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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 application. The forces which were expected to represent risk factors for the market have been examined as well. It will be shown that the model may contribute to the understanding of risk behaviour of the stocks.
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Bernat, Liana Oliveira. "Arbitrage pricing theory in international markets." Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-01122011-203538/.
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This dissertation studies the impact of multiple pre-specified sources of risk in the return of three non-overlapping groups of countries, through an Arbitrage Pricing Theory (APT) model. The groups are composed of emerging and developed markets. Emerging markets have become important players in the world economy, especially as capital receptors, but they were not included in the majority of previous related works. Two strategies are used to choose two set of risk factors. The first one is to use macroeconomic variables, as prescribed by most of the literature, such as world excess return, exchange rates, variation in the spread between Eurodollar deposit tax and U.S. Treasury bill (TED spread) and change in the oil price. The second strategy is to extract factors by using a principal component analysis, designated as statistical factors. The first important result is a great resemblance between the first statistical factor and the world excess return. We estimate the APT model using two statistical methodologies: Iterated Nonlinear Seemingly Unrelated Regression (ITNLSUR) by McElroy and Burmeister (1988) and the Generalized Method Moments (GMM) by Hansen (1982). The results from both methods are very similar. With macroeconomic variables, only the world excess of return is priced in the three groups with a premium varying from 4.4% to 6.3% per year and, in the model with statistical variables, only the first statistical factor is priced in all groups with a premium varying from 6.2% to 8.5% per year.Essa dissertação estuda o impacto de múltiplas fontes de riscos pré-especificados nos retornos de três grupos de países não sobrepostos, através de um modelo de Teoria de Precificação por Arbitragem (APT). Os grupos são compostos por mercados emergentes e desenvolvidos. Mercados emergentes tornaram-se importantes na economia mundial, especialmente como receptores de capital, mas não foram inclusos na maioria dos trabalhos correlatos anteriores. Duas estratégias foram adotadas para a escolha de dois conjuntos de fatores de risco. A primeira foi utilizar variáveis macroeconômicas, descritas na maior parte da literatura, como e excesso de retorno da carteira mundial, taxas de câmbio, variação da diferença entre a taxa de depósito em Eurodólar e a U.S. Treasury Bill (TED Spread) e mudanças no preço do petróleo. A segunda estratégia foi extrair fatores de risco através de uma análise de componentes principais, denominados fatores estatísticos. O primeiro resultado importante é a grande semelhança entre o primeiro fator estatístico e o retorno da carteira mundial. Nós estimamos o modelo APT usando duas metodologias estatísticas: Regressões Aparentemente não Correlacionadas Iteradas (ITNLSUR) de McElroy e Burmeister (1988) e o Método dos Momentos Generalizados (GMM) de Hansen (1982). Os resultados de ambas as metodologias são muito similares. Utilizando variáveis macroeconômicas, apenas o excesso de retorno da carteira mundial é precificado nos três grupos com prêmios variando de 4,4% a 6.3% ao ano e, no modelo com variáveis estatísticas, apenas o primeiro fator estatístico é precificado em todos os grupos com prêmios que variam entre 6,2% a 8,5% ao ano.
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Swanger, Craig. "The arbitrage pricing theory : implications for the Australian sharemarket /." Title page, contents and abstract only, 1995. http://web4.library.adelaide.edu.au/theses/09C/09c9723.pdf.
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Kiermeier, Michaela. "Essays on the arbitrage pricing theory and wavelet analysys /." Florence : European University institute, 1998. http://catalogue.bnf.fr/ark:/12148/cb37001394k.
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Jordan-Wagner, James M. (James Michael). "Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc330578/.
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Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances.
Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and R2 all indicate that the arbitrage pricing theory was a better descriptor of the Eurobond market.
The excess returns were also examined using stochastic dominance. Arbitrage pricing theory never dominated the capital asset pricing model using first-order criteria, but consistently dominated using second-order criteria. The results were discussed in terms of the implications for investors and portfolio managers.
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El, Ghandour Laila. "Liquidity risk and no arbitrage." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/79975.
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Thesis (MSc)--Stellenbosch University, 2013.ENGLISH ABSTRACT: In modern theory of finance, the so-called First and Second Fundamental Theorems of Asset Pricing play an important role in pricing options with no-arbitrage. These theorems gives a necessary and sufficient conditions for a market to have no-arbitrage and for a market to be complete. An early version of the First Fundamental Theorem of Asset Pricing was proven by Harrison and Kreps [30] in the case of a finite probability space. A more general version was proven by Harrison and Pliska [31] in the case of a finite probability space and discrete time. In the case of continuous time, Delbaen and Schachermayer [19] introduced a more general concept of no-arbitrage called "No-Free Lunch With Vanishing Risk" (NFLVR), and showed that for a locally-bounded semimartingale price process NFLVR is essentially equivalent to the existence of an equivalent local martingale measure. The goal of this thesis is to review the theory of arbitrage pricing and the extension of this theory to include liquidity risk. At the current time, liquidity risk is a key challenge faced by investors. Consequently there is a need to develop more realistic pricing models that include liquidity risk. We present an approach to liquidity risk by Çetin, Jarrow and Protter [10]. In to this approach the liquidity risk is embedded into the classical theory of arbitrage pricing by having investors act as price takers, and assuming the existence of a supply curve where prices depend on trade size. This framework assumes that the quantity impact on the price transacted is momentary. Using trading strategies that are both continuous and of finite variation allows one to avoid liquidity costs. Therefore, the First and Second Fundamental Theorems of Asset Pricing and the Black-Scholes model can be extended.
AFRIKAANSE OPSOMMING: In moderne finansiële teorie speel die sogenaamde Eerste en Tweede Fundamentele Stellings van Bateprysbepaling ’n belangrike rol in die prysbepaling van opsies in arbitrage-vrye markte. Hierdie stellings gee nodig en voldoende voorwaardes vir ’n mark om vry van arbitrage te wees, en om volledig te wees. ’n Vroeë weergawe van die Eerste Fundamentele Stelling was deur Harrison en Kreps [30] bewys in die geval van ’n eindige waarskynlikheidsruimte. ’n Meer algemene weergawe was daarna gepubliseer deur Harrison en Pliska [31] in die geval van ’n eindige waarskynlikheidsruimte en diskrete tyd. In die geval van kontinue tyd het Delbaen en Schachermayer [19] ’n meer algemene konsep van arbitragevryheid ingelei, naamlik “No–Free–Lunch–With–Vanishing–Risk" (NFLVR), en aangetoon dat vir lokaalbegrensde semimartingaalprysprosesse NFLVR min of meer ekwivalent is aan die bestaan van ’n lokaal martingaalmaat. Die doel van hierdie tesis is om ’n oorsig te gee van beide klassieke arbitrageprysteorie, en ’n uitbreiding daarvan wat likideit in ag neem. Hedendaags is likiditeitsrisiko ’n vooraanstaande uitdaging wat beleggers die hoof moet bied. Gevolglik is dit noodsaaklik om meer realistiese modelle van prysbepaling wat ook likiditeitsrisiko insluit te ontwikkel. Ons bespreek die benadering van Çetin, Jarrow en Protter [10], waar likiditeitsrisiko in die klassieke arbitrageprysteorie ingesluit word deur die bestaan van ’n aanbodkromme aan te neem, waar pryse afhanklik is van handelsgrootte. In hierdie raamwerk word aangeneem dat die impak op die transaksieprys slegs tydelik is. Deur gebruik te maak van handelingsstrategië wat beide kontinu en van eindige variasie is, is dit dan moontlik om likiditeitskoste te vermy. Die Eerste en Tweede Fundamentele Stellings van Bateprysbepaling en die Black–Scholes model kan dus uitgebrei word om likiditeitsrisiko in te sluit.
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Salas, Vargas Renan Ramiro. "Estudo da teoria de preços por arbitragem: 'the arbitrage pricing theory (APT)'." reponame:Repositório Institucional do FGV, 1993. http://hdl.handle.net/10438/5133.
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Previous issue date: 1993-03-25T00:00:00ZTrata da explicação da teoria do APT, abarcando o estudo de suas fontes de referência, pressupostos, modelo matemático, testes empíricos e estudos de aplicação prática de suas medidas de risco. Ressalta os aportes da teoria ao estudo do risco de preços da Teoria Financeira, descrevendo os trabalhos que identificaram vantagens do APT em relação ao CAPM, relativas ao conteúdo econômico de sua equação de equilíbrio e compravaçãu empírica. Inclue um levantamento das críticas realizadas à teoria, destacando os argumentos de resposta fornecidos pelos defensores do APT. Também explica a: metccoloçias de estimativa e teste do modelo, ilustrando a forma em que são mensurados os fatores econórnicc, de risco de preços
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Morales, Roberto Antonio. "Measuring the risk of investment in Latin America's emerging markets." Thesis, Virginia Tech, 1999. http://hdl.handle.net/10919/43467.
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This paper uses a multi-factor Arbitrage Pricing model to measure the systematic risks of U.S. Foreign Direct Investments (FDI) in the largest emerging markets of Latin America: Argentina, Brazil, Chile, and Mexico. The Arbitrage Pricing Theory (APT) states that returns on investments are exposed to and affected by a number of economy-wide factors or risks. Moreover, risk is defined as the potential losses due to the unanticipated or unexpected changes in the systematic risk factors . Because the unexpected changes in those factors account for the discrepancies between expected and actual returns, we can measure systematic risk by using traditional econometrics and multivariable analysis. Essentially, APT postulates expected returns are a linear function of unexpected changes in various regressors. The magnitude and sign of the coefficients generated provide a way to obtain a dollar denominated time explicit measure of risk.
This model is estimated with a variety of estimators and it identifies four risk factors: the annual growth rates of Gross Domestic Product (GDP), money supply (M1), total exports, and total external debt, as determinants of returns. The Ordinary Least Square (OLS) results are somewhat robust--three out of four factors have the expected sign, thus supporting the hypothesis. GLS procedures reveal similar results.Master of Arts
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Lencione, Maria Angélica Cristino. "Arbitrage pricing theory (APT): uma aplicação na Bolsa de Valores de São Paulo." reponame:Repositório Institucional do FGV, 1999. http://hdl.handle.net/10438/4715.
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Previous issue date: 1999-06-14T00:00:00ZO presente trabalho tem como objetivos explicar os retornos do índice da Bolsa de valores de São Paulo, o IBOVESPA, no período após a implantação do Plano Real, iniciando-se por janeiro de 1995 e tínanzando-se em agosto de 1998, através de variáveis macroeconômicas, utilizando-se do ferramental proposto pelo 'Arbitrage Pricing Theory', considerando trabalhos realizados no mundo, bem como as especificidades do mercado brasileiro e divulgar a teoria, suas premissas e vantagens à comunidade e ao mercado, a fim de estimular sua utilização, através do uso de variáveis de fácil acesso aos analistas.
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Shiratori, Carlo Eduardo. "Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18049.
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This thesis seeks to investigate the risk factors that determine the returns of the FIIs traded in the stock exchange and organized counter markets of the BVMF, through the estimation of the APT model, according to the two classic approaches. For this purpose two APT models were estimated one with macroeconomic risk factors and a principal component analysis (PCA) of the returns of the FIIs selected for the sample. The results obtained indicate low explanatory power of the two APT models and, except for the ETTJt interest rate structure, no statistical significance was observed for the macroeconomic risk factors, results different from those obtained by Chan, Hendershott and Sanders (1990) for the US REITs market and similar to the results obtained by Rebeschini and Leal (2016) for the Brazilian stock investment funds market. This may indicate that despite the recent strong growth in the Brazilian FII market, the level of FIIs' Brazilian market development is still low, especially when compared to other assets traded in the Brazilian financial market or similar assets traded in foreign markets. Being observed a large number of FIIs with a single portfolio asset, which, together with the results obtained in previous studies and principal component analysis (PCA), suggest that FII returns are more related to the characteristics of the underlying assets than to risk factors related to market indices.
A presente dissertação busca investigar os fatores de risco que determinam os retornos dos fundos de investimentos imobiliários - FIIs negociados nos mercados de bolsa e balcão organizado da BVMF , mediante a estimação do modelo Arbitrage Princing Theory - APT, originalmente proposto por Ross (1976), conforme as duas principais abordagens. Para tanto foram estimados dois modelos APT um com fatores de risco macroeconômicos e uma Análise de Componentes Principais - PCA dos retornos dos FIIs selecionados para a amostra. Os resultados obtidos indicam baixo poder explicativo dos dois modelos APT e exceto pela estrutura de taxa de juros ETTJt não foi observada significância estatística dos fatores de risco macroeconômicos, resultados diferentes dos obtidos por Chan, Hendershott e Sanders (1990) para o mercado americano de REITs e semelhante aos resultado obtidos por Rebeschini e Leal (2016) para o mercado de fundos de investimento em ações brasileiros. O que pode indicar que apesar do forte crescimento recente do mercado brasileiro de FIIs, ainda é baixo o nível de desenvolvimento do mercado brasileiro de FIIs, principalmente se comparado a outros ativos negociados no mercado financeiro brasileiro ou de ativos semelhantes negociados em mercados estrangeiros, sendo observado ainda um grande número de FIIs com um único ativo em carteira, o que aliado aos resultados obtidos em trabalhos anteriores e na análise de componentes principais (PCA) sugerem que os retornos dos FIIs estão mais relacionados às características próprias dos ativos subjacentes do que à fatores de risco relacionados à índices de mercado.
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Tran, Quoc-Tran. "Some contributions to financial market modelling with transaction costs." Thesis, Paris 9, 2014. http://www.theses.fr/2014PA090036/document.
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Cette thèse traite plusieurs problèmes qui se posent pour les marchés financiers avec coûts de transaction et se compose de quatre parties.On commence, dans la première partie, par une étude du problème de couverture approximative d’une option Européenne pour des marchés de volatilité locale avec coûts de transaction proportionnelles.Dans la seconde partie, on considère le problème de l’optimisation de consommation dans le modèle de Kabanov, lorsque les prix sont conduits par un processus de Lévy.Dans la troisième partie, on propose un modèle général incluant le cas de coûts fixes et coûts proportionnels. En introduisant la notion de fonction liquidative, on étudie le problème de sur-réplication d’une option et plusieurs types d’opportunités d’arbitrage.La dernière partie est consacrée à l’étude du problème de maximisation de l’utilité de la richesse terminale d’une portefeuille sous contraintes de risqueThis thesis deals with different problems related to markets with transaction costs and is composed of four parts.In part I, we begin with the study of assymptotic hedging a European option in a local volatility model with bid-ask spread.In part II, we study the optimal consumption problem in a Kabanov model with jumps and with default risk allowed.In part III, we sugest a general market model defined by a liquidation procès. This model is more general than the models with both fixed and proportional transaction costs. We study the problem of super-hedging an option, and the arbitrage theory in this model.In the last part, we study the utility maximization problem under expected risk constraint
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Cheng, Arnold Cheuk Sang. "International arbitrage pricing theory : empirical evidence from the United Kingdom and the United States." Thesis, London School of Economics and Political Science (University of London), 1993. http://etheses.lse.ac.uk/1334/.
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The objective of this thesis was to analyse the empirical applicability of the Arbitrage Pricing Theory to international asset markets (UK stock market and US stock market) and to identify the set of economic variables which correspond most closely with the stock market factors obtained from the traditional factor analysis. Factor analysis and canonical correlation analysis were used as the principal tools for the empirical testing. Although factor analysis is frequently used, canonical correlation analysis is an new technique in this area and provides a method of linking factors extracted from the two sets of data. Various economic indicators were investigated as systematic influences on stock returns. It was shown that, based on the foundations of the APT and the characteristics of the factor scores from the factor analysis on the security returns and the economic indicators, canonical correlation analysis is an approximate technique to link the stock market and the economic forces. The results using the UK data imply that there is a good correspondence between factor scores generated by the factor analysis on the UK security returns and on the UK economic indicators. The results using the US data show that there is also a fair correspondence, but lower than that for the UK data, between factor scores generated by the factor analysis on the US security returns and on the US economic indicators. The APT was also investigated in an international setting by considering the UK data and the US data together. The results show that the canonical correlation analysis successfully links the stock returns and economic forces. The conclusion of these empirical findings is that security returns are influenced by a number of systematic economic forces. The validity and applicability of the APT were also empirically evaluated. The regression results show that the explanatory power of the APT model is fairly good. The overall results obtained here appear to suggest that the APT pricing relationship is supported by the testing methodology. In addition, the international correlation structure of financial markets movements between the UK economy and the US economy has been analysed. On balance, the evidence favours the APT and there is available evidence of inter-market linkage between the UK and the US. Individual sets of economic variables have been identified which correspond most closely with the UK and the US stock market factors by using the canonical correlation analysis. The results, at least partially, contribute to the understanding of security market pricing.
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Yuen, Moon-chuen, and 袁滿泉. "An empirical test of the arbitrage pricing theory in the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1985. http://hub.hku.hk/bib/B31263513.
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Yuen, Moon-chuen. "An empirical test of the arbitrage pricing theory in the Hong Kong stock market /." [Hong Kong : University of Hong Kong], 1985. http://sunzi.lib.hku.hk/hkuto/record.jsp?B12317664.
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Bank, Peter. "Singular control of optional random measures." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2000. http://dx.doi.org/10.18452/14556.
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In dieser Arbeit untersuchen wir das Problem der Maximierung bestimmter konkaver Funktionale auf dem Raum der optionalen, zufälligen Maße. Deartige Funktionale treten in der mikroökonomischen Literatur auf, wo ihre Maximierung auf die Bestimmung des optimalen Konsumplans eines ökomischen Agenten hinausläuft. Als Alternative zu den wohlbekannten Methoden der dynamischen Programmierung wird ein neuer Zugang vorgestellt, der es erlaubt, die Struktur der maximierenden Maße in einem über den üblicherweise angenommenen Markovschen Rahmen hinausgehenden, allgemeinen Semimartingalrahmen zu klären. Unser Zugang basiert auf einer unendlichdimensionalen Version des Kuhn-Tucker-Theorems. Die implizierten Bedingungen erster Ordnung erlauben es uns, das Maximierungsproblem auf ein neuartiges Darstellungsproblem für optionale Prozesse zu reduzieren, das damit als ein nicht-Markovsches Substitut für die Hamilton-Jacobi-Bellman Gleichung der dynamischen Programmierung dient. Um dieses Darstellungsproblem im deterministischen Fall zu lösen, führen wir eine zeitinhomogene Verallgemeinerung des Konvexitätsbegriffs ein. Die Lösung im allgemeinen stochastischen Fall ergibt sich über eine enge Beziehung zur Theorie des Gittins-Index der optimalen dynamischen Planung. Unter geeigneten Annahmen gelingt ihre Darstellung in geschlossener Form. Es zeigt sich dabei, daß die maximierenden Maße absolutstetig, diskret und auch singulär sein können, je nach Struktur der dem Problem zugrundeliegenden Stochastik. Im mikroökonomischen Kontext ist es natürlich, daß Problem in einen Gleichgewichtsrahmen einzubetten. Der letzte Teil der Arbeit liefert hierzu ein allgemeines Existenzresultat für ein solches Gleichgewicht.In this thesis, we study the problem of maximizing certain concave functionals on the space of optional random measures. Such functionals arise in microeconomic theory where their maximization corresponds to finding the optimal consumption plan of some economic agent. As an alternative to the well-known methods of Dynamic Programming, we develop a new approach which allows us to clarify the structure of maximizing measures in a general stochastic setting extending beyond the usually required Markovian framework. Our approach is based on an infinite-dimensional version of the Kuhn-Tucker Theorem. The implied first-order conditions allow us to reduce the maximization problem to a new type of representation problem for optional processes which serves as a non-Markovian substitute for the Hamilton-Jacobi-Bellman equation of Dynamic Programming. In order to solve this representation problem in the deterministic case, we introduce a time-inhomogeneous generalization of convexity. The stochastic case is solved by using an intimate relation to the theory of Gittins-indices in optimal dynamic scheduling. Closed-form solutions are derived under appropriate conditions. Depending on the underlying stochastics, maximizing random measures can be absolutely continuous, discrete, and also singular. In the microeconomic context, it is natural to embed the above maximization problem in an equilibrium framework. In the last part of this thesis, we give a general existence result for such an equilibrium.
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Stivanin, Guilherme Augusto. "Análise comparativa da utilização da Arbitrage Pricing Theory na determinação do retorno e da volatilidade de ativos financeiros." Universidade Federal de Minas Gerais, 2006. http://hdl.handle.net/1843/CSPO-6VLE9Q.
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Desde o trabalho inicial de Markowitz (1952), a administração de ativos financeiros tem sido tratada a partir da combinação do binômio risco/retorno. Dentre os modelos que visam explicar o comportamento dos preços das ações dois têm se destacado: o Capital Asset Pricing Model (CAPM) e a Arbitrage Pricing Theory (APT). Ambos os modelos têm como variável dependente o retorno dos ativos e foram exaustivamente aplicados às mais diversas realidades nas últimas quatro décadas. A outra variável presente no modelo de Markowitz - o risco, medido pela volatilidade dos retornos, tem sido objeto de maior interesse de pesquisadores em um período mais recente, motivado pelo aumento da volatilidade das variáveis financeiras a partir da década de 70, com o colapso de Bretton Woods e os choques do petróleo. Poucos trabalhos têm buscado definir quais fatores de natureza econômica ou financeira exercem influência sobre a volatilidade dos preços das ações. O objetivo geral desta pesquisa foi testar a aplicabilidade da APT a papéis de empresas brasileiras negociadas nos mercados americano e brasileiro tendo como variável dependente a volatilidade e efetuar uma análise comparativa da utilização do modelo para as séries de volatilidade e de retorno. Para o teste da APT, foram selecionadas 22 variáveis, sendo 13 relativas à economia brasileira e 9 à economia norte-americana. Para se verificar a aplicabilidade das variáveis aos tipos de papéis analisados, foram efetuados testes de cointegração para se comprovar a existência, ou não, de uma tendência estocástica nas séries. A metodologia utilizada para a APT foi o procedimento de dois estágios desenvolvido por Fama e Macbeth (1973): regressão em séries temporais para a obtenção dos coeficientes de sensibilidade dos fatores (betas) e regressão cross-sectional para a obtenção dos prêmios de risco. Verificou-se que a formulação teórica da APT é passível de ser utilizada para definir os determinantes dos movimentos na volatilidade dos ativos financeiros, com a ressalva de que os resultados tendem a ser inferiores aos obtidos quando se tem como variável dependente os retornos dos ativos. Analisando os resultados obtidos e a magnitude da diferença entre tais resultados, conclui-se que, apesar do resultado inferior, a aplicação da APT na definição dos determinantes dos movimentos na volatilidade dos ativos financeiros é uma possibilidade a ser amplamente considerada na pesquisa sobre o tema.
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Neves, Alexandre Wernersbach. "A precificação de ativos de renda variável no mercado de capitais brasileiro: uma visão comparativa entre a Arbitrage Pricing Theory e o Capital Asset Pricing Model." Universidade Federal de Minas Gerais, 2001. http://hdl.handle.net/1843/BUBD-99JJSS.
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Nesta introdução, são desenvolvidas considerações preliminares a respeito deste trabalho. A seguir, define-se o tema do estudo e apresentam-se as justificativas, os objetivos e, finalmente, a forma pela qual o trabalho está organizado. O mercado de capitais têm merecido nos últimos anos uma atenção especial do seu público alvo. As crises nos mercados asiáticos, soviético e argentino, a recessão americana dentre outros fatores têm proporcionado sucessivas quedas das Bolsas de Valores em todo o mundo. Em alguns casos, governos foram obrigados a adotar medidas econômicas, monetárias, cambiais e fiscais protecionistas de urgência para afastar suas economias de efeitos globais desastrosos. O ambiente de instabilidade das bolsas de valores é histórico. Podemos lembrar a quebra da Bolsa de Nova York em 1929, que implicou em sérias repercussões na vida das pessoas. Podemos lembrar também as instabilidades proporcionadas pelas Bolsas americanas em 1987, pelas Bolsas latino-americanas em 1994, pelas Bolsas brasileiras em 1998, pela Nasdaq americana em 1999 e tantos outros exemplos. Devido à importância crescente dos mercados financeiros e de capitais e, principalmente, em função do aumento significativo no volume de negócios, que, segundo Santos (1997), tem crescido mais rapidamente que a renda nos países desenvolvidos, pesquisadores de todas as correntes têm dedicado atenção crescente ao mercado de capitais, quer ele esteja em crise ou não.
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Hrevuš, Jan. "Non-Life Excess of Loss Reinsurance Pricing." Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-200014.
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Probably the most frequently used definition of reinsurance is insurance for insurance companies, by reinsurance the cedant (insurance company) cedes part of the risk to the reinsurer. Reinsurance plays nowadays a crucial role in insurance industry as it does not only reduce the reinsured's exposure, but it can also significantly reduce the required solvency capital. In past few decades various approaches to reinsurance actuarial modelling were published and many actuaries are nowadays just reinsurance specialized. The thesis provides an overview of the actuarial aspects of modelling a non-life per risk and for motor third party liability per event excess of loss reinsurance structure, according to the author's knowledge no study of such wide scope exists and various aspects have to be found in various fragmented articles published worldwide. The thesis is based on recent industry literature describing latest trends and methodologies used, the theory is compared with the praxis as the author has working experience from underwriting at CEE reinsurer and actuarial reinsurance modelling at global reinsurance broker. The sequence of topics which are dealt corresponds to sequence of the steps taken by actuary modelling reinsurance and each step is discussed in detail. Starting with data preparation and besides loss inflation, more individual claims development methods are introduced and own probabilistic model is constructed. Further, burning cost analysis and probabilistic rating focused on heavy tailed distributions are discussed. A special attention is given to exposure rating which is not commonly known discipline among actuaries outside of reinsurance industry and different methodologies for property and casualty exposure modelling are introduced including many best practice suggestions. All main approaches to the reinsurance modelling are also illustrated on either real or realistically looking data, similar to those provided by European insurance companies to their reinsurers during renewal periods.
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Er, Hakan. "Cross market arbitrage and option pricing with long memory in volatility : theory and evidence from LIFFE FTSE-100 index futures and options." Thesis, University of Essex, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.391536.
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Priestley, Richard. "Approximate factor structures, macroeconomic and financial factors, unique and stable return generating processes and market anomalies : an empirical investigation of the robustness of the arbitrage pricing theory." Thesis, Brunel University, 1994. http://bura.brunel.ac.uk/handle/2438/5448.
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This thesis presents an empirical investigation into the Arbitrage Pricing Theory (APT). At the onset of the thesis it is recognised that tests of the APT are conditional on a number of preconditions and assumptions. The first line of investigation examines the effect of the assumed nature of the form of the return generating process of stocks. It is found that stocks follow an approximate factor structure and tests of the APT are sensitive to the specified form of the return generating process. We provide an efficient estimation methodology for the case when stocks follow an approximate factor structure. The second issue we raise is that of the appropriate factors, the role of the market portfolio and the performance of the APT against the Capital Asset Pricing Model (CAPM). The conclusions that we draw are that the APT is robust to a number of specified alternatives and furthermore, the APT outperforms the CAPM in comparative tests. In addition, within the APT specification there is a role for the market portfolio. Through a comparison of the results in chapters 2 and 3 it is evident that the APT is not robust to the specification of unexpected components. We evaluate the validity of extant techniques in this respect and find that they are unlikely to be representative of agents actual unexpected components. Consequently we put forth an alternative methodology based upon estimating expectations from a learning scheme. This technique is valid in respect to our prior assumptions. Having addressed these preconditions and assumptions that arise in tests of the APT a thorough investigation into the empirical content of the APT is then undertaken. Concentrating on the issues that the return generating process must be unique and that the estimated risk premia should be stable overtime the results indicate that the APT does have empirical content. Finally, armed with the empirically valid APT we proceed to analyse the issue of seasonalities in stock returns. The results confirm previous findings that there are seasonal patterns in the UK stock market, however, unlike previous findings we show that these seasonal patterns are part of the risk return structure and can be explained by the yearly business cycle. Furthermore, the APT retains empirical content when these seasonal patterns are removed from the data. The overall finding of this thesis is that the APT does have empirical content and provides a good description of the return generating process of UK stocks.
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Ladrón, de Guevara Cortés Rogelio. "Techniques For Estimating the Generative Multifactor Model of Returns in a Statistical Approach to the Arbitrage Pricing Theory. Evidence from the Mexican Stock Exchange." Doctoral thesis, Universitat de Barcelona, 2016. http://hdl.handle.net/10803/386545.
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This dissertation focuses on the estimation of the generative multifactor model of returns on equities, under a statistical approach of the Arbitrage Pricing Theory (APT), in the context of the Mexican Stock Exchange. Therefore, this research takes as frameworks two main issues: (i) the multifactor asset pricing models, specially the statistical risk factors approach, and (ii) the dimension reduction or feature extraction techniques: Principal Component Analysis, Factor Analysis, Independent Component Analysis and Non-linear Principal Component Analysis, utilized to extract the underlying systematic risk factors. The models estimated are tested using two methodologies: (i) capability of reproduction of the observed returns using the estimated generative multifactor model, and (ii) results of the econometric contrast of the APT using the extracted systematic risk factors. Finally, a comparative study among techniques is carried on based on their theoretical properties and the empirical results.
According to the above stated and as far as we concerned, this dissertation contributes to financial research by providing empirical evidence of the estimation of the generative multifactor model of returns on equities, extracting statistical underlying risk factors via classic and alternative dimension reduction or feature extraction techniques in the field of finance, in order to test the APT as an asset pricing model, in the context of an emerging financial market such as the Mexican Stock Exchange. In addition, this work presents an unprecedented theoretical and empirical comparative study among Principal Component Analysis, Factor Analysis, Independent Component Analysis and Neural Networks Principal Component Analysis, as techniques to extract systematic risk factors from a stock exchange, analyzing the level of sensitivity of the results in function of the technique carried on. In addition, this dissertation represents a mainly empirical exhaustive study where objective evidence about the Mexican stock market is provided by way of the application of four different techniques for extraction of systematic risk factors, to four datasets, in a test window that ranged from two to nine factors.
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Börger, Reik H. "Energy-related commodity futures - statistics, models and derivatives." [S.l. : s.n.], 2007. http://nbn-resolving.de/urn:nbn:de:bsz:289-vts-60248.
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Grammenidis, Ackis, and Anna Fattor. "Zero impact or zero reliability? : An empirical test of Capital Asset Pricing Model during periods ofzero risk-free rate." Thesis, Umeå University, Umeå School of Business, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-25631.
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1.3. Research Questions.
With this in mind, the research questions of this work are:
1. Is the Capital Asset Pricing Model still applicable despite the heavy impact of the financial crisis on the financial systems?
2. What happens to this model when the risk free rate approaches zero?
3. Is there a relationship between the riskiness of an asset and the risk-free interestrate when the latter is approaching the zero level?
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Fodor, Bryan D. "The effect of macroeconomic variables on the pricing of common stock under trending market conditions." Thesis, Department of Business Administration, University of New Brunswick, 2003. http://hdl.handle.net/1882/49.
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Thesis (MBA) -- University of New Brunswick, Faculty of Administration, 2003.Typescript. Bibliography: leaves 83-84. Also available online through University of New Brunswick, UNB Electronic Theses & Dissertations.
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Blanchard, Romain. "Application du contrôle stochastique en théorie de la décision avec croyances multiples et non dominées en temps." Thesis, Reims, 2017. http://www.theses.fr/2017REIMS006/document.
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Cette dissertation traite des trois thématiques suivantes : incertitude, fonctions d’utilité et non-arbitrage. Dans le premier chapitre, nous supposons qu’il n’y a pas d’incertitude sur les croyances et établissons l’existence d’un portefeuille optimal pour un investisseur qui opère dans un marché financier multi-période à temps discret et maximise son espérance terminale d’utilité. Nous considérons des fonctions d’utilité aléatoires non concaves, non continues définies sur l’axe réel positif. La preuve repose sur de la programmation dynamique et des outils de théorie de la mesure.Dans les trois chapitres suivant nous introduisons le concept d’incertitude knightienne et adoptons le modèle de marché financier multi-période à temps discret avec croyances multiples non dominées introduit par B. Bouchard and M. Nutz (Arbitrage and duality in nondominated discrete-time models)Dans le second chapitre, nous étudions la notion de non-arbitrage quasi-sûre introduite par B. Bouchard and M. Nutz (Arbitrage and duality in nondominated discrete-time models) et en proposons deux formulations équivalentes: une version quantitative et une version géométrique. Nous proposons aussi une condition forte de non-arbitrage afin de simplifier des difficultés techniques.Nous utilisons ces résultats dans le troisième chapitre pour résoudre le problème de la maximisation d’espérance d’utilité sous la plus défavorable des croyances pour des fonctions d’utilité concaves, définies sur l’axe positif réel non-bornées. La preuve utilise à nouveau de la programmation dynamique et des techniques de sélection mesurable.Finalement, dans le dernier chapitre, nous développons un modèle de d’évaluation par indifférence d’utilité et démontrons que sous de bonnes conditions, le prix d’indifférence d’un actif contingent converge vers son prix de sur réplicationThis dissertation evolves around the following three general thematic: uncertainty, utility and no-arbitrage.In the first chapter we establish the existence of an optimal portfolio for investor trading in a multi-period and discrete-time financial market without uncertainty and maximising its terminal wealth expected utility. We consider general non-concave and non-smooth random utility function defined on the half real-line. The proof is based on dynamic programming and measure theory tools.In the next three chapters, we introduce the concept of Knightian uncertainty and adopt the multi-prior non dominated and discrete time framework introduced in [25]..In this setting, in the second chapter we study the notion of quasi-sure no-arbitrage introduced in [25] and propose two equivalent definitions: a quantitative and geometric characterisation. We also introduce a stronger no-arbitrage condition that simplifies some of the measurability difficulties.In the third chapter, we build on the results obtained in the previous chapter to study the maximisation of multiple-priors non-dominated worst-case expected utility for investors trading in a multi-period and discrete-time financial for general concave utility functions defined on the half-real line unbounded from above. The proof uses again a dynamic programming framework together with measurable selection.Finally the last chapter formulates a utility indifference pricing model for investor trading in a multi-period and discrete-time financial market. We prove that under suitable condition the multiples-priors utility indifference prices of a contingent claim converge to its multiple-priors superreplication price
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Stålstedt, Erik, and Jens Eriksson. "Mergers & Acquisitions : Abnormal returns in the pharmaceutical industry." Thesis, Jönköping University, JIBS, Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-391.
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Denna uppsats är skriven inom området finansiering och behandlar fenomenet uppköp och företagsförvärv inom läkemedelsbranschen. I uppsatsen undersöker man läkemedelsbranschen och några nyckelaffärer utförda under de senaste fem åren. Syftet är att se om hypotesen om att det inte sker någon onormal överavkastning efter ett företagsförvärv eller sammanslagning till det köpande företaget gäller inom industrin.
Modellen som används är ”the Arbitrage Pricing Model”, innehållande variablerna S&P 500, ^DRG, USA’s inflation och volymen av omsatta aktier på New York-börsen. Denna används för att beräkna en förväntad avkastning på aktien 48 månader efter affären. Ytterligare så används AMEX läkemedelsindex (^DRG) och Standard & Poor’s 500 (S&P 500) som måttstock för att jämföra utvecklingen av aktien under 48 månader efter affären.
Hypotesen håller i tre av sex fall när indexen ^DRG och S&P 500 används som måttstock och i samtliga fall när den beräknade avkastningen används som måttstock.
De beräknade estimaten visade sig vara aningen för optimistiska givet tidpunkten för affären. Marknaden hade vuxit mycket starkt under en lång tid och var på toppen just innan den föll kraftigt i början av år 2000. Inget av företagen nådde upp till de beräknade värdena. Inte heller lyckades de återhämta sig från det kraftiga fallet I marknaden till deras ursprungliga aktievärden.
This thesis is written within the field of finance and covers the Merger & Acquisition (M&A) phenomenon within the pharmaceutical industry. The purpose with this thesis is to examine the pharmaceutical industry and, with some key acquisitions done over the last five years, see if our hypothesis about no abnormal returns after an M&A to the buying firm, holds within the industry.
The model used is the Arbitrage pricing model, incorporating the variables; S&P 500, ^DRG, US inflation and stock volume traded on NYSE, to calculate expected returns for a period of 48 months after the M&A’s. Furthermore we use AMEX pharmaceutical index (^DRG) and Standard & Poor 500 (S&P 500) as our base for measuring post-M&A performance 48 months after the M&A’s.
The hypothesis holds three out of six times when using the indices ^DRG and S&P 500 as a benchmark and all of the times when using the calculated expected returns as benchmark.
The calculated estimates turned out to be a bit too optimistic given the time of the M&A’s where the market had grown substantially over a long period and was at its peak just before it plummeted in the early 2000’s. Neither of the companies reached their estimated returns, nor did they manage to recover from the downfall to their initial stock value at the time of the merger.
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Corker, Lloyd A. "A test for Non-Gaussian distributions on the Johannesburg stock exchange and its implications on forecasting models based on historical growth rates." University of Western Cape, 2002. http://hdl.handle.net/11394/7447.
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Masters of CommerceIf share price fluctuations follow a simple random walk then it implies that forecasting models based on historical growth rates have little ability to forecast acceptable share price movements over a certain period. The simple random walk description of share price dynamics is obtained when a large number of investors have equal probability to buy or sell based on their own opinion. This simple random walk description of the stock market is in essence the Efficient Market Hypothesis, EMT. EMT is the central concept around which financial modelling is based which includes the Black-Scholes model and other important theoretical underpinnings of capital market theory like mean-variance portfolio selection, arbitrage pricing theory (APT), security market line and capital asset pricing model (CAPM). These theories, which postulates that risk can be reduced to zero sets the foundation for option pricing and is a key component in financial software packages used for pricing and forecasting in the financial industry. The model used by Black and Scholes and other models mentioned above are Gaussian, i.e. they exhibit a random nature. This Gaussian property and the existence of expected returns and continuous time paths (also Gaussian properties) allow the use of stochastic calculus to solve complex Black- Scholes models. However, if the markets are not Gaussian then the idea that risk can be. (educed to zero can lead to a misleading and potentially disastrous sense of security on the financial markets. This study project test the null hypothesis - share prices on the JSE follow a random walk - by means of graphical techniques such as symmetry plots and Quantile-Quantile plots to analyse the test distributions. In both graphical techniques evidence for the rejection of normality was found. Evidenceleading to the rejection of the hypothesis was also found through nonparametric or distribution free methods at a 1% level of significance for Anderson-Darling and Runs test.
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Cerezetti, Fernando Valvano. "Arbitragem nos mercados financeiros: uma proposta bayesiana de verificação." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-27042014-171844/.
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Hipóteses precisas são características naturais das teorias econômicas de determinação do valor ou preço de ativos financeiros. Nessas teorias, a precisão das hipóteses assume a forma do conceito de equilíbrio ou da não arbitragem. Esse último possui um papel fundamental nas teorias de finanças. Sob certas condições, o Teorema Fundamental do Apreçamento de Ativos estabelece um sistema único e coerente para valorização dos ativos em mercados não arbitrados, valendo-se para tal das formulações para processos de martingal. A análise da distribuição estatística desses ativos financeiros ajuda no entendimento de como os participantes se comportam nos mercados, gerando assim as condições para se arbitrar. Nesse sentido, a tese defendida é a de que o estudo da hipótese de não arbitragem possui contrapartida científica, tanto do lado teórico quanto do empírico. Utilizando-se do modelo estocástico Variância Gama para os preços dos ativos, o teste Bayesiano FBST é implementado com o intuito de se verificar a existência da arbitragem nos mercados, potencialmente expressa nos parâmetros destas densidades. Especificamente, a distribuição do Índice Bovespa é investigada, com os parâmetros risco-neutros sendo estimados baseandose nas opções negociadas no Segmento de Ações e no Segmento de Derivativos da BM&FBovespa. Os resultados aparentam indicar diferenças estatísticas significantes em alguns períodos de tempo. Até que ponto esta evidência é a expressão de uma arbitragem perene nesses mercados ainda é uma questão em aberto.Precise hypotheses are natural characteristics of the economic theories for determining the value or prices of financial assets. Within these theories the precision is expressed in terms of equilibrium and non-arbitrage hypotheses. The former concept plays an essential role in the theories of finance. Under certain conditions, the Fundamental Theorem of Asset Pricing establishes a coherent and unique asset pricing framework in non-arbitraged markets, grounded on martingales processes. Accordingly, the analysis of the statistical distributions of financial assets can assist in understanding how participants behave in the markets, and may or may not engender conditions to arbitrage. On this regard, the dissertation proposes that the study of non-arbitrage hypothesis has a scientific counterparty, theoretically and empirically. Using a variance gamma stochastic model for prices, the Bayesian test FBST is conducted to verify the presence of arbitrage potentially incorporated on these densities parameters. Specifically, the Bovespa Index distribution is investigated, with risk neutral parameters estimated based on options traded in the Equities Segment and the Derivatives Segment at the BM&FBovespa Exchange. Results seem to indicate significant statistical differences at some periods of time. To what extent this evidence is actually the expression of a perennial arbitrage between the markets still is an open question.
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Stoppioni, Edoardo. "Une analyse critique du discours du juge de l’OMC et de l’arbitre de l’investissement sur le droit non écrit." Thesis, Paris 1, 2019. http://www.theses.fr/2019PA01D010.
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Ce travail a tenté de dresser une cartographie de l'utilisation par le juge de l'OMC et l'arbitre de l'investissement de l'argument juridique fondé sur le droit non écrit. Le discours juridictionnel est considéré dans une perspective métathéorique et le droit non écrit a été étudié en tant que structure discursive au sens foucaldien du terme. En prenant comme point de départ la thèse de Martti Koskennicmi, il est soutenu que le discours juridictionnel fondé sur le droit non écrit est caractérisé par des oppositions binaires, propres au droit international libéral. Aussi ce discours oscille-t-il entre deux pôles : celui de l'apologie et celui de l'utopie. Ce balancement est résumé, dans ce travail, par l'emploi de deux concepts qui représentent les deux extrémités du spectre : la banalisation et la systématisation. Dans une logique de banalisation, le juge ancre son espace normatif dans le droit international général pour y ancrer sa légitimité. La banalisation de son espace normatif particulier reflète la volonté du juge de s'aligner sur les structures de pouvoir du droit international général. Il a été démontré, dans cette optique, que le juge de l'OMC, tout comme l'arbitre d'investissement, a banalisé à dessein la nature de son espace normatif ainsi que sa fonction juridictionnelle. Un deuxième registre linguistique employé par le juge est celui de la systématisation. Dans ce contexte, le juge utilise moins le droit non écrit pour ancrer son espace normatif dans le droit international général que pour construire une certaine unité interne au régime. Le langage de systématisation a pour effet ultime de renforcer la logique néolibérale sur laquelle le régime est bâtiThe thesis has attempted to sketch a cartography of the way the WTO judge and the investment arbitrator use the judicial argument based on unwritten Law. The general approach consisted in studying the judicial discourse from a metatheoretical perspective: unwritten law is studied as a discursive structure in the Foucauldian sense of the term. Taking Martti Koskenniemi's thesis as a starting point, it is maintained that the judicial discourse based on unwritten law is grounded on binary oppositions. It oscillates between two poles : the pole of apology and the pole of utopia. This oscillation is explained using two concepts, constituting the extremities of the spectrum: banalization and systematization. In the perspective of banalization, the judge grounds its normative space in general international law. Using this approach, the WTO judge and the investment arbitrator have banalized both the nature of their normative spaces and their own judicial function. The judge also uses the linguistic register of systematization. ln this context, unwritten law is used to construct the internal unity of the regime. The effect of the language of systematization is to generate a movement between consolidation of the unity of the regime and strengthening the embedded neoliberal bias thereof
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Baptiste, Julien. "Problèmes numériques en mathématiques financières et en stratégies de trading." Thesis, Paris Sciences et Lettres (ComUE), 2018. http://www.theses.fr/2018PSLED009.
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Le but de cette thèse CIFRE est de construire un portefeuille de stratégies de trading algorithmique intraday. Au lieu de considérer les prix comme une fonction du temps et d'un aléa généralement modélisé par un mouvement brownien, notre approche consiste à identifier les principaux signaux auxquels sont sensibles les donneurs d'ordres dans leurs prises de décision puis alors de proposer un modèle de prix afin de construire des stratégies dynamiques d'allocation de portefeuille. Dans une seconde partie plus académique, nous présentons des travaux de pricing d'options européennes et asiatiquesThe aim of this CIFRE thesis is to build a portfolio of intraday algorithmic trading strategies. Instead of considering stock prices as a function of time and a brownian motion, our approach is to identify the main signals affecting market participants when they operate on the market so we can set up a prices model and then build dynamical strategies for portfolio allocation. In a second part, we introduce several works dealing with asian and european option pricing
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Schwarz, Daniel Christopher. "Price modelling and asset valuation in carbon emission and electricity markets." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:7de118d2-a61b-4125-a615-29ff82ac7316.
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This thesis is concerned with the mathematical analysis of electricity and carbon emission markets. We introduce a novel, versatile and tractable stochastic framework for the joint price formation of electricity spot prices and allowance certificates. In the proposed framework electricity and allowance prices are explained as functions of specific fundamental factors, such as the demand for electricity and the prices of the fuels used for its production. As a result, the proposed model very clearly captures the complex dependency of the modelled prices on the aforementioned fundamental factors. The allowance price is obtained as the solution to a coupled forward-backward stochastic differential equation. We provide a rigorous proof of the existence and uniqueness of a solution to this equation and analyse its behaviour using asymptotic techniques. The essence of the model for the electricity price is a carefully chosen and explicitly constructed function representing the supply curve in the electricity market. The model we propose accommodates most regulatory features that are commonly found in implementations of emissions trading systems and we analyse in detail the impact these features have on the prices of allowance certificates. Thereby we reveal a weakness in existing regulatory frameworks, which, in rare cases, can lead to allowance prices that do not conform with the conditions imposed by the regulator. We illustrate the applicability of our model to the pricing of derivative contracts, in particular clean spread options and numerically illustrate its ability to "see" relationships between the fundamental variables and the option contract, which are usually unobserved by other commonly used models in the literature. The results we obtain constitute flexible tools that help to efficiently evaluate the financial impact current or future implementations of emissions trading systems have on participants in these markets.
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Berberovic, Adnan, and Alexander Eriksson. "A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies." Thesis, Linköpings universitet, Produktionsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-143715.
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Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. We also add price momentum as a sixth factor and add a one-day lag to the factors. The Regime-Switches are obtained from a Hidden Markov Model with conditional Student's t distributions. For the return process we use factor data as input, Student's t distributed residuals, and Student's t copula dependencies. To fit the copulas, we develop a novel approach based on the Expectation-Maximisation algorithm. The results are promising as the quantiles for most of the portfolios show a good fit to the theoretical quantiles. Using a sophisticated Stochastic Programming model, we back-test the predictive power over a 26 year period out-of-sample. Furthermore we analyse the performance of different factors during different market regimes.
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Van, Heerden Petrus Marthinus Stephanus. "The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4511.
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The inability to effectively hedge against unfavourable exchange rate movements, using the
current forward exchange rate as the only guideline, is a key inhibiting factor of international
trade. Market participants use the current forward exchange rate quoted in the market to make
decisions regarding future exchange rate changes. However, the current forward exchange rate
is not solely determined by the interaction of demand and supply, but is also a mechanistic
estimation, which is based on the current spot exchange rate and the carry cost of the
transaction. Results of various studies, including this study, demonstrated that the current
forward exchange rate differs substantially from the realized future spot exchange rate. This
phenomenon is known as the exchange rate puzzle.
This study contributes to the dynamics of modelling exchange rate theories by developing an
exchange rate model that has the ability to explain the realized future spot exchange rate and
the exchange rate puzzle. The exchange rate model is based only on current (time t) economic
fundamentals and includes an alternative approach of incorporating the impact of the interaction
of two international financial markets into the model. This study derived a unique exchange rate
model, which proves that the exchange rate puzzle is a pseudo problem. The pseudo problem
is based on the generally excepted fallacy that current non–stationary, level time series data
cannot be used to model exchange rate theories, because of the incorrect assumption that all
the available econometric methods yield statistically insignificant results due to spurious
regressions. Empirical evidence conclusively shows that using non–stationary, level time series
data of current economic fundamentals can statistically significantly explain the realized future
spot exchange rate and, therefore, that the exchange rate puzzle can be solved.
This model will give market participants in the foreign exchange market a better indication of
expected future exchange rates, which will considerably reduce the dependence on the
mechanistically derived forward points. The newly derived exchange rate model will also have an influence on the demand and supply of forward exchange, resulting in forward points that are
a more accurate prediction of the realized future exchange rate.Thesis (Ph.D. (Risk management))--North-West University, Potchefstroom Campus, 2011.
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Stephanou, Costas Michael. "Political and economic events 1988 to 1998 : their impact on the specification of the nonlinear multifactor asset pricing model described by the arbitrage pricing theory for the financial and industrial sector of the Johannesburg Stock Exchange." 1999. http://hdl.handle.net/10500/16107.
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The impact of political and economic events on the asset pricing model described by the
arbitrage pricing theory (APTM) was examined in order to establish if they had caused any
changes in its specification. It was concluded that the APTM is not stationary and that it must
be continuously tested before it can be used as political and economic events can change its
specification. It was also found that political events had a more direct effect on the
specification of the APTM, in that their effect is more immediate, than did economic events,
which influenced the APTM by first influencing the economic environment in which it
operated.
The conventional approach that would have evaluated important political and economic
events, case by case, to determine whether they affected the linear factor model (LFM), and
subsequently the APTM, could not be used since no correlation was found between the
pricing of a risk factor in the LFM and its subsequent pricing in the APTM. A new approach
was then followed in which a correlation with a political or economic event was sought
whenever a change was detected in the specification of the APTM. This was achieved by first
finding the best subset LFM, chosen for producing the highest adjusted R2
, month by month,
over 87 periods from 20 October1991 to 21 June 1998, using a combination of nine
prespecified risk factors (five of which were proxies for economic events and one for
political events). Multivariate analysis techniques were then used to establish which risk
factors were priced most often during the three equal subperiods into which the 87 periods
were broken up.
Using the above methodology, the researcher was able to conclude that political events
changed the specification of the APTM in late 1991. After the national elections in April
1994 it was found that the acceptance of South Africa into the world economic community
had again changed the specification of the APTM and the two most important factors were
proxies for economic events.Business Leadership
DBL
35
Koutoulas, George. "Essays on the arbitrage pricing theory." Thesis, 1993. http://spectrum.library.concordia.ca/3182/1/NN90881.pdf.
Full textAbstract:
This thesis uses the APT to explain the market anomalies and the apparent excess variability of stock returns. It also aims to modify the APT, to test if the Canadian and global North American equity markets are integrated or segmented.
36
駱筱菁. "Empirical Studies on Arbitrage Pricing Theory." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/2swc53.
Full textAbstract:
碩士國立暨南國際大學
經濟學系
91
Recent empirical tests of the arbitrage pricing theory (APT) using prespecified observed variables rely on the construction of unexpected components of the variables. However, traditional statistical techniques employed in this area may lead to false inferences regarding the statistical significance estimated risk premium. The study tries to use semiautoregression approach to estimate factors of the APT that has the best advantage of providing a simple asymptotic variance-covariance matrix for the factor estimates, which makes it easy to adjust for measurement errors. The other is that the approach does not require the restrictive assumptions made in the maximum likelihood estimation. At latest is that put little restriction on the time and cross-sectional variation of firm-specific shocks. Therefore, using data of thirty-one companies selectMarket during 1988 to 2002 in Taiwan. As a result, fixed semiautoregressio model can explain the variation of the asset returns well in Taiwan.
37
Shih, Shu-kai, and 施書凱. "Empirical Studies on Arbitrage Pricing Theory（APT）economic factors." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/89056723427716784875.
Full textAbstract:
碩士國立雲林科技大學
企業管理系碩士班
92
It is an important issue that investors how to appraise their risk。In financial， CAPM and APT can describe the relation between the price of expected assets and the index of market。Although APT describes the relation between the price of expected assets and the factors，but do not indicate what is the APT factor。Furthermore，if observe the price of stocks and economic index during studying，can find the increase rate of GDP is adverse to the reward rate of TAIEX，it contravenes common cognition。 The study tries to use APT to explain the relation between economical factors（rate、increasing rate of GDP、inflation、broken risk and exchange rate ） and the reward rate of TAIEX。Before to explain the relation ，must using APT to make sure the factors can include the most information from market，if can，the coefficients are meaning for what？Using data of thirty listed companies during 2000 to 2003 in Taiwan。 As a result： 1、The coefficient of inflation should be positive as the same as Rediscount Rate 。 2、The coefficient of rate should be negative as the same as increasing rate of GDP。 3、The coefficient of exchange rate should be positive which adverse to the rate。
38
Chang, Hsing-Hsiung, and 張信雄. "Empirical Studies on Arbitrage Pricing Theory(APT) Market factors." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/82159351655076060348.
Full textAbstract:
碩士國立雲林科技大學
企業管理系碩士班
93
ABSTRACT According as the Ross(1976) APT(Arbitrage Pricing Theory). This study chose five factors (GDP, inflation, exchange rate, interest rate and default risk) to observe the relevance between the default risk and the Taiwan Weighted Index. The first step is to compute the unexpected of the four economical factors and Taiwan Weighted Index by using auto-regression. Second step is to set the unexpected Taiwan Weighted Index for dependence, and four economical factors for independence to regress. It will affirm if the four factors were the APT factors from the result of linear regression. And to inspect the four economical factors are provided with ample interpretation capacity. Then add default risk score to the independence. Examine if it influence the unexpected Taiwan Weighted Index. Using data of three listed companies from every ten industries. Then compute the return of investment. And regress to the five factors and Taiwan Weighted Index. It can observe the five factors and Taiwan Weighted Index influence to every industry from the linear regression result. The examine result as follows. The interest rate and default risk have the positive effect to the Taiwan Weighted Index. The interest rate has negative effect to the default risk. The higher interest rate the lower default risk score. The default probability rose.
39
Terng, Wahn-Lie, and 滕萬里. "Overseas Mutual Fund Performance Measure by Arbitrage Pricing Theory." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/97429614987284910094.
Full textAbstract:
碩士國立成功大學
國際企業研究所
84
In order to disperse investment risk, overseas mutual fund has become a newinvestment channel for people. When investors choose funds, performance measuresystem for mutual fund could be the reference index. On the other hand, there will be a standard for investment trust corporation to measure fund manager'' sperformance. Since Ross issued Arbitrage Pricing Theory in 1976, the proxy problem ofmarket portfolio has be avoided. He provided a new performance measure method,intend to exclude all the external factors that could affect invetment performance, obtain real selective and timing ability of fund manager. When wemeasure performance by APT, we should discuss factor number and factorabstration. Otherwise, in order to conform ordinary linear regression model,we must test and adjust it. Performance rank during study period by area, Asian area is the best, Japan area is the worst. By mutual corporation, GT Fund and Aetna Fund are the best, two Fidelity Fund is the worst. There is no timing ability in most fund managers. Envidence empirical reveal that performance rank don''t form structual change by using different abstract method or performance index, and the rank of mutual fund is reliable.
40
Lalancette, Simon. "Essays on the arbitrage pricing theory and portfolio performance measurement." Thesis, 1992. http://spectrum.library.concordia.ca/3183/1/NN80967.pdf.
Full text
41
"Unified arbitrage pricing theory revisited: a structural equation modelling approach." 2004. http://library.cuhk.edu.hk/record=b5892246.
Full textAbstract:
Lau Ho-Fung.Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 56-57).
Abstracts in English and Chinese.
Abstract --- p.iii
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Comparison between APT and CAPM --- p.4
Chapter 2.1 --- "CAPM, APT and UAPT" --- p.4
Chapter 2.2 --- Introduction of CAPM --- p.5
Chapter 2.3 --- Introduction of APT --- p.6
Chapter 2.3.1 --- Assumptions and Requirements --- p.6
Chapter 2.3.2 --- Introduction to the estimation of UAPT --- p.6
Chapter 2.3.3 --- Limitations of classical procedures of APT --- p.7
Chapter 3 --- Analysis of UAPT Using Structural Equation Model and Its Im- plementation in LISREL --- p.9
Chapter 3.1 --- Introduction to SEM with LISREL Implementation --- p.9
Chapter 3.1.1 --- The first stage of APT and the LISREL Model --- p.9
Chapter 3.2 --- Estimation of APT by SEM --- p.12
Chapter 3.2.1 --- Combining the two stages in classical method in APT by SEM --- p.12
Chapter 3.2.2 --- Incorporating both observable and unobservable factors in APT (UAPT) by SEM --- p.15
Chapter 3.2.3 --- LISREL Implementation --- p.16
Chapter 4 --- Simulation --- p.19
Chapter 4.1 --- Simulation Procedure --- p.19
Chapter 4.2 --- Results --- p.23
Chapter 5 --- Empirical Study on Hong Kong Stock Market --- p.26
Chapter 5.1 --- Description and source of the data --- p.26
Chapter 5.2 --- The Goodness-of-fit Indexes in LISREL --- p.28
Chapter 5.2.1 --- The normed fit index (NFI) --- p.29
Chapter 5.2.2 --- The non-normed fit index (NNFI) --- p.29
Chapter 5.2.3 --- The comparative fit index (CFI) --- p.29
Chapter 5.3 --- The Structure of our LISREL Model --- p.30
Chapter 5.4 --- The Five Models in the Empirical Analysis --- p.31
Chapter 5.5 --- Results --- p.32
Chapter 5.6 --- Conclusion --- p.33
Chapter 6 --- Conclusion and Discussion --- p.35
Appendix --- p.37
Chapter A --- Example of LISREL Implementation --- p.37
Chapter B --- Simulation Design and Simulation Result --- p.39
Chapter C --- Result of Empirical Study --- p.50
Bibliography --- p.56
42
"Arbitrage pricing theory revisited: structural equation models with stochastic constraints." 2005. http://library.cuhk.edu.hk/record=b5892495.
Full textAbstract:
Choy Man Wah Minnie.Thesis (M.Phil.)--Chinese University of Hong Kong, 2005.
Includes bibliographical references (leaves 83).
Abstracts in English and Chinese.
Abstract --- p.i
Acknowledgement --- p.iii
Chapter 1 --- Introduction --- p.1
Chapter 2 --- The Analysis of APT using SEM --- p.3
Chapter 2.1 --- The APT model --- p.3
Chapter 2.2 --- The structural equation model approach --- p.5
Chapter 3 --- Incorporating stochastic constraints into the SEM analysis of APT --- p.8
Chapter 3.1 --- Introduction --- p.8
Chapter 3.2 --- Bayesian analysis of stochastic constraints --- p.9
Chapter 3.3 --- Three types of structures for T I --- p.10
Chapter 3.3.1 --- Case 1: T = (σ2Imxm --- p.10
Chapter 3.3.2 --- "Case 2: r is a diagonal matrix with diagonal elements σ2j for = 1， …,m" --- p.13
Chapter 3.3.3 --- Case 3: Γ is a general positive definite matrix --- p.14
Chapter 3.4 --- Estimation of parameters using the Mx program --- p.16
Chapter 4 --- Empirical study on Hong Kong stock market --- p.17
Chapter 4.1 --- Information of data --- p.17
Chapter 4.2 --- Source of data --- p.17
Chapter 4.3 --- Lisrel model with exact constraints --- p.19
Chapter 4.3.1 --- The resultant model --- p.20
Chapter 4.4 --- Lisrel model with stochastic constraints --- p.21
Chapter 4.4.1 --- Result --- p.22
Chapter 5 --- Simulation study --- p.35
Chapter 5.1 --- Simulation design --- p.35
Chapter 5.2 --- Simulation procedure --- p.40
Chapter 5.3 --- Simulation result --- p.41
Chapter 5.3.1 --- Sample size --- p.41
Chapter 5.3.2 --- Analysis methods (constraints) --- p.42
Chapter 5.3.3 --- Factor loadings --- p.43
Chapter 5.3.4 --- Factor correlation matrix --- p.43
Chapter 5.3.5 --- Risk premia --- p.43
Chapter 5.3.6 --- Overall result --- p.44
Chapter 6 --- Conclusion and discussion --- p.45
Appendices --- p.46
Chapter A --- Simulation result - Mean --- p.47
Chapter B --- Simulation result - Bias --- p.56
Chapter C --- Simulation result - RMSE --- p.65
Chapter D --- Mx input script --- p.74
Chapter D.l --- Stochastic constraints Case 1 --- p.74
Chapter D.2 --- Stochastic constraints Case 2 --- p.77
Chapter D.3 --- Stochastic constraints Case 3 --- p.80
Bibliography --- p.83
43
Davidson, Sinclair Richard. "The capital asset pricing model and arbitrage pricing theory on the Johannesburg Stock Exchange." Thesis, 2015. http://hdl.handle.net/10539/17034.
Full textAbstract:
This paper investigates the two most well known asset pricing theories within
the context of the Johannesburg Stock Exchange (JSE). The theoretical and
empirical underpinnings of both tlie capital asset pricing model (CAPM) and
the arbitrage pricing theory (APT) are reviewed. Various empirical studies are
contained within the body of the paper.
Ih e layout of the paper follows both a logical and historical development.
Before any study of capital markets can proceed, it is necessary to determine
whether that market is efficient or not. After a literature review this paper
proceeds on the assumption that the JSE is sufficiently efficient for the
ourposes of the study.
Chapter three of the paper contains both a literature review on the CAPM and
empirical work. In this chapter, it is shown that the stable Paretian
distribution hypothesis is not a valid descriptor of share return distributions,
this allows us to proceed with the use of standard statistical methods in later
studies. Later in the chapter it is shown that the number of stocks within a
diversified portfolio should exceed the amount normally advocated in the
literature. Finally, it shown, using the traditional tests that the standard CAPM
is not well specified for the JSE.
Chapter four contains a review of the anomalies within the CAPM ana some of
the attacks that have been made on that theory. Here it is shown that the
CAPM is not well specified on the JSE by making use of a multivariate test. As
regards market anomalies, it is shown that the "Monday effect" is absent from
the JSE. It was previously thought that this anomaly was present in the
pattern of returns. We are able to confirm that there is no "turn of the year
effect".
44
Lee, Sungmoon. "An empirical test of the arbitrage pricing theory the Korean case /." 1989. http://catalog.hathitrust.org/api/volumes/oclc/23750707.html.
Full text
45
Cai, Han, and 蔡漢珉. "An empirical study of arbitrage pricing theory in Taiwan stock market." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/60223635412445472308.
Full text
46
"The interface of the structural equation model and the arbitrage pricing theory." 2004. http://library.cuhk.edu.hk/record=b5892213.
Full textAbstract:
Li Ming-Yin.Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 115-116).
Abstracts in English and Chinese.
Abstract --- p.i
Declaration --- p.iii
Acknowledgment --- p.iv
Chapter 1 --- Introduction --- p.1
Chapter 2 --- The Arbitrage Pricing Theory --- p.3
Chapter 2.1 --- Model and Assumptions --- p.3
Chapter 2.2 --- Derivation of the APT --- p.5
Chapter 2.2.1 --- Factor Risk Premia --- p.7
Chapter 3 --- The Classical Approach --- p.8
Chapter 3.1 --- Factor Analysis --- p.8
Chapter 3.2 --- The Cross-sectional Regression --- p.11
Chapter 3.3 --- Critiques Concerning the 、APT --- p.12
Chapter 4 --- The Structural Equation Model Approach --- p.15
Chapter 4.1 --- Combining the Factor Model and the Pricing Equation --- p.15
Chapter 4.2 --- Framework of the SEM with Mean Structure --- p.16
Chapter 4.3 --- Applying the SEM Approach to the APT --- p.19
Chapter 4.4 --- Merit of the SEM Approach --- p.20
Chapter 5 --- Simulation Study --- p.22
Chapter 5.1 --- Simulation Design --- p.22
Chapter 5.2 --- Insight from the Simulation Study --- p.26
Chapter 5.2.1 --- Factor loading. B --- p.26
Chapter 5.2.2 --- Factor covariance matrix. Φ --- p.26
Chapter 5.2.3 --- "Risk-free rate, rf" --- p.27
Chapter 5.2.4 --- "Risk premium, λ" --- p.28
Chapter 5.2.5 --- "Sample size, T" --- p.29
Chapter 5.2.6 --- Other findings --- p.29
Chapter 6 --- Empirical Study --- p.30
Chapter 6.1 --- Specification of the Data --- p.30
Chapter 6.2 --- Procedures for the SEM Approach --- p.31
Chapter 6.3 --- Procedures for the Classical Approach --- p.35
Chapter 6.4 --- Model Interpretation --- p.36
Chapter 6.5 --- Difficulties Encountered --- p.37
Chapter 7 --- Conclusion and Discussion --- p.39
Chapter A --- Result of the Simulation Study --- p.40
Chapter B --- Result of the Empirical Study --- p.105
Chapter C --- LISREL Program for the Empirical Study (by the SEM Ap- proach) --- p.111
Bibliography --- p.115
47
LI, LI-PING, and 李麗蘋. "Study on the stock return of Taiwan listed companys by arbitrage pricing theory." Thesis, 1989. http://ndltd.ncl.edu.tw/handle/10482138954525419464.
Full text
48
何粵屏. "Performance evaluation with the arbitrage pricing theory: empirical study on the mutual funds in Taiwan." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/07828834320938528225.
Full text
49
Hung, Hsin Yuan, and 洪新原. "A Research of Combining Arbitrage Pricing Theory and Artificial Neural Networks to Support Portfolio Analysis." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/51519594404249513098.
Full text
50
陳安琳. "An empirical study on arbitrage pricing theory in Taiwan securities market: Inter-Battery factor analysis." Thesis, 1990. http://ndltd.ncl.edu.tw/handle/20424167412065010187.
Full text