two Private Equity firms representing large buy-outs in South Africa was selected and analysed to quantitatively investigate the relationship between some of the identified sources of return and the Internal Rate of Return achieved on each investment. Surprisingly the relationships were not found to be as strong as expected and in many cases were not supportive of the findings in the literature. Only earnings growth and an increase in the earnings multiple had a significant impact on the IRR achieved according to the sample analysed. The author concludes that investing in Private Equity is too interdisciplinary to distil the sources of return into a few concise elements. Proprietary knowledge, expertise, superior management skills, relationships and experience all seem to play a role in providing Private Equity managers with a competitive edge over their public market counterparts. The sources identified in this report are very relevant. However, to empirically prove the individual relationship between each of those sources and the superior returns achieved by Private Equity managers remains a challenge, as their success is vested in their ability to artfully combine these methods in perpetually different combinations according to the merits of each situation.
AFRIKAANSE OPSOMMING: Private Ekwiteit is besig om vinnig te groei as alternatiewe bateklas vir beleggers in Suid-Afrika. Plaaslike en internasionale literatuur bied oorweldigende bewyse wat dui daarop dat Private Ekwiteit bogemiddelde risiko-aangepaste opbrengste sowel as portefeuljediversifikasie-voordele inhou. Private Ekwiteitbestuurders hef redelike hoë fooie en beleggers mag dalk bekommerd wees oor die vermoë van hierdie maatskappye om hul bogemiddelde opbrengste vol te hou. Hierdie navorsingsverslag adresseer die vraag oor hoe presies Private Ekwiteit- bestuurders dit regkry om bogemiddelde opbrengste te realiseer. Alhoewel die beskikbare literatuur beperk is en opinies daarin vervat verskil, is daar verskeie metodes geïdentifiseer wat bestuurders gebruik om opbrengste te verhoog. `n Steekproef is gekies wat bestaan uit 46 individuele beleggings verteenwoordigend van groot uitkoop-transaksies in Suid Afrika. `n Analise is gedoen om die verhouding tussen geïdentifiseerde bronne van opbrengs en die gerealiseerde Interne Opbrengskoers op `n kwantitatiewe wyse te ondersoek. Die bevindinge was verrassend in die sin dat die verhoudings nie so sterk was soos wat verwag was nie en in baie gevalle was dit glad nie ondersteunend van die bevindinge in die literatuur nie. Slegs verdienstegroei en toename in waardasie-veelvoude het `n beduidende impak gehad op die Interne Opbrengskoers wat behaal is volgens die steekproef wat ontleed is. Die skrywer kom tot die gevolgtrekking dat 'n belegging in Private Ekwiteit te interdissiplinêr is om die bronne van opbrengs te distilleer tot `n paar spesifieke elemente. Inligting, spesialiteits-kennis, fantastiese bestuursvaardighede, persoonlike verhoudings en ervaring is alles elemente wat aan Private Ekwiteit-bestuurders `n mededingende voordeel bied. Die bronne van opbrengs wat in hierdie navorsingsverslag hanteer word, is baie relevant. Dit bly egter `n uitdaging om empiries die individuele verhoudings tussen hierdie bronne en die bogemiddelde opbrengste wat behaal word te bewys, aangesien Private Ekwiteit-bestuurders se sukses juis lê in hul vermoë om kunstig hierdie verskeie metodes te kombineer in ewig veranderende kombinasies na aanleiding van die meriete van elke geval.
38
Bengtsson, Filip, and Alfred Persson. "Bank stock return sensitivity to changes in interest rate level and volatility." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-75698.
Full textAbstract:
This paper examines how the level and volatility of interest rates affect the stock return of banks using a GARCH-M model. Data is collected for Swedish and Danish banks stock return and interest rates on monthly basis for the period January 2000 to April 2018. The effects of interest rates on banks stock return is tested by two hypotheses, if the volatility of interest rates affects the volatility of the stock returns and if the level of the interest rate affects the excess return. The excess returns are also tested for significance of its own conditional variance in form of the mean term in the GARCH-M model. The results show that the volatility of interest rates has a significant effect on the excess return of the bank stocks while the level of the interest rate does not have a significant effect, the mean term is not significant, implying that some of the risk is not priced by an increased risk premium. The paper also discusses how the quantitative easing activities that has been performed by central banks could affect the bank stocks sensitivity to interest rates changes.
39
Lawson, Andreas Uwe. "Evidence on the fundamental determinants of investors' expectations of risk." 2003. http://wwwlib.umi.com/cr/utexas/fullcit?p3116107.
Full text
40
"Analysts forecast dispersion and stock returns in Hong Kong." 2008. http://library.cuhk.edu.hk/record=b5896824.
Full textAbstract:
Hung, Chun Man.Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.
Includes bibliographical references (leaves 71-74).
Abstracts in English and Chinese.
Abstract --- p.i
摘要 --- p.ii
Acknowledgement --- p.iii
Table of Content --- p.iv
Chapter 1. --- Introduction --- p.1
Chapter 1.1 --- Hong Kong securities market background --- p.2
Chapter 1.2 --- Purpose and brief results --- p.4
Chapter 1.3 --- Organization of the paper --- p.5
Chapter 2. --- Literature Review --- p.6
Chapter 2.1 --- Theoretical Studies --- p.6
Chapter 2.2 --- Empirical Studies --- p.8
Chapter 3. --- Methodology --- p.14
Chapter 3.1 --- Hypothesis development --- p.14
Chapter 3.2 --- Data and Sample Characteristics --- p.16
Chapter 3.3 --- Sample selection rules --- p.17
Chapter 3.4 --- Variables definitions --- p.19
Chapter 3.5 --- Estimation of market betas (pre-ranking and post-ranking) --- p.23
Chapter 3.5.1 --- Betas estimation procedure --- p.23
Chapter 3.5.2 --- Results and findings --- p.25
Chapter 4. --- Size- Dispersion Portfolio Strategy --- p.27
Chapter 4.1 --- Formation of size-beta portfolio --- p.27
Chapter 4.2 --- Results and findings --- p.28
Chapter 5. --- Fama-MacBeth cross-sectional regressions --- p.32
Chapter 5.1 --- Relation between dispersion and other firm characteristics --- p.32
Chapter 5.2 --- Relation between future stocks returns and firm characteristics --- p.33
Chapter 5.3 --- Robustness check --- p.38
Chapter 5.3.1 --- Sub-period regressions --- p.38
Chapter 5.4 --- Possible Explanations --- p.39
Chapter 6. --- Conclusion Remarks --- p.44
Chapter 6.1 --- Conclusion --- p.44
Chapter 6.2 --- Limitations and future direction --- p.45
Tables --- p.47
Table 1 Key statistics for the Hong Kong stock market --- p.47
"Table 2 Sectoral distribution of market capitalization (per cent of total),1997-2006" --- p.48
"Table 3 Market capitalization: top twenty firms (percentage of total market), 2006" --- p.49
Table 4 Summary of empirical literature of dispersion on stock returns --- p.50
Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003 --- p.51
Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003(continue) --- p.52
Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003(continue) --- p.53
Table 6 Sample properties based on sectoral distribution --- p.54
Table 7 Descriptive statistics for the analysts´ة forecasts dispersion: 1997-2003 --- p.55
Table 8 Properties of the nine size-beta portfolio for the sample period from January 1997 to December 2003 --- p.56
Table 9 Mean and Median Portfolio Returns by Size and Dispersion in Analysts´ة Forecasts --- p.57
Table 9 Mean and Median Portfolio Returns by Size and Dispersion in Analysts´ة Forecasts --- p.58
Table 10 Mean Portfolio Dispersion by Size and Dispersion in Analysts´ة Forecasts --- p.59
Table 11 Fama-MacBeth cross-sectional regressions of analysts´ة forecasts dispersion on lagged firm characteristics --- p.60
Table 12 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics --- p.61
Table 12 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (continue) --- p.62
Table 13 Overall monthly correlation matrix between explanatory variables for the period January 1997 to December 2003 --- p.63
Table 15 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (second sub-period) --- p.66
Table 15 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (second sub-period) (continue) --- p.67
Figures --- p.68
Figure 1 Growth trend of the Hong Kong stock market --- p.68
Figure 2 Equities funds raised by H shares enterprise for GEM --- p.69
Appendix one --- p.70
References --- p.71
41
Masinga, Zamani Calvin. "Modeling and forecasting stock return volatility in the JSE Securities Exchange." Thesis, 2016. http://hdl.handle.net/10539/21053.
Full textAbstract:
Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016Modeling and forecasting volatility is one of the crucial functions in various fields of financial engineering, especially in the quantitative risk management departments of banks and insurance companies. Forecasting volatility is a task of any analyst in the space of portfolio management, risk management and option pricing. In this study we examined different GARCH models in Johannesburg Stock Exchange (JSE) using univariate GARCH models (GARCH (1, 1), EGARCH (1, 1), GARCH-M (1, 1) GJR-GARCH (1, 1) and PGARCH (1, 1)). Daily log-returns were used on JSE ALSH, Resource 20, Industrial 25 and Top 40 indices over a period of 12 years. Both symmetric and asymmetric models were examined. The results showed that GARCH (1, 1) model dominate other models both in-sample and out-of-sample in modeling the volatility clustering and leptokurtosis in financial data of JSE sectoral indices. The results showed that the JSE All Share Index and all other indices studied here can be best modeled by GARCH (1, 1) and out-of-sample for JSE All Share index proved to be best for GARCH (1, 1). In forecasting out-of-sample EGARCH (1, 1) proved to outperformed other forecasting models based on different procedures for JSE All Share index and Top 40 but for Resource 20 RJR-GARCH (1, 1) is the best model and Industrial 25 data suggest PGARCH (1, 1)
DM2016
42
Hsieh, Hsien-Jung, and 謝賢蓉. "Compare the Rate of Return of Portfolio Based on Stocks Selection Methods." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/fryd37.
Full textAbstract:
碩士南臺科技大學
企業管理系
104
Taiwan features a complete capital market system. In addition, advances in modern-day technologies enable the public to use the Internet to easily obtain stock-related information from electronic media, newspapers, and magazines. Thus, stocks have become a financial investment channel. In a highly unpredictable stock market, investors all hope to find and invest in stocks that feature high returns, high efficiency, and low risk. This study emulated experts by using simple financial indicators to identify the value investing strategies adopted by businesses as well as their future “growth.” An empirical analysis was performed for the period between yearend 2009 and yearend 2014, in which portfolios created using the growth and value investing methods were investigated to verify the performance of the two portfolio types at different periods. Subsequently, the investment portfolio that produced superior investment performance was selected. The empirical results showed that in terms of investment performance, long-term investments outperformed market investments and that the return on investment (ROI) increased significantly over time. By employing financial index ratios used by five financial experts, the optimal growth investing portfolio (Fisher) and value investing portfolio (Buffett) were selected, both of which produced favorable ROI in the long run. Next, rate of return volatility was measured using standard deviation, which showed that value investing portfolios (Buffett) displayed the optimal performance. This verified the situation that higher risks are commonly associated with greater returns. Finally, the Sharpe index showed positive feedback for the risks from rate of return volatility when growth investing portfolios (Fisher) are held for one or five years, indicating that high returns are indeed associated with greater risks.
43
Lebovitz, Aaron Joshua. "Bounded beliefs, disagreement, and under-reaction to news : explaining post earnings announcement drift /." 2003. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:3088760.
Full text
44
Pinello, Arianna Spina Morton Richard M. "Individual investor reaction to the earnings expectations path and its components." 2004. http://etd.lib.fsu.edu/theses/available/etd-07012004-140557.
Full textAbstract:
Thesis (Ph. D.)--Florida State University, 2004.Advisor: Dr. Richard M. Morton, Florida State University, College of Business, Dept. of Accounting. Title and description from dissertation home page (viewed Sept. 23, 2004). Includes bibliographical references.
45
CHEN, HSIU-CHUAN, and 陳秀娟. "The Announcement Effect of Interest Rate Changes on the Rates of Return of Taiwan''s Stocks." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/34610562664667142820.
Full textAbstract:
碩士朝陽科技大學
財務金融系碩士班
96
This paper employs event study method to probe into how the interest rate adjustments by the U.S.''s Federal Reserve Bank and Taiwan''s Central Bank affect the abnormal returns for Taiwan''s five major stock categories. The results are as follows: 1. When the U.S. Federal Reserve and Taiwan''s Central Bank announced interest rate cuts, the electronics, steel, plastics/chemicals, and securities sectors all experienced positive abnormal returns, while financial holding stocks did not exhibit substantial abnormal return. 2. When the U.S. Federal Reserve announced interest rate hikes, most studied stocks in all five major stock categories experienced negative abnormal return. The financial-holding stocks'' reaction to the U.S. Federal Reserve''s interest rate increase was especially pronounced 3. When the Taiwan Central Bank announced interest rate hikes, the five major categories exhibited abnormal return, yet some stocks'' abnormal returns were positive, which was likely due to the stocks'' recovering after market''s over-reaction to the earlier U.S. Federal Reserve rate hike. Moreover, the number of times this reaction occurred was less than the number of times U.S. Federal Reserve adjusted the rate; this was probably because some of the reaction took place before U.S. Federal Reserve increased interest rate.
46
"A comparative study of the performance of red chip and Hang Seng Index constituent blue chip stocks." Chinese University of Hong Kong, 1994. http://library.cuhk.edu.hk/record=b5888056.
Full textAbstract:
by Chan Ping Kei Patrick & Sun Fuk Cheung, Admiral.Thesis (M.B.A.)--Chinese University of Hong Kong, 1994.
Includes bibliographical references (leave 40).
ABSTRACT --- p.ii
TABLE OF CONTENTS --- p.iii
Chapter
Chapter I. --- INTRODUCTION & BACKGROUND --- p.1
Chapter 1.1 --- Objectives of our study --- p.2
Chapter 1.2 --- Category of Red Chips --- p.3
Chapter 1.3 --- "A, B and H shares compared" --- p.4
Chapter II. --- METHODOLOGY --- p.8
Chapter 2.1 --- Period of study --- p.10
Chapter 2.2 --- Redchip Index (RCI) --- p.11
Chapter 2.3 --- Share price return --- p.12
Chapter 2.4 --- Initial Public Offering (IPO) --- p.13
Chapter 2.5 --- Estimating Betas --- p.14
Chapter 2.6 --- P/E comparison --- p.15
Chapter III. --- RESULTS --- p.16
Chapter 3.1 --- Background information --- p.16
Chapter 3.2 --- Empirical analysis --- p.18
Chapter 3.3 --- Share price return --- p.20
Chapter 3.4 --- Performance of new issues in 1993 --- p.21
Chapter 3.4.1 --- General trends --- p.21
Chapter 3.4.2 --- Seasoning effect --- p.24
Chapter 3.5 --- Beta estimation --- p.27
Chapter 3.6 --- P/E comparison --- p.28
Chapter 3.7 --- China factors --- p.28
Chapter IV. --- THE VIEW OF PRACTITIONERS --- p.30
Chapter V. --- CONCLUSION --- p.31
APPENDIX --- p.32
BIBLIOGRAPHY --- p.40
47
"Extreme value analysis of Hong Kong's stock market." 2000. http://library.cuhk.edu.hk/record=b5890390.
Full textAbstract:
Kam Ying Chuen.Thesis (M.Phil.)--Chinese University of Hong Kong, 2000.
Includes bibliographical references (leaves 81-83).
Abstracts in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Overview of Hong Kong Stock Market --- p.3
Chapter 2.1 --- Stock Exchange of Hong Kong --- p.3
Chapter 2.2 --- Hang Seng Index --- p.4
Chapter 2.3 --- Influences of the United States --- p.5
Chapter 2.4 --- Hong Kong Government's Intervention --- p.6
Chapter 3 --- Literature Review --- p.8
Chapter 3.1 --- Stable and Student t Distributions --- p.8
Chapter 3.2 --- Generalized Distribution --- p.10
Chapter 3.3 --- Socio-economic Model --- p.11
Chapter 3.4 --- Extreme Value Analysis --- p.11
Chapter 4 --- Methodology --- p.14
Chapter 4.1 --- Homogeneous Model --- p.15
Chapter 4.2 --- Inhomogeneous Model --- p.15
Chapter 4.3 --- Model Validity --- p.16
Chapter 4.3.1 --- Exceedance Rate --- p.17
Chapter 4.3.2 --- Distribution of Excesses --- p.17
Chapter 4.3.3 --- Independence --- p.18
Chapter 5 --- Data --- p.19
Chapter 5.1 --- Minute-by-minute Returns --- p.20
Chapter 5.2 --- Daily returns --- p.21
Chapter 5.3 --- Explanatory Variables for the Inhomogeneous Model --- p.21
Chapter 6 --- Empirical Results: Minute-by-minute Returns --- p.24
Chapter 6.1 --- Shape Parameter k --- p.24
Chapter 6.2 --- Location Parameter μ --- p.25
Chapter 6.3 --- Scale Parameter σ --- p.26
Chapter 6.4 --- Conditional Scale Parameter ψ --- p.27
Chapter 6.5 --- Specification Test --- p.29
Chapter 7 --- Empirical Results: Daily Returns --- p.29
Chapter 7.1 --- Homogeneous Model --- p.30
Chapter 7.2 --- Inhomogeneous Model --- p.31
Chapter 7.2.1 --- Constant Term --- p.32
Chapter 7.2.2 --- Dow Jones Industrial Average Returns --- p.33
Chapter 7.2.3 --- Volatility Indicators --- p.34
Chapter 7.2.4 --- Monday Dummy --- p.35
Chapter 7.2.5 --- Time Trend --- p.36
Chapter 7.2.6 --- Duration Dummy --- p.37
Chapter 7.2.7 --- Indicator for the Behavior of the Previous Trading Day --- p.38
Chapter 8 --- Conclusion --- p.39
48
"A Study on the size anomaly in the Hong Kong stock market and its relation to seasonality." Chinese University of Hong Kong, 1992. http://library.cuhk.edu.hk/record=b5887159.
Full textAbstract:
by Mok, Wai Man Ronald.Thesis (M.B.A.)--Chinese University of Hong Kong, 1992.
Includes bibliographical references (leaves 59-63).
ABSTRACT --- p.ii
ACKNOWLEDGEMENTS --- p.iii
TABLE OF CONTENTS --- p.iv
LIST OF FIGURES --- p.vi
LIST OF TABLES --- p.vii
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter 1.1 --- Firm Size Effect --- p.2
Chapter 1.2 --- Hong Kong Situation --- p.3
Chapter 1.3 --- Outline of the Research Report --- p.4
Chapter II. --- LITERATURE REVIEW --- p.5
Chapter 2.1 --- The Size Effect as a Statistical Artifact --- p.6
Chapter 2.2 --- Further Characterization of the Size Effect --- p.11
Chapter 2.3 --- Economic Explanations for the Size Effect --- p.12
Chapter 2.3.1 --- Tax Effects --- p.12
Chapter 2.3.2 --- International Evidence on Tax Effects --- p.13
Chapter 2.3.3 --- Transaction Costs --- p.16
Chapter 2.3.4 --- Ownership Structure --- p.17
Chapter 2.3.5 --- Other modifications of the CAPM --- p.18
Chapter III. --- OVERVIEW OF THE HONG KONG STOCK MARKET --- p.19
Chapter IV. --- RESEARCH OBJECTIVES AND THEORETICAL FRAMEWORK --- p.21
Chapter 4.1 --- Research Objectives --- p.21
Chapter 4.2 --- Theoretical Framework --- p.22
Chapter 4.2.1 --- Capital Asset Pricing Model (CAPM) --- p.22
Chapter 4.2.2 --- Assumptions of CAPM --- p.23
Chapter 4.2.3 --- Suitability of the Model --- p.23
Chapter V. --- SAMPLE DATA AND METHODOLOGY --- p.25
Chapter 5.1 --- Sample Data --- p.25
Chapter 5.1.1 --- Data Sources --- p.25
Chapter 5.1.2 --- Sample Period --- p.25
Chapter 5.1.3 --- Sample Selection --- p.26
Chapter 5.1.4 --- Market Index --- p.26
Chapter 5.2 --- Methodology --- p.27
Chapter 5.2.1 --- Portfolio Construction --- p.27
Chapter 5.2.2 --- Raw Return --- p.28
Chapter 5.2.3 --- Excess Return --- p.30
Chapter 5.2.4 --- Excess Return Adjusted for Infrequent Trading --- p.31
Chapter 5.2.5 --- Seasonality --- p.32
Chapter VI. --- EMPIRICAL RESULTS & ANALYSIS --- p.34
Chapter 6.1 --- Raw Returns --- p.34
Chapter 6.2 --- Excess Returns --- p.36
Chapter 6.3 --- Excess Returns Adjusted for Infrequent Trading --- p.42
Chapter 6.4 --- Seasonality --- p.46
Chapter 6.4.1 --- Raw Returns --- p.46
Chapter 6.4.2 --- Excess Returns --- p.48
Chapter 6.4.3 --- Excess Returns Adjusted for Infrequent Trading --- p.51
Chapter VII. --- IMPLICATION OF FINDINGS AND CONCLUSION --- p.54
APPENDIX 1 List of Companies of the Five Portfolios --- p.57
APPENDIX 2 Average Market Value of Companies of the Five Portfolios --- p.58
BIBLIOGRAPHY --- p.59
49
LIN, WEI-CHOU, and 林威州. "The Impact of the Second Party Rotation on the Stock Price Return Rate of Taiwan Tourism Stocks." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/ze3uev.
Full textAbstract:
碩士國立雲林科技大學
財務金融系
107
Abstract This study used the Event Study to examine the impact of the second party rotation announcement on the stock price return of Taiwan's tourism stocks, and used cross-sectional regression analysis to explore the factors affecting abnormal returns. The empirical results show that the stock price of the tourism stocks will indeed result in negative cumulative abnormal returns due to the second political party rotation announcement. In addition, the analysis of the causes of abnormal remuneration in this study shows that the size of the company has a negative level of negative abnormal returns, indicating that there is a scale effect in Taiwan's stock market. Investors can invest in smaller companies after they receive the information. Higher abnormal pay Keywords: second party rotation, event research method, abnormal return rate
50
Chen, Yu-ren, and 陳裕仁. "Exchange Rate Exposure and Stock Return." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/42938302846040100781.
Full textAbstract:
碩士雲林科技大學
財務金融系碩士班
98
This study investigates the influence of exchange rate exposures on stock returns of listed companies in Taiwan. This study first measures exchange rate exposure from 1999 to 2009 and that most of the coefficients of exchange rate exposure in all overlapping periods are positive. This finding means that the depreciation of NT dollar has a positive impact on companies’ stock returns, and this result is similar to previous studies. This study further examines the factors affect exchange rate exposure by using regression model. The result show a negative coefficient of hedge activity in short-term, but a positive coefficient in long-term. These findings indicate that using the derivatives could reduce the exchange rate exposure in the short run, but in the long run will increase the exchange rate exposure. The results also find larger company has lower exchange rate exposure and gain or loss of financial assets and liabilities will decrease exchange rate exposure in the long run.