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Dissertations / Theses on the topic 'Market efficiency theory'

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Published: 4 June 2021
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1

Zhang, Jian. "Market efficiency test in the VIX futures market." Laramie, Wyo. : University of Wyoming, 2008. http://proquest.umi.com/pqdweb?did=1798967041&sid=1&Fmt=2&clientId=18949&RQT=309&VName=PQD.

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2

Hon, Tow Siew Mark. "Aspects of market efficiency : an investigation of the UK equity market." Thesis, University of Bristol, 2001. http://hdl.handle.net/1983/d9cf9a7f-7b17-4968-96a2-09effffdc6ed.

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3

Dissanaike, Gishan Romesh. "The overreaction hypothesis and stock market efficiency." Thesis, University of Cambridge, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.282856.

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4

Timmermann, Allan. "Rational expectations, learning and stock market efficiency." Thesis, University of Cambridge, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.357750.

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5

Anderson, D. Scott. "Unlimited liability and market efficiency, theory and evidence from the Canadian securities markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0014/NQ39253.pdf.

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6

Zhang, Hua, and 張華. "Investigating stock market efficiency in China." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B29946542.

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7

Koh, Sung Soo. "The Korean stock market structure, behavior, and test of market efficiency /." Online version, 1989. http://ethos.bl.uk/OrderDetails.do?did=1&uin=uk.bl.ethos.352906.

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8

Larsen, Jens Ditlev J. "Macroeconomic implications of labour market frictions and efficiency wages." Thesis, University of Southampton, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.286998.

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9

Cha, Gun-Ho. "Reappraisal of market efficiency tests arising from nonlinear dependence, fractals, and dynamical systems theory." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1993. http://www.hhs.se/efi/summary/365.htm.

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10

Roig, Reed Alan. "RELATIVE EFFICIENCY OF THE INTERNAL CAPITAL MARKET IN A MULTI-DIVISION FIRM." Case Western Reserve University School of Graduate Studies / OhioLINK, 2008. http://rave.ohiolink.edu/etdc/view?acc_num=case1201278136.

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11

Botes, Gearé. "The adaptive markets hypothesis: Testing for variable efficiency and cyclical profitability in the South African market." University of the Western Cape, 2020. http://hdl.handle.net/11394/8027.

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Magister Commercii - MCom
This research attempts to discover whether the Adaptive Market Hypothesis theory is applicable in the South African financial market and explores the innovation and cyclical profitability implications of the Adaptive Market Hypothesis theory. This is achieved in two parts: first by determining if returns follow a random walk or not and second by analysing the consistency of technical and fundamental factors to explain the cross-section of equity returns between 1 January 1998 to 31 December 2017. The tests of stock return dependency include a total of five tests on the average monthly returns for each stock in the ALSI covering normality and random walk theory for the duration of the two sub-periods and entire examination period.
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12

Kim, Keeho. "A Test of Allocational Market Efficiency in Takeovers Using Tobin's q Theory of Investment." Thesis, North Texas State University, 1987. https://digital.library.unt.edu/ark:/67531/metadc332371/.

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The primary purpose of the study was to investigate whether takeover markets are allocationally efficient using Tobin's q as the variable which summarizes the investment opportunities of firms. Chapter I presented the purposes, hypotheses, methodology, and limitations of the study. The two hypotheses proposed were as follows: Acquiring firms' q should be significantly higher than that of control firms, on average, and target firms' q should be significantly lower than that of control firms, on average. Chapter II presented the review of literature on takeovers and theory of investments. Chapter III presented the research design adopted to test the above hypotheses. The methodology to calculate q-values and methods to reduce the bias which may result from choice-based sampling were also given. A paired comparison t-test was employed to test the hypotheses. Sample firms were selected from the COMPUSTAT RESEARCH and COMPUSTAT INDUSTRIAL tape.
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13

Lam, Weng-i. Janiver. "An examination of efficiency of the Hong Kong private housing market." Click to view the E-thesis via HKUTO, 1993. http://sunzi.lib.hku.hk/hkuto/record/B42574304.

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14

Oh, Min-Hong. "A study on the trade-off between supervision and wages an empirical test of efficiency wage theory /." Diss., Columbia, Mo. : University of Missouri-Columbia, 2005. http://hdl.handle.net/10355/4143.

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Thesis (Ph. D.)--University of Missouri-Columbia, 2005.
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 (July 18, 2006) Vita. Includes bibliographical references.
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15

Malinowski, Mateusz. "Capital Market Efficiency : an event study on the incorporation of football transfers." Thesis, Högskolan Kristianstad, Sektionen för hälsa och samhälle, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hkr:diva-12770.

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We live in an era where internationalization and globalization are two extremely attractive concepts. People aim to create a society where limits and restrictions are erased and a thriving society is a reality. Numerous transformations have occurred in order to realize this and one of the most vital ones is the globalization of the economy. The globalization was made possible through the discovery on the capital market. This market enables people to trade with each other, no matter place or time. Thus, a more efficient solution is offered for rapid and significant transfers such as loans and investment. According to various researchers, the capital market determines, in a way, which company will grow and which will stagnate in development. However, the capital market needs to be efficient in order to offer the services intended. The aim of this dissertation is to explain how efficient the capital market is when incorporating information regarding football player transfers. By examining the empirical findings, it will also be able to establish if assets of the same market value cause different share price fluctuations depending on if they are acquired or sold.
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16

Chen, Tao. "Three essays on market efficiency on the Tokyo Stock Exchange : a microstructure-level analysis /." access full-text access abstract and table of contents, 2009. http://libweb.cityu.edu.hk/cgi-bin/ezdb/thesis.pl?phd-ef-b23749210f.pdf.

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Thesis (Ph.D.)--City University of Hong Kong, 2009.
"Submitted to Department of Economics and Finance in partial fulfillment of the requirements for the degree of Doctor of Philosophy." Includes bibliographical references (leaves 107-118)
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17

Jinxiang, Peng. "A new dimension to efficient market theory : Studying the relationship between discretionary accrual and stock returns for a better understanding of the EMH." Thesis, Umeå universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-101843.

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18

Lam, Weng-i. Janiver, and 林穎怡. "An examination of efficiency of the Hong Kong private housing market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B42574304.

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19

McIntosh, Willard. "A Weak-Form Efficient Markets Test of the Dallas-Fort Worth Office Properties Real Estate Market." Thesis, North Texas State University, 1987. https://digital.library.unt.edu/ark:/67531/metadc331391/.

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Few areas of research in the finance literature have received greater attention than the efficient market hypothesis. Much of the research has been directed toward the securities market while very little research has been done in the real estate markets. The existing research on real estate market efficiency has been either descriptive or illustrative with very little empirical testing being performed. The major reason for the lack of empirical testing has been the inability to develop an adequate data base. The results of the empirical work that has been done do not support the widely held belief that real estate markets are inefficient. This study, using the autoregressive-integrative-moving average (ARIMA) time series analysis technique, tests the weak-form efficiency of the Dallas-Fort Worth office properties real estate market. According to the weak-form efficient market hypothesis, all price information should be capitalized into current real estate prices and not provide the basis for earning abnormal returns in trading. Price data formed from office building sales dating from January, 1979 to January, 1985 are used to test the market. The data was gathered from the files of several professional appraisal firms located in the Dallas-Fort Worth area. The transaction information includes (1) transaction price; (2) location of the property; (3) net rentable area; (4) gross income multiplier (GIM); (5) net income multiplier (NIM); and (6) net operating income. The results of the study indicate a lack of significant autocorrelation. This suggests that the Dallas-Fort Worth office properties real estate market is weak-form efficient. As further evidence of weak-form market efficiency, ARIMA models are estimated to predict future sales prices but they are unable to outperform a simple mean series forecast. The results indicate that a change in traditional real estate theory concerning market efficiency may be warranted.
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20

Lönnquist, Anders. "The efficiency of the Swedish stock market : An empirical evaluation of all stocks listed on the OMX30." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-72487.

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21

Ren, Peter. "An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis." Thesis, University of North Texas, 2015. https://digital.library.unt.edu/ark:/67531/metadc801929/.

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This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominated options on the Euro trading on the Philadelphia Stock Exchange (PHLX). Second, this study attempts to investigate the magnitude of any discrepancies that may exist due to a temporary cessation of either put-call parity or lower boundary conditions. Intraday (tick-by-tick) bid prices, ask prices, and trading volume on U.S. dollar denominated European style call options and put options on the Euro are obtained. Option data is collected through a Structured Query Language (SQL) request from the Bloomberg database. Corresponding tick-by-tick spot rates for the underlying exchange rate are obtained for the same time period. Tick-by-tick 3-month Treasury bill rates are obtained to for use as the relevant risk-free interest rate. The primary data set spans an approximate one month period from 11/1/2011 to 12/6/2011. Call and option pricing data for near-the-money exercise prices are obtained for options expiring in December 2011, January 2012, February 2012, March 2012, June 2012, and September 2012. A total of 7,212 ticks (minutes) are analyzed for the conversion strategy and 7,209 ticks are analyzed for the reversal strategy. The data is structured into an unbalanced panel data set (cross-sectional time series data) using put-call pairs as the cross sectional units and ticks as the time-series unit. To test the efficiency of the foreign exchange options market, lower boundary and put-call parity conditions were tested on tick-by-tick currency option data. Analysis shows that lower boundary conditions hold for the overwhelming majority of options, with less than 0.0001% of violations for the observed options. A more detailed econometric analysis was prepared to test the put-call parity condition for currency options. A fixed effects model specification is used to describe the put-call parity relationship. Based on the analysis, it is possible to obtain arbitrage profits in the short run through the use of either a conversion or reversal strategy even after accounting for transaction costs. Taking the first differences of the variables resulted in a model with stationary variables and statistically significant estimators. The inclusion of dummy variables for moneyness did not add significant explanatory power to the deterministic put-call parity relationship. For both first differences of conversion and reversal strategies, the large t-statistics for the slope coefficients and intercept terms indicate a rejection of the null hypothesis, H0: λ0 = 0 and λ1 = 1 after adjusting for standard error. This implies that once transaction costs are adjusted for, put-call parity does not hold. However, the intercept term is only very slightly negative, and the intercept term is only slightly less than one in both cases. This implies that when put-call parity is violated, arbitrage profit should be relatively small.
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22

Clougherty, Joe, Jin Uk Kim, Bradley Skousen, and Florian Szücs. "The Foundations of International Business: Cross-Border Investment Activity and the Balance between Market-Power and Efficiency Effects." John Wiley & Sons Ltd and Society for the Advancement of Management Studies, 2016. http://dx.doi.org/10.1111/joms.12205.

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The foundational international business (IB) scholarship grappled with whether multinational enterprises (MNEs) are largely efficiency-enhancing or market-power inducing institutions. Contemporary scholarship, however, often associates foreign direct investment (FDI) with efficiency-enhancing properties and thus neglects the market-power interpretation of the MNE. Such an imbalance is problematic given that the theoretical and empirical justifications behind the field's embrace of the efficiency interpretation are not fully evident. Instead, both efficiency and market-power effects are seemingly present in cross-border investment activity. Based on a comprehensive sample of up to 4,361 cross-border investments materializing between 1986 and 2010, we present theoretically-grounded hypotheses with regard to when market-power effects will tend to dominate efficiency effects. We find that cross-border investments undertaken by emerging-market MNEs in both developed and emerging markets tend to involve substantial efficiency effects and minimal market-power effects when compared with the cross-border investments undertaken by developed-country MNEs in both developed and emerging markets.
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23

Fakhry, Bachar. "Impact of the crises on the efficiency of the financial market : evidence from the SDM." Thesis, University of Bedfordshire, 2015. http://hdl.handle.net/10547/565811.

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The efficient market hypothesis has been around since 1962, the theory based on a simple rule that states the price of any asset must fully reflect all available information. Yet there is empirical evidence suggesting that markets are too volatile to be efficient. In essence, this evidence seems to suggest that the reaction of the market participants to the information or events that is the crucial factor, rather than the actual information. This highlights the need to include the behavioural finance theory in the pricing of assets. Essentially, the research aims to analyse the efficiency of six key sovereign debt markets during a period of changing volatility including the recent global financial and sovereign debt crises. We analyse the markets in the pre-crisis period and during the financial and sovereign debt crises to determine the impact of the crises on the efficiency of these financial markets. We use two GARCH-based variance bound tests to test the null hypothesis of the market being too volatile to be efficient. Proposing a GJR-GARCH variant of the variance bound test to account for variation in the asymmetrical effect. This leads to an analysis of the changing behaviour of price volatility to identify what makes the market efficient or inefficient. In general, our EMH tests resulted in mixed results, hinting at the acceptance of the null hypothesis of the market being too volatile to be efficient. However, interestingly a number of 2017 observations under both models seem to be hinting at the rejection of the null hypothesis. Furthermore, our proposed GJR-GARCH variant of the variance bound test seems to be more likely to accept the EMH than the GARCH variant of the test.
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24

Costello, Greg. "Price discovery and information diffusion in the Perth housing market 1988-2000." UWA Business School, 2004. http://theses.library.uwa.edu.au/adt-WU2005.0034.

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[Truncated abstract] This thesis examines informational efficiency and price discovery processes within the Perth housing market for the period 1988-2000 by utilising a rich source of Western Australian Valuer General’s Office (VGO) data. Fama’s (1970) classification of market efficiency as potentially weak form, semi-strong, or strong form has been a dominant paradigm in tests of market efficiency in many asset markets. While there are some parallels, the results of tests in this thesis suggest there are also limitations in applying this paradigm to housing markets. The institutional structure of housing markets dictates that a deeper recognition of important housing market characteristics is required. Efficiency in housing markets is desirable in that if prices provide accurate signals for purchase or disposition of real estate assets this will facilitate the correct allocation of scarce financial resources for housing services. The theory of efficient markets suggests that it is desirable for information diffusion processes in a large aggregate housing market to facilitate price corrections. In an efficient housing market, these processes can be observed and will enable housing units to be exchanged with an absence of market failure in all price and location segments. Throughout this thesis there is an emphasis on disaggregation of the Perth housing market both by price and location criteria. Results indicate that the Perth housing market is characterised by varying levels of informational inefficiency in both price and location segments and there are some important pricing-size influences.
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25

Holmes, Richard Roland. "The economics of stock index futures : theory and evidence." Thesis, Brunel University, 1993. http://bura.brunel.ac.uk/handle/2438/5391.

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This thesis aims to provide detailed investigation into the role and functioning of the FTSE-100 stock index futures contract, by examining four interrelated issues. Chapter 1 reviews the literature, demonstrating that stock index futures can increase investor utility by offering hedging and investment opportunities. Further, the price discovery role of futures is discussed. Chapter 2 investigates the risk return relationship for the FTSE-100 contract within a CAPM framework. While CAPM adequately explains returns prior to October 1987, post-crash the contract is riskier and excess returns and a day of the week effect are evident. Chapter 3 examines the impact of futures on the underlying spot market using GARCH, which allows examination of the link between information and volatility. While spot prices are more volatile post-futures, this is due to more rapid impounding of information. The view that futures destabilise spot markets and should be subject to further regulation is questioned. Chapter 4 examines futures market efficiency using the Johansen cointegration procedure and variance bounds tests which are developed here. Results suggest futures prices provide unbiased predictions of future spot prices for 1, 2 and 4 months prior to maturity of the contract. For 3, 5 and 6 months prior to maturity the unbiasedness hypothesis does not hold. Chapter 5 discusses the major role of futures; hedging. Hedge ratios and hedging effectiveness are examined in relation to duration and expiration effects. Hedge ratio stability is also examined. Finally, hedging strategies based on historical information are examined. Results show there are duration and expiration effect, hedge ratios are stationary and using historical information does not greatly reduce hedging effectiveness. The FTSE-100 contract is shown to be a highly effective means by which to hedge risk. Chapter 6 provides a summary and concluding remarks concerning the relevance of the research carried out here.
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26

Zhang, Lei. "Two essays : on the common information in the return volatilities and volumes : on the informational efficiency of municipal bond market." Related electronic resource: Current Research at SU : database of SU dissertations, recent titles available, full text:, 2008. http://wwwlib.umi.com/cr/syr/main.

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27

Henzlová, Pavla. "Testování teorie efektivních trhů." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-202049.

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This thesis is focused on testing the weak effectiveness of the US, Japanese, German and Czech market in the period 1995 - 2015. The first part contains a theoretical basis for the theory of efficient markets, the conditions, characteristics and models. Further test methods of weak market efficiency are presented and semistrong and strong effectiveness mentioned. The practical part deals with the introduction of tested stock exchange indices and by testing the weak effectiveness of these markets through tests of randomness, variance ratio test and serial correlation.
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28

Bargman, Daniil. "How Irrational Behavour Creates Order and How This Order Can Be Determined : The Theory and Practice of Fractal Market Analysis." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-15533.

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This paper analyzes two main frameworks that challenge the “mainstream” finance theory and the random walk hypothesis. The first framework is based on investor irrationality and is called Behavioural Finance. The second framework views the financial market as a chaotic system and is called Fractal Theory of a financial market. Behavioural Finance attacks the assumption of investor rationality, thus challenging the conventional finance theories on the micro level. Fractal Theory challenges the EMH and the “macroeconomics” of finance. This paper presents a step towards unifying the frameworks of Behavioural Finance and Fractal Theory. After a review of the relevant literature, a model of the financial market is suggested that rests on the predictions of both Behavioural Finance and Fractal Theory. As a next step, a mathematical algorithm is described that allows to test the financial market for consistency with the presented model. The mathematical algorithm is applied to 10 years of daily S&P500 price quotes, and consistent statistical evidence shows that the predicted fractal pattern reveals itself in the S&P500 prices. The new model outperforms the random walk in out-of-sample forecasting.
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29

Jakobsson, Catrin, and Ola Henriksson. "Can money be made on Mondays? : An empirical investigation of the efficiency on the OMXS30." Thesis, Jönköping University, JIBS, Business Administration, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-12764.

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Purpose: The purpose of this thesis is to investigate if abnormal patterns concerning the rates of return during specific weekdays and months are observable for the companies in the OMXS30 during the period 2003-2010. A special focus will be put on the Monday effect anomaly.

Background: Investors have a tendency to search for investment opportunities. If errors exist in the pricing of stocks it indicates that anomalies are present and that the stock market is inefficient. Investors then have the possibility to utilize the anomalies in order to receive above average returns.

Method: This study is using data of stock prices from Nasdaq OMX in the period of 2003-2010. The strength and existence of the Swedish stock market efficiency is measured through autocorrelation-, chi-square- and regression tests. Average monthly stock returns are calculated on daily-, monthly-, and yearly basis. The returns are compared in order to examine if day-of-the-week and turn-of-the-year anomalies exist.

Conclusion: No Monday effect is found in 2003-2010. However, positive Thursday- and positive Friday effects are detected. A negative turn-of-the-year effect as well as a positive April effect is found. The investment opportunities that could be utilized in 2003-2010 due to the specific anomalies in the period do not necessarily imply that the same anomalies can be expected on the OMXS30 in the future.

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30

Kazachenko, Sergey, and Diana Paz. "Stockperformance indicators post recession : - A Study of valuation tools and strategies during recovery." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-23181.

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Problem:   What are the most useful techniques to indicate the stocks that will outperform the market 12 month post the recession period?  Purpose:  The purpose is to find out which method(s): P/B, EV/EBIT, level of debt and so on, will offer investors the highest returns on the investments post the recession period based on the example of the IT crisis of 2000/2001.  Method:  Quantitative study, covering the Swedish OMX Index from 2001 until December 2002.  Conclusions:  Three variables should be reconsidered when making an investment decision post the recession period. These variables were earlier 12 months returns, dividend yield and P/E ratios. However, it is crucial to understand that these three tools should not be viewed all together.
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31

Lam, Vincent. "The Economic Impacts of M&A Announcements of Non-Software Acquiring firms & Software Target firms : An Event Study Approach." Thesis, Blekinge Tekniska Högskola, Institutionen för industriell ekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-18293.

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Background: Mergers and acquisitions (M&A) are two types of corporate takeover strategy, that is widely used for strengthening and maintaining a firm competitive advantage in both domestic and global markets. Where the common motives behind M&A, is to achieve business expansion through synergy, or to acquire an existing external technology/product outside of a firm's own operational territory. As the world has entered an era of information and globalization, where innovation seems to prosper and different industry markets have become ever more integrated on a global scale, not least in the software industry. Hence, more firms have resorted to M&A in order to survive in a modern competitive market. For example, to capture more market shares, boost productivity, cut development costs, improve investment returns, etc. Nevertheless, the integration process of M&A carries lots of risks, where there is lots of different factors that needs to be considered and discussed before adopting M&A strategies. Such as, what industry are the involving firm operating in, which country are the involving firm located in, and what economic impacts can be triggered by M&A announcements. However, there are currently lack of literatures investigating the economic impacts of M&A announcements across different industries. That is, depending on if the firms are operating within or outside of the same industry, the economic impacts of the M&A announcement might differ. Objectives: The objective of this thesis is to analyze the market reactions generated from M&A announcements, and determine if the economic impacts will be greater if a software target firm is merged/acquired by a software or non-software acquiring firm. Methods: A quantitative statistical event study has been used as the main methodology in this thesis. Which is a standard method to analyze market reaction, that is in this case represented by financial stock market data. Following the event study, a multiple regression analysis was conducted in order to explain the event study, by examine the economic impact on the abnormal return derived from M&A announcements. Results: The result from the event study disclosed that target firms tends to experience more positive abnormal returns, while acquiring firms will experience negative abnormal returns during M&A announcements. The results of the multiple regression analysis, revealed various significant variables that has high explanatory power to the abnormal return. Conclusions: Based on the empirical results, the greatest economic impact could be identified during an M&A announcement that involves a cooperative partnerships deals between software target firms and non-software acquiring firms. Furthermore, acquiring firms tends to offer a higher premium to target firms during M&A transactions. This in turn indicates that acquiring firms will statistically receive less abnormal returns compared to target firms. Delimitations: Due to the wide-ranging scope of an event study that has many diverse adoptions areas to explore, the author decided to make some demarcations in this thesis. In particular, this thesis will be focusing on analyzing stock price movements prior and during M&A announcements. In addition, certain factors/variables that can potentially generate a significant economic impact during M&A announcements will be investigated. Hence, other aspects that are related or may affect M&A transactions itself, will scarcely be discussed or even excluded from this study.
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Camargo, Cáren Urzina de Oliveira. "As publicações especializadas e os possíveis retornos anormais para investidores no mercado acionário do Brasil." Universidade do Vale do Rio dos Sinos, 2013. http://www.repositorio.jesuita.org.br/handle/UNISINOS/4641.

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A discussão sobre a eficiência de mercados é recorrente nos estudos de finanças. Este estudo retoma ao tema, ao investigar se é possível ao investidor que seguir recomendações públicas de investimentos obter ganhos superiores aos de mercado. Em relação a estudos anteriores, esta pesquisa acrescenta uma nova variável, a incidência do imposto sobre a renda – I.R. como um importante custo de transação. O atual estudo trabalha com uma carteira com administração ativa formada a partir das indicações de analistas consultados pelo jornal Valor Econômico entre janeiro de 2003 e dezembro de 2011. Compõem a amostra, como instrumentos de controle, o índice Ibovespa e três fundos de investimentos com gestão ativa e lastro no Ibovespa. Diversas estatísticas foram calculadas, no intuito de demonstrar o desempenho das carteiras. Testes estatísticos foram realizados com o fim de avaliar a significância estatística das diferenças encontradas (ANOVA e Teste Tukey). Dos resultados, observa-se que, a carteira com administração ativa, CV, apresentou não apenas retornos superiores aos apurados para as demais carteiras, como um desempenho em termos de relação risco/retorno também superior. Entretanto, do ponto de vista estatístico, apenas uma medida de desempenho mostrou-se significante. Isto não permite afirmar de forma categórica a superioridade da administração ativa. Apesar de boa parte dos resultados não serem significativos estatisticamente, pode-se dizer que o investidor não ficaria insensível às diferenças encontradas, pois foi possível observar os seguintes aspectos: obtenção de carteira com resultados superiores para o Índice de Sharpe, o Alfa de Jensen, o Índice de Treynor e Índice M2. Isso tudo permite colocar em dúvida a hipótese de eficiência do mercado de capitais brasileiro.
The discussion on the efficiency of markets is recurring in the studies of finance. This study takes up the theme, to investigate whether it is possible for the investor to follow the recommendations of public investments to market gains. Compared to previous studies, this research adds a new variable, the incidence of income tax – I.R. as an important transaction cost. The current study works with a portfolio with active administration formed from the indications of analysts consulted by the Valor Econômico newspaper between January 2003 and December 2011. Make up the sample, as instruments of control, the Ibovespa index and three investment funds with active management and ballast in the Ibovespa index. Various statistics were calculated, in order to demonstrate the performance of the portfolios. Statistical tests were conducted to evaluate the statistical significance of differences (ANOVA and Tukey Test). The results, it appears that, the active management portfolio, CV, presented not only returns higher than those established for other portfolios, like a performance in terms of risk/return also. However, statistically, only one performance measure proved to be significant. This does not allow State categorical way the superiority of the active administration. Although most of the results were not statistically significant, it can be said that the investor would not be insensitive to differences found, because it was possible to observe the following aspects: getting wallet with superior results to the Sharpe Index, Jensen alpha, the Treynor index and index M2. This all allows you to put in doubt the efficiency of the Brazilian capital market.
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33

Vasco, José João Saraiva. "Teste de eficiência semiforte do PSI20 no período 2008-2010." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/3473.

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Mestrado em Finanças
Neste estudo vai ser aprofundado o tema da eficiência dos mercados financeiros, testando essa eficiência na sua forma semiforte. Analisou-se, então, qual a eficácia da divulgação de factos relevantes por parte das empresas emitentes de acções cotadas admitidas à negociação no índice PSI20. Assim sendo, tentou-se determinar se a sua divulgação contém informação útil para o mercado, descobrir de que forma esta é incorporada no preço das acções e testar se há evidência empírica para concluir que há a possibilidade de alguém ter obtido rendibilidades consideradas anormais em torno do dia da divulgação dos factos relevantes escolhidos para o estudo. Para esse efeito, utilizou-se a metodologia clássica de estudos de acontecimentos (event studies). Através dela, foi testada a hipótese da eficiência semiforte do índice principal do mercado de acções português. Quanto à estrutura, começou-se por contextualizar este trabalho no tempo, apresentando um olhar sobre a conjuntura económica no período que escolhi para a análise (2008¬2010) e no período que o antecedeu. Após enquadrar a situação económica do mundo e feitos os alertas para uma fiscalização mais apertada nos mercados, apresenta-se o contexto legal do mercado português, encabeçado pela CMVM, no qual se fornecem dados sobre o dever de divulgação dos factos relevantes pelas sociedades cotadas. De seguida, foi feita uma revisão da literatura sobre o tema, procurando fazer a ponte entre os vários autores históricos que no século anterior se destacaram na análise da teoria da eficiência do mercado, mais especificamente no estudo de eventos, e os que estudaram e evoluíram o conceito já no século XXI. Quanto ao capítulo 4, dividiu-se em dois temas que podem enviesar a análise dos eventos: a análise técnica, utilizada pelos traders para negociar nos mercados financeiros, e as finanças comportamentais. Depois fez-se um breve resumo do mercado português e da constituição do PSI20. No capítulo 6, foi descrita a metodologia adoptada para o estudo, bem como a recolha dos dados. Assim, calculou-se a rendibilidade anormal (AR) que é a diferença entre a rendibilidade efectiva e a rendibilidade esperada. Os parâmetros desta última foram calculados pelo método dos mínimos quadrados (OLS). Depois calcularam-se a rendibilidade anormal média (AAR) e a rendibilidade anormal média acumulada (CAAR). Foi através destas que foram efectuados os testes à normalidade das rendibilidades para concluirmos se houve realmente evidência empírica que indicie a existência de rendibilidade anormal. Após essa descrição apresentam-se então, através dos testes descritos no capítulo anterior, os resultados empíricos. Foram igualmente apresentados os resultados dos testes efectuados por classificação dos eventos, divididos entre "Boas" e "Más" notícias, segundo as suas rendibilidades reais no dia 0. No capítulo final, foram tiradas conclusões sobre o trabalho efectuado e os resultados que este providenciou. As conclusões demonstram que o mercado português não é eficiente na sua forma semiforte.
This study discusses the subject of efficiency of financial markets, testing the efficiency in its semi-strong form. Then, we analyzed how effective is the disclosure of relevant facts reported by companies that belong to index PSI20. Therefore, we attempted to determine whether disclosure contains information useful to the market, find out how that is incorporated into the share price and test whether there is empirical evidence to conclude the possibility of someone have obtained abnormal returns around the day of relevant fact's disclosure chosen for the investigation. To test we used the classic methodology of event studies. Through that, we tested the hypothesis of semi-strong efficiency of main index Portuguese stock market. At the first chapter, we began to contextualize this work in time, presenting a look at the economic situation in the period chosen for analysis (from 1st January 2008 to 31th December 2010) and the period that preceded it. After framing world's economic situation and made the alerts for a stricter monitoring the markets, it presents the legal context of the Portuguese market, spearheaded by CMVM, where we provide data about the duty of disclosure relevant facts by listed companies at PSI20. Next, we performed a literature review about the market informational efficiency's theory, trying to bridge the gap between several historical scholars in the previous century who studied the subject of market efficiency, more specifically in the event studies, and those who have studied and developed the concept already at the 21th century. At chapter 4, we divide it into two issues that may skew the analysis of events: the technical analysis, used by traders at financial markets, and behavioral finance. Then, we did a brief summary of Portuguese market and the formation of PSI20. At chapter 6, we described the methodology adopted for the study and data collection. Thus, we calculated the abnormal return (AR) which is the subtraction between the actual return and expected return. About expected return, the parameters we calculated by the method of least squares (OLS). Then, we calculated the average abnormal return (AAR) and cumulative average abnormal return (CAAR). It was through AAR and CAAR that we formulated the hypothesis of normality of returns in order to conclude if there was empirical evidence that indicates the existence of abnormal returns. After that description is then presented the empirical results of the tests described in the previous chapter. We also presented results of tests according to the categorization of announcement, "Good news" and "Bad news", based on the day 0's rate of return. The final chapter reveals the conclusions and the results provided. The findings show us that the Portuguese market is not efficient in its semi-strong form.
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34

Antoniou, A. "Futures markets : Theory and tests." Thesis, University of York, 1986. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.377303.

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35

Furlanetti, Carlos Eduardo. "Estudo empírico sobre retornos de carteiras de ações selecionadas a partir do uso de múltiplos de mercado (preço/lucro ou preço/valor patrimonial." Pontifícia Universidade Católica de São Paulo, 2011. https://tede2.pucsp.br/handle/handle/1484.

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This work analyzes the mean quarterly returns produced by portfolios, selected between 2002 and 2010, compounded by stocks traded in the BM&FBovespa, based on the use of two popular multiples, Price/Earnings (P/E), or Price/Book Value (P/B), aiming at verifying whether these returns were consistently higher than the mean valuation of the Bovespa‟s index. Thus, by investigating the possible existence of a market anomaly, this study fits in the field of controversial academic debate: the Efficient Market Hypothesis (Fama, 1970). For each selected date, the shares were sorted by the selected multiple, and were divided, then, into four portfolios (by quartiles). To analyze the results, descriptive statistics were calculated, Jarque-Bera (JB) and Student tests were performed. The results suggest that portfolios formed by stocks 'P / E Very Low' (below the first quartile) were able to produce, over that period, quarterly average returns higher than the Bovespa‟s index, within a confidence interval of approximately 96.2%. In addition, portfolios formed by stocks 'P / B Low‟ or P / E Low‟ (between the 1st and 2nd quartile) produced good performance as well, but at a much lower level of confidence, set between 82,2 and 83,5%, respectively
Este trabalho analisa os retornos médios trimestrais produzidos por carteiras de ações negociadas na BM&FBovespa, montadas entre 2002 e 2010, a partir do uso dos múltiplos Preço/Lucro (P/L) ou Preço/Valor Contábil (P/B). Investiga a existência de possível anomalia de mercado ao verificar se retornos produzidos por carteiras formadas por ações de baixo P/L ou P/B podem ser consistentemente superiores à valorização do Ibovespa. Assim, este estudo transita em campo de controvertido debate acadêmico: a Hipótese de Mercado Eficiente (Fama, 1970). Para cada data selecionada, as ações foram ordenadas de acordo com o múltiplo escolhido e divididas em quatro carteiras (por quartis). Para a análise dos resultados, foram calculadas estatísticas descritivas e realizados testes de normalidade Jarque-Bera (JB) e paramétricos t de Student. Os resultados obtidos sugerem que carteiras de ações formadas por ações de P/L Muito Baixo‟ (abaixo do 1º quartil) foram capazes de produzir, no período analisado, retornos médios trimestrais superiores ao Ibovespa, dentro de um intervalo de confiança de aproximadamente 96,2%. Carteiras formadas por ações de P/B Baixo ou P/L Baixo‟ (entre o 1º e o 2º quartil) tiveram boa performance, porém a um nível de confiança bem menor, fixado entre 82,2 e 83,5%, respectivamente
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36

Kuklik, Robert G. "Capital Asset Prices Modelling - Concept VAPM." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-196945.

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The key objective of this thesis is the outline of an alternative capital market modeling framework, the Volatility Asset Pricing Model, VAPM, inspired by the innovative dual approach of Mandelbrot and Hudson using the method based on synthesis of two seemingly antagonistic factors -- the volatility of market prices and their serial dependence determining the capital markets' dynamics. The pilot tests of this model in various periods using the market index as well as a portfolio of selected securities delivered generally satisfactory results. Firstly, the work delivers a brief recapitulation regarding the concepts of a consumer/investor choice under general conditions of hypothetical certainty. Secondly, this outline is then followed by a description of the "classical" methodologies in the risky environment of uncertainty, with assessment of their corresponding key models, i.e. the CAPM, SIM, MIM, APTM, etc., notwithstanding results of the related testing approaches. Thirdly, this assessment is based on evaluation of the underlying doctrine of Efficient Market Hypothesis in relation to the so called Random Walk Model. Fourthly, in this context the work also offers a brief exposure to a few selected tests of these contraversial concepts. Fifthly, the main points of conteporary approaches such as the Fractal Dimension and the Hurst Exponent in the dynamic framework of information entropy are subsequently described as the theoretical tools leading to development of the abovementioned model VAPM. The major contribution of this thesis is considered its attempt to apply the abovementioned concepts in practice, with the intention to possibly inspire a further analytical research.
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37

Pal, Satyajit Banking &amp Finance Australian School of Business UNSW. "Profitability of butterfly trades in bond markets." Awarded by:University of New South Wales. Banking & Finance, 2007. http://handle.unsw.edu.au/1959.4/40713.

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The Efficient Market Hypothesis (EMH) has had significant impact on the theory and practice of investments. However technical trading rules have continued to be used by practioners and have been the focus of many academic studies which have focused on equity, foreign exchange and futures markets. The scarcity of research into technical trading models for fixed income markets is astonishing considering the significant size and consequent investor importance of fixed income markets relative to other financial markets and the extensive application of technical trading models by market participants. This is one of the few studies that develops a technical trading model applicable to fixed income markets. Black (1986) defined Efficient Markets as a market where deviations from fundamental values were short lived and small in magnitude. Fundamental asset values are hard to calculate, but we are able to identify fundamental values for a set of Government Bonds on the principle that yield relativities between such bonds are quite stable except for 'deliberate' changes in trading behaviour. We find that the deviations from fundamental value are short lived and small in magnitude. We exploit deviations from fundamental value by Butterfly Trading strategies; Normal Butterfly trades earning returns from movements in yield curve slope and curvature and Arbitrage Butterfly trades earning returns from yield curve curvature only. After considering transaction costs, we achieve annualised returns of 120bps from our Normal Butterfly trades and 72 bps from our Arbitrage Butterfly trades. Consistent with the risk-return relationship for financial instruments, we find that the returns and the volatility of returns for Normal Butterfly trades are higher than the returns and volatility of returns for Arbitrage Butterfly trades. Normal Butterfly trades are exposed to yield curve slope changes whereas Arbitrage Butterfly trades are not, resulting in higher risk and higher returns for Normal Butterfly trades. This finding is consistent with the results obtained by Fabozzi, Martellini and Priaulet (2005).
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38

Pitacas, José Alberto Pereira. "Utilidade social e eficiência no mutualismo." Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/1580.

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Mestrado em Economia e Política Social
Em Portugal existem condições objectivas para uma maior implantação e desenvolvimento das associações mutualistas, sobretudo de base socioprofissional. Contudo, persistem muitos pontos fracos dentro das organizações existentes e outras barreiras externas que impedem o seu aparecimento e desenvolvimento. Deste modo, escolheram-se e analisaram-se duas problemáticas: a utilidade social e a eficiência. Analisou-se a mais recente literatura e experiências relativas ao conceito, avaliação e medidas da utilidade social, aplicadas às instituições não lucrativas. Mediu-se e analisou-se a eficiência custo duma amostra de associações mutualistas, aplicando o método de fronteira estocástico. Este estudo pretende ser um pequeno contributo, da perspectiva da teoria económica, para um necessário processo de reflexão e acção sobre o presente e o futuro do mutualismo em Portugal.
Nowadays there are important opportunities to the growth and development of the mutualist associations in Portugal, mainly on the social-profissional level. But there is some weaknesses inside those organisations and some external barriers which break its emergency aund development. So, in this work we select and analyse two problems: the social utility and the cost efficiency. We relate the most recent literature and experiences about the concept, evaluation and measures of the social utility, applied to the non-profit organizations. We measure and analyse cost efficiency of a sample of Portuguese mutualist associations using a stochastic frontier approach. This work try to supply a contribution from the sight from the economic theory to a necessary process of thinking and action about the present and the future of the mutualism in Portugal.
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39

Fuggetta, Massimo. "Conventions and the stock market game." Thesis, University of Oxford, 1991. http://ora.ox.ac.uk/objects/uuid:80ac28d3-605a-45cf-b632-baca334211bf.

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Forecasting stock price movements is a notoriously difficult job. Were it not so, it would be easy to get richer. In this case, however, nobody would get poorer. But if nobody gets poorer, nobody will get richer. There are two ways to get out of this vicious circle. The first, and the more well-trodden, is the Efficient Market Theory (EMT), or: Everybody Understands Everything. The second is the Casino Market Theory (CMT), or: Nobody Understands Anything. This work is an attempt to bridge the gap between these two theories. In the first chapter the EMT is analysed in its fundamental constituents, while Chapter 2 contains a discussion of several empirical tests of the theory. Chapter 3 extends the EMT to incorporate variable risk premia and rational speculative bubbles and Chapter 4 presents the available empirical evidence on the extended model. The line of research based on the EMT paradigm is abandoned in Chapter 5, where the central principle of the EMT - the assumption of homogeneous investors with common priors - is investigated and challenged. The basis is there laid for an alternative view of the stock market game, which emphasises the conventional nature of investors' beliefs about future returns and is consistent with the view that stock market prices do not only reflect the fundamental value of underlying companies. In Chapter 6, the hypothesis that non fundamental information (in particular, past information) may have an influence on current stock prices is evaluated against monthly data relative to the US, UK, Japanese and Italian stock markets. Contrary to popular wisdom, we find that past information has a significant effect on current stock returns. Our evidence indicates that, as Keynes suggested in the General Theory, conventional beliefs play a crucial role in the stock market game.
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40

Alexakis, Christos. "An empirical investigation of the efficient market hypothesis : the case of the Athens stock market." Thesis, University of York, 1992. http://etheses.whiterose.ac.uk/2488/.

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41

Monte, Brent M. "Chaos and the stock market." CSUSB ScholarWorks, 1994. https://scholarworks.lib.csusb.edu/etd-project/860.

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42

Lam, Eric Campbell Full Yet. "Two essays on stock market anomalies /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?FINA%202009%20LAM.

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43

Dong, Wei, and 董炜. "Two essays on stock markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B50662211.

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 This thesis contains two pieces of empirical study on market efficiency. The first essay tests the semi-strong form of market efficiency in the U.S. We use sell-side analyst target prices as publically available information and test the performance of a mean-variance optimized portfolio which is based on the Treynor and Black model. We focus on constituents of S&P 500 index as our sample universe. During the period of beck-testing from 2004 to 2010, we find that the dynamically rebalanced portfolio beats the market in 6 out of 7 years and that the strategy generates significant risk-adjusted abnormal returns. In the second essay we study the post-earnings-announcement drift (PEAD) phenomenon, a well-documented market anomaly, on the French stock market. Our empirical study devises a difference-in-difference policy experiment to test if trading activities by individual investors contribute to the magnitude of PEAD. We exploit a recent policy reform on the French stock market, which significantly increased speculative trading costs of individual investors and reduced their trading activities. The impact of reform is found twice as large on individual contrarian traders than momentum traders. Using a group of unaffected stocks to control for potential non-experimental factors, we find magnitude of PEAD dropped significantly after the reform in the experimented group but not in the experimented group but not in the control group.
published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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44

Riveros, Angela. "A test of short-termism in the New York stock exchange." Thesis, Georgia Institute of Technology, 1995. http://hdl.handle.net/1853/29513.

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45

Yuyuenyongwatana, Robert P. (Robert Privat). "Purchasing Power Parity and the Efficient Markets: the Recent Empirical Evidence." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc331946/.

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The purpose of the study is to empirically determine the relevance of PPP theory under the traditional arbitrage and the efficient markets (EPPP) frameworks during the recent floating period of the 1980s. Monthly data was collected for fifteen industrial nations from January 1980 to December 1986. The models tested included the short-run PPP, the long-run PPP, the EPPP, the EPPP with deviations from expectations, the forward rates as unbiased estimators of future spot rates, the EPPP and the forward rates, and the EPPP with forward rates and lagged values. A generalized regression method called Seemingly Unrelated Regression (SUR) was employed to test the models. The results support the efficient markets approach to PPP but fail to support the traditional PPP in both the short term and the long term. Moreover, the forward rates are poor and biased predictors of the future spot rates. The random walk hypothesis is generally supported.
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46

Martin, Xiumin. "Accrual persistence and accrual anomaly." Diss., Columbia, Mo. : University of Missouri-Columbia, 2007. http://hdl.handle.net/10355/4824.

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Thesis (Ph. D.)--University of Missouri-Columbia, 2007.
The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on September 28, 2007) Vita. Includes bibliographical references.
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47

Mungai, Ruguru. "Using Efficient Market Theory and Behavioral Finance Theory to Investigate the Impact of Investor Confidence: Lessons from Global Financial Crises." University of the Western Cape, 2019. http://hdl.handle.net/11394/7600.

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Magister Commercii - MCom
The drastic decline in stock prices on the 24th October 1929 sent a frantic wave of panic across the US. Merely a century later, on the 29th September 2008 another financial crisis hit the globe - this time leaving most countries devastated. The main objective of this study is twofold: 1) to determine whether leading indicators have sufficient predictive capacity to predict global financial crises; and 2) to use the Efficient Market Theory (EMT) and/ or Behavioural Finance Theory (BFT) as a means of developing a theory explaining the potential impact bad public announcements had on the level of investor confidence before the 1929 Great Depression and the 2008 Global Financial Crisis. This study was not only designed to qualitatively conceptualise the notion of the term “investor confidence” whilst drawing special attention to its frailty using the 1929 Great Depression and the 2008 Global Financial Crisis, but also assist governments, reserve banks and key institutions to develop effective strategies of mitigating the effects of the latter financial crisis as well as provide guidance on how another financial crisis can be prevented. This study extracted bad public announcements from 40 books and 60 journal articles using 6 NBER-based leading economic indicators (LEI) and 4 systematic risk-based leading non-economic indicators (LNEI) in order to: 1) qualitatively assess the extent to which leading indicators can be used to predict global financial crises 3 – 8 months in advance; and 2) use the EMT and/ or BFT to provide an explanation concerning the potential impact that bad public announcements had on the level of investor confidence before the 1929 Great Depression and the 2008 Global Financial Crisis.
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48

Borrego, Daniel Alexandre Bourdain dos Santos. "Efficient frontier and capital market line on PSI 20." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10462.

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Mestrado em Finanças
Este trabalho faz a estimativa da Fronteira Eficiente de Markowitz e da Linha de Mercados de Capital para o mercado bolsista Português, considerando dois diferentes períodos, antes e depois da crise financeira de 2008. Os resultados mostram um forte impacto no GMV portfólio e no portfólio de mercado, com conclusões surpreendentes. A sensibilidade dos resultados perante a dimensão do período é também considerável.
This work estimates the efficient frontier of Markowitz and the capital market line for the Portuguese stock market, considering two different periods, before and after the 2008 financial crisis. The results show the strong impact on the global minimum variance portfolio and the market portfolio, with surprising conclusions. The sensitivity of the results to the period?s length is also considered and remarkable.
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49

Lepori, Gabriele M. "Three essays on behavioral finance." Diss., Connect to online resource - MSU authorized users, 2008.

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50

Hur, Chang Soo. "Variance bound test : a new approach." The Ohio State University, 1985. http://rave.ohiolink.edu/etdc/view?acc_num=osu1269522789.

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