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Zevallos, Mauricio, i Carlos del Carpio. "Metal Returns, Stock Returns and Stock Market Volatility". Economía, 2015. http://repositorio.pucp.edu.pe/index/handle/123456789/118122.
Pełny tekst źródłaDada la amplia participación de acciones mineras en el mercado de valores peruano, la Bolsa de Valores de Lima (BVL) resulta un escenario ideal para explorar tanto el impacto de los ren- dimientos de acciones de metales en los rendimientos de las acciones mineras y la volatilidad del Mercado de valores, así como los co-movimientos entre los rendimientos de las acciones mineras y los rendimientos de los metales. Este estudio es un primer intento en explorar estos temas usando precios internacionales de los metales y los precios de las acciones mineras más importantes de la BVL y del índice IGBVL. Para conseguir esto, hemos usado modelos GARCHunivariados para modelar las volatilidades individuales, y el método de Media Móvil Ponderada Exponencialmente (EWMA) y modelos GARCH multivariados con correlaciones de variantes en el tiempo a modelos de co-movimientos en rendimientos. Hemos encontrado que las volatilidades imitan el comportamiento de las volatilidades de los metales y que hay importantes niveles de correlación entre los metales y el retorno de las acciones mineras. Adicionalmente, encontramos correlaciones variantes en el tiempo con un comportamiento distintivo en periodos diferentes, el que aumenta potencialmente en relación con eventos históricos internacionales o nacionales.
Kunze, Karl-Kuno, i Hans Gerhard Strohe. "Antipersistence in German stock returns". Universität Potsdam, 2010. http://opus.kobv.de/ubp/volltexte/2010/4558/.
Pełny tekst źródłaBrookins, Benjamin David Lee. "Investor sentiment and stock returns". Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/88379.
Pełny tekst źródłaTitle as it appears in MIT degrees awarded booklet, February 2014: Sentiment shocks and stock returns. Cataloged from PDF version of thesis.
Includes bibliographical references (page 45).
Since Keynes coined the term animal spirits economists have been debating what the real impact human psychology is on economic variables. The major challenge in identifying these effects is the close ties between negative (positive) emotions and poor (good) future real outlook. I exploit a historical weighting anomaly in a widely cited US stock index to examine the impact of psychology on stock returns. I first argue this is a plausibly exogenous shock, and compare this measure to other measures found in the literature. I find that the measure doesn't seem to relate to previous proxies for investor sentiment, however, when I examine survey measures of interest rates and consumer confidence we find a relationship. I then examine how sentiment affects the cross section of stock returns, consistent with predictions I find that small stocks earn low subsequent returns when sentiment is low, and high returns when sentiment is high.
by Benjamin David Lee Brookins.
S.M. in Management Research
BARADARANNIA, Mohammadreza. "Liquidity And Expected Stock Returns". Thesis, The University of Sydney, 2013. http://hdl.handle.net/2123/9367.
Pełny tekst źródłaAbhakorn, Pongrapeeporn. "The cross-section of stock returns". Thesis, University of York, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.428059.
Pełny tekst źródłaRytchkov, Oleg. "Essays on predictability of stock returns". Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/42333.
Pełny tekst źródłaIncludes bibliographical references.
This thesis consists of three chapters exploring predictability of stock returns. In the first chapter, I suggest a new approach to analysis of stock return predictability. Instead of relying on predictive regressions, I employ a state space framework. Acknowledging that expected returns and expected dividends are unobservable, I use the Kalman filter technique to extract them from the observed history of realized dividends and returns. The suggested approach explicitly accounts for the possibility that dividend growth can be predictable. Moreover, it appears to be more robust to structural breaks in the long-run relation between prices and dividends than the conventional OLS regression. I show that for aggregate stock returns the constructed forecasting variable provides statistically and economically significant predictions both in and out of sample. The likelihood ratio test based on a simulated finite sample distribution of the test statistic rejects the hypothesis of constant expected returns at the 1% level. In the second chapter, I analyze predictability of returns on value and growth portfolios and examine time variation of the value premium. As a major tool, I use the filtering technique developed in the first chapter. I construct novel predictors for returns and dividend growth on the value and growth portfolios and find that returns on growth stocks are much more predictable than returns on value stocks. Applying the appropriately modified state space approach to the HML portfolio, I build a novel forecaster for the value premium. Consistent with rational theories of the value premium, the expected value premium is time-varying and countercyclical. In the third chapter, based on the joint work with Igor Makarov, I develop a dynamic asset pricing model with heterogeneously informed agents.
(cont.) I focus on the general case in which differential information leads to the problem of "forecasting the forecasts of others" and to non-trivial dynamics of higher order expectations. I prove that the model does not admit a finite number of state variables. Using numerical analysis, I compare equilibria characterized by identical fundamentals but different information structures and show that the distribution of information has substantial impact on equilibrium prices and returns. In particular, asymmetric information might generate predictability in returns and high trading volume.
by Oleg Rytchkov.
Ph.D.
Setiono, Bambang. "Financial statement information and stock returns". Thesis, University of Manchester, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629949.
Pełny tekst źródłaKlähn, Judith. "The predictability of German stock returns /". Wiesbaden : Wiesbaden : Deutscher Universitäts-Verlag ; Gabler, 2000. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008969264&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
Pełny tekst źródłaLin, 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.
Pełny tekst źródłaKruger, Theunis Lodewicus. "Dividend stability, dividend yield and stock returns on the Johannesburg Stock Exchange". Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52241.
Pełny tekst źródłaENGLISH ABSTRACT: This study investigates the relationship between dividends and stock returns on the Johannesburg Stock Exchange (JSE). In this mini study project a regression model is used to investigate the relationship between dividend yield portfolios and stock returns. Each of these dividend yield portfolios are further subdivided into dividend stability portfolios which together with a regression model are used to investigate the relationship between dividend stability and stock returns on the JSE. It follows from this study that there is a non-linear relationship between the risk-adjusted returns and dividend yields. A significant finding of this study is the fact that there is an inverse linear relationship between the dividend yield and average stock returns for dividend paying portfolios on the JSE. Investors on the JSE appear to place a premium on capital gains as opposed to dividends. It follows from this study that there is an inverse correlation between dividend stability and the risk-adjusted return with the beta coefficient increasing as dividend stability decreases. Within a particular yield portfolio, it is evident that higher systematic risk is associated with shares with unstable dividend yielding histories. It is clear from the results that this dividend signalling is not limited to high yielding stocks alone. As dividends are not entirely controlled by managers, a low stable dividend yield could signal a low exposure to systematic risk to outsiders.
AFRIKAANSE OPSOMMING: In hierdie studie word die verband tussen dividende en aandeelopbrengste op die Johannesburgse Effektebeurs ondersoek. 'n Regressiemodel is in hierdie mini werkstuk gebruik om die verwantskap tussen dividend opbrengsportfolios en aandeelopbrengs te ondersoek. Elk van hierdie opbrengsportfolios is vervolgens verder verdeel in dividendstabiliteitsportfolios wat tesame met 'n regressiemodel gebruik is om die verband tussen dividendstabiliteit en aandeelopbrengs te bepaal. Dit volg uit hierdie studie dat daar 'n nie-lineêre verband tussen risiko aangepaste aandeelopbrengs en dividendopbrengs bestaan. 'n Noemenswaardige bevinding is die inverse lineêre verwantskap tussen dividend en gemiddelde aandeelopbrengs vir dividend betalende aandele op die Johannesburgse Effektebeurs. Dit blyk asof beleggers op die Johannesburgse Effektebeurs 'n premie plaas op kapitaalgroei ten koste van dividendopbrengs. Dit volg ook uit hierdie studie dat daar 'n inverse korrelasie is tussen dividendstabiliteit en risiko aangepaste aandeelopbrengs met die beta koëffissiënte wat toeneem soos dividendstabiliteit afneem. Binne 'n spesifieke dividendopbrengsportfolio is dit duidelik dat hoër sistematiese risiko geassosieer word met onstabiele historiese dividendopbrengste. Dit volg uit die resultate dat hierdie inligtingoordrag deur middel van dividende, nie beperk is tot hoë dividendopbrengs aandele nie. Aangesien dividende nie uitsluitlik deur bestuurders beheer word nie, kan 'n aandeel met lae maar stabiele dividendopbrengs, 'n boodskap van lae blootstelling aan sistematiese risiko aan die mark oordra.
Yang, Siyi. "A Study of Swedish Mortgage Interest Rates and Swedbank Stock Returns : Time-varying Mortgage Margins and Stock Returns". Thesis, KTH, Bank och finans, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-109825.
Pełny tekst źródłaMacDonald, John Allan. "Stock returns' variance behavior surrounding stock splits: evidence from trade-by-trade data 1978-1985". Diss., Virginia Polytechnic Institute and State University, 1987. http://hdl.handle.net/10919/49855.
Pełny tekst źródłaPh. D.
incomplete_metadata
Kayacetin, Volkan Nuri. "Cross-section Of Average Stock Returns On The Istanbul Stock Exchange". Thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/1088756/index.pdf.
Pełny tekst źródłaWong, Tek Man. "Seasonality in daily bond and stock returns". Thesis, University of Macau, 2006. http://umaclib3.umac.mo/record=b1637041.
Pełny tekst źródłaMoorman, Theodore Clark. "Corporate governance and long-term stock returns". Texas A&M University, 2005. http://hdl.handle.net/1969.1/2341.
Pełny tekst źródłaLuan, Xinyang. "Essays on international stock and bond returns". Thesis, University of Essex, 2016. http://repository.essex.ac.uk/17746/.
Pełny tekst źródłaBaudus, David de. "On international monetary environment and stock returns". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0016/MQ47806.pdf.
Pełny tekst źródłaDing, Wenjie. "Investor sentiment and corss-sectional stock returns". Thesis, Cardiff University, 2018. http://orca.cf.ac.uk/117297/.
Pełny tekst źródłaSalhin, Ahmed. "Managerial sentiment, investor sentiment and stock returns". Thesis, Heriot-Watt University, 2017. http://hdl.handle.net/10399/3375.
Pełny tekst źródłaCollett, Nick. "Accounting and environmental determinants of stock returns". Thesis, University of Manchester, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.631707.
Pełny tekst źródłaWang, Sin-Huen, i 王薪惠. "The Relationship between Return Dispersion and Stock Index Returns". Thesis, 2015. http://ndltd.ncl.edu.tw/handle/72s93p.
Pełny tekst źródła健行科技大學
財務金融系碩士班
103
This study explores whether the return dispersion could as a powerful factor in asset pricing model, and aim at index component stocks of return, including Taiwan 50 Index, medium 100 index, financial and insurance index, electronic index in 2000-2014 years as an sample. Then calculate return dispersion and add it into CAPM and Fama and French three-factor model and GARCH model, to examine its influence and explain ability to the models. The results found that return dispersion as factor in asset pricing model, indeed have significant influence and explain ability, besides, the results of study express return dispersion also can forecast future trend for stock index. Consulting Fama and French(1993) to constructing six portfolio, and we find while regression analyzing, that the model can offer extra explanation ability to the regression model after add to value at return dispersion factor. Express after add to the value at return dispersion factor, the expected stock index return enabling us to be more accurate. To the end, this means the return dispersion factor at the study of asset pricing have representative status.
Ho, Po-Hsin, i 何柏欣. "Industries and Stock Returns". Thesis, 2004. http://ndltd.ncl.edu.tw/handle/35746723314826281144.
Pełny tekst źródła國立中央大學
財務金融研究所
92
We investigate the industry aspect of cross-sectional stock returns from a few different angles. First, we test the implied returns which are related to firms of the same industry in a CAPM world. The empirical results suggest that the implied return cannot subsume the size and book-to-market equity ratio (BM hereafter) effects. Second, we examine the within- and across-industry components based on the characteristic model. The empirical results show that both the within-industry component and the across-industry component affect the stock returns. However, the difference between the within-industry component and the across-industry components are not statistically significant. Third, we extract five industry factors from the industry portfolios and examine the explanatory power of the industry factors. We find that the industry factors can provide additional explanatory power beyond size and BM, but the significance of size and BM cannot be subsumed by the industry factors. Finally, based on the prospect theory, we further investigate the asymmetric relation between return and firms' characteristics (such as size and BM) using industry median as a reference point. The empirical results reveal that, there exists an asymmetric relation between return and size and BM. Additionally, the asymmetric effect cannot be explained by the characteristics of firms' past operating performance.
Te, Wang Yao, i 王耀德. "The Relationship Between Stocks Valuation Models and Stock Returns". Thesis, 2014. http://ndltd.ncl.edu.tw/handle/sqztt8.
Pełny tekst źródła國立高雄應用科技大學
金融資訊研究所
102
This study used Peter Lynch Evaluation method, calculate a stock's valuation of prices, with the price of a stock price, if the appraisal price is less than the market price, you can consider investing in the underlying, even the proposal to amend the methods of evaluation, such as the Peter Lynch Evaluation method in the ratings for the "cheap" mode for optional unit is convinced that with its profitable investment effects; but when evaluating the price closer to the market price of stocks, approach is not to buy into, because profits will be greatly discounted the possibility of. Announcement effects of dividend yield, will become the Peter Lynch method added to effect, but was reduced to stock market investing with an effect due to ex-dividend income and investors do not want to participate in the ex-dividend income to form the selling pressure. Peter Lynch evaluation method and net rate of market prices for all effects. When a unit financing balance increases, it is inappropriate to approach investing in the stocks, in contrast, are advised to approach investing in the shares when stock when margin balances increases are advised to approach investing in the stocks, on the contrary, it is inappropriate to approach investing in the stocks. Investment in the three major legal interpretation, the study found that investment trust industry to invest mining higher speculative element, is a short-short corporate and direction of foreign capital and investment dealers trading is the most direct effect on the price of appraisal or market changes, and are directly related.
Wang, June-Te, i 王榮得. "The Impact of Stock Repurchase On Stock Returns". Thesis, 2015. http://ndltd.ncl.edu.tw/handle/92539949489270501558.
Pełny tekst źródła大葉大學
企業管理學系碩士班
103
This study investigates the impacts of stock repurchase on the short-term and long-term stock returns. The results indicate that the announcement of stock repurchases leads to short-term and long-term abnormal stock returns. The market reaction to repurchasing announcement is lagged and the firm is also under-valued. Moreover, this study examines whether the stock repurchases protect the stock prices as facing the global financial crisis in 2008. The result supports the hypothesis of stock price protection. Finally, this paper examines the factors which contribute to the abnormal stock returns by conducting a regression analysis. In the short run, small firms and firms with high institutional ownership are more likely to generate the abnormal returns. In the long run, firms with high book-to-market ratios are more likely to have abnormal returns.
Ni, Xiaoyan. "Stock option returns, a puzzle /". 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:3269992.
Pełny tekst źródłaSource: Dissertation Abstracts International, Volume: 68-07, Section: A, page: 3069. Adviser: Allen M. Poteshman. Includes bibliographical references (leaves 49-52) Available on microfilm from Pro Quest Information and Learning.
Lin, Tse-Feng, i 林澤峰. "Information Uncertainty and Stock Returns". Thesis, 2006. http://ndltd.ncl.edu.tw/handle/73029361028643568695.
Pełny tekst źródła國立臺灣大學
國際企業學研究所
94
There are many substantial evidences of short-term stock price continuation, the prior literatures often attribute it to investor behavioral biases, for example, the underreaction to new information in the market. If short-term stock price continuation is due to investor behavioral biases, we should see the greater stock price anomalies under greater information uncertainty. As a result, the greater information uncertainty is expected to generate relatively higher future returns following good news and relatively lower future returns following bad news. This paper investigates the effects to stock price continuation and cross-section returns under information uncertainty.
Chang, Shih Hsien, i 張世賢. "Liquidity and Expected Stock Returns". Thesis, 2010. http://ndltd.ncl.edu.tw/handle/31035861119736779928.
Pełny tekst źródła國立交通大學
統計學研究所
98
In this paper, we form 10 portfolios based on the predicted liquidity betas and examine that stocks’ “liquidity betas,” the sensitivities to innovations in aggregate liquidity, is important in asset pricing. We find stocks with higher liquidity betas contribute to higher expected returns using Pastor and Stambaugh (2003)’s liquidity measure and GMM estimation. Between January 1966 and December 2002, the average return on stocks with high liquidity beta exceeds that for stocks with low liquidity beta by 6.29 percent per year, adjusted for exposures to the market return, size, value (Fama-French Factors) and momentum factor.
Tsai, Pei-ju, i 蔡佩儒. "Institutional Ownership and Stock Returns". Thesis, 2009. http://ndltd.ncl.edu.tw/handle/67527015719714228285.
Pełny tekst źródła國立中央大學
財務金融研究所
97
Firms with higher institutional ownership (hereafter IO) are those whose managers are more efficiently monitored and whose information is more accessible to investors. Hence, institutional ownership can be viewed as a proxy for a risk factor. The risk of firms with high institutional ownership is predicted to be low, and a low compensation required by investors. We find that institutional ownership is negatively related to returns, consistent with efficient-monitoring and information transparency hypotheses. After controlling for the size effect, however, IO lacks independent explanatory ability, suggesting that IO does not provide significant explanatory power beyond the size effect.
Chiu, Chu-fang, i 邱菊芳. "Dividend Yield and Stock Returns". Thesis, 2015. http://ndltd.ncl.edu.tw/handle/28257760636425803885.
Pełny tekst źródła國立高雄第一科技大學
財務管理研究所
103
In this study, we adopt a sample of Taiwan listed firms that declared dividend payment between2003 and 2013 to explore whether high dividend yield stocks canbe profitable investment targets.The results indicate that, for all firms in the sample, investors buy and hold dividend-declared stock yield a six months cumulative abnormal returns of -4.30%. However, when investors buy and hold stocks with dividend yield of 5%(or 9%), the cumulative abnormal returns will reach 4.23% (or 7.19%) in six months period, or annual rateof 8.46% (or 14.38%).Research findings support that high dividend yield stocks is investor''s choice for profitability targets. In addition, we find that investors will get higher six-months return through buy-and-hold strategy on "Non-Electronic Industry High Dividend Yield Stocks" than on "Electronic Industry High Dividend Yield Stocks". Keywords: dividend yield, CAR ,event study
Pereira, Fábio Miguel Sousa. "Reputation and stock abnormal returns". Master's thesis, 2016. http://hdl.handle.net/10400.8/2334.
Pełny tekst źródłaLee, Jia-Ying, i 李佳穎. "Stock Returns and Earnings Changes". Thesis, 2007. http://ndltd.ncl.edu.tw/handle/82992369808473626266.
Pełny tekst źródła國立交通大學
管理科學系所
95
We study the stock reaction to aggregate earnings news. We use three methods which are aggregate, equal-weighted and value-weighted to measure seasonally differenced quarterly earnings, defined as earnings in the current quarter minus four quarters prior. From our results, we find that returns are unrelated to past earnings, suggesting that prices neither underreact nor overreact to aggregate earnings news. Besides, aggregate returns correlate negatively with concurrent earnings. We also use two-stage ordinary least regression to analysis the relationship between stock returns and earnings surprises under controlling the components of economic condition. Our empirical results suggest that stock returns correlate negatively with seasonally differenced quarterly earnings on the next quarter of earnings measured.
Fu, Hsueh-Yu, i 傅學鈺. "Default Risk and Stock Returns". Thesis, 2018. http://ndltd.ncl.edu.tw/handle/25h4r6.
Pełny tekst źródła國立中興大學
財務金融學系所
106
Carr and Wu (2011) points out the company exists the default corridor that stock price will never enter in. Under the assumption, this paper use deep out-of-the-money (DOTM) American put option to build up URC which can predict default probability. Moreover, this paper use Friewald, Wagner and Zechner (2014) to calculate the default risk premium from the equity option market, and then establish five equal-weighted portfolio according to firms default risk premia. Since CDS database is hard to get, this paper proceeds to discuss whether the portfolio of URC can replace CDS as company default probability basis. The hypothesis of whether high default risk premia will cause high expect stock return, is tested based on the strategy of buying the high-default-risk premium portfolio and selling the low-default-risk premium portfolio. Furthermore, the paper uses the CAPM model, Fama-French 3-factor model, 4-factor model and 5-factor model to examine whether our strategy has significant positive excess returns. The empirical result shows a significant positive relationship between default risk premia (RP) calculated from DOTM put and expected stock return. During the full sample period, financial crisis period and the period after financial crisis, the abnormal return (α) base on 99% confidence interval significant positive by our portfolio strategy. This paper confirms that using DOTM American equity put option to build up a default corridor can predict default risk premia and leads to the high expected stock return.
TSAI, MIN-FANG, i 蔡旻芳. "Google searches and stock returns". Thesis, 2019. http://ndltd.ncl.edu.tw/handle/whfrku.
Pełny tekst źródła國立高雄科技大學
財務管理系
107
Fama et al. (1969), French and Roll (1986) argued that information plays a very important role in the capital market. In order to reduce the effects of information asym-metry, rational investors often search the Internet before investment deals, to ensure they make the most appropriate investment decisions. Taking the search volume index (SVI) of Google trends as the proxy variable for investors’ information needs, this study aimed to explore the effects of Internet search of retail investors on their stock trading activities. With the study period from 2006 to 2018, the constituent stocks in FTSE TWSE Taiwan 50 Index were taken as the study objects for empirical analysis by reference with the practice of Bijl et al. (2016). The empirical results show that, search volume index (SVI) is positively related to stock return, and SVI of t-2 period means that a higher search volume indicates a lower future excess return. In addition, that the coefficient of SVI variable is statistically sig-nificant, the regression results show that the predictive ability of SVI is similar during financial crisis and under normal market conditions. It is found in this study that a high Google search volume can predict the positive return in the previous week, followed by the negative return, with the phenomenon of price reversals. Therefore, the result that Google search volume can predict the stock return is supported, which is consistent with the findings in the empirical study of the scholars such as Da et al. (2011a) and Joseph et al. (2011).
"Analysts forecast dispersion and stock returns in Hong Kong". 2008. http://library.cuhk.edu.hk/record=b5896824.
Pełny tekst źródłaThesis (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
"Analyst forecast accuracy, dispersion, and stock returns before and during stock market crashes". 2008. http://library.cuhk.edu.hk/record=b5893641.
Pełny tekst źródłaThesis (M.Phil.)--Chinese University of Hong Kong, 2008.
Includes bibliographical references (leaves 34-39).
Abstracts in English and Chinese.
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- Identification of Stock Market Crashes --- p.5
Chapter 2.1 --- Identification Criteria --- p.7
Chapter 2.2 --- Identification Results --- p.8
Chapter Chapter 3. --- Data --- p.10
Chapter 3.1 --- Data Issue for Chapter 4 --- p.10
Chapter 3.2 --- Data Issue for Chapter 5 --- p.12
Chapter 3.3 --- Data Issue for Chapter 6 --- p.12
Chapter Chapter 4. --- Examination of AFE --- p.13
Chapter 4.1 --- Definition of AFE and MAAFE --- p.13
Chapter 4.2 --- Examination of MAAFE --- p.14
Chapter 4.3 --- Examination of AFE by Grouping Duration --- p.15
Chapter Chapter 5. --- Examination of AFD --- p.18
Chapter Chapter 6. --- Examination of the Relationship between AFD and ESR --- p.22
Chapter 6.1 --- Portfolio Strategy - Sorting by Size and Dispersion --- p.23
Chapter 6.2 --- Portfolio Strategy - Sorting by Size and Book to Market Ratio --- p.26
Chapter 6.3 --- Fama-French Time Series Regression Test (Three-Factor Model) --- p.28
Chapter 6.4 --- Fama-French Time Series Regression Test (Three-Factor Model with Dispersion on the Right Hand Side) --- p.30
Chapter 6.5 --- Introduction of a Nonlinear Form of AFD to the Fama-French Model --- p.31
Chapter Chapter 7. --- Conclusions --- p.32
References --- p.34
Appendix Table I to Table XVI --- p.40-55
Figure I to Figure VI --- p.56-61
FAN, YEN-CHEN, i 樊彥辰. "Real Options, Volatility, and Stock Returns-Taiwan Stock Market". Thesis, 2017. http://ndltd.ncl.edu.tw/handle/cux73f.
Pełny tekst źródła國立中正大學
財務金融系研究所
105
This study uses the data of Taiwanese firms from January 2010 to December 2014 to examine the relationship between stocks returns and volatility coming from firm’s real option. We find that the value of companies with abundant investment opportunities (firm size, firm age and R&D intensity) is highly sensitive to change in volatility. But firms with more operating flexibility is not shown a strong evident between volatility and returns. Moreover, firms with plenty of growth and strategic options (biotechnological firms) tend to exhibit a strong volatility-return relation.
Tu, Chaw-Ping, i 凃朝坪. "Taiwanese Firms’ Stock Repurchase Announcement Effects on Stock Returns". Thesis, 2012. http://ndltd.ncl.edu.tw/handle/62477839117998541872.
Pełny tekst źródła國立雲林科技大學
財務金融系碩士班
100
The purpose of this research is making an in-depth exploration on the effect of announcing treasury stock on listed companies in Taiwan, on account of the treasury stock system is the investing activity frequently implemented on public market. This research employs event study method to explore the announcing effect on treasury stock by sampling the Taiwanese listed companies between 2006 and 2010; furthermore, exploring the effects on implement on announcing treasury stock within fundamental status, execution and others factors, in order to construct market model for the purpose of estimating the expected rate of return by adopting the ordinary least squares method (OLS). In this research, we find that there are relationships among book ratio, stock-selling price, the holding rate and changing rate of board of directors and supervisors, capitalization, and accumulative abnormal returns. Moreover, the share-price abnormal returns response to the purpose of implementing treasury stock, predicting-repurchasing rate, and the executed rate. Meanwhile, there are others elements, such as boom lights, whole markets and foreign shareholder rate, influencing on stock return as well.
Liao, Ung-Hsuan, i 廖泳瑄. "The option to stock volume ratio and stock returns". Thesis, 2018. http://ndltd.ncl.edu.tw/handle/ge6338.
Pełny tekst źródła國立交通大學
財務金融研究所
106
This research examines the future return predictability of the daily option-to-stock ratio (O/S). The Fama-MacBeth regression result shows that the daily option-to-stock ratio plays an essential role in the prediction with a significantly negative impact on the following trading day’s return. We also look into the predictability of the daily signed option ratio, whereby the daily open buy call to stock ratio and open buy put to stock ratio are strong predictors of it, and that closing position ratios lose their predictability in non-expiration week. Lastly, the O/S ratio shows no effect on predicting cumulative return near earnings announcement day, no matter whether investors exhibit high sentiment or low sentiment.
Cao, Jie 1981. "Two essays on the impact of idiosyncratic risk on asset returns". 2009. http://hdl.handle.net/2152/9661.
Pełny tekst źródłatext
Lin, Jihn-yih, i 林進益. "Do the U.S. Stock Returns Affect Asian Stock Returns? Evidence of the Asian Four Litter Dragons". Thesis, 2008. http://ndltd.ncl.edu.tw/handle/rv36v3.
Pełny tekst źródła國立中山大學
財務管理學系研究所
96
In the literature, it is a common belief that the U.S. stock market is the single most influential market in the world. The U.S. stock market is a global factor, affecting both developed and emerging markets. This dissertation empirically investigates the interactions between equity markets of the Asian four little dragons (Hong Kong, Korea, Singapore, and Taiwan) and the U.S. equity market. In order to assess correctly the effect of the U.S. stock return rates on emerging equity markets, we incorporate the assumption that returns on the U.S. stock market affect the stock returns on emerging markets but not vice versa. In other words, it is assumed that the U.S. stock exchange performance is not affected by one of the four Asian equity market; however, the latter is affected by both its own dynamics and the U.S. stock exchange. This dissertation consists of three essays. In order to estimate the dynamic impulse responses of the emerging markets’ return rates to random shocks in the U.S. return rates, the first essay uses block exogenous VAR models which suggested in the papers of Zha (1996), Cushman and Zha (1997), and Zha (1999), and it finds that return rates on the U.S. positively affect stock return rates of the four Asian markets. By using the method of Rapach and Wohar (2005a, 2006a), and the second essay also finds that return rates on the U.S. have in-sample and out-of-sample predictive ability for return rates of the respective emerging market. The last essay follows the econometric methodology of Bai and Perron (1998, 2003a, 2003b, and 2004) and it points out that there exists at least one structural change in the predictive regression model of the respective empirical equity market. The results suggest that an emerging equity market’s sensitivity to shocks from the U.S. return rates is related to its degree of openness.
Zhang, Lijuan. "Accruals quality, stock returns seasonality and the cost of equity capital". Phd thesis, 2014. http://hdl.handle.net/1885/155532.
Pełny tekst źródłaMACLEAN, MACLEAN. "THE RELATIONSHIP BETWEEN ANALYST COVERAGE AND THE DISTRIBUTION OF SECURITY RETURNS". Thesis, 2010. http://hdl.handle.net/1974/5994.
Pełny tekst źródłaThesis (Ph.D, Management) -- Queen's University, 2010-08-26 12:18:47.528
Muzenda, Simon. "Analysis of predictable behaviour of security returns on the JSE". Thesis, 2014.
Znajdź pełny tekst źródłaThis paper replicates Jegadeesh`s (1990) paper entitled “Evidence of Predictable Behavior of Security Returns”. Jegadeesh (1990) states that by using the observed systematic behaviour of stock returns it is possible to make “one-step-ahead return forecasts”. That is forecast the return one month in the future. The aim of this research is to assess the predictability of monthly returns on the Johannesburg Stock Exchange (JSE) by analysing the monthly returns of stocks and portfolios of stocks from the JSE. This thesis will show that it is not possible to accurately or reliably forecast future returns for individual stocks or portfolios of stocks from the JSE. In addition the findings in this paper also indicate that stocks and portfolios of stocks from the JSE follow the random walk theory.
Hung, Pei-Yuan, i 洪培元. "Market Sentiment Indicators and Stock Returns". Thesis, 2004. http://ndltd.ncl.edu.tw/handle/82448416462431683666.
Pełny tekst źródła國立雲林科技大學
財務金融系碩士班
92
Market sentiment of investors becomes Behavior Finance desire to study a new issue at near year. However, for the most related literature of market sentiment study that market sentiment will influence stock returns and doesn’t include analysis of bullish and bearish .In this paper, we apply VAR model (Vector Auto regression model) to investigate the connection between market sentiment indicators and stock returns, included the Variance Decomposition and Impulse Response Function of bullish and bearish. We can find the connection between market sentiment indicators and stock returns between bullish and bearish. Our empirical result show:(1)the market sentiment disappear on influence of stock returns, however ,it remains significant that stock returns will influence the various market sentiment variables(2)analysis of bullish and bearish about the connection between market sentiment indicators and stock returns has no difference. It was found that investor market sentiment is influenced with stock returns on bullish market is more significant than bearish market.
Yu, Chia-Te, i 俞佳德. "Corporate Governance, Learning and Stock Returns". Thesis, 2016. http://ndltd.ncl.edu.tw/handle/y75v42.
Pełny tekst źródła國立交通大學
財務金融研究所
104
The learning effect is: from 1990 to 2000, we can use the E Index to explan the excess return, however, the correlation disappeares subsequently. We use the method of Bebchuk et al. (2009) to construct the E Index, and use the factors in Fama-French five-factor model as control variables to test whether the learning effect still exists. We use MISPP (the absolute value of MISP, which is the Mispricing Index) as the proxy of learning effect and add the information variables to better describe the learning process. In addition, we construct the E Index from 2007 to 2014 as new sample period and find out that there is a new interpretation in this sample period. The E Index should be a proxy of the independency and the stability of the strategy for the specific company during the new sample period.
Hwang, Chein-Fen, i 黃千芬. "Relationship Between Liquidity and Stock Returns". Thesis, 2010. http://ndltd.ncl.edu.tw/handle/69896756957592861986.
Pełny tekst źródła國立臺灣大學
國際企業學研究所
98
This study investigates the liquidity of Taiwan stock market using the systematic liquidity measure proposed by Pastor and Stambaugh(2003.) Most existing studies examine the traditional measures of microstructure-based liquidity of stock returns. Investors under liquidity risk have to pay more cost or sell at large discount price. As a result, bid-ask spread, trading period, or other market variables could be used as proxies of liquidity. Different from most existing studies, the measure of Pastor and Stambaugh focuses on the risk that values of stocks may drop due to lower liquidity when investors need to trade. Therefore, greater return reversals may be induced by the change of the order flow when liquidity is lower. Daily data of 50 firms listed on the Taiwan Security Exchange during 1981 to 2009 are used when estimating the liquidity measure. Financial holding stocks are found to have stronger effects on Taiwan stock market than other sectors. When market is in distress, financial holding stocks can provide extra liquidity to reduce the impact of negative shocks. However, when the liquidity of financial holding stocks decrease, it will amplify the negative shocks effects. Furthermore, the observed results that portfolios constitute of liquid stocks perform better than the Taiwan Weighted Stock Index, one month deposit, and momentum trading portfolios show that stock liquidity is a leading indicator of one month stock returns.
Jong, Jiing Tyng, i 鍾景婷. "Stock Returns and Inflation --- Taiwan Evidence". Thesis, 1993. http://ndltd.ncl.edu.tw/handle/15633827948462775924.
Pełny tekst źródłaMo, Chiao-Min, i 莫教民. "Does Earnings Management Predict Stock Returns?" Thesis, 2014. http://ndltd.ncl.edu.tw/handle/78019639349787960229.
Pełny tekst źródła國立臺灣大學
商學研究所
102
This paper examines the stock return predictability of both accrual-based earnings management and real earnings management. We collect whole U.S. listed companies during 1987 to 2012, and consider two measures to capture accrual-based earnings management and three measures to capture real earnings management. Then we conduct Fama and MacBeth (1973) regressions to test the stock return predictability of the five measures. Finally, we examine if the return predictive power differs in the pre- and post- Sarbanes Oxley Act periods Our empirical results suggest both accrual-based and real earnings management predict stock returns during 1987 to 2001. Firm-years with stronger tendency engaging in earnings management experience significantly lower future stock returns. However, the stock return predictability associated with earnings management disappears after 2002, which is probably because after Sarbanes-Oxley Act, financial reports become more transparent, and investors also pay more attention to earnings management and price stocks more rationally. We make three contributions to the literature. First, we complement existing literature by documenting the stock return predictability of real earnings management in the whole U.S. listed companies. Second, we find both the stock return predictability of accrual-based earnings management and real earnings management disappear after Sarbanes-Oxley Act. Third, we show that reducing discretionary expenses does not pose significantly negative influence on firms’ stock returns.
Yu, Sheng-Yun, i 俞聖筠. "INDUSTRY CONCENTRATION, PROFITABILITY AND STOCK RETURNS". Thesis, 2010. http://ndltd.ncl.edu.tw/handle/28654064494771278694.
Pełny tekst źródła大同大學
事業經營學系(所)
98
Global competition is not only accelerate the speed of adjustment of industrial structure, but also allow industry to adjust according the direction of its move. The change of industrial structure, makes the firms must respond to changes in the structure to make the right decisions, and also affect performance. This study using traditional SCP (Structure-Conduct-Performance) model to understand the relationship of market structure within the industry, conduct and performance, we using TEJ to classify Taiwan listed companies into 85 industries and use Herfindahl-Hirschman index to measure industry concentration to understand the relationship between industry concentration and profitability and industry concentration and stock returns. This study conclusion as follows: (Ⅰ)We find that changes in industrial concentration will affect the profitability, the results of each index is different, using different classification categories shows that more concentrated industries have higher profitability. (Ⅱ)E/A(earnings to assets) is higher for the firms in highly concentrated industries, also represents the firms in highly concentrated industries, its profitability will increase; the value of R&D/A shows the firms in lower concentrated industries, , the more willing to engage in R&D work. (Ⅲ)We using BINS classification, it shows firms in more concentrated industries earn lower stock returns, on the other hand, using QUANT classification, it shows firms in more concentrated industries earn higher stock returns.
Tsai, Wen-Ching, i 蔡玟靜. "The predictability analysis of stock returns". Thesis, 2006. http://ndltd.ncl.edu.tw/handle/52713276688155569081.
Pełny tekst źródła國立屏東商業技術學院
國際企業所
94
Cause manages money matters in making the investment the idea is in vogue in recent years, the same social the masses have already made the investment and changed direction to invest from the simple bank in all kinds of and manage money matters gradually. However, the way of investing the fund in the stock market is still the partiality of masses. Stock market is fast changing, the factor of influencing the change has been to make the research direction in which people have been interested in all the time. In the paper, we examine the predictability of stock returns using macro economic variables in seven countries. We will adopt bootstrap and consider both in-sample and out-of-sample test of predictive ability. With the out-of-sample test, we employ recently developed forecast accuracy test and forecast encompassing test. In addition to analyzing the predictive ability of each macro variable in turn, we use a procedure that combines general- to-specific model selection with out-of-sample tests of forecasting ability in an effort to identify and test the “best” forecasting model of stock returns in each country.