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Dissertations / Theses on the topic 'Return of stocks'

Author: Grafiati

Published: 28 May 2022

Last updated: 31 July 2025

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1

Zhang, Yuzhao. "Essays on return predictability and volatility estimation." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1666139151&sid=3&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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2

Wong, Po-shing. "Some mixture models for the joint distribution of stock's return and trading volume /." [Hong Kong] : University of Hong Kong, 1991. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13009485.

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3

Zhou, Peilan. "Essays on financial asset return volatility." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1432786781&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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4

Shan, Yaowen School of Banking &amp finance UNSW. "Analysts' forecasts and future stock return volatility: a firm-level analysis for NYSE Firms." Awarded by:University of New South Wales. School of Banking & finance, 2006. http://handle.unsw.edu.au/1959.4/26963.

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This study demonstrates that financial analysts significantly affect short-term stock prices, by examining how non-accounting information particularly contained in analysts' forecasts contributes to the fluctuation of future stock returns. If current non-accounting information of future earnings is more unfavourable or more volatile, we could observe a larger shift in the current stock return. The empirical evidence strongly supports these theoretical predictions that stem from the combination of the accounting version of Campbell-Shiller model (Campbell and Shiller (1988) and Vuolteenaho (200

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5

Shepherd, Shane. "Cash holdings, stock splits, and mergers examining risk and return in the equity markets /." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1779690161&sid=2&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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6

Man, Kai-sze. "Stock market performance in Hong Kong : an empirical investigation /." Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19740773.

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7

Li, Jiandong Chiang Thomas C. "Three essays on modeling stock returns : empirical analysis of the residual distribution, risk-return relation, and stock-bond dynamic correlation /." Philadelphia, Pa. : Drexel University, 2007. http://hdl.handle.net/1860/1784.

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8

Wang, Qi (Carol). "New equity issues, share repurchases, and the predictability of aggregate stock returns an international perspective /." Diss., Columbia, Mo. : University of Missouri-Columbia, 2006. http://hdl.handle.net/10355/5851.

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Thesis (Ph. D.)--University of Missouri-Columbia, 2006.<br>The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on April 29, 2009) Vita. Includes bibliographical references.

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9

Kot, Hung Wan. "Two essays in empirical finance /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?FINA%202004%20KOT.

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10

Voigt, Ivan. "Published share tips : do they out-perform the JSE?" Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/49704.

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Study project (MBA) -- University of Stellenbosch, 2001.<br>University of Stellenbosch Business School<br>ENGLISH ABSTRACT: This study considers share tips published in a respected publication, and determines whether an investment strategy based on the recommendations of its journalists could allow investors to exceed the stock market average. Six journalists were selected, and the recommendations that they made over a 30-month period grouped into “buy” and “do not buy” recommendations. The change in price of the recommended shares was measured after periods of one week, one month, three mont

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11

Shum, Wai Cheong. "An assessment of the conditional risk-return relations : evidence from four Asian emerging stock markets." HKBU Institutional Repository, 2004. http://repository.hkbu.edu.hk/etd_ra/518.

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12

Lin, Gang. "Nesting regime-switching GARCH models and stock market volatility, returns and the business cycle /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9906497.

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13

Lee, John Byong Tek. "Higher idiosyncratic moments and the cross-section of expected stock returns /." Thesis, Connect to this title online; UW restricted, 2008. http://hdl.handle.net/1773/8710.

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14

Zhao, Wenli. "Is earnings surprise the real king?: post-earnings announcement drift on the Hong Kong stock market." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/b40203566.

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15

Watkins, Boyce Dewhite. "Investor Sentiment, Trading Patterns and Return Predictability." The Ohio State University, 2002. http://rave.ohiolink.edu/etdc/view?acc_num=osu1038859045.

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16

Schlinger, Jean M. "The effects of the CEO's stock option portfolio on stock return volatility and firm performance /." Thesis, Connect to this title online; UW restricted, 2001. http://hdl.handle.net/1773/8840.

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17

Rendon, Jairo Andres. "Essays in international finance." Diss., Restricted to subscribing institutions, 2009. http://proquest.umi.com/pqdweb?did=1905639781&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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18

Wong, Po-shing, and 黃寶誠. "Some mixture models for the joint distribution of stock's return and trading volume." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31210065.

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19

Tang, Alex Yee Yuk. "Can stock visibility or neglected-firm effect help explain the outperformance of HK-listed mainland companies?" HKBU Institutional Repository, 2016. https://repository.hkbu.edu.hk/etd_oa/572.

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This study examines factors that affect share prices for Hong Kong-listed mainland companies by examining the outperformance of H-shares and red chips compared with local large-cap stocks on the Hong Kong Stock Exchange in 2013 and 2014. To the best of my knowledge, this is the first empirical study focusing on these three types of stocks. In efficient markets, share prices should reflect the fundamentals of the listed companies, as revealed by the firm's earnings. If the assumption of market efficiency is relaxed, or markets are less efficient due to institutional factors, the correlation wil

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20

Rahman, Md Arifur. "On the information content of idiosyncratic equity return variation." Thesis, View thesis, 2007. http://handle.uws.edu.au:8081/1959.7/20115.

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Research in this thesis deals with some unexplored, or only partially explored, issues relating to the information content of volatility of the idiosyncratic component of asset returns at the firm and industry-level, both in the context of developed and emerging stock markets. Specific issues we have investigated include potential role of idiosyncratic volatility of equity returns for the explanation of future stock market volatility, aggregate economic activity, cross-border information transmission, and fundamental efficiency of stock prices. Chapter 2 of the thesis presents research into th

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21

Man, Kai-sze, and 文啓斯. "Stock market performance in Hong Kong: an empirical investigation." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1996. http://hub.hku.hk/bib/B31954534.

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22

Van, Wyk Tyrone. "The relationships between the price-earnings ratio and selected risk and return and valuation models." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/53156.

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Assignment (MAcc )--University of Stellenbosch, 2002.<br>ENGLISH ABSTRACT: The price-earnings ratio is one of a series of benchmarks developed after the Great Depression, to measure the fair value of shares on a relative basis. It originated from the idea that investors buy the earnings of a company and that the price-earnings ratio provides a consensus indication of the future growth potential of a company. Therefore, the price-earnings ratio is a rating of a company's future profitability. The price-earnings ratio developed, over the years, firstly, into an indicator of the relative

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23

King, Daniel Jonathan. "Modelling stock return volatility dynamics in selected African markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006452.

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Stock return volatility has been shown to occasionally exhibit discrete structural shifts. These shifts are particularly evident in the transition from ‘normal’ to crisis periods, and tend to be more pronounced in developing markets. This study aims to establish whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected African markets for the period 2002-2012. In the univariate po

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24

Rahman, Md Arifur. "On the information content of idiosyncratic equity return variation." View thesis, 2007. http://handle.uws.edu.au:8081/1959.7/20115.

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Thesis (Ph.D) -- University of Western Sydney, 2007.<br>A thesis submitted to the University of Western Sydney, College of Business, School of Economics and Finance, in fulfilment of the requirements for the degree of Doctor of Philosophy. Includes bibliography.

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25

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.<br>Typescript. Bibliography: leaves 83-84. Also available online through University of New Brunswick, UNB Electronic Theses & Dissertations.

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26

Fratus, Brian J. "Rational asset pricing : book-to-market equity as a proxy for risk in utility stocks /." Thesis, This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-11242009-020322/.

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27

Kim, Sangbae 1968. "Essays on asset pricing theory." Monash University, Dept. of Accounting and Finance, 2003. http://arrow.monash.edu.au/hdl/1959.1/5680.

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28

Van, der Merwe Rachelle. "Estimating the negative impact of noise on the returns of cap-weighted portfolios in various segments of the JSE." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/97363.

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Thesis (MBA)--Stellenbosch University, 2015.<br>ENGLISH ABSTRACT:The main aim of this study was to determine the effect of unanticipated information, or noise, on the returns of cap-weighted portfolios in various segments of the JSE for the period 1995 to 2014. Capital Market Theory states that the optimal ex ante portfolio comprises all shares in a market/segment weighted by ex ante market capitalisation. The optimal ex ante portfolio is however rarely the optimal ex post portfolio, because it is underweighted in shares that will unexpectedly become ‘winners’ during the investment period and

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29

Schill, Michael J. "Frothy markets? : an examination of aggregate equity issue clustering /." Thesis, Connect to this title online; UW restricted, 1998. http://hdl.handle.net/1773/8780.

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30

Chen, Yi-Chung, and 陳益莊. "Stock Return on Private Placement of Stocks." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/84917382705702356976.

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碩士<br>國立雲林科技大學<br>財務金融系碩士班<br>99<br>In Taiwan, public firms are allowed to raise fund through private placement since 2002. Private placement does not pre-authorization by the competent authority. The convenient procedure in raising funds has increased numbers of private placements in recent years. This thesis uses a sample of 392 listed companies to analyze market reaction to private placement. The results show positive abnormal returns at the announcement date of private placement. However, cumulative abnormal returns after the announcement turn negative. The results show different reaction

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31

"The high-volume return premium: the case of Hong Kong." 2004. http://library.cuhk.edu.hk/record=b5892208.

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Chang Li.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.<br>Includes bibliographical references (leaves 38-39).<br>Abstracts in English and Chinese.<br>Abstract --- p.ii<br>論文摘要 --- p.iii<br>Acknowledgement --- p.iv<br>Table of Contents --- p.v<br>Chapter Chapter 1 --- Introduction --- p.1<br>Chapter Chapter 2 --- Literature Review and Hypotheses --- p.4<br>Chapter 2.1 --- Literature Review --- p.4<br>Chapter 2.2 --- Main Hypotheses --- p.7<br>Chapter Chapter 3 --- Methodology --- p.12<br>Chapter 3.1 --- Size and volume classifications --- p.12<br>Chapter 3.2 --- Portfol

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32

張簡敏巧. "Return Analysis of Lottery-Type Stocks." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/18524631774559334141.

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碩士<br>逢甲大學<br>財務金融學系碩士班<br>104<br>This study examines the impact of extreme positive returns on future stock performance in the Taiwan stock market. The sample period in this study is from August, 2014 to March, 2016. Using the method proposed by Bali et al. (2011), this study first investigates the influence of extreme positive returns with and without price limits. This study further does a robustness check with considering firm characteristics. The empirical results indicate that, with price limits, extreme positive returns will result in negative returns in the next month. However, without

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33

Zhang, Feng. "Risk and return of Pacific Rim equity markets." 1996. http://catalog.hathitrust.org/api/volumes/oclc/38193663.html.

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34

Ohn, Jonathan Kong. "Dynamics of the return generating process and mean reversion of the US stock prices /." Diss., 1997. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:9814980.

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35

Wu, Kelvin, and 吳明正. "Stock Return Seasonality---Evidence from the Listed Taiwanese Industrial Group Stocks." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/05709230012346412331.

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碩士<br>逢甲大學<br>企業管理學系<br>87<br>Efficient Market Theory is one of the major financial theories in contemporary era. Fama not only established Efficient Market Theory status in financial management domain after he(1970,1976) compiled the literatures about efficient market theory before 1970, he but also divided market efficiency into weak form, semi-strong form and strong form. He had fierce influence on financial management theory in the future. Industry groups focused people''s attention upon after 1971. The reasons are industry groups have more merits than single business. F

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36

Singh, Shishir. "Return, risk and diversification of Canadian stocks." Thesis, 2007. http://spectrum.library.concordia.ca/975290/1/NR30151.pdf.

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This thesis examines three major issues dealing with the risk of Canadian stocks. The first issue is what are the differences in various measures of idiosyncratic volatility (IV) and is this risk priced. To this end, various measures of realized, conditional and idiosyncratic volatility are examined for Canadian stocks for the 1975-2003 period. As for other markets, smaller firms exhibit higher total and idiosyncratic risks than their larger counterparts, and IV accounts for almost three-quarters of total volatility for the six studied samples. Unlike other markets, Canadian IT firms exhibit c

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37

Lin, Chih-Wei, and 林知微. "Return on Land and Stocks in Taiwan." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/pkbg2e.

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碩士<br>國立臺灣大學<br>會計學研究所<br>104<br>This paper uses the tax records of Taiwan to calculate the allocation of total assets, income composition, and rates of return on land and stocks of different wealth groups and genders from 2003 to 2014. We also compare the rate of return on assets between children to see if those that came from wealthier families have greater returns. The summary statistics show that each group has allocated over 50% of their total assets in real estate, and the top 1% has put much more money in the stock market than in banks. Wealthy groups tend to generate income from assets

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38

Teng, Yueh-Ling, and 滕月齡. "Analysis of the factors that affect stock return volatility ofTaiwan shipping stocks." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/10600952948390404021.

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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>100<br>This paper discusses the impact of the shipping stocks in Taiwan stock return volatility, and the major bulk shipping company in Taiwan (U-Ming Marine,Sincere Navigation,First Steamship,Chinese Maritime,Taiwan Navigation), and the major container shipping companies (Evergreen Marine, Yang Ming, Wan Hai)stock price quarter rate of return based on empirical research, analysis, to identify the outside in addition to oil, the main factors that will affect quarter of remuneration of the aforementioned company''s share price through the time series mode

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39

Chen, Yi-Chin, and 陳意晴. "Information uncertainty, volatility connectedness of oil stocks, and stock-bond return relation." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/b2c9ab.

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碩士<br>銘傳大學<br>財務金融學系碩士班<br>107<br>This paper examines whether time-frequency dynamics of volatility connectedness for oil companies has an influence on stock and bond returns. Motivated by Křehlík and Baruník (2017), this paper hypothesizes that short- and long-term volatility connectedness contain different information flows. To measure the dynamic volatility connectedness in the frequency domain, the econometric model suggested by Křehlík and Baruník (2017) is employed. To take the extent of the uncertain information hypothesis proposed by Brown et al. (1988) into considerations, the ordinar

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40

Wen, Ching-Wan, and 溫晴婉. "Dynamic Relations between Order Imbalance, Return and Volatility of Extremely High Return Stocks." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/61505175307897147868.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>95<br>The main purpose of our study is to explore the dynamic relations between order imbalance, stock return and volatility for extremely high return stocks. According to previous literature, order imbalances contain abundant valuable information to future payoff. Under information asymmetry, stock market participants carefully examine order imbalances and attempt to make abnormal profit. We select stocks with intraday return higher than 35% as our sample data. It is interesting to derive the reason why these attractive high return stocks win such remarkable positi

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41

Wen, Ching-Wan. "Dynamic Relations between Order Imbalance, Return and Volatility of Extremely High Return Stocks." 2007. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-0207200719444700.

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42

Liu, Chi-Chuan, and 劉啟全. "The Relationship Between Credit transaction and Stocks return." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/16902305002985736165.

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碩士<br>國立雲林科技大學<br>財務金融系碩士班<br>92<br>Individual investors plan an important role in Taiwan stock market. With over 80% of transaction volume, individual investor is a key factor in affecting domestic stock market, creating high turnover rate and rapid fluctuation. Therefore, conferring the credit transaction behavior of individual investors is really an important topic. The purpose of this research is to use VAR(Vector Autoregression model) to discover the correlation between Margin Trading-Long, Margin Trading-Short, short-to-long ratio, and stock index during year 1991 to 2003. According

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43

Peng, Hui-Chu, and 彭慧珠. "Return-Volume Relations of Insurance Stocks in Taiwan." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/12737397243436190783.

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碩士<br>國立交通大學<br>管理學院經營管理學程<br>103<br>This study focuses on the insurance stocks in Taiwan and tries to find out the relation between return and volume change for the years 2004 to 2014. We use the ADF test, Granger Causality test, and VAR impulse analysis. Considering the insurance stocks could be classified into three parts: life insurance, property insurance, and financial holding, we observe and analyze the results of each part. The conclusion is that higher return leads higher volume change in most of the insurance stocks. This means that return-volume relation of insurance stocks in T

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44

Motepe, Mushaathama. "Liquidity and return in frontier equity markets." Thesis, 2017. http://hdl.handle.net/10539/23471.

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Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017.<br>The extent to which the liquidity has an impact on stock return continues to be an eagerly researched topic. The effect on liquidity on the return of stocks has been a greatly debated subject on the capital market theory. The thesis looks at the impact of liquidity on the stock indices return of eight frontier markets. The paper uses two methods to estimate the regression namely, unbalanced dynamic panel Generalised Method of Moments and Fixed Effect Mo

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45

"Stock return volatility of emerging markets." 1998. http://library.cuhk.edu.hk/record=b5896256.

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by Poon Yeuk Wan, Tsang Fei.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaves 54-55).<br>Acknowledgements --- p.i<br>Abstract --- p.iii<br>Table of Contents --- p.iv<br>List of Tables --- p.vi<br>List of Appendix --- p.vii<br>Chapter Chapter1 --- Introduction --- p.1<br>Chapter 1.1 --- Project Objective --- p.1<br>Chapter 1.2 --- Project Structure --- p.2<br>Chapter 1.3 --- Data --- p.3<br>Chapter Chapter 2 --- Emerging Markets´ؤ-An Overview --- p.5<br>Chapter 2.1 --- Latin America --- p.5<br>Argentina --- p.5<br>Brazil ---

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46

Masinga, Zamani Calvin. "Modeling and forecasting stock return volatility in the JSE Securities Exchange." Thesis, 2016. http://hdl.handle.net/10539/21053.

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Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016<br>Modeling and forecasting volatility is one of the crucial functions in various fields of financial engineering, especially in the quantitative risk management departments of banks and insurance companies. Forecasting volatility is a task of any analyst in the space of portfolio management, risk management and option pricing. In this study we examined different GARCH models in Johannesburg Stock Exchange (JSE) using univariate GARCH models (GARCH (1, 1),

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47

Lee, Chiao-Yun, and 李喬芸. "Crude Oil Price and Index Return of Solar Stocks." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/87841556593335834046.

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碩士<br>國立中正大學<br>財務金融研究所<br>99<br>This study discusses the impact of crude oil prices in West Texas (WTI), North Sea Brent Crude, and Dubai on the stock index returns of solar energy. The information contained within the data applies to the period of January 1, 2000 to June 30, 2010. The study period is divided into different points in time according to the floating pricing mechanism; these periods are from January 4, 2000 to September 30, 2007, and October 1, 2007 to June 30, 2010. For data measurement and results, an empirical analysis method including unit root tests, cointegration tests, VE

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48

Chen, Li-lung, and 陳禮隆. "The Return of Stocks during IPO Period: Evidence of Emerging Stock Market in Taiwan." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/82414783489754126140.

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碩士<br>國立中央大學<br>財務金融學系碩士在職專班<br>99<br>This thesis compares the change of price of initial public offerings (IPOs) stock by 5 event days. The 5 event days include: (1) the apply day to TSEC or OTC, (2) the day the application approved by Examination Committee of TSEC or OTC, (3) Taiwan Stock Exchange or OTC board of directors meeting day for listing approval, (4) the contract execution day of Securities and Futures Bureau listing approval, and (5) the listed day in TSEC or OTC. In this research, we found the result that, except the event day (3) Taiwan Stock Exchange or OTC board of directors m

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49

PIEN, WOEI, and 卞瑋. "The correlation between short selling and stock return among lottery-like stocks in Taiwan stock market." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/279qhm.

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碩士<br>銘傳大學<br>財務金融學系碩士班<br>107<br>Short selling is a trading activity that investors have a pessimistic view of the future stock market. In the past, the literature pointed out that when the stock price exceeds the basic value, the investor will conduct short selling to carry out arbitrage and return the stock price to fundamentals. However, some scholars have found that stocks don’t immediately return to the fundamentals when short-selling trades are made. High relative short interest stocks have overvaluation and low relative short interest stocks have undervaluation. Subsequent scholars hav

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50

Steinberger, Lane. "Structural and Return Characteristics Of Mid-Capitalization Firms: A Study Into The Myth Around The Superior Returns Of Mid-Size Stocks." 2016. http://scholarworks.gsu.edu/bus_admin_diss/66.

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Over the years there has been significant research around the misspecification of the Capital Asset Pricing Model (CAPM), which challenges the linear relationship between beta and market returns. One of the biggest challenges relates to the “small-firm effect,” which states there are two classifications of stocks (large and small) and that the companies with small-market capitalizations have higher returns. However, the definition of a small-cap is vague and there has been little focus in academia on the stocks in the middle-market capitalization deciles. Despite this, institutional and ret

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