To see the other types of publications on this topic, follow the link: Standard and Poor’s.
Dissertations / Theses on the topic 'Standard and Poor’s'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Standard and Poor’s.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Ahlqvist, Niklas, and Peter Magnusson. "Värdet av företagsrating." Thesis, Linköping University, Department of Management and Economics, 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-2497.
Full textAbstract:
Background: Increasingly, companies choose to finance their business with corporate bonds which has resulted in an increased demand on credit ratings. As such the rating agencies have a very important role in the financial markets. Examining the value of a credit-rating can be very interesting for both issuer and investor.
Purpose: The purpose of the study is to identify and define the value of rating.
Execution: The study is built upon nine interviews with rated and non-rated firms and investors.
Result: The most important value of rating is the greater access to the corporate- and CP market. This infers that additional capital can be issued, in comparison to that available from bank loans, however, not necessarily at a lower rate. Consequently, the rate is not the driving factor concerning the choice of buying a rating. Rating has great effect on the pricing of bonds and CP’s, which is a result of the reliance investors have on the rating agencies. Rating affects the investment decision directly through the investment mandates, and indirectly through the effect on the individual investment decision.
2
Hörstedt, Maria, and Johanna Linjamaa. "Credit Risk Evaluation of Swedish SMEs : A Banking Sector Perspective." Thesis, Umeå universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-107969.
Full textAbstract:
As a result from the latest financial crisis, the banking industry has undergone major modifications during the last years in order to limit banks’ risks. A vast majority of existing literature tends to focus upon credit risk evaluation methods and techniques mainly concerning quantitative measures and large companies. Thus, the lack of research regarding credit risk evaluation of SMEs is profound, especially considering Sweden. With the dominant market share of SMEs compared to large corporations the authors found it interesting to further explore this area of the credit assessment process as SMEs largely impact the Swedish business sector. The purpose of the thesis at hand is to explore and provide empirical evidence of which criteria banks assess when evaluating credit risk of SMEs in Sweden. In regards to the purpose the authors have chosen to adapt the perspective of the banking industry throughout the thesis. In order to bridge the research gap the following question was established, “How do banks evaluate credit risk of SMEs in Sweden?” In light of the lack of research regarding qualitative assessment of credit risk, the authors found it interesting in terms of developing new theoretical and practical knowledge to establish the following sub-question, “What are the qualitative criteria used by banks when evaluating credit risk of SMEs in Sweden?” Further, as existing literature mainly focus on large companies the authors found it interesting to compare the findings regarding credit risk evaluation on SMEs to the evaluation process of one of the largest credit rating agencies. As a result the second sub-question was established as following, “Are these criteria similar to the criteria used by Standard & Poor’s in their rating model?” These questions were conducted in order to provide the authors and the reader with further insight regarding the criteria used by banks in their evaluation process. An inductive approach was adopted, in line with the epistemological stance of interpretivism and the ontological belief of constructivism. With this in mind, the authors of the thesis conducted a qualitative exploratory research employing narrative interviews in order to collect the data needed, as of the lack of existing research to address the research questions. The results of the research were that the criteria used in the assessment of credit risk tend to alter from advisor to advisor. The most commonly used criteria by the advisors are budget, business plan, customer’s customers, internal and external discipline, financial statements, industry specifics, historical accounts, key individuals, relationship, repayment capacity and the owner/individual. It was discovered that the qualitative criterion of assessing the individual majorly impacts the credit risk evaluation. However, what matters in the end is the overall impression of both qualitative and quantitative measures of the firm. In regards to sub-question one, the authors established a list of qualitative criteria used by advisors in their credit risk evaluation of SMEs, the most widely used criteria among the advisors are the owner/individual, key individuals, internal discipline, industry specifics, external discipline, customer’s customers, relationship and business plan. In comparison with the criteria used by Standard and Poor’s and the banks, it was evident that the criteria used in the evaluation differed a lot between the two.
3
Blair, Bevan John. "Modelling Standard and Poors 100 index volatility." Thesis, Lancaster University, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.340564.
Full text
4
Bradley, Wendy. "Three essays on patent pools and technical standards." Thesis, Université Paris-Saclay (ComUE), 2017. http://www.theses.fr/2017SACLH009.
Full textAbstract:
Cette thèse s’intéresse à l'impact des « patent pools » sur l’innovation cumulative. Nous analysons huit patents pools modernes développés dans les secteurs des technologies de l’information et de la communication. Un patent pool est un regroupement de propriétaires de brevets qui permet la négociation d’une seule licence pour plusieurs brevets essentiels à l’implémentation des normes techniques. Les patent pools font l’objet de nombreux travaux théoriques et empiriques. Ces travaux notent le risque collusif et monopolistique existant au sein de ces institutions. Cependant, la majorité des travaux se concentre principalement sur les facteurs qui motivent une entreprise à se joindre à un patent pool et non pas l’évolution des normes techniques au fil du tempsThis thesis investigates the impact of patent pools for technical standards on the direction of cumulative innovation. It examines eight modern patents pools in the information and communication technology sector and measures the effect of pool formation and pool extension on rates of follow-on innovation in the direction of pool technology. Patent pools are the subject of much theoretical and empirical work. The aim of this thesis is to fill a gap in current literature that focuses on the motivations of firms to join a patent pool. This thesis contributes to the literature by extending analyses to the introduction of patents to patent pools over time. It consists of three empirical studies. Patent pools as institutions possess mechanisms that encourage and discourage innovation. The formation of a patent pool and its extension as a result of the addition of patents to the patent pool after its launch may alter the incentives to innovate of outsider firms. This, in turn, may have important impacts on competition and society. Finally, this thesis also analyzes the evolution of an industry that is particularly linked to technology in patents pools—the film industry. Digitization has transformed movie distribution and technological disruption has altered the supply and demand dimensions of this market. The main findings of these three studies are presented at the beginning of each chapter
5
Kappou, Konstantina. "Gambling on the Standard & Poor's gold seal : a detailed examination of the index effect." Thesis, University of Reading, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.428310.
Full text
6
Hudson, William C. (William Carl). "Predictability of Credit Watch Placements and the Distribution of Wealth Effects Across the Trigger Event, Placement and Removal Dates." Thesis, University of North Texas, 1996. https://digital.library.unt.edu/ark:/67531/metadc278062/.
Full textAbstract:
Standard and Poor's began publication of Credit Watch in November of 1981 as an early warning list for firms whose debt is under review for a possible rating change. This dissertation is composed of three essays which address various aspects of Credit Watch and the impact on shareholder wealth.
The first essay uses a discriminant analysis model to classify the Credit Watch status of firms which engaged in mergers and acquisitions activity in 1991. The model correctly classifies 69.85% of the in-sample firms and 65.83% of the out of sample firms.
The second essay examines whether the stock market reacts more strongly to trigger events which cause Credit Watch placements than to the actual placement. Significantly larger negative abnormal return are found around the trigger event than the placement. No evidence is found for the differential reaction evolving over time.
The third essay examines firm specific and economy-wide factors which may be related to the strength of the abnormal stock return around the Credit Watch removal date. The removal return is found to be positively related to the number of trading days a firm remains on Credit Watch, negatively related to the number of updates regarding the firm released by Standard and Poor's while on the list, and positively related to the cumulative abnormal return measured between the placement and removal. This evidence suggests that the number of trading days a firm remains on Credit Watch is a proxy for information leakage to the market. The negative relationship between the removal return and the number of updates implies that the market reacts to a string of negative news of which the removal announcement is the final announcement. Finally, the positive relationship with the cumulative abnormal return between placement and removal suggests that much of the information content of the removal has been impounded into the stock price at the time of the removal.
7
Smith, Clint W. "The Impact of International Financial Reporting Standards on Key Financial Indicators of Canadian Companies." ScholarWorks, 2016. https://scholarworks.waldenu.edu/dissertations/2582.
Full textAbstract:
Companies throughout the world use different methods for reporting their financial information to capital market investors and regulators. These different methods have caused financial reporting of statements to become less transparent, has increased adjustment errors and forecasting errors, and has reduced investor confidence. As a result, the International Accounting Standards Board created International Financial Reporting Standards (IFRS) to establish a global standard. Currently, 140 jurisdictions worldwide have implemented IFRS. The purpose of this study was to examine the effectiveness of IFRS on 248 Canadian companies and to analyze whether the 2011 implementation of IFRS affected corporate stock prices, key financial measurements of companies, and industry sectors. Arrow's social choice theory and general equilibrium analysis provided the theoretical framework for this quantitative investigation. Two 1-year time periods, 2009-2010 (the year before IFRS was implemented) and 2011-2012 (the year after IFRS was implemented), were analyzed using secondary data. A multiple regression model was used to examine the impact of IFRS implementation on price-to-earnings ratio, price-to-sales ratio, and price-to-cash flow ratio of the 248 Canadian companies. Findings indicate that IFRS led to an overall improvement in financial reporting by Canadian companies, which suggests IFRS's effectiveness. Mandating IFRS worldwide may facilitate comparisons of corporate financial information, reduce costs, reduce investor fatigue, improve adjustment errors and forecasting errors, and provide capital market participants the confidence to make valued investment decisions, leading to positive social change.
8
Bourová, Kateřina. "Patentové pooly." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-15739.
Full textAbstract:
Patent pools are agreements between patent holders to license their rights to central entity and then to sale these licenses to third parties. In the Czech Republic there is no such cooperation between firms. In this thesis I would like to describe this phenomenon to Czech public and firms. The othel goal is to find out if this cooperation is efficient.
9
Lee, Sang H. "Index inclusion effect growth vs. value /." Diss., Connect to the thesis, 2008. http://hdl.handle.net/10066/1451.
Full text
10
Baron, Justus. "Innovation et coordination dans les standards NTIC : le rôle des brevets essentiels." Phd thesis, Ecole Nationale Supérieure des Mines de Paris, 2012. http://pastel.archives-ouvertes.fr/pastel-00840824.
Full textAbstract:
Cette thèse étudie le rôle des brevets essentiels pour la coordination de l'innovation dans les standards des Nouvelles Technologies d'Information et de Communication (NTIC). Les firmes actives dans la standardisation ont réagi au défi de la marée de brevets essentiels en créant des mécanismes innovateurs de coordination, et notamment des consortia informels de standardisation et des pools de brevets. La thèse met en lumière le mécanisme d'appropriation original que représentent les brevets essentiels. Ce mécanisme peut cependant générer des incitations à recourir à des stratégies opportunistes. Les pools de brevets peuvent exacerber ces incitations, mais induisent également une augmentation du nombre de brevets déposés autour des standards technologiques. Les consortia informels ont un effet positif sur le nombre de brevets liés aux standards si les incitations à innover sont insuffisantes. L'effet des consortia est plus faible, voire négatif, si les incitations à innover sont excessives. Les brevets essentiels influencent le progrès technologique des standards, notamment en donnant lieu à un progrès plus continu, consistant dans de nombreuses mises à jour et évitant les remplacements de standards.
11
Kausar, Farah. "Maternal health care utilisation among the urban poor of Maharashtra, India." Thesis, University of Southampton, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.340665.
Full text
12
Bunger, R. C. (Robert Charles). "Derivation of Probability Density Functions for the Relative Differences in the Standard and Poor's 100 Stock Index Over Various Intervals of Time." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc330882/.
Full textAbstract:
In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means.
The density functions allow stock market participants trading index options and futures contracts on the S & P 100 Stock Index to determine probabilities of success or failure of trades involving price movements of certain magnitudes in given lengths of time.
13
Klein, Jason P. Lugg Elizabeth T. Wiggall Richard L. "Rich standards, poor schools the new case for adequately funding public education /." Normal, Ill. Illinois State University, 2001. http://wwwlib.umi.com/cr/ilstu/fullcit?p3006620.
Full textAbstract:
Thesis (Ph. D.)--Illinois State University, 2001.Title from title page screen, viewed April 25, 2006. Dissertation Committee: Elizabeth T. Lugg, Richard L. Wiggal (co-chairs), Amee D. Adkins, Albert T. Azinger, William C. Rau. Includes bibliographical references (leaves 346-383) and abstract. Also available in print.
14
Kiselev, Egor. "Contrarian investment strategies in the US equity market on the base of constituents of Standard and Poor's 500 Index in the years 1990-2012." Thesis, Loughborough University, 2018. https://dspace.lboro.ac.uk/2134/33059.
Full textAbstract:
The existence of contrarian profits is a well-documented finding across various equity markets around the world. A key question, which is the focus of this research, is - why do such profits exist? Potential answers are examined in a large number of research papers, and fall into two categories: rational (i.e. there is a difference in risks characteristics of glamour and value stocks) and behavioural (i.e. the market regularly overshoots, leading to a mis-valuation of glamour and value stocks followed by a correction). However, a consensus has not been achieved so far. This research contributes to this discussion, based on the S&P 500 constituents through 1990-2013 with the use of strategies based on past returns, fundamental ratios and valuation models. I assess the following issues: whether the use of contrarian strategies can be considered as justified by the rational behaviour of a portfolio manager, whose clients may have a cheaper option to invest in a passive strategy, like an index fund or exchange traded fund (chapter 3); whether contrarian profits are mainly the product of (i) fair value revisions in response to new information or (ii) corrections to prior mis-pricing (chapter 4); whether contrarian profits are mainly the product of expected returns as imputed from the Fama and French three factor model (chapter 5). On the first point I find that an equally weighted portfolio of all constituents of S&P 500 over a particular testing period was superior to any of the tested contrarian strategies from risk/return perspective (Chapter 3). On the second point, I find that fair value revisions to new information is less important in explaining contrarian profits than corrections to prior mis-pricing when the market rebounded in 2009 (the only year where these two influences explained a significant part of the contrarian profits for most of the contrarian strategies under review) from the 2008 financial crisis (Chapter 4). On the third point, I find that rational pricing factors (both the Fama-French three factor model, and fair value revisions to new information) are more important in explaining contrarian profits than corrections to prior mis-pricing, which is mainly due to the significance of the Fama-French three factor model (Chapter 5).
15
Tomlin, Sharynn Musick. "Total Quality Environmental Management: A Study of the Relationship between Quality Practices and Environmental Performance of the Standard and Poor 500 Companies." Thesis, University of North Texas, 1996. https://digital.library.unt.edu/ark:/67531/metadc278106/.
Full text
16
Dutt, Hans R. "Excessive margin requirements and intermarket derivative exchange competition a study of the effect of risk management on market microstructure /." Fairfax, VA : George Mason University, 2008. http://hdl.handle.net/1920/3182.
Full textAbstract:
Thesis (Ph.D.)--George Mason University, 2008.Vita: p. 75. Thesis director: Willem Thorbeck. Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy in Economics. Title from PDF t.p. (viewed Aug. 27, 2008). Includes bibliographical references (p. 70-74). Also issued in print.
17
Millette, Alexandre. "Dette publique, notation financière et nationalisme: le cas de la province de Québec de 1970 à 2012." Mémoire, Université de Sherbrooke, 2014. http://hdl.handle.net/11143/6059.
Full textAbstract:
Ce mémoire traite des diverses agences de notation et de l'importance qu'elles accordent aux fluctuations du nationalisme dans l'émission des cotes de crédit du Québec de 1970 à 2012. Plus spécifiquement, il a pour objectif de traiter de la situation des finances publiques du Québec, de démystifier le rôle de la notation financière et de déterminer si le nationalisme québécois est une variable spécifique prépondérante dans le processus d'évaluation des agences de notation. L'analyse statistique occupe une portion importante de la démonstration. Ce faisant, il est possible d'établir des modèles, voire des préférences méthodologiques, pour chacune des agences de notation à l'étude dans ce document. Les résultats de cette recherche démontrent que le nationalisme québécois n'est pas une variable spécifique prépondérante dans l'évaluation des agences de notation à l'endroit du Québec mais que ce sont plutôt les facteurs institutionnels et fiscaux qui vont primer lors de l'émission des cotes de crédit.
18
Lofton, Gabriel E. "Egalitarian Cries From the Schoolhouses: NCLB Raising Standards Or Barriers for America’s Poor and Minority Students?" Miami University / OhioLINK, 2007. http://rave.ohiolink.edu/etdc/view?acc_num=miami1175880100.
Full text
19
Lövnord, Alexander, and Victor Berglund. "Entreprenörers levnadsstandard: en fråga om personlighet : Kvantitativ undersökning av den materiella levnadsstandarden hos egenföretagare i Sverige." Thesis, Umeå universitet, Sociologiska institutionen, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-82904.
Full textAbstract:
Earlier quantitative entrepreneurial studies with a focus on poverty rate has centred their arguments and analyses entirely on income differences which has resulted in a high poverty rate among self-employed. Their results shows that variables such as age, gender, hours of labour and structure of the household significantly affect the poverty rate among self-employed. In this study we aim the focus on material living standards instead of income differences, thus using a more representative approach while studying entrepreneurial poverty. The purpose of the study was to examine how personality traits (big five) affect the material living standards among the self-employed in Sweden, using a group of employed as a control group. Variables earlier known to affect the poverty risk among self-employed where used as control variables together with education and household income. With this new aspect on entrepreneurial research, we found that four out of five personality traits affect the material living standard among self-employed. Two out of the five personality traits, openness and extraversion, where found uniquely on self-employed. Among the control variables only gender and household income seemed to affect the material living standard, thus excluding the effect of age, hours of labour, education and household structure. This indicates that personality traits should be considered using while studying poverty among the self-employed.
20
Pohlmann, Tim Verfasser], and Knut [Akademischer Betreuer] [Blind. "Six essays on patenting and coordination in ICT standardization: Empirical analyses of essential patents, patent pools, and standards consortia / Tim Pohlmann. Betreuer: Knut Blind." Berlin : Universitätsbibliothek der Technischen Universität Berlin, 2012. http://d-nb.info/1026768594/34.
Full text
21
Alexandre, Diogo Gonçalves. "Impacto de diferentes setores de atividade no processo de atribuição de rating." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11262.
Full textAbstract:
Mestrado em FinançasO presente estudo tem por objetivo determinar qual o impacto que diferentes setores de atividade apresentam num processo de atribuição de rating, nomeadamente de que forma o risco do setor e as suas características poderão afetar o rating das empresas dessa indústria. Os setores alvo deste estudo são o setor da metalurgia e siderurgia, o setor da saúde (subsetor dos hospitais privados) e o setor de retalho alimentar e especializado. Os resultados dos testes efetuados neste estudo permitiram concluir que os setores da metalurgia e da saúde apresentam um impacto maioritariamente negativo no processo de atribuição de rating, enquanto que o setor do retalho apresenta um impacto relativamente positivo sobre o mesmo processo.
This study aims to determine what impact different sectors of activity present in the rating process, including how the sector risk and characteristics may affect or qualify the ratings of firms in that industry. The sectors targeted in this study are the metals sector, the health sector (subsector of private hospitals) and food and specialized retail sector. The test results of this study showed that the metals and health sectors have mostly a negative impact in the rating process, while the retail sector has a relatively positive impact on it.
22
Miyake, Mauro. "Análise dos ratings de classificação de risco soberano." reponame:Repositório Institucional do FGV, 2001. http://hdl.handle.net/10438/5691.
Full textAbstract:
Made available in DSpace on 2010-04-20T20:20:24Z (GMT). No. of bitstreams: 0
Previous issue date: 2001-07-13T00:00:00ZAnálise dos critérios determinantes dos ratings de risco soberano emitidos pela agência Standard & Poor's, evidenciando variáveis de cunho econômico e político. Realização de testes empíricos de regressão linear e análise dos coeficientes determinantes do risco soberano em moeda estrangeira.
23
Khan, Mohammad Arifujjaman, and Mohammed Anisur Rahaman. "Impact of Microfinance on Living Standards, Empowerment and Poverty Alleviation of Poor People: A Case Study on Microfinance in the Chittagong District of Bangladesh." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1497.
Full textAbstract:
Microfinance is not a new development. Its origin can be traced back to 1976, when Muhammad Yunus set up the Grameen Bank, as experiment, on the outskirts of Chittagong University campus in the village of Jobra, Bangladesh. Since then several microfinance institutions came up and have succeeded in reaching the poorest of the poor, and have devised new ground-breaking strategies with time for the fulfillment of their vision. These included the provision of collateral free loans to poor people, especially in rural areas, at full-cost interest rates that are repayable in frequent installments. Borrowers are organized into groups and peer pressure among them, which reduced the risk of default. Microfinance is now being considered as one of the most important and an effective mechanism for poverty alleviation. These are also effective mechanisms through which to disseminate precious information on ways to improve the health, education, legal rights, sanitation and other living standards, which are of relevant concerns for the poor. Above all, many micro-credit programs have targeted one of the most vulnerable groups in society – women, who live in households with little or almost no assets. By providing opportunities for self-employment, many studies have concluded that these programs have significantly improved women's security, autonomy, self-confidence and status within the household.
Our thesis is about microfinance and to investigate the impact of microfinance on the poor people of the society with the main focus on Bangladesh. We mainly concise our thesis through client’s (the poor people, who borrowed loan from microfinance institutions) perspective and build up our research based on it. Therefore, the objective of this study is to show how microfinance works, by using group lending methodology for reducing poverty and how it affects the living standard (income, saving etc.) of the poor people in Bangladesh. So on the light of our research objective; we have developed our research question, which is:
What is the impact of Microfinance on living standards, Empowerment and poverty alleviation of the poor people in Bangladesh?
We consider ourselves between the Positivist and Interpretivist researchers. Because, our main goal is not only to find out the mechanism of microfinance in Bangladesh, but also to find out that how this mechanism helps poor people to improve their living standards as: income, savings etc. By doing so, we believe that it will give us an upper hand, specially when it comes to finding answers to the questions raised in the problem statement.
One of the most important aspects of microfinance is savings mobilization, which is discussed in the theory part. Besides these, microfinance methodology, solidarity, human development and liquidity are also discussed in the theoretical framework.
Several microfinance institutions are working in Bangladesh for the last few decades. Grameen Bank, BRAC, ASA and PROSHIKA are some of the prominent MFIs in Bangladesh. These institutions are working tremendously to the empowerment, poverty reduction and improvement of living standards for the poor people in Bangladesh. Now, they are not only working in Bangladesh but also providing help and support, and are the source of motivation to other MFIs around the world.
We have chosen our sample based on the random sampling technique, from one district (Chittagong) in Bangladesh and we interviewed the people who are already involved in microfinance activities. Therefore, the accuracy of the analysis heavily relies on the data provided by the people, we interviewed.
From the analysis of data, we found that microfinance has the positive impact on the standard of living of the poor people and on their life style. It has not only helped the poor people to come over the poverty line, but has also helped them to empower themselves. There is an argument that the interest rate of MFIs is high, but we traced that most of the respondents of our interview, did not agree on this issue and found it to be reasonable. Inspite of the debate about higher interest rate, MFIs are contributing not only in alleviating the poverty and improving the living standards of the poor people, but also in offering extensive human development programs in Bangladesh.
24
Wu, Chung-Hsi, and 吳川熺. "The Application of Time Series model for Standard and poor’s 500 Index after Financial Tsunami." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/15951205407612046587.
Full textAbstract:
碩士國立臺北大學
統計學系
102
This paper examines the data of 313 sequential weekly samples taking place between 2008/1/1 and 2013/12/31. The data include six variables: S&P 500 index, USD index, Gold index, Oil index, Stoxx Europe 600, and CRB index. This research has been conducted in two phrases. The first phase is to forecast the trend of each variable by adopting ARIMA and GARCH time series models after getting the First Order Difference under Unit Root Test. The model selection result using the minimum error of MAPE has shown that ARIMA(2,1,2)-GARCH(1,1)is the best forecast model for all six variables. The second phase is to study the correlations among S&P 500 index, USD index, Oil index, Gold index, Stoxx Europe 600 and CRB index. Since we have the consistency among six best models, through Unit Root Test, we identify the correlations among underlying models by getting first order difference as stationary then examining the Cointegration test, VECM, Granger causality test, Impulse response Analytics and Forecast Error Variance Decomposition. It is discovered that the variable model combinations have long-term and stable relationships. Granger causality test result shows one-way causality of six pairs; ( gold to S&P 500 index), (gold to Stoxx Europe 600), (gold to CRB index), (Stoxx Europe 600 to oil),( Stoxx Europe 600 to CRB index),and (S&P 500 index to CRB index). Two-way causality is also detected for three pairs (S&P 500 index and Stoxx Europe 600) , (gold and oil), and (CRB index and oil). Additionally, no causality is found between USD index and other five variables. For impulse response analyses, it is discovered that the impact of exogenous factors to response variable stabilizes in 14th period regardless of the long -term, short-term, positive or negative impacts. Forecast Error Variance Decomposition result shows that all variables are with the highest impact in the first-period time and diminish afterwards. In the 16th period, over 50% self-explanatory effect can be found for S&P 500 index, USD index, gold, and oil. For the other two variables(Stoxx Europe 600 and CRB index react), the self-explanatory effect is less than 50% and they are more prone to changes of other instruments or market trends. In summary,, after financial crisis, all models run with different results from those for normal circumstances due to excessive supply of liquid assets.
25
Wang, Po-Yen, and 王博彥. "Evaluating Top Information Technology Firms in Standard and Poor’s 500 index by Using a Multiple Objective Programming Based Data Envelopment Analysis." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/34828060005794358123.
Full textAbstract:
碩士國立臺灣師範大學
工業教育學系
100
Information technology (IT) is defined as the obtainment, procedure, storage and propagation of sounding, drawing, and textual information by combining microelectronics-based computing and telecommunications. Nowadays, IT is starting to spread further from the conventional personal computer and network technologies to integrations of other fields of technology such as the use of cell phones, televisions, automobiles, etc. In other words, IT has penetrated in daily life of human beings and become one part of the whole society. The importance of IT has become momentous. Therefore, to understand the performance of efficiency and productivity of the IT firms is critical for managers as well as for personal investors. Until now, there are very few researches tried to analyze final performance of the IT firms. As a result, this research intends to use traditional Data Envelopment Analysis (DEA) CCR or BCC models to evaluate the performance of IT firms. The Decision Making Units (DMUs) on this research are chosen from IT firms in S&;P 500. However, the traditional DEA models are not fair models from the aspect of improper weight derivations. Thus, this paper intends to analyze the efficiency of IT firms in S&;P 500 efficiencies by using multiple objective programming (MOP) based Data Envelopment Analysis (DEA). In a MOP based DEA approach, DMUs will be evaluated based on an equal standard and the results will be evaluated more fairly. The world’s leading IT firms in S&;P 500 will be evaluated based on publicly available financial reports of the fiscal year. In addition, the newly developed MOP can improve the traditional DEA’s unfair weights problems and benchmark the efficiency of IT firms in S&;P 500 correctly. In the future, performance evaluation results can be served as foundations for investment strategies definition.
26
SHEN, HO-HSUAN, and 沈鶴軒. "A Study of the Transmission Effect of the New York Standard & Poor’s 500 Index on the NIE-4’ Stock Return after the Financial Crisis." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/ytq62y.
Full textAbstract:
碩士嶺東科技大學
高階主管企管碩士在職專班
105
This article examines the impact of the S & P 500 stock index on the NIE-4 stock market. After study of the 2008 financial crisis, the S & P 500 index analyzes the market risk-return rate of NIE-4 (Taiwan, Hong Kong, Singapore and South Korea)’s stock market for decision-making reference. The data was collected from January 01, 2010 to December 02, 2016. The study adopted the GARCH Model to investigate the impact of the US S&P Index volatility on the Asian Stock Markets and the volatility of each country. The empirical results indicated the eve return of US S&P Index had significant positive influence on the NIE-4’ Stock Market: Hong Kong (0.476), South Korea (0.386), Taiwan (0.384) and Singapore (0.292) respectively.
27
Baldé, Amadú. "Econometria Vs. Machine Learning: Big Data em Finanças." Master's thesis, 2020. http://hdl.handle.net/10451/47669.
Full textAbstract:
Tese de mestrado, Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências, 2020A previsão dos preços dos índices bolsistas é uma das mais desafiadoras, complexas e fascinantes tarefas, uma vez que os conjuntos de dados onde estes se inserem, chamadas séries temporais, apresentam várias irregularidades (ruído, não-estacionariedade, não linearidades, entre outras). Vários têm sidos os estudos feitos ao longo dos anos com vista a encontrar técnicas mais eficazes, que sejam capazes de contornar essas irregularidades. Com o crescimento exponencial dos dados e a não homogeneidade dos mesmos, torna-se cada vez mais difícil a verificação dos pressupostos nos modelos econométricos. Tendo em conta os presentes desafios, a presente dissertação terá como principal objetivo comparar os métodos clássicos de econometria com os novos métodos de machine learning, para tal ir-se-á recorrer aos dados do índice bolsista S&P 500, no qual pretende-se prever no final os preços de fecho da série. Numa primeira fase, com vista a uma melhor compreensão das temáticas que serão abordadas faz-se uma contextualização sustentada na literatura científica e num conjunto de conceitos considerados essenciais para a compreensão dos temas abordados. Numa segunda fase, prossegue-se com o estudo empírico, onde ir-se-á analisar as estatísticas descritivas, os gráficos, os pressupostos dos modelos e depois escolhidos os potenciais modelos. Este capítulo será divido em dois subcapítulos. No primeiro subcapítulo o estudo será feito sob a alçada do programa estatístico Eviews onde serão abordadas as técnicas clássicas da econometria. No segundo subcapítulo o estudo será feito no software Python, considerado atualmente um dos softwares mais populares no mundo científico, académico e empresarial. No Eviews, uma vez obtida a estacionariedade da série procede-se com a modelização através da metodologia de Box-Jenkins, mais especificamente o modelo Autorregressivo Integrado de Médias Móveis – ARIMA. Uma vez escolhido o modelo, procede-se com a previsão dos preços de fecho da série. Por outro lado, no Python, serão abordadas vertentes mais inovadoras, sendo uma delas a aplicação das feature engineering que resultarão em trinta e uma (31) novas variáveis. Ao contrário dos modelos clássicos, os modelos obtidos pelos algoritmos de machine learning não necessitam da verificação dos pressupostos habituais econométricos, uma vez que a máquina aprende de forma “autónoma” a contornar certas irregularidades. Os algoritmos utilizados serão o de Regressão Linear/Linear Regression (LR), Suport Vector Regression (SVR) e Random Forest (RF). Por fim, é feita uma interpretação critica dos resultados obtidos ao longo de todo o estudo e comparam-se os resultados, atingindo assim o objetivo inicialmente delineado para a dissertação.
Forecasting the prices of stock market indexes is one of the most challenging, complex and fascinating tasks, since the data sets where they are inserted, called time series, exhibit various irregularities (noise, non-stationarity, non-linearity, among others). Several studies have been carried out over the years with a view to finding more effective techniques that are capable to work around these irregularities. With the exponential growth of the data and the heterogeneity, it becomes more and more difficult to verify the assumptions in the econometric models. Taking into account the present challenges, this dissertation will have as main objective to compare the classic econometrics methods with the new machine learning algorithms, and for this we will use the data of the S&P 500 stock index, from which it is intended to predict at the end the closing prices of the series. In a first phase, with a view to a better understanding of the themes that will be approached, a contextualization based on scientific literature and on a set of concepts considered essential for the comprehension of the topics covered is made. In a second phase, we proceed with the empirical study, where we will analyze the descriptive statistics, the graphs, the assumptions of the models and then the potential models will be chosen. This chapter will be divided into two sub-chapters. In the first sub-chapter, the study will be carried out under the statistical program Eviews, where the classical econometrics techniques will be approached. In the second sub-chapter the study will be done in Python software, currently considered one of the most popular software in the scientific, academic and business world. In Eviews, once the time series is stationary, it is proceeded with the modeling through the Box-Jenkins methodology, more specifically the Integrated Autoregressive Moving Average model - ARIMA. After establishing the final model, the closing prices for the S&P 500 series are forecasted. On the other hand, in Python, more innovative aspects will be addressed, one of which is the application of feature engineering that will result in thirty-one (31) new variables. Unlike the classic models, the algorithms obtained from machine learning do not need to check the usual econometric assumptions, since the machine learns “autonomously” to work around certain irregularities. The algorithms used in this dissertation are the following: Linear Regression (LR), Support Vector Regression (SVR) and Random Forest (RF). Finally, a critical interpretation of the obtained results it is made and the results are compared, thus reaching the objective initially outlined for the dissertation.
28
Pereira, Pedro Miguel Pinhal. "Análise de risco de crédito usando algoritmos de Machine Learning." Master's thesis, 2020. http://hdl.handle.net/10451/48083.
Full textAbstract:
Tese de mestrado em Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências, 2021A presente dissertação resulta da necessidade de se classificar empresas consoante o seu nível de risco de crédito. Para tal, será desenvolvido um modelo que tem como input as demonstrações financeiras de uma empresa, classificando-a através do rating da sua dívida com a nomenclatura da Standard & Poor’s. Com o intuito de alcançar o objetivo anteriormente definido, considerei um conjunto de dados da CRSP (Center for Research in Security Prices, LLC), sendo a amostra inicial composta por 3320 observações das demonstrações financeiras anuais de diversas empresas que constituem o índice bolsista S&P500, no intervalo temporal de 2010 a 2018. Estes dados foram trabalhados na linguagem de programação Python, utilizando a aplicação Jupyter Notebook, com objetivo de criar, treinar e testar este modelo de Credit Scoring, procedendo à utilização de diversos algoritmos de Machine Learning. Para obter uma melhor performance no modelo, foram usados métodos para a seleção das variáveis pela importância que tinham na classificação do modelo, tendo reduzido as variáveis numéricas de 69 para 20. A capacidade de previsão/acerto dos diversos algoritmos foram comparadas e o melhor algoritmo (Random Forest, o que teve maior percentagem de accuracy) foi escolhido e utilizado para a previsão do modelo. Devido à pouca diversidade de ratings das empresas do S&P500, uma vez que existem poucas empresas com ratings baixos, próximos do nível de default, o modelo criado tornou-se num modelo binário e a classificação foi reduzida a Investment grade (de AAA até BBB-) e Non-Investment grade (de BB+ até CC).
This thesis results from the need to classify companies according to their level of credit risk. And, for this purpose, a model will be developed that taking as input the financial statements of a certain company will return the rating of its debt using the nomenclature from Standard & Poor’s. In order to achieve the previously defined goal, a dataset from CRSP (Center for Research in Security Prices, LLC) was considered with an initial sample of 3320 values of the annual financial statements of several companies that are integrated in the S&P500 stocks index, in the time interval from 2010 to 2018. This dataset was prepared and modified in the programming language Python, using the application Jupyter Notebook, with the goal of creating, training and testing this Credit Scoring model, proceeding with the use of several Machine Learning algorithms. With the purpose of obtaining a better performance in the model, it was produced features selection models, based on their importance for the classification model, and the features were reduced from 69 to only 20 variables. The prediction/accuracy of the various algorithms were compared, and the best algorithm (Random Forest, which had the highest percentage of accuracy) was chosen and used to predict the model. Due to the little diversity of ratings of the S&P500 companies, since there are few companies with low ratings, close to the default level, the model created became a binary model, and the rating was reduced to Investment grade (from AAA to BBB-) and Non-Investment grade (from BB+ to CC).
29
Almeida, Cristiana Costa de. "Previsão de séries temporais financeiras: uma abordagem com Long Short-term Memory Deep Neural Networks." Master's thesis, 2019. http://hdl.handle.net/10451/44246.
Full textAbstract:
Tese de mestrado, Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências, 2019O intuito desta dissertação é identificar o método que proporciona resultados mais fidedignos na previsão de séries temporais financeiras, de entre os modelos tradicionais e as novas metodologias de Machine Learning. A fim de alcançar esse objetivo, foi considerada uma base de dados com 4842 valores diários do fecho do índice bolsista Standard & Poor’s 500 (SP500), no intervalo temporal compreendido entre 3 de janeiro de 2000 e 1 de abril de 2019, excluindo os fins- de-semana e feriados. Primeiramente, os dados foram trabalhados no programa Eviews, de forma a obter o modelo econométrico ARIMA mais adequado e através da metodologia de Box-Jenkins procedeu-se para a previsão da série financeira em estudo. Contudo, para obtenção de melhores resultados, a série foi reduzida, iniciando no dia 2 de março de 2009, devido à crise financeira de 2007-2008. Para comparação de modelos, foi realizada a previsão dos dados da bolsa SP500, através de um modelo Deep Neural Network – Long Short-Term Memory (código programado em Python). Conclui-se que os melhores resultados de previsão foram obtidos com os modelos de redes neuronais, tanto para curto como para longo-prazo.
The aim of this dissertation is to identify the method that provides the most reliable results in forecasting financial time series, between the traditional models and the new Machine Learning methodologies. In order to achieve this objective, were considered 4842 daily closing values of the Standard & Poor’s 500 (SP500) stock index, since January 3, 2000 until April 1, 2019, excluding weekends and holidays. First, we use Eviews software, in order to obtain the right ARIMA econometric model, and by using the Box-Jenkins methodology, we forecast the SP500 financial time series. However, for best results, the series was split, starting on March 2, 2009, due to the 2007-2008 financial crisis. For model comparison, was realized the prediction of the SP500 stock index data, using a Deep Neural Network - Long Short-Term Memory model (code programmed in Python). It is concluded that the best results were obtained with neural network models, for both short and long term forecast.
30
Hsu, Ya-Hsiung, and 許亞雄. "Standard & Poor's 500 Indexed Structured Notes - Case Study." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/63166054847595531109.
Full textAbstract:
碩士世新大學
財務金融學研究所(含碩專班)
93
With the advancement of the time, we are continuously seeing new financial products. To loosen the domestic financial market, the competent authority established the complete financial system. In the past years, many kinds of financial operations have been allowed to build the completeness of domestic financial market. Compared with the domestic financial market, the foreign financial markets are even more mature. The design of structured notes is more diverse. The main purpose of this study is to understand the structured notes that have been popular for two decades abroad to hlep investors shall screen the structured notes that meet their demands and are more beneficial Monte Carlo simulation is used in this study for evaluation. The product under study is issued at a premium and the average annual return is between 3.04% and 4.01%. One can only obtain the minimum protection return of 2% at the ratio of 51% to 54%. With the historical data of S&P500 index made in historical simulation, the average return is higher than that of the return simulated in this study. This is because of the higher return accumulated during the bull market between May 1999 and March 2000. This is why many issuers now make publicity with historical data to investors. When conducting sensitive analysis, we find that the risk free interest rate affect the total value of structured notes more so does changes of exchange rate of the due date on the final return. Overall, although index structured notes boast principal-guarantee, investors shall not be confused and chase such products. Instead, they shall carefully study the expected return in the background of low risks and analyze the interest calculation mechanism and the target of the structure lest they invest the inefficient financial products.
31
Lin, Jyun-Hong, and 林雋鈜. "An application of machine learning to Standard & Poor's 500 index future." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/4yhrvp.
Full textAbstract:
碩士國立政治大學
資訊管理學系
106
The system is made to predict the Futures’ trend through analyzing the transaction data in the past, and gives advices to the investors who are hesitating to make decisions. We improved the system proposed by Tsaih et al. (1998), which was called hybrid AI system. It was combined with rule-based system and artificial neural network system, which can give suggestions depends on the past data. We improved the hybrid system with the following aspects: (1) The index data are changed from daily-based in into the minute-based in this study. (2) The “moving-window” mechanism is adopted in this study. For each window, we hope we can finish training in 60 minutes. (3) There is one extra variable VIX, which is calculated by the VIX in this study. (4) Due to the more computation demand, TensorFlow and GPU computing is applied in our system. We discover that the VIX can obviously has positively influence of the predicting performance of our proposed system. The average training time is lower than 60 minutes, however, some of the windows still cost more than 60 minutes to train.
32
Ivanov, Stoyu I. "Three essays on S&P 500 Index constituent changes." 2009. http://proquest.umi.com/pqdweb?did=1798195691&sid=3&Fmt=2&clientId=14215&RQT=309&VName=PQD.
Full textAbstract:
Thesis (Ph.D.)--University of Nebraska-Lincoln, 2009.Title from title screen (site viewed October 13, 2009). PDF text: 118 p. ; 11 Mb. UMI publication number: AAT 3358959. Includes bibliographical references. Also available in microfilm and microfiche formats.
33
Chen, Chen-Yu, and 陳貞妤. "The Antitrust Issues in Standard Setting and Patent Pools." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/69621794890740830175.
Full textAbstract:
碩士國立政治大學
智慧財產研究所
96
In this era of knowledge-economy, intellectual property plays an important role in business developments. The significance of standard setting is thus much emphasized in recent years. It is generally recognized that standard setting brings many benefits to industries, such as costdown of manufacturing process and improvement of product compatibility, and patent pools can help to decrease transaction costs of licensing negotiations and to mitigate royalty stacking problems. However, disputes regarding the violation of antitrust law can be caused in the process of setting standards and the formation and the operation of patent pools. The U.S. DOJ and the U.S. FTC has discussed about antitrust issues related to standard setting and patent pools in “Antitrust Guidelines for the Licensing of Intellectual Property” in April 1995 and “Antitrust Enforcement And Intellectual Property Right：Promoting Innovation and Competition” in April 2007. Patent holdup and group boycott are controversial in standard setting. In August 2006, the U.S. FTC ruled in In re Rambus that patent holdup would violate section 2 of the Sherman Act and section 5 of the FTC Act. In June 2007, the Federal Circuit also ruled in Qualcomm v. Broadcom that patent owner who has broken one’s previous commitment on FRAND licensing would violate section 2 of the Sherman Act. As to group boycott, the court opinioned in Golden Bridge Technology v. Nokia that group boycott in the process of setting standard could be per se illegal under section 1 of the Sherman Act. Many standard setting organizations (SSOs) have tried to avoid patent holdup by making patent disclosure and FRAND licensing policies. Recently some SSOs have implemented policies of ex ante unilateral announcement of licensing terms by patent holders or ex ante multilateral licensing negotiation between patent holders and SSO members to deal with patent holdup problems. These ex ante approaches facilitate competition between patent holders on licensing terms and allow SSOs to gain more information on patents. In light of the competitive effects these ex ante approaches generate, FTC and DOJ declared that they will review related policies and conduct under the rule of reason. But any efforts to reduce competition by using ex ante disclosure or negotiation process as a cover to fix downstream prices of products would be reviewed a per se violation of section 1 of the Sherman Act. The standard patent licensing by patent pools could also give rise to cautions of violating antitrust law. Certain behavior in patent pools can be deemed controversial, such as including substitute patents, exchanges of competitively sensitive information, exclusive membership, exclusive license, grantback license, package license, and so on. The DOJ and the FTC expressed that they will examine similar behavior in patent pools under the rule of reason, since patent pools provide a more efficient way for patent licensing, which help to improve technology qualities and industry developments. The case, Philips v. Fair Trade Commission, R.O.C., also involved some disputes of violating Fair Trade Act. From the case, the thesis claims that first, there is a need for FTC to enact a guideline regarding standard setting and patent pools for the industries to follow. Second, while defining technology markets and concerted actions, one should analyze the relationship between patents. Complementary patents belong to different technology markets, so it would be impossible for complementary patent owners to collude with each other. Third, to identify monopolization, the thesis asserts that the patent owner of technology essential for certain product will acquire monopoly positions in certain product market, and thus will be deemed as monopolists in the related technology market. Last but not the least, the thesis proposes that the FTC should not only passively prohibit the abuse of monopoly position and issue punishments, but also come up with some proper solutions, such as compulsory license, to actively maintain fair competition in the market. Some measures delineated by the U.S. FTC in In re Rambus can be referred for future cases in Taiwan. To successfully participate in standard setting and patent pool activities, the thesis proposes certain suggestions. First, because most SSOs are led by U.S. and European enterprises and most SSOs are subject to U.S. and European legal jurisdiction, it is important to follow up to U.S. and European law and legal developments to avoid legal risks. Second, properly structuring SSO patent policies might enable SSOs to mitigate patent holdup problems. Third, the cultivation of inter-disciplinary professionals of technology, law, finance, and business management can be significant for industries in the standard setting competition. The thesis as well indicates several principles that might help to avoid the risks of violation of antitrust law during the formation and operation of patent pools. On the other hand, those who are accused of patent infringement might gain a better chance to win the lawsuit, if the violations of antitrust of patent owners in standard setting and patent pools are taken into consideration.
34
Santos, Ana Maria Reis. ""Physical Momentum vs Financial Momentum" - an application to the Standard & Poor's 500 Index." Dissertação, 2015. https://repositorio-aberto.up.pt/handle/10216/99608.
Full text
35
Santos, Ana Maria Reis. ""Physical Momentum vs Financial Momentum" - an application to the Standard & Poor's 500 Index." Master's thesis, 2015. https://repositorio-aberto.up.pt/handle/10216/99608.
Full text
36
Chiang, Chen-Yi, and 江貞頤. "Finding Alpha in CBOE Standard & Poor 500 Covered Combo Index." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/85nbz9.
Full textAbstract:
碩士國立清華大學
計量財務金融系
105
The S&P 500 BuyWrite Index have, on average, outperformed the S&P 500 Index over the past 15 years while realizing lower standard deviations of returns. This analysis dissects the new strategy CBOE S&P 500 Covered Combo Index, introduces the strategy’s construction and its story. Then, we see the relationship between the factors and strategies, and compare the performance with other strategies and S&P 500 index. Finally, we focus on the alpha in this strategy, which is the difference between absolute return and expecting return, and then we make a conclusion about this strategy and discuss which investors are recommended to use this strategy.
37
Lin, Tzu-Yun, and 林子筠. "Generalized Covered Call Strategies on Standard & Poor 500 Index Options." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/8rwv2k.
Full textAbstract:
碩士國立清華大學
計量財務金融學系
106
This paper investigates generalized covered call strategies. At first, we target on at the money covered call strategy and observe it from both equity and volatility degrees. Different from other related papers about covered call, we focus on its risk rather than return. We get the generalized equation to segment covered call into long equity and short volatility parts, and use empirical data to discuss various kinds of covered call by both its risk and risk premium. Besides, it’s not corresponding to the reality by using a fixed implied volatility, we also consider the difference between the implied volatility and the realized volatility and get the implied volatility by backward calculated, comparing with the realized volatility during the same period, and finally acquire the size of volatility effect. Finally, observing and analyzing covered call strategies under different conditions.
38
WU, HSING-MIN, and 吳幸旻. "An Analysis of the Linkage among U.S. House Price Index, Interest Rate and Standard & Poors 500 Index." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/6sx5cx.
Full textAbstract:
碩士嶺東科技大學
財務金融系碩士班
106
This research is based on the monthly data of U.S. house price index, interest rate and S&P 500 index to explore the interaction of the three indices, The period of use of the sample was from January 1953 to December 2017. The three indices are based on different times, so the market for alternative house prices has 780 starting months data for the month in which they were recorded, By using the methods of single-root test and co-integration test, whether there is a long-term stable relationship, VAR model and Granger causality test, the relationship between the three is discussed. At the significant level of 1%, there is a two-way causal relationship between the rate of interest rate change and the S&P 500 index return. At a significant level of 5%, the return on the CPI would affect the rate of change, at a significant level of 10% The rate of change of interest rate affects the return of house price index, which shows that the return of house price index has a two-way causal relationship with the rate of interest rate change. Under the significant level of 10%, the house price index leads the S&P 500 index with one-way causality. The S&P 500 return does not influence the price index return.
39
Wen, King, and 溫成德. "專業信用評等機構之研究---以Standard&Poor's、Moody's及Fitch為例." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/76785783566632296588.
Full textAbstract:
碩士實踐大學
企業管理研究所
94
The Financial Crisis of 1997 in Asia alerted Taiwan investors to credit risks. In the same year, the first professional rating agency was established in Taiwan, which was the prelude of professional rating agencies booming in Taiwan. The professional rating agencies have already existed in the world for centuries, here we try to figure out what made these unofficial organizations reveal the issuers’ credit risks to public just through simple symbols, why a company is willing to pay so much to receive a credit rating, and how these rating symbols affect the market. The paper will explain the reasons by understanding the development history of top three professional rating agencies, and the rating agencies in Asian and Latin American countries. Furthermore, we will discuss the rating methodologies of Financial Holdings, Banks, Securities, and Insurance Company of top three professional rating agencies, which could be the reference for issuers when choosing the rating agencies. Meanwhile, the paper will compare the differences between top three rating agencies, which could provide investors and issuers a clearer picture about credit rating.
40
Lin, Wan-Yi, and 林宛誼. "Technical Standard Dispute Derivate From Patent Pools ─Focus On The Case of Philip CD-R License." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/12665086476351707432.
Full textAbstract:
碩士東吳大學
法律學系
95
Since the effect upon “Network Effect” and interoperability, especially on the standard of products related to Internet applications most of such products have trended toward to standardization. In these key industries are creating a patent thicket: a dense web of overlapping intellectual property rights. The standard usually includes many patents that are owned by many patentees and the manufacturers have to pay the royalty to the all patentees or they will be sued for patent infringement. In order to tackle patent thicket phenomenon Patent Pools become new form of Industries cooperation. Under the circumstances in knowledge-based economy and industries mix, transaction pattern of “Patent Pools” increases progressively year by year. Resulting in the problems of patent rights excessively expand or abuse which involves the anti-competition issues been concerned. Taiwan has not had a clearly attitude towards “Patent Pools” and the rules of them are unclear. Herein this thesis evaluates and discusses the cumulative experience in competition with patentee in optical industry. Take the United States, European Union as well as Taiwan correlation rules and theories as a foundation, discussing the relationship among patent, industry standard and anti-competition. Therefore, the thesis consider only has the understanding other countries anti-competition rules so that strengthen domestic’s rules for the international connection. This is the optimal solution to deal with the disputes which derive from Patent Pools.
41
Fares, Carole. "Estimation et prévision de la volatilité de l'indice S&P 500." Mémoire, 2008. http://www.archipel.uqam.ca/1217/1/M10429.pdf.
Full textAbstract:
La prévision de la volatilité future constitue l'un des principaux enjeux actuels dans la finance contemporaine. De ce fait, une estimation précise de la volatilité, seul paramètre inobservable sur le marché, est cruciale pour la prise de décision en allocation d'actifs et en gestion des risques. Les modèles GARCH se basent sur les cours boursiers passés pour calculer ou estimer la volatilité. L'hypothèse qui se cache derrière cette approche est que l'on peut se servir du passé pour prédire l'avenir. Les modèles GARCH semblent toutefois peu adaptés à la prévision à long terme puisqu'ils présentent un retour à la moyenne. Nous avons alors utilisé le modèle EWMA qui présente l'avantage de ne pas retourner à la moyenne et nous avons estimé les paramètres des modèles étudiés pour reconstruire une volatilité historique de l'indice S&P500 par le biais de chaque modèle afin de les comparer avec le modèle de la volatilité réalisée. Les résultats de notre recherche montrent que la volatilité estimée par le modèle GARCH de Heston et Nandi (2000) n'est pas en mesure de reproduire la trajectoire suivie par la volatilité de l'indice S&P500 et ce modèle ne pourrait donc être employé pour faire des prévisions sur celle-ci. Nous avons trouvé également que le modèle EWMA semble significativement reproduire la même trajectoire que celle associée à la volatilité réalisée de l'indice et par conséquent on peut l'utiliser pour prévoir la volatilité future de l'indice S&P500. ______________________________________________________________________________ MOTS-CLÉS DE L’AUTEUR : Volatilité, S&P500, GARCH, EWMA, Heston et Nandi, VIX.
42
Azzi, Georges. "Le Modèle de Heston et l'estimation de la volatilité de l'indice S&P500." Mémoire, 2008. http://www.archipel.uqam.ca/1226/1/M10410.pdf.
Full textAbstract:
L'énorme incertitude qui règne sur les marchés financiers se traduit par de la volatilité intégrée dans les prix des options qui augmentent lorsque les investisseurs prévoient des fluctuations importantes des prix des actions. Le recours à une formule d'évaluation d'options est alors nécessaire pour extraire la volatilité anticipée des prix d'options cotés. Dans ce cas, les hypothèses jointes d'efficience informationnelle du marché des options et de validité du modèle d'évaluation d'options retenu sont impliquées. Motivés par ces faits, nous avons adapté le modèle de Heston pour générer la volatilité de l'indice boursier S&P 500 à partir des prix des options écrites sur cet indice. Puis nous avons estimé les paramètres du modèle pour reconstruire une volatilité historique et la comparer avec la volatilité réalisée. Les résultats de notre recherche montrent que la différence entre la volatilité estimée par le modèle de Heston et la volatilité réalisée est peu significative, ce qui nous a permis de valider et d'appliquer ce modèle pour prévoir la volatilité future de l'indice S&P 500. Nous avons trouvé également que les résultats dépendent de la quantité des options sélectionnées et de la largeur de l'intervalle des prix d'options disponibles. ______________________________________________________________________________ MOTS-CLÉS DE L’AUTEUR : Volatilité, Options, S&P500, Heston, GARCH, VIX.
43
Jhu, Pei-Yu, and 朱佩瑜. "The Implied Forward Volatility on Standard & Poor 500 Index Options and Taiwan Stock Index Options." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/11394956944836899515.
Full textAbstract:
碩士國立清華大學
計量財務金融學系
104
The purpose of this paper is to investigate the relationship between implied forward volatility and actual volatility. We used the concept of futures, adding the option as the underlying asset, to construct the formula of forward option price. Using this formula we have calculated the option price, and derived the implied forward volatility by Black-Scholes pricing formula. We then try to predict actual volatility by using the implied forward volatility. However, the result is not significant. The reason is that one factor of the Black-Scholes pricing formula is the strike price, therefore using different strike prices will lead to different implied forward volatility. Using the implied forward volatility of a single strike price to predict the daily volatility is not accurate. In order to overcome this problem, we used the model-free concept launch by Chicago Board Options Exchange (CBOE) to calculate the daily implied forward volatility. From the empirical results, we find that using the forward option formula and the implied forward volatility calculated by model-free conception is better than the Black-Scholes pricing formula. The result of Taiwan Stock Index Options is more significant than Standard & Poor 500 Index Options.
44
McIntosh, Bryan, B. G. Voyer, and B. Shenoy. "The care dividend: learning from the past." 2013. http://hdl.handle.net/10454/6540.
Full text
45
Chang, Lee-Hua, and 張麗華. "The linkage effect between gold mining industries, crude oil, Pound Sterling, Standard & Poor 500, global energy and VIX Index." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/vk995n.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士在職專班
107
With the impact of globalization and the high linkage of the relevant markets, this paper mainly discusses the spillover effect between gold mining industries, crude oil, Pound Sterling, Standard & Poor 500, global energy and VIX Index to estimate the total spillover of the estimated external spillover index, spillover effect and direction spillover effect using Diebold and Yilmaz (2012). Through the dynamic frequency domain that was proposed by Barunik and Krehlik (2015) and Krehlik and Barunik (2017) to depict the short-term, medium term and long term linkage, the degree of impact is analyzed by unit root test and spillover index on the relevant variable date data. The study of 1549 samples took place between February 2nd 2012 and April 2nd 2018. The results showed the spillover effect between gold mining industries, crude oil, Pound Sterling, Standard & Poor 500, global energy and VIX Index was fairly significant to suggest there was strong linkage. The degree of impact of the relevant market was inconsistent as global energy and Standard & Poor 500 were the main net contributors in terms of net spillover effect. The results also indicated that when unexpected events occurred internationally the spillover effect mentioned above was the most significant. Finally, the dynamic frequency domain depicted by the rolling analysis showed that the short-term spillover index fluctuated distinctly but the volatility spillovers would smoothen through time.
46
Mahlaule, Hlanganani Rose. "A qualitative survey of poverty in the rural areas around Giyani township." Thesis, 2012. http://hdl.handle.net/10210/6042.
Full textAbstract:
M.Ed.Poverty is a serious concern all over the world. This phenomenon hinders development, particularly in rural areas where the majority of families are living below the poverty line. In many rural communities the RDP programme did not reach the majority of people. The study is aimed at finding out the extent, perceived causes and consequences of poverty in Homu A and Homu C near Giyani. The families regarded as the more impoverished in the two villages were selected as participants of the study. One member from eight families in each village was interviewed in this qualitative study. The collection of data was made through survey interviews as suggested by Silverman (1993), observations, and the recording of artefacts on poverty. A literature review was conducted to construct a theoretical framework for the inquiry. The findings show that many people in these areas are extremely poor. They are physically, socially and psychologically affected by poverty. They are helpless because they believe there is nothing they can do to develop themselves and their villages. Their helplessness hampers development of these communities. The findings also indicate that there is a need for informal and non-formal programmes to educate and empower the community members to combat poverty. These programmes should be linked with income generating projects to equip the community members with skills needed for the economy.
47
Lessy, Zulkipli. "Philanthropic zakat for empowering Indonesia's poor : a qualitative study of recipient experiences at Rumah Zakat." Thesis, 2014. http://hdl.handle.net/1805/4038.
Full textAbstract:
Indiana University-Purdue University Indianapolis (IUPUI)Existing zakat research reports little information about the living conditions of Indonesian zakat recipients. This study examined the perceptions of zakat recipients at Rumah Zakat, a charitable institution, in Yogyakarta. Semi-structured interviews solicited seven economic empowerment and seven socio-health program respondents’ narratives. This data collection method incorporating multiple approaches to data analysis, including phenomenology, revealed that economic empowerment respondents with more education and spousal support could better subsist after utilizing Rumah Zakat’s interest-free loans. And, compared to individual efforts or group support, spousal support helped significantly with business growth. These respondents typically earned incomes above the national standard of poverty. As their businesses grew, four respondents planned to employ the jobless. In the socio-health program, respondents had minimal education and incomes that fell below the national standard of poverty. A Rumah Zakat clinic gave these respondents four to five years of free health care services; it also facilitated collaborative learning. Although the services lowered their expenses, three respondents requested food distribution in addition to health care. Respondents benefiting from both programs reported a significant positive impact on their home economies, health, and social lives. Thus, an integrative program offering assistance with micro-credits, health care, food security, and education would better serve the poor.
48
Nzhinga, Rendani Kenneth. "Strategies in managing financial risk vulnerability among South African households." Diss., 2016. http://hdl.handle.net/10500/23216.
Full textAbstract:
Various studies have found that South Africa’s high unemployment rate contributes to poverty, inequality, crime and ill-health. Furthermore, South African low to middle-income households are characterised by a high debt to income ratio which contributes to low or negative savings rates. This has left many households vulnerable to financials risk and shocks. This research examined how households with low-income or no income manage to cope on a daily basis. The research adopted an auto ethnography method. During the initial phase of the fieldwork the researcher observed participants over a period of more than a year in the provinces of Limpopo and Gauteng, this was followed by in-depth interviews with households selected using purposive and snowballing sampling. The results revealed that the most common coping strategies used by participants’ to deal with financial risks and shocks are borrowing from peers (family, friends and neighbours) and high-risk lenders i.e. mashonisas and accessing social support networks. Other strategies employed included pawning and selling of assets as well as employers’ loans. It was interesting to note that unlike studies in other countries, skipping meals were not a common coping strategy, and this could mainly be ascribed to the social support networks (Ubuntu) that were found in the communities studied. Future research is recommended on the impact of family financial obligations on households’ financial well-being.Taxation
M. Phil. (Accounting Sciences)
49
Fernandes, Claúdia Alexandra Cerqueira. "A influência da presidência de Trump sobre as séries financeiras americanas." Master's thesis, 2018. http://hdl.handle.net/10451/36683.
Full textAbstract:
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, em 2018O presente trabalho tem como principal objetivo identificar se a presidência de Donald Trump teve influência sobre o desenvolvimento das séries financeiras americanas. Para alcançar este propósito, foram considerados os três principais índices da bolsa de Nova Iorque: Dow Jones 65 Composite Average, Nasdaq Composite e Standard & Poor.s 500. Com vista a uma melhor compreensão da temática em estudo, a dissertação é constituída primeiramente por uma contextualização sustentada na literatura científica e posteriormente por um conjunto de conceitos assumidos como fundamentais para uma melhor perceção de toda a análise efetuada. Posteriormente, é realizado o estudo empírico com uma análise da representação gráfica e das estatísticas descritivas das séries financeiras representativas dos índices em foco. Seguidamente, os mesmos são submetidos a uma divisão temporal, isto é, passam a ser analisados sobre dois períodos: o período Global (que inclui toda a janela temporal dos três índices) e o período Trump (que engloba apenas as observações registadas durante a presidência de Donald Trump). A análise anteriormente referida consiste numa avaliação à estacionariedade das três séries financeiras e numa possível estabilização das mesmas. Uma vez obtida a estacionariedade para todas as séries em ambos os períodos referidos, procede-se para uma modelização das mesmas optando-se pela utilização da metodologia de Box-Jenkins, mais especificamente do modelo Autorregressivo de Médias Móveis . ARMA. Uma vez eleito o modelo que melhor parece adequar-se a cada índice (no respectivo período considerado), procede-se, por fim, a uma previsão dos mesmos com o intuito de entender em qual dos períodos, Global ou Trump, será obtida a melhor previsão, ou, por outras palavras, o menor erro de previsão. Finalmente, é realizada uma sinopse de todo o estudo desenvolvido no decorrer deste projeto através de uma interpretação dos resultados obtidos, na expetativa de alcançar o objetivo inicialmente delineado.
The main goal of this dissertation is to identify if Donald Trump’s presidency had influence on the development of the American financial series. To achieve this goal were considered the three major indexes of the New York Stock Exchange: Dow Jones 65 Composite Average, Nasdaq Composite and Standard & Poor’s 500. In order to understand the thematic in analysis, this dissertation is composed primarily by a contextualization based on the scientific literature and subsequently by a set of theoretical concepts recognized as fundamental to a better perception of all the analysis performed. Later, it’s made an empirical study with an analysis of the graphical representation and of the descriptive statistics of the financial series in focus. Then, the previously mentioned topics are subject to a temporal division. This means that they start to be analyzed in two periods: the Global period (that includes all time window of the three indexes) and the Trump period (that englobes just the remarks made during the Donald Trump’s presidency). The study mentioned before consists in the evaluation of the stationarity of the three financial series and a possible stabilization of them. Once stationarity is obtained for all series in both periods, we selected the model that was most appropriate for each one of them. In this step we chose to use the Box-Jenkins methodology, more specifically the Auto- Regressive Moving Average . ARMA model. Once elected the model that best suits each index (during the period considered), we proceed, finally, to a forecast of the indexes with the purpose of understanding in which of the periods, Global or Trump, the best prediction will be acquired, or, in another respect, in which one of the periods we get the smaller prediction error. Ultimately, it is performed a synopsis of the whole study developed during this work through an interpretation of the obtained results, with the prospect of reaching the initially outlined goal.
50
Matias, Hugo António Figueiredo. "Volatility derivatives: Expected option returns." Master's thesis, 2018. http://hdl.handle.net/10071/19330.
Full textAbstract:
This thesis establishes how option returns are influenced by the underlying index volatility. To elaborate it, call, put and straddle options of the Standard & Poor’s 500 index were object of study.
The elaboration of this study focused, mainly, on the Black-Scholes/Capital Asset Pricing Model, and, along it, was found some curious facts that contradict previous conclusions collected for this theme.
Either way, for zero-beta at-the-money straddle options the expected returns obtained were negative, contradicting Black-Scholes/Capital Asset Pricing Model assumptions. The results indicate that in addition to market risk there is another risk associated with option contracts pricing.Este trabalho teve como principal preocupação estabelecer a ligação entre os retornos das opções e a volatilidade do índice subjacente. Por outras palavras, compreender se e como ambos os componentes se influenciam. Foram estudados diferentes tipos de opções, como a opção de compra, a opção de venda e a opção straddle (conjugação de ambas), tendo como base o índice Standard & Poor’s 500. A elaboração deste estudo foca-se maioritariamente no Modelo de Precificação de Ativos Financeiros, mais conhecido por Capital Asset Pricing Model e, ao longo do mesmo, diversos factos que contradizem conclusões já alcançadas por outros autores para este tema foram possíveis de provar diversos factos que contradizem conclusões já alcançadas por outros autores para este tema. Os resultados obtidos, especialmente para as opções straddle beta-zero, contrariam as premissas de Black-Scholes/Modelo de Precificação de Ativos Financeiros uma vez que os retorns esperados obtidos foram negativos. Desta forma, os mesmos indicam que, para além do risco de mercado, existe outro tipo de risco associado ao preço dos contratos das opções.