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Dissertations / Theses on the topic 'Expected stock returns'

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Published: 4 June 2021
Last updated: 12 February 2022

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1

Sursock, Jean-Paul 1974. "The cross section of expected stock returns revisited." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/9218.

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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2000.<br>Also available online at the DSpace at MIT website.<br>Includes bibliographical references (leaves 60-61).<br>We review and extend two important empirical financial studies: Fama and MacBeth [1973] and Fama and French [1992]. Fama and MacBeth [1973] sort stocks on the New York Stock Exchange into 20 portfolios based on their market [beta]. They test for, and conclude that, [beta] does in fact explain the cross-sectional variation in average stock returns for the 1926-1968 peri
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2

Drobetz, Wolfgang. "Expected returns, consumption, and the business cycle on global stock markets /." Wiesbaden : Dt. Univ.-Verl, 2000. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=009160185&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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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.

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4

Castro, Andressa Souza Campos Monteiro. "Consumption-wealth ratio and expected stock returns: evidence from panel data." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13668.

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Submitted by Andressa Souza Campos Monteiro de Castro (dessascmc@gmail.com) on 2015-04-29T19:10:59Z No. of bitstreams: 1 Dissertacao_final.pdf: 676467 bytes, checksum: fdc9136b5dfb8c962d18e88e3f041564 (MD5)<br>Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-04-30T14:49:43Z (GMT) No. of bitstreams: 1 Dissertacao_final.pdf: 676467 bytes, checksum: fdc9136b5dfb8c962d18e88e3f041564 (MD5)<br>Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-05-04T12:47:02Z (GMT) No. of bitstreams: 1 Dissertacao_final.pdf: 676467 bytes, checksum: fdc9136b
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Griffin, John Meredith. "Determinants of the cross-section of expected stock returns in Japan." The Ohio State University, 1997. http://rave.ohiolink.edu/etdc/view?acc_num=osu1272989893.

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Griffin, John M. "Determinants of the cross-section of expected stock returns in Japan /." The Ohio State University, 1997. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487944660932027.

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7

Huang, (Alan) Guoming. "Essays on the equity premium puzzle, earnings volatility, and expected stock returns." Diss., Connect to online resource, 2005. http://wwwlib.umi.com/dissertations/fullcit/3186936.

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8

Aretz, Kevin. "The determinants and the rationality of expected U.S. stock returns : empirical evidence." Thesis, Lancaster University, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.441113.

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9

Xu, Lei. "Conditional betas, higher comoments and the cross-section of expected stock returns." Thesis, University of Exeter, 2010. http://hdl.handle.net/10036/115493.

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This thesis examines the performance of different models of conditional betas and higher comoments in the context of the cross-section of expected stock returns, both in-sample and out-of-sample. I first examine the performance of different conditional market beta models by using monthly returns of the Fama-French 25 portfolios formed by the quintiles of size and book-to-market ratio in Chapter 3. This is a cross-sectional test of the conditional CAPM. The models examined include simple OLS regressions, the macroeconomic variables model, the state-space model, the multivariate GARCH model and
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10

Leledakis, George. "An investigation into the cross-sectional determinants of expected stock returns in the London Stock Exchange." Thesis, University of Warwick, 2000. http://wrap.warwick.ac.uk/110958/.

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This thesis entails the examination of the determinants of the cross-section of stock returns in the London Stock Exchange, over the period July 1975 to June 1996, and it brings us a step further in the integrated real and financial view of the firm’s stock returns. The recent empirical evidence on the behaviour of stock returns in the U.S. and other equity markets around the world is reviewed in chapter 2. We broadly classify the findings as being cross-sectional (e.g., asset pricing anomalies) or time series (e.g., calendar effects, return autocorrelations and other forecasting variables) in
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Thadani, Ajay H. "The effects of beta, size and book-to-market on UK stock returns : risk adjustment, characteristic factors and the cross-section of expected stock returns." Thesis, University of Stirling, 2004. http://hdl.handle.net/1893/1800.

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This research examines the cross-section of expected returns in the UK stock market for the period January 1969-December 2001, with particular reference to the role of risk adjustments and the pricing of characteristic factors. This study has three empirical parts. This first part of the empirical study is concerned with the testing for cross-sectional relationships between expected returns and firm size, book-to-market equity ratio and beta. A methodology similar to that of Fama and French (1992) is employed for this purpose. Most of the research relating the behavior of stock returns to vari
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12

Harrisberg, Richard. "An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange." Master's thesis, Faculty of Commerce, 2019. https://hdl.handle.net/11427/31727.

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The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently outperform their high volatility counterparts, as well as their own expected return, over the long-term are discussed. This includes analysing how financial risk is measured and whether this plays a role in obscuring the expected risk-return relationship, in addi
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Mukoyi, Lenia Sithabiso. "Effects of investment style risks on expected returns on the Johannesburg Stock Exchange: A cross-sector analysis." University of Western Cape, 2020. http://hdl.handle.net/11394/7424.

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Magister Commercii - MCom<br>Market Segmentation and style investing have become an essential part of security management over the past 40 years. There are many factors that separate the market, these include economy, investor behaviours, and specific anomalies. Apart, from the segmentation, investors lean towards a few tested investment styles and sectors, which hinder growth, while, dividing the market further. Thus, a major question arises on what really drives asset performance in the South African equity market. An evaluation of the relationship between sector performance and style anomal
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Kucharska, Magdalena, and Jolanta Pielaszkiewicz. "NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2874.

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<p>We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the paper of Lindberg, [21] we</p><p>assume that the volatility is a linear function of the number of trades. In addition to the Lindberg’s paper, we suggest daily stock volumes and amounts as alternative measures of the volatility.</p><p>As an application of the models, we perform Value-at-Risk and Expected Tail Loss predictions by the Lindberg’s volatility model and by our own suggested model. These applications ar
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Kucharska, Magdalena, and Jolanta Maria Pielaszkiewicz. "NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL." Thesis, Halmstad University, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-58180.

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We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the paper of Lindberg, [21] we assume that the volatility is a linear function of the number of trades. In addition to the Lindberg’s paper, we suggest daily stock volumes and amounts as alternative measures of the volatility. As an application of the models, we perform Value-at-Risk and Expected Tail Loss predictions by the Lindberg’s volatility model and by our own suggested model. These applications are new and not d
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Mühlhäuser, Katja Mara Vanessa [Verfasser], Christoph [Akademischer Betreuer] Kaserer, and Gunther [Akademischer Betreuer] Friedl. "Measuring expected stock returns - The implied cost of capital and its applications / Katja Mara Vanessa Mühlhäuser. Gutachter: Gunther Friedl ; Christoph Kaserer. Betreuer: Christoph Kaserer." München : Universitätsbibliothek der TU München, 2013. http://d-nb.info/1046404830/34.

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Somnicki, Emil, and Krzysztof Ostrowski. "How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5337.

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<p>The work is focused on the Value at Risk and the Expected Shortfallcalculation. We assume the returns to be based on two pillars - the white noise and the stochastic volatility. We assume that the white noise follows the NIG distribution and the volatility is modeled using the nGARCH, NIG-GARCH, tGARCH and the non-parametric method. We apply the models into the stocks of three Banks of the Nordic market. We consider the daily and the intraday returns with the frequencies 5, 10, 20 and 30 minutes. We calculate the one step ahead VaR and ES for the daily and the intraday data. We use the Kupi
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18

Samiev, Sarvar. "Stock Return Variation and Expected Future Dividends : -An empirical Study Based on NASDAQ OMX Stockholm." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet (USBE), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-54384.

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19

Brändle, Alexander. "Volume based portfolio strategies analysis of the relationship between trading activity and expected returns in the cross-section of Swiss stocks." Wiesbaden Gabler, 2010. http://d-nb.info/997397276/04.

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20

Bradová, Klára. "Volba optimálního portfolia cenných papírů jakožto investiční hlavolam." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2010. http://www.nusl.cz/ntk/nusl-222422.

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The portfolio theory is microeconomic discipline which deals with the exploration of capital markets and assets that are traded on them. This diploma thesis is focused on optimal stock portfolio selection. The main aim is to find a final portfolio fulfilling the requirements. The first part provides the theory needed for the subsequent establishment of a practical case of the optimal portfolio. The second part is devoted to the actual calculations leading to finding the portfolio with the desired rate of return.
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Mengler, Jan. "Arbitrage Pricing Theory." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-77153.

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Determination of the stock expected return is an important element of asset management. This paper presents an Arbitrage Pricing Theory model, which strives to estimate the expected return explaining the historical volatility of the stock prices. This paper presents the model as it was introduced, necessary extension for application to a small market included. Statistical methods on which the model has been build are discussed -- factor analysis completed by principal component analysis. In the practical part, the model is applied to the Czech market with an assessment of the success of the ap
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22

Abo, Al Ahad George, and Denis Gerzic. "A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory." Thesis, Linköpings universitet, Nationalekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-145323.

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This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. We also investigate if the Capital Asset Pricing Model is valid by doing a test similar to Fama and Macbeth’s of 1973. Based on earlier studies in the field and our own study we come to the conclusion that high beta stocks does not outperform low beta stocks in the Swedish stock market 1999-2016. We believe t
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23

Sömskar, Alexandra, and Zlata Zapolskaia. "Short term effects of Covid-19 on stock market performance - a comparison of the fashion and the food industry : A study on how volatility and the expected return affect the share price." Thesis, Högskolan Dalarna, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:du-34376.

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The aim of the study is to investigate how the share prices of food and fashion companies listed on the Stockholm Stock Exchange OMX have changed from when Covid-19 started until end of April 2020, by studying how stock price, volatility and expected return have affected the development of the stock. Using the financial theories of CAPM model and volatility, we investigate how the stock market has developed during the pre-Covid-19 period in comparison to the period when Covid19 is ongoing. Our results show that the volatility increased a lot after the virus burst out and that the expected retu
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Chang, Shih Hsien, and 張世賢. "Liquidity and Expected Stock Returns." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/31035861119736779928.

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碩士<br>國立交通大學<br>統計學研究所<br>98<br>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
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Akbas, Ferhat 1981. "The Volatility of Liquidity and Expected Stock Returns." Thesis, 2011. http://hdl.handle.net/1969.1/150946.

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The pricing of total liquidity risk is studied in the cross-section of stock returns. The study suggests that there is a positive relation between total volatility of liquidity and expected returns. Our measure of liquidity is based on Amihud (2002) and its volatility is measured using daily data. Furthermore, we document that total volatility of liquidity is priced in the presence of systematic liquidity risk: the covariance of stock returns with aggregate liquidity, the covariance of stock liquidity with aggregate liquidity, and the covariance of stock liquidity with the market return. The
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Tsai, Wei-Che, and 蔡維哲. "Option-Implied CAPM Beta and Expected Stock Returns." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/72680133431632979415.

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博士<br>國立臺灣大學<br>財務金融學研究所<br>99<br>This study investigates whether high option-implied beta is associated with higher future stock return. Empirical results show that a zero-investment portfolio that consists of long positions in high option-implied beta stocks and short positions in low option-implied beta stocks generates a significant monthly return of 0.8499% or 0.6331% after standard four-factor risk adjustment. The abnormal return is more pronounced if the value-weighted strategy is applied. I also find that option-implied beta is monotonically increasing in the severity of market frictio
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Fang, Chao-Yung, and 方昭鏞. "Information Disclosure and Expected Skewness of Stock Returns." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/32642744513547454189.

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碩士<br>國立高雄第一科技大學<br>財務管理研究所<br>102<br>In the past lots of the literature, most assume that stock returns are normally distributed. However, recent studies have pointed out the phenomenon of skewness is existence. This study takes companies on the TSEC of Taiwan as sample. We investigate the relationship between information disclosure and skewness, and find out variables of information disclosure in corporate governance how to affect skewness. We further analysis of variables of information disclosure that split into board characteristics, ownership structure and the core agency problem. Finall
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Liu, Wen-Liang, and 劉文良. "Evidenceof Time-Varying Expected Returns in Taiwan Stock Market." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/45344229046575674177.

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Chen, Kuan-Hung, and 陳冠宏. "The Effect of Cash Dividends on Expected Stock Returns." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/93375081740484303657.

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碩士<br>國立交通大學<br>管理學院財務金融學程<br>102<br>This study investigates the correlation between the cash-dividend-paying stocks and their expected returns. We expand the three-factor model of Fama and French and the four-factor model of Carhart by including the cash-dividend factor to form the five-factor model. Our sample period is from the 2003 to 2012. The study found the market factor and size factor are significantly related to the expected stock returns, while the book-to-market factor, momentum factor and cash-dividend factor are not correlated with expected stock returns.
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Chen, Chia-Hui, and 陳佳慧. "The Cross Section of Expected Stock Returns and Portfolio Management." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/uwb96p.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>105<br>Since more and more literatures are exploring cross-section analysis of expected returns in the stock market, there have been hundreds of relevant literatures since 1967 to date, based on Harvey et al. (2016). Hundreds of variables that account for unexplained abnormal returns in CAPM are explored. The present study attempts to explain the payoffs in the US stock market from the explanatory variables that have been proposed in the past to the expected return on assets in the cross-section, Using the Fama-MacBeth regression to estimate and forecast the cross-s
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Tsai, Hung-Yuan, and 蔡泓沅. "The relation between credit risk premia and expected stock returns." Thesis, 2019. http://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22107NCHU5304014%22.&searchmode=basic.

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碩士<br>國立中興大學<br>財務金融學系所<br>107<br>Carr and Wu (2011) assumes that there exists default corridor which stock price will never enter. Based on the assumption, this paper uses deep-out-of-the-money (DOOM)American put spread to build up URC(unit recovery claim), in order to replace CDS and calculate the unit credit risk premium, and then investigate the relation between credit risk premia and expected stock price returns. We construct five equal-weighted portfolio according to credit risk premia, based on the strategy of buying high risk premia portfolio and shorting low risk premia portfolio in t
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32

Huang, Martin, and 黃木泳. "The Relationship between Expected Stock Returns and Volatility of the Financial & Insurance Stock." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/54411571085645247875.

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碩士<br>國立中興大學<br>企業管理學系<br>85<br>After the breakdown of the global stock markets in Oct. in 1987, many financial scholars had devoted themselves to studying the factors that resulting in the volatility of stock markets. However, the investorsconcern not only on what factors that make the stock markets volatilitybut on what effects that the volatility bring to their expected returns. In 1995 MacDonald & Shawky used the standard deviation of all the stock returns in each trading day to meas
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WU, ZHAO-QING, and 吳昭慶. "Stock Market Misvaluation and Cross-section of Expected Returns－Evidence Taiwan." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/34543053077783415648.

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Cheng, Yen-Ru, and 鄭燕茹. "The Cross-Sectional Analysis of Earnings, Dividends, and Expected Stock Returns." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/74889860935856571540.

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碩士<br>國立中央大學<br>企業管理研究所<br>92<br>Fama and French (1992) studied the factors that affect the average returns of American stocks. They found that the corporate size and book equity to market equity ratio can effectively account for the cross-sectional variations of the average returns of individual stocks. This outcome basically rejects the capital asset pricing model, which was well accepted by academics and practitioners since 1960s. Lamont (1998) found that the dividend yield and the dividend payout ratio can be used to forecast the time series variations of the average stock returns. However
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CHENG, HSIANG-LIN, and 鄭翔臨. "Determinants of cross-sectional expected returns : Evidence from international stock markets." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/x3d7pz.

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碩士<br>逢甲大學<br>財務金融學系<br>105<br>The expected return based on the Fama-MacBeth cross-sectional regressions can significantly predict future stock returns (Haugen and Baker, 1996; Hanna and Ready, 2005; Lewellen, 2014). We explore whether the predicting ability of expected return can predict future stock returns across 27 developed stock exchanges. The evidence shows that the expected return strategy earns 2.22% monthly average returns for all stocks, and 2.28% for sample excluding small stocks, and 2.05% for large stocks.
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Hearn, Bruce, K. Phylaktis, and J. Piesse. "Expropriation risk by block holders, institutional quality and expected stock returns." 2017. http://hdl.handle.net/10454/18231.

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Yes<br>We study the asset pricing implications arising from imperfect investor protection using a new governance measure. This is defined as the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly returns of 4756 blue chip firms from 50 international equity markets for 13 years, we show through tests of variants of the augmented-CAPM, that a two factor CAPM augmented with a factor mimicking portfolio based on our new investor protection metric yields the highest explanatory power, especiall
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Tsai, Dou-Jin, and 蔡斗溍. "Permanent income shock and the cross-section of expected stock returns." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/48180987869072461122.

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碩士<br>國立中山大學<br>財務管理學系研究所<br>104<br>According to permanent income theory, because of a limited effect by transitory earning shock to human capital, it can’t effect relatively to investor’s portfolio choice decision. Various foreign empirical studies document the relationship between human capital or labor income and equity returns, but their way of wage data choice haven’t distinguished transitory earning shock from wage data series. The sample runs from July 1982 to June 2015 and uses Taiwanese unique regular earning data which can catch the change of permanent earning shock. We find the mode
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Chen, Jyun-Lin, and 陳俊霖. "Idiosyncratic risk and the cross-section of expected stock returns-Case Study for Taiwan Stock Market." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/mye2u4.

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Chou, Che-Chun, and 周哲均. "The relationship between liquidity risk and expected stock returns for private equity firms." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/72965069012299284694.

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碩士<br>臺灣大學<br>經濟學研究所<br>98<br>Previous literature indicates that after the placement the long-term stock return performance of private equities was usually worse than the equities which did not issue the private placement. In the thesis we use the data of private equities which had listed on the stock exchange of United States between 1980~2006 to analyze the pattern of liquidity risk, and we also test whether the two-factor capital asset pricing model that incorporate mimicking liquidity factor (LIQ) had significant structural change before and after private placement.
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CHEN, WEI-HSIN, and 陳威信. "Relationship between Unsystematic Earnings and Expected Stock Returns of Listed Companies in Taiwan." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/07523941350219950679.

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碩士<br>逢甲大學<br>財務金融學所<br>97<br>This thesis provides an analysis of the predictability of stock returns using market-, and firm-level earnings. Then we compare earnings and dividends which act for the expected future cash flow proxy contains more information. The tests in these issues using a sample of 713 firms listed in Taiwan Stock Exchange（TWSE） cover the period from 1996:Q1 to 2008:Q3, and all variables are formed on a quarterly basis. We find that firm-level earnings can forecast the one-quarter-ahead excess stock returns, and firm-level earnings contain information about expected future c
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Chia-yi, Li, and 李家宜. "The Conditional CAPM and Cross-Section of Expected Returns in Taiwan stock market." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/15755169783686775020.

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碩士<br>東吳大學<br>經濟學系<br>87<br>Most empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is a proxy for the return on average wealth. The general consensus is that the static CAPM is unable to explain the cross-section of average return on stocks. We use Jagannathan and Wang (1996) premium-labor model which assume that the CAPM hold in a conditional sense, i.e., betas and market risk premium vary over time to examine stock market in Taiwan. We use returns to common stocks (1991-1998). First ex
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Lien, Chun-Ming, and 連俊銘. "A Study to Examine the Relation between Idiosyncratic Risk and Expected Stock Returns." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/9kkx7d.

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碩士<br>國立臺北大學<br>企業管理學系<br>107<br>The relation between idiosyncratic risk and expected stock returns is inconclusive in the prior studies, which employ different models estimating idiosyncratic risk. As pointed out by Fama (1998), many stock market anomalies may be resulted from bad-model problems. Therefore, this paper studies Taiwan stock markets using different risk-factor models, data frequencies and measurement periods to re-estimate idiosyncratic risk, and then applies regression models to examine the relation between idiosyncratic risk and expected returns. In addition, this paper also u
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Lin, Cheng-Feng, and 林成逢. "The Cross-Section of Volatility and Expected Returns─ Evidence from Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/71100564458118148828.

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碩士<br>國立雲林科技大學<br>財務金融系<br>102<br>Literature suggests that risky assets should have higher expected returns. However, we discover that the higher the volatility of company's stocks the lower rate of returns. Therefore, high volatility presents a puzzle on high returns. In this study, we empirically examine Taiwan stock exchange and GreTai Security market covering the period from 1 December 2006 to 31 July 2013.Using the FF three-factor model to estimate excess returns, the empirical results show high-risk stocks do not receive risk compensation and result in lower rate of returns. After contro
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Yu, Hsiu-ju, and 尤秀如. "Regional Difference of Expected Stock Returns─Empirical Evidence from 854 Chinese Listed Companies." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/70927072617106994951.

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碩士<br>世新大學<br>財務金融學研究所(含碩專班)<br>97<br>China implemented the ' reform and opening ' policy in 1978, the productivity has been enormous increased with high growth economies. China then joining WTO（World Trade Organization）in 2001, international trade and financial market strengthened the open range , the market-based trend of economy is obvious, representing the surprising strength , raising the upsurge invested in the whole world, becoming the focus of attention of the whole world investors. However, since China has a vast territory, there are tremendous differences of human culture and geograp
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Lee, Li-feng, and 李麗鳳. "Industrial Difference of Expected Stock Returns- Quantitative Analysis From 854 Chinese Listed Companies." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/52062125964022927811.

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碩士<br>世新大學<br>財務金融學研究所(含碩專班)<br>97<br>My thesis is to investigate the cross-sectional average stock return of China listed firms among the different industries by using CAPM. There’re three risk factors, systematic risk, exchange exposure risk, and stock standard deviation risk are analyzed to verify the impact differences on the stock return among the different industries. Both ANOVA and Least Square Regression are used to analyze the three factors. The investigated objects were the 845 China listed firms within 21 industries on Shanghai Stock Exchange with the stock price sample from January
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Parreau, Thibault. "Korporátní akvizice a očekávané akciové výnosy: Meta-analýza." Master's thesis, 2019. http://www.nusl.cz/ntk/nusl-397996.

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This thesis aims at investigating the puzzling relationship between cor- porate acquisitions and expected stock returns by reviewing numerous studies on this topic through the use of state of the art meta-analysis tools. Such an analysis is required because many papers examined this relationship but their results varied. We therefore collected 421 estimates from 20 papers and led multiple regressions to test for the presence of publication bias. Throughout this analysis we indeed found evidence supporting the existence of publication bias. Furthermore, we decided to apply Bayesian Model Averag
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Hsu, Yu-Cheng, and 許羽呈. "An Empirical Study on Expected Option Returns ─Evidence from Taiwan Stock Index Option Market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/87024684232063147158.

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碩士<br>逢甲大學<br>財務金融學所<br>97<br>The CAPM has been developed for a long time, but few researchers have focused on the investigation of risk-return characteristics of options. Based on the Coval and Shumway’s weak assumptions, we use TAIEX Options, Electronic Sector Index Options, and Finance Sector Index Options to empirically examine whether the leverage effect is priced without imposing any particular model, and to analyze whether option returns are consistent with the CAPM. In addition, we look into the variation of option returns before and during global financial tsunami in 2008. We find
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Yan-ZhangChen and 陳彥璋. "Reexamining the relationship between volatility spread and expected stock returns during the financial tsunami." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/56415346096861952890.

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Mahlophe, Mpho Innocentia. "Effect of market anomalies on expected returns on the JSE: A cross-sector analysis." Thesis, 2015. http://hdl.handle.net/10394/17043.

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The efficient market hypothesis and behavioural finance have been the cause of much debate for decades, with one theory advocating market efficiency and the other opposing it. The efficient market hypothesis (EMH) assumes that investors always act rationally and stock prices adjust rapidly to new information and should reflect all available information. In contrast, behavioural finance suggests that markets are not rational and investors make irrational decisions, which may lead them to over- or under-price stocks. Researchers for years have been empirically testing these assumptions in stock
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Hsu, MingChieh, and 許銘傑. "The Determinants of Short-Term Expected Stock Returns in Taiwan: Market Sentiment v.s. Fundamental Value." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/81046208190426336658.

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碩士<br>國立政治大學<br>國際貿易學系<br>90<br>This article investigates the forecasting power of market sentiment over the stock return in Taiwan stock market. To study the predictability of the stock return, the “real-time” forecasting model suggested by Pesaran and Timmermann (1995) is used to compute one-step-ahead forecasts of excess stock return in a recursive fashion. We not only evaluate the explanatory power of the fundamental variables but also exploit that of the variables about investor’s psychology in predicting the stock’s excess return. Our empirical result suggests that the indicators of both
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