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Hayes, Simon. "The behaviour of U.K. stock prices and returns." Thesis, University of Newcastle Upon Tyne, 1995. http://hdl.handle.net/10443/177.
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In this thesis I combine VAR forecasting methods with the Campbell-Shiller log-linear approximation to the present-value formula for stock prices. Four aspects of UK stock market behaviour are studied. The first analysis involves decomposing the variance of the unexpected stock return into components due to news about dividends, news about future returns, and the covariance between the two. I find that changing expectations about future returns accounts for around four times as much of the variance of unexpected returns as news about dividends, with a negligible covariance term. My second study is a detailed analysis of the links between macroeconomic risks and required stock returns. Using 27 industry-based stock portfolios, I attempt to determine the effect that a number of macroeconomic and financial factors have on expectations of dividends, real interest rates and future required returns. The results go some way to explaining why some risk factors appear not to be significantly priced in financial markets, whilst others (particularly inflation) appear to induce counter-theoretical reactions in stock prices. Given an empirical proxy for equilibrium returns, the present-value model implies a set of non-linear restrictions on the parameters of a VAR, the latter being taken as a model of investors' expectations formation. In my third analysis, I test various models of equilibrium returns using aggregate UK data, and find some support for market efficiency. In particular, in accordance with the intertemporal CAPM, I find that the well-known ability of the dividend yield to forecast stock returns can be traced to the fact that the dividend yield Granger-causes the market return variance. In the final section I test two propositions: whether rejections of the CAPM at the aggregate level can be traced to rejections in specific sub-sectors of the market; and whether investors are more skilled at eliminating mis-pricing within market sub-sectors than in the market as a whole. I find mixed support for the CAPM at the disaggregated level. Furthermore, eliminating the covariance terms from the model for sector returns has little effect on the results, providing some support for the market segmentation hypothesis.
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Brodd, Tobias, and Adrian Djerf. "Monte Carlo Simulations of Stock Prices : Modelling the probability of future stock returns." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229752.
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The financial market is a stochastic and complex system that is challenging to model. It is crucial for investors to be able to model the probability of possible outcomes of financial investments and financing decisions in order to produce fruitful and productive investments. This study investigates how Monte Carlo simulations of random walks can be used to model the probability of future stock returns and how the simulations can be improved in order to provide better accuracy. The implemented method uses a mathematical model called Geometric Brownian Motion (GBM) in order to simulate stock prices. Ten Swedish large-cap stocks were used as a data set for the simulations, which in turn were conducted in time periods of 1 month, 3 months, 6 months, 9 months and 12 months. The two main parameters which determine the outcome of the simulations are the mean return of a stock and the standard deviation of historical returns. When these parameters were calculated without weights the method proved to be of no statistical significance. The method improved and thereby proved to be statistically significant for predictions for a 1 month time period when the parameters instead were weighted. By varying the assumptions regarding price distribution with respect to the size of the current time period and using other weights, the method could possibly prove to be more accurate than what this study suggests. Monte Carlo simulations seem to have the potential to become a powerful tool that can expand our abilities to predict and model stock prices.Den finansiella marknaden är ett stokastiskt och komplext system som är svårt att modellera. Det är angeläget för investerare att kunna modellera sannolikheten för möjliga utfall av finansiella investeringar och beslut för att kunna producera fruktfulla och produktiva investeringar. Den här studien undersöker hur Monte Carlo-simuleringar av så kallade random walks kan användas för att modellera sannolikheten för framtida aktieavkastningar, och hur simuleringarna kan förbättras för att ge bättre precision. Den implementerade metoden använder den matematiska modellen Geometric Brownian Motion (GBM) för att simulera aktiepriser. Tio svenska large-cap aktier valdes ut som data för simuleringarna, som sedan gjordes för tidsperioderna 1 månad, 3 månader, 6 månader, 9 månader och 12 månader. Huvudparametrarna som bestämmer utfallet av simuleringarna är medelvärdet av avkastningarna för en aktie samt standardavvikelsen av de historiska avkastningarna. När dessa parametrar beräknades utan viktning gav metoden ingen statistisk signifikans. Metoden förbättrades och gav då statistisk signifikans på en 1 månadsperiod när parametrarna istället var viktade. Metoden skulle kunna visa sig ha högre precision än vad den här studien föreslår. Det är möjligt att till exempel variera antagandena angående prisernas fördelning med avseende på storleken av den nuvarande tidsperioden, och genom att använda andra vikter. Monte Carlo-simuleringar har därför potentialen att utvecklas till ett kraftfullt verktyg som kan öka vår förmåga att modellera och förutse aktiekurser.
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Chatrdamrongtham, Mungkorn. "The information content of quarterly earnings : earnings announcement price response of income stocks and growth stocks in a developing economy; the case of Thailand." Thesis, Manchester Metropolitan University, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.324054.
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Chelley-Steeley, Patricia L. "Small firm effects in the UK stock market." Thesis, Loughborough University, 1995. https://dspace.lboro.ac.uk/2134/7320.
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This thesis will be concerned with investigating the empirical characteristics of stock returns, forUKfirms which are distinguished by market value. The primary aimof thisworkis to identify whether there are differences between the behaviour of large and small firm retums. A substantial amount of attention has recently focused upon how firm size influences the behaviour of stock returns in US markets, but, the role that firm size might have in determining the behaviour of stock returns in UK markets has received very little attention. The aim of this thesis is to redress this imbalance. The first part of this study will be concerned with showing that the returns of small firms are more predictable than the returns of large firms. The second part of this study will show that the relationship between risk and return depends on firm size. The third and final part of this thesis will show that not only are the mean returns of large and small firms different but that there are also important differences in the conditional variances of large and small firms. In all three parts of this thesis, important differences between the behaviour of large and small firm returns are documented for the first time.
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Schmitz, Anthony. "Effect of oil prices on returns to alternative energy investments." Thesis, Atlanta, Ga. : Georgia Institute of Technology, 2009. http://hdl.handle.net/1853/31843.
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Thesis (M. S.)--Economics, Georgia Institute of Technology, 2010.Committee Chair: Vivek Ghosal; Committee Member: Byung-Cheol Kim; Committee Member: Chun-Yu Ho; Committee Member: Tibor Besedes. Part of the SMARTech Electronic Thesis and Dissertation Collection.
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Mabhunu, Mind. "The market efficiency hypothesis and the behaviour of stock returns on the JSE securities exchange." Thesis, Rhodes University, 2004. http://hdl.handle.net/10962/d1002762.
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While the Efficient Market Hypothesis (EHM) has been widely accepted as robust by many researchers in the field of capital markets, the hypothesis’ robustness has been under increased scrutiny and question lately. In the light of the concerns over the robustness of the EMH, the weak form efficiency of the JSE is tested. Stock returns used in the analysis were controlled for thin trading and it was discovered that once returns are controlled for thin trading, they are independent of each other across time. Some of the previous studies found the JSE to be inefficient in the weak form but this research found that the JSE is efficient in the weak form. A comparison is also made between the JSE and four other African stock markets and the JSE is found to be more efficient than the other markets. The developments on the JSE, which have improved information dissemination as well as the efficiency of trading, contributed to the improvement of the JSE’s efficiency. The improvement in operational efficiency and turnover from the late 1990s has also made a major contribution to the improvement in the weak form efficiency of the JSE. Theory proposes that if markets are efficient then professional investment management is of little value if any; hence the position of professional investment managers in efficient markets is investigated. Although the JSE is found to be efficient, at least in the weak form, it is argued that achieving efficiency does not necessarily make the investment manager’s role obsolete. Investment managers are needed even when the market can be proved to be efficient.
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Salimi, Sofla Amin. "Correlation of Returns in Stock Market Prices : Evidence from Nordic Countries." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-39330.
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Kruger, Theunis Lodewicus. "Dividend stability, dividend yield and stock returns on the Johannesburg Stock Exchange." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52241.
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Thesis (MBA)--Stellenbosch University, 2001.ENGLISH ABSTRACT: This study investigates the relationship between dividends and stock returns on the Johannesburg Stock Exchange (JSE). In this mini study project a regression model is used to investigate the relationship between dividend yield portfolios and stock returns. Each of these dividend yield portfolios are further subdivided into dividend stability portfolios which together with a regression model are used to investigate the relationship between dividend stability and stock returns on the JSE. It follows from this study that there is a non-linear relationship between the risk-adjusted returns and dividend yields. A significant finding of this study is the fact that there is an inverse linear relationship between the dividend yield and average stock returns for dividend paying portfolios on the JSE. Investors on the JSE appear to place a premium on capital gains as opposed to dividends. It follows from this study that there is an inverse correlation between dividend stability and the risk-adjusted return with the beta coefficient increasing as dividend stability decreases. Within a particular yield portfolio, it is evident that higher systematic risk is associated with shares with unstable dividend yielding histories. It is clear from the results that this dividend signalling is not limited to high yielding stocks alone. As dividends are not entirely controlled by managers, a low stable dividend yield could signal a low exposure to systematic risk to outsiders.
AFRIKAANSE OPSOMMING: In hierdie studie word die verband tussen dividende en aandeelopbrengste op die Johannesburgse Effektebeurs ondersoek. 'n Regressiemodel is in hierdie mini werkstuk gebruik om die verwantskap tussen dividend opbrengsportfolios en aandeelopbrengs te ondersoek. Elk van hierdie opbrengsportfolios is vervolgens verder verdeel in dividendstabiliteitsportfolios wat tesame met 'n regressiemodel gebruik is om die verband tussen dividendstabiliteit en aandeelopbrengs te bepaal. Dit volg uit hierdie studie dat daar 'n nie-lineêre verband tussen risiko aangepaste aandeelopbrengs en dividendopbrengs bestaan. 'n Noemenswaardige bevinding is die inverse lineêre verwantskap tussen dividend en gemiddelde aandeelopbrengs vir dividend betalende aandele op die Johannesburgse Effektebeurs. Dit blyk asof beleggers op die Johannesburgse Effektebeurs 'n premie plaas op kapitaalgroei ten koste van dividendopbrengs. Dit volg ook uit hierdie studie dat daar 'n inverse korrelasie is tussen dividendstabiliteit en risiko aangepaste aandeelopbrengs met die beta koëffissiënte wat toeneem soos dividendstabiliteit afneem. Binne 'n spesifieke dividendopbrengsportfolio is dit duidelik dat hoër sistematiese risiko geassosieer word met onstabiele historiese dividendopbrengste. Dit volg uit die resultate dat hierdie inligtingoordrag deur middel van dividende, nie beperk is tot hoë dividendopbrengs aandele nie. Aangesien dividende nie uitsluitlik deur bestuurders beheer word nie, kan 'n aandeel met lae maar stabiele dividendopbrengs, 'n boodskap van lae blootstelling aan sistematiese risiko aan die mark oordra.
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Holm, Mattias. "Impact of analyst’s target prices and stock recommendations on the returns of the stocks traded on the Stockholm Stock Exchange." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-85150.
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Pozo, Veronica F. "Effects of meat and poultry recalls on firms' stock prices." Diss., Kansas State University, 2014. http://hdl.handle.net/2097/18160.
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Doctor of PhilosophyDepartment of Agricultural Economics
Ted Schroeder
Food recalls have been an issue of great concern in the food industry. Stakeholder responses to food safety scares can cause significant economic losses for food firms. Assessing the overall impact that may result from a food recall requires a thorough understanding of the costs incurred by firms. However, quantifying these costs is daunting if not impossible. A direct measurement of a firm’s total costs and losses of revenue associated with a food recall requires firm-level data that is not available. The method utilized in this study overcomes this severe limitation. Using an event study, the impact of meat and poultry recalls is quantified by analyzing price reactions in financial markets, where it is expected that stock prices would reflect the overall economic impact of a recall. A unique contribution of this study is evaluating whether recall and firm specific characteristics are economic drivers of the magnitude of impact of meat and poultry recalls on stock prices. Results indicate that on average shareholders’ wealth is reduced by 1.15% within 5 days after a firm is implicated in a recall involving serious food safety hazards. However, when recalls involve less severe hazards, stock markets do not react negatively. Also, reductions in company valuations return to pre-recall levels after day 20. Firm size, firm’s experience, media information and recall size are drivers of the economic impact of meat and poultry recalls. That is, firms recalling a larger amount of product perceive greater reductions in company valuations. Additionally, recalls issued by larger firms are less likely to present negative effects on stock prices, compared to smaller firms. Moreover, firms that have recently issued a recall are less harmed by a new recall compared to those firms issuing a recall for first time. Thus, suggesting that investors take into consideration the past performance of a company when dealing with food recalls. Furthermore, media information has a negative impact on shareholder’s wealth. Findings from this study provide essential information to the meat industry. In particular, understanding the likely impact of such “black swan” events is critical for firm’s investing in food safety technologies and protocols.
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AlDiab, Taisier F. (Taisier Fares). "The Impact of the Ceiling Test Write-off on the Security Returns of Full Cost Oil and Gas Firms." Thesis, University of North Texas, 1992. https://digital.library.unt.edu/ark:/67531/metadc278045/.
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Reisinger, Astrid Kim. "The effect of liquidity on stock returns on the JSE." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/71836.
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Thesis (MComm)--Stellenbosch University, 2012.ENGLISH ABSTRACT: This thesis examines the effect of liquidity on excess stock returns on the Johannesburg Stock Exchange (JSE) over the period 2003 to 2011. It builds on the findings of previous studies that found size, value and momentum effects to be significant in explaining market anomalies by adding a further explanatory factor, namely liquidity. A standard CAPM, as well as a momentum-augmented Fama-French (1993: 3) model are employed to perform regression analyses to examine the effect of the four variables on excess stock returns. Results suggested that the log of the stock‘s market value best captured the size effect, the earnings yield best captured the value effect and the previous three month‘s returns best captured the momentum effect. Five liquidity proxies are used: the bid-ask spread first proposed by Amihud (1986: 223), turnover, the price impact measure of Amihud (2002: 31) and two zero return measures proposed by Lesmond et al. (1999: 1113). Despite prior studies having found liquidity to be an influential factor, this thesis found the opposite to be true. This finding remains robust, irrespective of the type of liquidity measure used. While size, value and momentum are found to be significant to a certain extent in explaining excess stock returns over the period, liquidity is not found to be significant. This is a surprising result, given that the JSE is seen as an emerging market, which is generally regarded as illiquid. This fact is exacerbated by the fact that the JSE is a highly concentrated and therefore skewed market that is dominated by only a handful of shares. Hence liquidity is expected to be of utmost importance. The result that liquidity is however not a priced factor on this market is therefore an important finding that requires further analysis to determine why this is the case. In addition, significant non-zero intercepts remained, indicating continued missing risk factors.
AFRIKAANSE OPSOMMING: In hierdie tesis word die effek van likiditeit op oormaat aandeel-opbrengste op die Johannesburg Effektebeurs (JEB) ondersoek gedurende die periode 2003 tot 2011. Dit bou voort op die bevindinge van vorige studies wat toon dat grootte, waarde en momentum beduidend is in die verklaring van mark onreëlmatighede deur 'n addisionele verklarende faktor, likiditeit, toe te voeg. 'n Standaard kapitaalbateprysingsmodel (KBPM) sowel as 'n momentum-aangepaste Fama-French (1993: 3) model word gebruik om deur middel van regressie analise die effek van die vier veranderlikes op oormaat aandeel-opbrengste te ondersoek. Die resultate toon dat die grootte effek die beste verteenwoordig word deur die logaritme van die aandeel se mark kapitalisasie, die verdienste-opbrengs verteenwoordig die waarde effek en die vorige drie-maande opbrengskoerse verteenwoordig die momentum effek die beste. Vyf likiditeitsveranderlikes is gebruik: bod-en-aanbod spreiding voorgestel deur Amihud (1986: 223), omset, die prys-impak maatstaf van Amihud (2002: 31) en twee nul-opbrengskoers maatstawwe voorgestel deur Lesmond et al. (1999: 1113). Afgesien van die feit dat vorige studies die effek van likiditeit beduidend vind, word die teenoorgestelde in hierdie tesis gevind. Hierdie bevinding bly robuus, ongeag van die likiditeitsveranderlike wat gebruik word. Terwyl bevind is dat grootte, waarde en momentum beduidend is tot 'n sekere mate in die verklaring van oormaat aandeel-opbrengste tydens die periode, is geen aanduiding dat likiditeit 'n addisionele beduidende verklarende faktor is gevind nie. Hierdie bevinding is onverwags, aangesien die JEB beskou word as 'n ontluikende mark, wat normaalweg illikied is. Hierdie feit word vererger deur dat die JEB hoogs gekonsentreerd is en dus 'n skewe mark is wat oorheers word deur slegs 'n hand vol aandele. Dus word verwag dat likiditeit 'n baie belangrike faktor behoort te wees. Die bevinding dat likiditeit nie 'n prysingsfaktor op hierdie mark is nie, is dus 'n belangrike bevinding en vereis verdere analise om vas te stel waarom dit die geval is. Addisioneel word beduidende nie-nul afsnitte verkry, wat aandui dat daar steeds risiko faktore is wat nog nie geïdentifiseer is nie.
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Mynatt, Joseph Ross. "Stock Returns and the Brazilian Default an Analysis of the Efficient Market and Contagion Effect Hypotheses." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc500500/.
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This thesis attempts to analyze the market response of stock prices of major U.S. banks to the February, 1987 Brazilian loan default announcement. The study's general hypothesis is that the market revalued stock prices according to each bank's amount of Brazilian loan exposure. The first chapter examines the significance of the default announcement. A survey of related literature is presented in the second chapter. Chapter III specifies the methodological techniques involved in analysis of the data. Chapter IV reports the findings of the study. Conclusions about the results are drawn in Chapter V. The results indicate the market is efficient. They also suggest that individual exposure was the major determinant of bank stock price decline.
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Ullah, Saif, and Waqar Ahmad. "Predictability power of firm´s performance measures to stock returns: A compatative study of emerging economy and developed economies stock market behavior." Thesis, Karlstads universitet, Fakulteten för ekonomi, kommunikation och IT, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-7866.
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The stock market returns are the readily available tool for the investor to make investment decision and stock market return are affected by many accounting variables. Dividend policy measures and stock return relationship has been examined from decades but result is still a dilemma. This study is a step forward to solve this dilemma by considering Karachi stock exchange, Pakistan and Nordic stock markets and conducting a comparative study to also provide a knowledge base to readers. Dividend yield ratio, dividend payout ratio and other accounting variables are examined to find their effect on stock return. Pooled least square regression has been used on the data ranging from 2005-2008 and findings are different in different markets. Dividend policy measures (dividend yield ratio and dividend payout ratio) have significant effect on the stock return and in most countries there is significant negative relationship.
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Weigand, Robert Alan. "The cointegrating relationship between stock prices and trading volume: Evidence regarding the predictability of security returns." Diss., The University of Arizona, 1993. http://hdl.handle.net/10150/186294.
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This study develops and tests the hypothesis that stock prices and trading volume are influenced by the same set of fundamental forces. The implications of this hypothesis for modeling and forecasting stock returns are also explored. Part 1 identifies several effects likely to contribute to the observed positive correlation between stock prices and trading volume. Among these are the various constraints that prohibit certain classes of investors from short selling; the disposition effect, which is the tendency for investors to hold losing investments too long and sell winners too early; and the prevalence of positive feedback trading strategies in financial markets. Part 1 also presents a simple supply and demand example which demonstrates that both asset prices and trading volume are influenced by the information signals received by traders in efficient markets. Part 2 presents empirical tests of the hypothesis that stock prices and trading volume are determined by a set of common factors. The presence of a common stochastic trend (cointegration) is shown to be consistent with the above hypothesis. Stock prices and trading volume are found to be cointegrated, which is interpreted as evidence in support of the common factor hypothesis. The theoretically correct method for modeling cointegrated variables, known as an error-correction model (ECM), explains over 4% of the variability in monthly stock returns from 1962-1991. An index of the total dividends paid to the Standard and Poor's 500 is included as an instrument for the information set hypothesized to be a common factor in stock prices and trading volume. After demonstrating that stock prices, trading volume and the dividend index are part of a trivariate cointegrated system, the dividend index is included into the ECM of stock prices. The explanatory power of the ECM rises to 6.5% due to the inclusion of the dividend index. Part 3 develops a forecasting model of monthly stock returns based on the ECM presented in Part 2. Out-of-sample forecasts of monthly stock returns are generated from this model, as well as other forecasting models chosen from the literature on the predictability of security returns. Under a variety of conditions, both with and without transactions costs, trading rules generated by the forecasting model of Conrad and Kaul (1989) consistently outperform a buy and hold strategy. The ECM forecasting model performs no better than a macroeconomic or random walk model, and underperforms a buy and hold strategy in the presence of transactions costs. The overall finding from Part 3 is that the simple time series model of Conrad and Kaul generates forecasts which beat the market conclusively for the thirteen year period spanning January, 1978 to December, 1990.
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Du, Toit Nicol Eduan. "Dividend policy and wealth maximisation : the effect of market movements on dividend-investing returns." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/80278.
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Thesis (MComm)--Stellenbosch University, 2013.ENGLISH ABSTRACT: This study sets out to evaluate the possible influence of increasing and declining markets on the returns of dividend-investing strategies. This study’s objective, therefore, was to evaluate the possible influence dividend pay-out policy has on share return. Secondary objectives serve to investigate how the size of cash dividend payments, measured in dividend yield (DY), influence share value, especially during bull and bear markets respectively. In order to address the stated objectives of this study and prevent possible survivorship bias, the sample included listed and delisted shares for the period 1995 to 2010. Initially, all firms that were listed on the Johannesburg Stock Exchange (JSE) during the period under review were considered, both that were listed at the end as well as firms that delisted. However, due to the nature of the financial structures of firms in the financial and basic industries, the study did not include their data. The final sample consisted of 291 firms, providing 22 927 monthly observations. Dividend-investing strategies were constructed using non-dividendpaying (Portfolio one) and dividend-paying firms (Portfolio two). Portfolio one and two were then further deconstructed into four groups based on monthly DY rankings. Portfolio one was represented by Group 1, whilst Portfolio two was grouped into the lowest, medium, and highest DYs and classified as Group 2 to Group 4 accordingly. The results obtained from statistical analyses performed in this study indicate that the level of DY appears to influence returns positively. Furthermore, after investigating the results obtained during opposing market scenarios, some important findings resulted. During bear markets no significant difference in abnormal risk-adjusted returns was observed for the portfolios and four groups, however, in bull markets the return for Portfolio two, specifically Group 4, was more than double the result for the non-dividend payers. This study, therefore proposes that firms should have a DY in the range of the highest market DY average for bull markets specifically. From the perspective of the potential investors, the study suggests that dividend-investing could allow for the generation of positive risk-adjusted returns during bull markets.
AFRIKAANSE OPSOMMING: Hierdie studie evalueer die moontlike invloed van stygende en dalende markte aangaande opbrengs op dividend-investerings strategie . Die studie se primêre doelwit is om die invloed van dividend uitbetalings op aandeel opbrengste te bestudeer. Sekondêre doelwitte ondersoek hoe die grootte van ‘n kontant dividend, soos gemeet in dividend opbrengs, die aandeel-waarde beïnvloed, spesifiek tydens bul en beer markte. Om oorlewingsydigheid te voorkom, sluit die steekproef genoteerde sowel as gedenoteerde firmas in vir ‘n tydperk van 1995 tot 2010. Aanvanklik was alle sektore van die Johannesburg Aandele-beurs (JSE) ondersoek, maar weens die komplekse kapitaal struktuur van finansi le en die basiese nywerheid sektore was hul aandeel inligiting uitgesluit. Die finale steekproef het ‘n totaal van 291 firmas ingesluit en 22 927 maandelike waarnemings verskaf. Dividend-investerings strategie was saamgestel deur nie-dividend-betalende firmas (Portefeulje een) teenoor dividendbetalende firmas (Portefeulje twee) te vergelyk. Die twee portefeuljes was ook verder onderdeel in vier groepe volgens maandelikse dividend opbrengstes. Portefeulje een was verteenwoordig deur Groep 1, terwyl Portfeulje twee opgedeel was volgends laag, medium, en hoë dividend opbrengstes en geklasifiseer as Groep 2 tot 4 onderskeidelik. Die resultate van die statististiese ontleding van hierdie studie dui moontlik daarop dat die vlak van dividend opbrengs aandeel waarde positief beïnvloed. Nadat die spesifieke bul en beer markte ontleed is, was belangrike resultate waargeneem. Tydens beer markte was daar geen beduidende verskil tussen die risiko-aangepaste opbrengstes van die twee portefeuljes en vier groepe nie, maar tydens bul markte het die opbrengstes van Portefeulje twee, spesifiek Groep 4, meer as dubbel dié van die nie-dividend betalers getoon. Die studie stel dus voor dat ‘n firma tydens bul markte moet poog om ‘n dividend opbrengs te handhaaf wat die hoogste gemiddeld van die mark verteenwoordig. Vanuit die belegger se oogpunt, stel die studie voor dat dividend investering stategie moontlik gebruik kan word om positiewe risikoaangepaste opbrengstes te genereer, veral tydens bul markte.
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Varghese, Matthew Joseph. "The Effects of Oil Supply Shocks on U.S. Stock Market Returns." Scholarship @ Claremont, 2012. http://scholarship.claremont.edu/cmc_theses/312.
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This paper attempts to assess the impact of price fluctuations in oil resulting from worldwide oil supply shocks on the real returns of the U.S. stock market, specifically the S&P 500, during the period of 1986 to 2011. While much past research has found an inverse relationship to exist between simply oil price increases and stock market returns, not many studies have been conducted that focus on the effects of shifts in oil supply. The model utilized, a variation of that used by Hamilton (2008), determines that changes in oil prices arising from oil supply shocks one quarter prior (t-1) and one year prior (t-4) have an effect on real stock returns. However, an F-test assessing the joint impact of the explanatory variables is unable to reject the null hypothesis that the joint effects of changes in oil prices arising from supply shocks have zero effect on the returns of the stock market.
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Gu, Jinlin. "Housing Prices in Jingjinji, Huninghang and Pearl River Delta." Scholarship @ Claremont, 2017. http://scholarship.claremont.edu/cmc_theses/1700.
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This paper researches the relationships between sub-center cities, satellite cities and core cities in Jingjinji Area, Huninghang Area and Pearl River Delta. It also covers the connections between Chinese housing market and stock market. It uses an unique dataset called China Real Estate Index System (CREIS) to measure the Chinese housing prices. Through correlations, Granger causality tests and regression models, this paper concludes there are indeed connections for the movements in housing prices in the surrounding cities relative to Beijing, Shanghai and Shenzhen in the three city groups, and there is no sufficient evidence to show the existence of the connection between Chinese housing market and stock market.
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Engelbrecth, Stefhanus Francois. "Momentum investing : does it yield excess returns to investors and why? A study of the Johannesburg Stock Exchange." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/95667.
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Thesis (MBA)--Stellenbosch University, 2012.The success of momentum investing has puzzled the investment society for quite some time. Numerous academics have released studies that proved the success of different momentum investing strategies, even after compensating for trading costs. According to the efficient market hypothesis investors can only realise additional returns by taking additional risks. But no real risk factors can be ascribed to momentum investing. This study investigated the success of momentum investing strategies on the Johannesburg Stock Exchange (JSE) during the period January 1997 to March 2012. Three strategies were tested, namely: return momentum, price relative to high price and the crossover ratio. These strategies were tested using different combinations of testing and holding periods and only the more liquid stocks trading on the JSE were used in the study. The study showed that the momentum investing strategies generated statically significant outperformance over the period. The momentum investing strategies were then dissected according to the three risk factors identified by the Fama and French (1992) three-factor model. None of the risk factors were able to explain the outperformance of the momentum strategies. The outperformance of the momentum strategies also showed remarkable resilience after being subjected to trading costs. The success of the three momentum investing strategies is in clear contravention of the efficient market hypothesis and adds to the growing body of evidence against the hypothesis.
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Mpofu, Bekithemba. "The relationship between stock market returns and inflation : new evidence from Sub-Saharan Africa." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/939.
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The literature investigating the relationship between stock market returns and inflation is long and has produced diverse findings. This thesis examines the nature of stock–inflation relations in Sub-Saharan countries whose stock markets were established before 1992. Evidence in this thesis shows that in the short term there is a positive relationship between stocks and inflation. Using the Johansen (1988) evidence, a long-run stock–inflation relationship is confirmed only in Nigeria and South Africa, where it is found to be negative. However, accounting for structural breaks provides evidence for a long-run relationship in Botswana, Ghana and Kenya. The evidence of the effects of regimes in the relationship is further supported by a nonparametric cointegration analysis which finds a long-run relation in countries where the Johansen (1988) method had failed. Unexpected inflation is also found to be related to stock returns in Botswana, Ghana, Kenya, Nigeria and Mauritius, which raises concerns about the use of month-end stock data in analysing this relationship. The thesis confirms the existence of hidden inflation in Kenya, Mauritius, Nigeria and Zimbabwe. Imported inflation, interest rates and the exchange rate are found to have useful information about inflation movements in Sub-Saharan Africa.
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Isiugo, Uche C. "Feats and Failures of Corporate Credit Risk, Stock Returns, and the Interdependencies of Sovereign Credit Risk." ScholarWorks@UNO, 2016. http://scholarworks.uno.edu/td/2221.
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This dissertation comprises two essays; the first of which investigates sovereign credit risk interdependencies, while the second examines the reaction of corporate credit risk to sovereign credit risk events. The first essay titled, Characterizing Sovereign Credit Risk Interdependencies: Evidence from the Credit Default Swap Market, investigates the relationships that exist among disparate sovereign credit default swaps (CDS) and the implications on sovereign creditworthiness. We exploit emerging market sovereign CDS spreads to examine the reaction of sovereign credit risk to changes in country-specific and global financial factors. Utilizing aVAR model fitted with DCC GARCH, we find that comovements of spreads generally exhibit significant time-varying correlations, suggesting that spreads are commonly affected by global financial factors. We construct 19 country-specific commodity price indexes to instrument for country terms of trade, obtaining significant results. Our commodity price indexes account for significant variation in CDS spreads, controlling for global financial factors. In addition, sovereign spreads are found to be related to U.S. stock market returns and the VIX volatility risk premium global factors. Notwithstanding, our results suggest that terms of trade and commodity prices have a statistically and economically significant effect on the sovereign credit risk of emerging economies. Our results apply broadly to investors, financial institutions and policy makers motivated to utilize profitable factors in global portfolios.
The second essay is titled, Differential Stock Market Returns and Corporate Credit Risk of Listed Firms. This essay explores the information transfer effect of shocks to sovereign credit risk as captured in the CDS and stock market returns of cross-listed and local stock exchange listed firms. Based on changes in sovereign credit ratings and outlooks, we find that widening CDS spreads of firms imply that negative credit events dominate, whereas tightening spreads indicate positive events. Grouping firms into companies with cross-listings and those without, we compare the spillover effects and find strong evidence of contagion across equity and CDS markets in both company groupings. Our findings suggest that the sensitivity of corporate CDS prices to sovereign credit events is significantly larger for non-cross-listed firms. Possible reasons for this finding could in fact be due to cross-listed firms’ better access to external capital and less degree of asymmetric information, relative to non-cross-listed peers with lower level of investor recognition. Our results provide new evidence relevant to investors and financial institutions in determining sovereign credit risk germane to corporate financial risk, for the construction of debt and equity portfolios, and hedging considerations in today’s dynamic environment.
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Mishra, Pulkesh. "Effect of M&A announcement on acquirer stock prices in the Pharmaceutical sector and the role of bid premium." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-347191.
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A majority of previous studies reveal evidences of negative or no abnormal returns for the bidder/acquirer firm upon the announcement of a merger or acquisition (M&A). Additionally, these studies stress on the importance of ‘bid premium’ announced as a key factor influencing acquirer returns post M&A announcement. This paper aims to find validity for the above-mentioned statements in case of a ‘Pharmaceutical sector setting’ because not many previous studies have analyzed the role of bid premium influencing abnormal stock returns for the acquirer/bidder firm in M&A’s taking place in the pharmaceutical sector. We applied ‘event study methodology’ to study the abnormal returns’ and our results suggest positive returns to M&A announcements around the world for the period from 1997-2015. Furthermore, we carried out an OLS regression to observe the influence of ‘bid premium’ (announced at the time of M&A announcement), on the abnormal stock returns. We control for acquirer firm characteristics by adding them as control variables in the analysis. Our findings suggest that bid premium negatively affects the acquirer abnormal returns around the time of the M&A announcement.
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Lööf, Filip, and Casper Dahlberg. "The effects of analyst’s recommendations on stock prices and trade volumes : An event study on the Swedish market." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104582.
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This thesis analyzes the effects of analysts’ recommendations on stock prices and trade volumes of firms listed on OMXS30 during the three-year period 2018-2020. An event study of 313 recommendations issued during the three- year period was conducted in order to calculate the abnormal returns and abnormal volumes during the event window. Our results show only one occasion respectively where buy and sell recommendations induces abnormal returns significantly different from zero. We thereby conclude that analysts’ recommendations, on average, do not impose significant abnormal returns for OMXS30-firms during the event window. A potential investment value can be found in short selling sell recommended stocks, provided that one obtains information prior to public release. However, the nature of short selling may reduce or erase this value. Our results indicates that recommendations in general, do not contain new information and that the market to an extent, acts efficient. Positive abnormal volumes significant on the 5% level are found on three occasions, hence the majority are found to be insignificant. Significant abnormal volumes of 0,071% were found on the first post-event day of a recommendation, implying a small initial volume reaction. In general, however, the results do not show clear indications of a recommendation generating positive abnormal volumes.
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Carlsson, Anna, and Jonas Holm. "Is there a long-run relationship between stock prices and economic activity and are stock returns a leading indicator for economic growth? : Evidence from the Scandinavian countries: Sweden, Norway and Denmark." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-89225.
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The purpose of this paper is twofold. First, the Johansen cointegration framework is applied to analyze the long-run relationship between stock prices and economic activity, using GDP as a proxy. In consideration of a long-run relationship a vector error correction model (VECM) is estimated to analyze the parameters of cointegration. Secondly, the paper proceeds by estimating a vector autoregressive model (VAR) in order to analyse the relationship between stock returns and economic growth, measured as GDP-growth, and its dynamics. Further, a Granger-causality framework is adopted along with a recursive forecast framework to investigate if stock returns improve the forecast of economic growth. These analyses are carried out for Sweden, Norway and Denmark using a time period ranging from 1996Q1 to 2020Q1. Evidence from the Johansen cointegration framework verifies a long-run relationship between stock prices and economic activity in Sweden, which supports that dividends, on average, grow with economic activity over time. However, results provide no evidence of a long-run relationship in Norway and Denmark. Furthermore, results from the Granger-causality framework verifies that stock returns are a significant explanatory variable for economic growth in all countries. Despite this, the recursive forecast framework shows that the VAR-model, which in addition to GDP-growth also includes stock returns, does not improve the forecast of economic growth in comparison to an AR(1)-benchmark model including only GDP-growth. Further, the trivariate VAR-model, which incorporates not only GDP-growth and stock returns but also yield spread, shows similar results, hence it cannot outperform the benchmark model.
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Carlsson, Christopher, Fredrik Danielsson, and Christoffer Svensson. "The effect of blockchain related corporate name changes on stock prices : An investigation into the creation of cumulative abnormal returns following a blockchain related corporate name change." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-41072.
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Investments in cryptocurrencies have generated extraordinary returns and the interest in cryptocurrencies and blockchain technology from the public, companies, investors, and news media has increased substantially in the past years. This has led certain corporations to change the strategic direction towards blockchain technology, as well as changing the corporate name to reflect an association and these name changes has created substantial increases in the price of that stock. Existing literature of corporate name changes has touched upon several aspects of the subject. However, no specific research connected to blockchain and cryptocurrencies has been conducted. The purpose of this research is therefore to investigate the effect of corporate name changes related to the terms blockchain or cryptocurrency on the price of stocks. A standard event study methodology was applied to determine if the name change creates abnormal returns. The method used has a quantitative approach to the research and relies on statistical testing of numerical data to reach a conclusion. An investigation of 11 firms was conducted to examine this topic. However, there were no firms that had included the term cryptocurrency in the corporate name. The findings from this research reveal positive and significant cumulative abnormal returns on the announcement date of a blockchain related corporate name change. Furthermore, over the full event window, a significant and positive cumulative abnormal return was observed. Thus, it can be concluded that name changes related to blockchain has a positive effect on the stock price and today's investors seem to perceive a corporate name change within the context of blockchain as positive.
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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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Fodor, Bryan D. "The effect of macroeconomic variables on the pricing of common stock under trending market conditions." Thesis, Department of Business Administration, University of New Brunswick, 2003. http://hdl.handle.net/1882/49.
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Thesis (MBA) -- University of New Brunswick, Faculty of Administration, 2003.Typescript. Bibliography: leaves 83-84. Also available online through University of New Brunswick, UNB Electronic Theses & Dissertations.
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Shan, Yaowen School of Banking & 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 (2002)) and Ohlson????s information dynamics (1995). In addition, the results are also valid for measures of both systematic and idiosyncratic volatilities.
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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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Wu, Ruojun. "Essays on the predictability and volatility of returns in the stock market." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2008. http://wwwlib.umi.com/cr/ucsd/fullcit?p3316421.
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Thesis (Ph. D.)--University of California, San Diego, 2008.Title from first page of PDF file (viewed Sept. 4, 2008). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 127-132).
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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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Shapiro, Adam. "Jim Cramer's Mad Money effects on stock returns /." Diss., Connect to the thesis, 2006. http://hdl.handle.net/10066/588.
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Clayton, Maya. "Econometric forecasting of financial assets using non-linear smooth transition autoregressive models." Thesis, University of St Andrews, 2011. http://hdl.handle.net/10023/1898.
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Following the debate by empirical finance research on the presence of non-linear predictability in stock market returns, this study examines forecasting abilities of nonlinear STAR-type models. A non-linear model methodology is applied to daily returns of FTSE, S&P, DAX and Nikkei indices. The research is then extended to long-horizon forecastability of the four series including monthly returns and a buy-and-sell strategy for a three, six and twelve month holding period using non-linear error-correction framework. The recursive out-of-sample forecast is performed using the present value model equilibrium methodology, whereby stock returns are forecasted using macroeconomic variables, in particular the dividend yield and price-earnings ratio. The forecasting exercise revealed the presence of non-linear predictability for all data periods considered, and confirmed an improvement of predictability for long-horizon data. Finally, the present value model approach is applied to the housing market, whereby the house price returns are forecasted using a price-earnings ratio as a measure of fundamental levels of prices. Findings revealed that the UK housing market appears to be characterised with asymmetric non-linear dynamics, and a clear preference for the asymmetric ESTAR model in terms of forecasting accuracy.
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Naude, Kristo. "Technical analysis and stock price behaviour : a pilot study using OmniTrader." Thesis, Stellenbosch : Stellenbosch University, 2000. http://hdl.handle.net/10019.1/51931.
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Thesis (MBA)--Stellenbosch University, 2000ENGLISH ABSTRACT: An increase in personal wealth and higher emphasis on profitable investments for retirement has materiálised in a search for investment vehicles to produce superior returns. Two main disciplines of analyses are being used in an attempt to forecast future stock returns. These are fundamental analysis and technical analysis. This study will use technical analysis to generate buy and sell signals for a pseudoportfolio. Portfolio returns were analysed to determine their performance relative to a market index, in this case the S&P 500. A backtesting period of nine years was used to "train" the indicator variables, and applied to a tenth year's data, used as forward testing. Backtesting returns were significantly superior than that of the market, and forward testing significantly inferior. These results appear to confirm the efficient market and random walk theories. A .number of differences of opinion were identified, indicating the need for further research.
AFRIKAANSE OPSOMMING: Toenemende strewe na materiële welvaart en 'n groter fokus op gemaklike aftrede het studies ter hoër beleggings opbrengs gestimuleer. Beide fundamentele en tegniese analises word tans gebruik in 'n poging om toekomende mark prysbeweging te kan voorspel. In hierdie studie is tegniese analise gebruik om koop en verkoop wysers te genereer, waarvan die opbrengs in 'n skyn-portefeulje bepaal is. Die opbrengs van hierdie portefeulje is vergelyk met 'n toepaslike mark - indeks, in hierdie geval die S&P 500. 'n Periode van nege jaar se data is gebruik om tegniese parameters se optimum waardes te bereken, en daarna onveranderd op 'n tiende jaar se historiese data toegepas. Die opbrengste is in beide gevalle bepaal, met terugwaartse opbrengste hoër as mark opbrengs en vooruit toetsing statisties beduidenisvol laer as mark opbrengs. Hierdie resultate is beduidenisvol, en bevestig die geldigheid van die doeltreffende markhipotese asook die toevallige prysbewegingsteorie. 'n Aantal leemtes in huidige portefeulje opbrengste teorieë is geïdentifiseer wat in verdere studies aangespreek behoort te word.
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Kruger, Sarah Debora. "The prediction value of the price/earnings ratio for headline earnings per share, dividend yields and share returns." Thesis, Stellenbosch : Stellenbosch University, 2005. http://hdl.handle.net/10019.1/70304.
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Mini study project (MBA)--University of Stellenbosch, 2005.ENGLISH ABSTRACT: This mini study project aims to investigate the prediction value ofpricelearnings (pIE) ratios. The ability of investors to predict earnings growth is tested by examining the relationship between PIE ratios and excess earnings growth. The study further also investigates the relationship between PIE ratios and two other variables: share returns and dividend yields. The study design was based on that of two other studies: Fuller, Huberts and Levinson (1993) and Hamman, Jordaan and Smit (1995). These studies specifically tested the random walk theory of earnings. In this study all the companies were allocated to one of four PIE portfolios according to the magnitude of their PIE ratio. The relationship between PIE ratios and the dependent variables (earnings growth, share returns and dividend yields) was then analysed by comparing the medians of the dependent variables of the different quartiles (pIE portfolios). The investigation into the relation between PIE ratios and excess earnings growth indicated that companies with high PIE ratios tend to have higher excess earnings growth. The relationship, however, seemed to be more pronounced in the one year results than in the two and four year results. The share returns seemed to be randomly distributed and it was more difficult to identify the correlation with PIE ratios. For a two and four year period however, the lowest PIE quartile delivered the highest returns and the highest PIE quartile performed very poorly. Lastly it was found that companies with high PIE ratios had lower dividend yields and companies with lower PIE ratios had higher dividend yields. Even though some departures from randomness were observed when comparing the PIE quartiles, the variability of the dependant variables at individual stock level was high and indicated random distribution.
AFRIKAANSE OPSOMMING: Hierdie ministudieprojek het ten doelom die voorspellingvermoë van prys/verdienste (PN) verhoudings te ondersoek. Die vermoë van beleggers om winsgroei te voorspel word getoets deur die verwantskap tussen PN-verhoudings en surplus winsgroei te ondersoek. Verder ondersoek die studie ook die verwantskap tussen PN-verhoudings en twee verdere veranderlikes: aandeelopbrengste en dividendopbrengste. Die ontwerp van die studie is gebaseer op dié van twee ander studies: Fuller, Huberts en Levinson (1993) en Hamman, Jordaan en Smit (1995). Die twee studies het spesifiek die ewekansige verspreiding van winste ondersoek. Alle maatskappye in hierdie studie is geallokeer aan een van vier PN-protefeuljes volgens die vlak van hulle PNverhouding. Die verwantskap tussen PN-verhoudings en die afhanklike veranderlikes (winsgroei, aandeelopbrengste en dividendopbrengste) is dan ondersoek deur die mediane van die afhanklike veranderlikes van die verskillende PN-kwartiele (portefeuljes) te vergelyk. Die analise van die surplus winsgroei het aangedui dat maatskappye met hoë PNverhoudings geneig is om beter surplus winsgroei te toon. Die verwantskap blyk egter om duideliker te wees vir 'n eenjaar-periode as vir 'n tydperk van twee of vier jaar. Die aandeelopbrengste het 'n ewekansige verspreiding getoon en dit was moeilik om 'n verwantskap met die PN-verhoudings te identifiseer. Vir 'n twee en vier jaar periode het die laagste PN-kwartiel die hoogste aandeelopbrengs gelewer en die hoogste PNkwartiel het baie sleg presteer. Laastens is daar gevind dat maatskappye met hoë PN-verhoudings laer dividendopbrengste gelewer het en maatskappye met lae PN-verhoudings hoë dividendopbrengste. Alhoewel afwykings van ewekansigheid geïdentifiseer is met die vergelyking tussen kwartiele, was die variansie van die afhanklike veranderlikes op individuele aandelevlak hoog en het gedui op 'n ewekansige verspreiding.
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Muzenda, Simon. "Analysis of predictable behaviour of security returns on the JSE." Thesis, 2014.
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Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013.This paper replicates Jegadeesh`s (1990) paper entitled “Evidence of Predictable Behavior of Security Returns”. Jegadeesh (1990) states that by using the observed systematic behaviour of stock returns it is possible to make “one-step-ahead return forecasts”. That is forecast the return one month in the future. The aim of this research is to assess the predictability of monthly returns on the Johannesburg Stock Exchange (JSE) by analysing the monthly returns of stocks and portfolios of stocks from the JSE. This thesis will show that it is not possible to accurately or reliably forecast future returns for individual stocks or portfolios of stocks from the JSE. In addition the findings in this paper also indicate that stocks and portfolios of stocks from the JSE follow the random walk theory.
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Xiang, Yang, and 楊翔. "The Relationship Between Overnight Returns and Future Stock Prices." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/73dr5t.
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碩士國立交通大學
財務金融研究所
107
In this paper, we use overnight return (CTO) as an indicator of investor sentiment, and intraday return (OTC) as an indicator of investor sentiment recovery to predict future stock price changes. Firstly, we study the effects of different industries, company characteristics and business cycles on the variables in the regression. At the same time, we divide the variables in the regression into five groups from low to high. We calculate the abnormal return (AR) of each group in the next 1 month, 3 months, 6 months, 9 months and 12 months. We found that the portfolio of Intercept, R, and ORVOLD in the regression model can capture significant positive returns for the next 3-12 months. We then found that arbitrage combinations can still be achieved with different company characteristics, and that different company characteristics and economic cycles can affect the ability of variables to capture abnormal returns. Subsequently, we added the abnormal return (AR) as a factor to the FF5 factor model. We found that the AR9 and AR12 captured by Intercept can improve the explanatory power of the five-factor model and cannot be explained by the five factors and Qfactor. Keywords: Overnight Returns, Investor Sentiment, Information Shock, Abnormal Return,Factor Model
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Lo, Jhih-Yang, and 羅智洋. "Relative Options Prices and Cross-Section of Stock Returns." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/04260555574089520128.
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碩士國立中山大學
財務管理學系研究所
104
The literature offers an extensive discussion on whether an informed trader prefers to choose the options market to acquire an information advantage. In this paper we present strong evidence that option prices contain information about future stock prices and construct a skewness premium calculated by the call option price divided by the put option price. We uncover several important results of the skewness premium. First, stocks with a higher skewness premium outperform stocks with a lower skewness premium by 20.55% per year on a risk-adjusted basis. The results are consistent with the notion that informed traders with positive news prefer to trade out-of-the-money call options. Second, informed traders choose 1-2% out-of-the-money options with the benefits of leverage and probability of moving in-the-money. Third, the skewness premium constructed by option prices is related to the implied volatility smirk and deviation of call and put, as established in Xing et al. (2010) and Cremers et al. (2010).
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"The cross-sectional relationship between the fundamental variables and returns of Hang Seng Index constituent stocks of Hong Kong stock market." Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5888684.
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by Ho Man Shing, William.Thesis (M.B.A.)--Chinese University of Hong Kong, 1996.
Includes bibliographical references (leaves 41-42).
ABSTRACT --- p.i
TABLE OF CONTENTS --- p.iii
LIST OF FIGURE --- p.v
LIST OF TABLES --- p.v
Chapter
Chapter I. --- INTRODUCTION --- p.1
Objectives of Research Project --- p.2
Chapter II. --- LITERATURE REVIEW --- p.4
Research work in the U. S --- p.4
Research work in Japan and H. K --- p.5
Chapter III. --- METHODOLOGY --- p.7
Research design --- p.9
Formation of portfolios --- p.10
Univariate Analysis --- p.11
Regression Analysis --- p.11
Data collection --- p.12
Chapter IV. --- RESULTS --- p.13
Univariate analysis of returns and fundamental variables --- p.13
Regression analysis of returns and fimdamental variables --- p.17
Security level regression analysis of returns and fimdamental variables --- p.17
Portfolio level regression analysis of returns and fundamental variables (ranked by different fundamental variables) --- p.21
Portfolio level regression analysis of returns and fundamental variables (ranked by two different fundamental variables) --- p.27
Effects of order of agglomeration and different combinations --- p.30
Chapter V. --- SUMMARY AND CONCLUDING REMARKS --- p.37
BIBLIOGRAPHY --- p.41
APPENDICES
Chapter A --- List of Hang Seng Index Constituent Stocks during 1989 to1994
Chapter B --- Print-out of the Regression Results at Security Level
Chapter C --- Print-out of the Regression Results at Portfolio Level (E/P then LS)
Chapter D --- Print-out of the Regression Results at Portfolio Level (LS then E/P)
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Tseng, Su-hui, and 曾素慧. "The effect of Taiwanese stock market's reaction to the stock prices' abnormal returns." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/07952646943774155049.
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碩士東吳大學
會計學系
97
After years of deregulation, the failure of Lehman Brothers Structured Notes, once a favorite instrument among banks and financial holding companies, have devastated the Taiwanese financial market and its investors. This study will first discuss the background of America's sub-prime mortgages and then the financial derivative product - structured notes: its devastating effect on the world financial market had cause the credit market to shrink which then lead to a free fall of the world's equity prices. The main objective of this research is to analyze the effect of Taiwanese stock market's reaction to the stock prices' abnormal returns in the aftermath of the failure of Lehman Brothers Structured Notes under the sub-prime mortgage crisis, and to evaluate the significance of this information effect. This research incorporates event study and p-value analysis of the normalized average abnormal returns and normalized average cumulative abnormal returns of stocks of 131 companies listed on the Taiwan Stock Exchange. The study showed that bankruptcy of Lehman Brothers Holdings Inc. had a significant effect on the equity prices in the Taiwanese stock market; the market exhibited abnormal returns right before the bankruptcy was declare; stocks in the Financial Sector are significantly more sensitive to the information effects of abnormal returns than stocks in non-Financial Sectors; the highly leverage portfolios of investment banks played a significant role in the huge loss stock markets today. And lastly, the daily gain/loss limitations in the Taiwanese stock markets significantly affects the market's reaction time to information, as a result the effect of the bankruptcy were not efficiently reflected in the resulting abnormal returns.
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"Stock returns, discount rates, real activity, and money." Chinese University of Hong Kong, 1994. http://library.cuhk.edu.hk/record=b5888015.
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by Ho King-hang.Thesis (M.B.A.)--Chinese University of Hong Kong, 1994.
Includes bibliographical references (leaves 51-53).
ABSTRACT --- p.ii
TABLE OF CONTENT --- p.iii
LIST OF TABLES --- p.v
LIST OF FIGURES --- p.vi
PREFACE --- p.vii
CHAPTER
Chapter I --- INTRODUCTION --- p.1
Chapter II --- LITERATURE REVIEW --- p.4
Macroeconomic Variables as State Variables --- p.4
Stock Returns and Real Activity --- p.5
Efficient Capital Markets and Real Activity --- p.5
Innovations in Real Variables --- p.7
Impact of Real Activity across Different States of Economy --- p.9
Stock Returns and Money --- p.10
The Quantity Theory of Money --- p.10
Wealth Effect and Substitution Effect --- p.12
"Money Supply Process: Linkage between Stock Returns, Real Activity, and Money" --- p.14
Stock Returns and Discount Rates --- p.15
Chapter III --- DATA AND METHODOLOGY --- p.17
The Data --- p.17
Statistical Properties of the Data --- p.18
Research Methodology --- p.20
Vector Autoregression (VAR) Analysis --- p.20
Multiple Regression Analysis --- p.24
Chapter IV --- EMPIRICAL RESULTS --- p.27
Crosscorrelations --- p.27
Stock Returns and Real Activity --- p.27
"Stock Returns, Real Activity, and Money" --- p.28
"Real Activity, Money, and Discount Rates" --- p.30
Unit Root Tests --- p.31
Specification of the VAR Model --- p.35
Stock Returns and Real Activity --- p.35
"Stock Returns, Real Activity, and Money" --- p.35
"Real Activity, Money, and Discount Rates" --- p.39
Multiple Regression Analysis --- p.43
Chapter V --- CONCLUDING REMARKS --- p.48
BIBLIOGRAPHY --- p.51
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"Rights issues and investor returns in Hong Kong." Chinese University of Hong Kong, 1992. http://library.cuhk.edu.hk/record=b5887152.
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by Lau Yiu Fai, Lawrence.Thesis (M.B.A.)--Chinese University of Hong Kong, 1992.
Includes bibliographical references (leaves 44-45).
ABSTRACT --- p.ii
TABLE OF CONTENTS --- p.iii
ACKNOWLEDGEMENT --- p.iv
Chapter
Chapter I. --- INTRODUCTION --- p.1
Background --- p.2
Mechanism of Rights Issue --- p.6
Underwriting --- p.10
Intrinsic Value of Rights --- p.14
Advantages of Rights Issues for Fund Raising --- p.15
Trading Strategies for Shareholders --- p.16
Chapter II. --- METHODOLOGY OF ANALYSIS --- p.17
Introduction and Literature Review --- p.17
Performing the Event Study (Announcement of Rights Issue) of the Hong Kong Stocks. --- p.22
Results Analysis --- p.27
Correlations Between Rates of Change in Stock Price During the Announcement Period and the Size of the Proceeds --- p.28
Results Analysis --- p.33
The Price effect of Rights Issues and the Total Net Assets of the Company --- p.34
Results Analysis --- p.35
Chapter III. --- CONCLUSION --- p.37
EXHIBITS --- p.40
BIBLIOGRAPHY --- p.44
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Ogotseng, Onthatile Tiny. "Stock returns behaviour and the pricing of volatility in Africa's equity markets." Thesis, 2017. http://hdl.handle.net/10539/23050.
Full textAbstract:
This Paper empirically investigates the behavior of Africa’s stock price volatility over time in ten African equity markets. It also attempts to establish the existence of a relationship between volatility and expected returns in the chosen equity markets. The effect of volatility on the stock prices is also investigated, together with establishing variations in the stock return volatility risk premia. Lastly, an investigation of whether volatility is transmitted from international markets to African markets is also undertaken. The sample period starts from November 1998 until December 2016.
The preliminary empirical results show a mixed finding in the mean-variance tradeoff theory. Based on the GARCH-type models, the empirical results show that volatility of stock returns show the characteristics of volatility clustering, leptokurtic distribution and leverage effects over time for all the Africa equity markets. A weak relationship between volatility and expected returns is also found in all the African equity markets studied.
The results also showed that as volatility increases, the returns correspondingly decrease by a factor of the coefficient for most of the equity markets. These results negate the theory of a positive risk premium on stock indices. It was also observed that stock return volatility risk premia have variations over time. The study also established that there was volatility transmission from the international markets into Africa equity markets.MT2017
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Sylvester, Deodatus Mkoba. "The relations between dividend policy and stock returns in the Dar Es Salaam Stock Exchange, Tanzania." Thesis, 2015. http://hdl.handle.net/10539/18118.
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Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2015.Dividend policy establishes the distribution of a company’s profit whether they could pay out to the stockholders as dividends or retain the profit for re-investments in the company. There are several theories which explain the dividend behaviour, and the empirical studies suggest evidence for one over the other, however the belief concerning corporate dividend theories are different. There are two conflicting theories; those who believe in dividend relevance theory (Lintner & Gordon) and those who believe in dividend irrelevance theory (Miller & Modigliani). The key part of the study is related to the evaluation of which theory is suited for dividend policy of companies in Dar es Salaam Stock Exchange (DSE). So far numerous researchers have make an effort to solve the dividend puzzle. The main aim of this study was to establish whether there is a relationship between dividend policy and stock return of companies listed in Dar es Salaam Stock Exchange. In particular, the study focuses on three main aspects, namely; investigating the association between stock returns and dividend yield, stock price reaction to dividend announcements and identifying the factors influencing dividend policy decisions. The empirical findings confirmed that dividend yield has a strong impact on stock returns and it is statistically significant. The finding of this study supported the dividend relevance theory. The event study found that dividend announcements have an impact on share prices and the significance of the abnormal around event date confirms that the DSE market supports dividend relevance and signaling theory. Finally, the study concluded that debt ratio and age of the firms have a strong influence on the dividend policy on firms on the DSE.
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Majija, Vuyokazi Bongeka. "The impact of macroeconomic surprises on individual stock returns in South Africa." Thesis, 2017. http://hdl.handle.net/10539/23378.
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A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in fulfillment of the requirements for the degree of Master of Management in Finance and Investment.
June 2017This research report explores how various macroeconomic surprises impact on individual stock returns in South Africa. The focus of the study is on the individual constituent stocks of the FTSE/JSE Top 40 Index listed during the period January 2005 to December 2015. This report employs an event study and Bayesian Vector Autoregressive (BVAR) analysis approach to provide comprehensive insights into the relationship between the macroeconomic surprises and the individual stock returns in South Africa. This study closely mirrors a previous study conducted by Gupta and Reid (2013) which explored the impact of five macroeconomic surprises on general stock market indices (ALSI and JSE Top 40) and industry-specific stock returns in South Africa. However, in the interests of completeness and robustness, there are a few material differences and additional innovations introduced in this report. The event study results show that individual stock returns in South Africa are highly sensitive to GDP growth and CA surprises. Upon immediate impact, the GDP growth shocks cause negative stock returns indicating that initially market participants have a general dislike for the surprise element in GDP growth surprise announcements. However, post immediate impact, the stock returns increase and remain positive in line with widely hypothesized economic theory. In addition to GDP growth and CA surprises, the BVAR analysis indicates that USFed shocks have significant dynamic effects on individual stock returns in South Africa. The study finds that individual banking stocks and resource stocks are significantly sensitive to REPO surprises, whilst individual retail, property and consumer goods stocks are very responsive to GDP growth shocks.
MT2017
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Suttidetputtakun, Watcharuthai, and 蘇薇茹. "Empirical Linkage between Oil Prices and Stock Market Returns: Evidence from Stock Exchange of Thailand (SET)." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/39568744055092236219.
Full textAbstract:
碩士銘傳大學
國際企業學系碩士班
105
The purpose of this thesis is to examine the linkage between the oil price shocks and stock market returns in Stock Exchange of Thailand (SET). Due to Thailand is the oil importer country so that it has the possibility and high potential of the impact on stock market returns by oil price fluctuation. The observation is on daily basis over the period January 1, 2007 to June 30, 2016 with 11 industrial sectors from SET. The unit root of time series is tested for stationary by Augmented Dickey-Fuller (ADF), Phillips-Perron (PP), and Kwiatkowski-Phillips-Schmidt-Shin (KPSS). The unrestricted vector autoregressive (VAR) model with five variables: the return of stocks, the return of SET index, the rate of change in oil price, the rate of change in the exchange rate, and interest rate – is used to assess the different effects. The study employs the Toda and Yamamoto (1995) methodology to uncover the direction of causal relationship between oil price changes and firm’s stock returns. The empirical results show that oil price shock Granger cause the return of the SET index for 100%. While oil price shock unidirectional cause stock return for 47 companies (about 28.5% in the sample). Most of the companies are from Agribusiness, Energy & Utilities, and Automotive industries by 78%, 55%, and 40% of total firms in each industry respectively. This proves that the oil price changes impact on the stock returns differently by sectors. The link between oil price changes and interest rate, there is a unidirectional causality since the past values of oil can cause the interest rate for 100% but on the opposite way is only 1.2%. Moreover, the relationship between oil price shocks and exchange rate changes is also a unilateral causality. Finally, the evidence also shows the stock returns for the large-cap firm are affected by oil price movement more than the small-cap firms.
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Pamornmast, Chayongkan Banking & Finance Australian School of Business UNSW. "Evidence on short and long run returns for equity offerings on the stock exchange of Thailand." 2007. http://handle.unsw.edu.au/1959.4/40578.
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Two important findings in the IPO literature, IPO's underpricing and poor long run stock returns, are investigated by using the sample of IPOs completed in the Stock Exchange of Thailand (SET) from 1994 to 1999. The evidence suggests that Thai IPOs are underpriced and have poor long run stock returns. Rock 's (1986) model is employed to explain the underpricing of Thai IPOs. Rock's model is supported by the evidence of Thai IPOs. Past market conditions and the stock liquidity of the IPOs' industries are the main factors which affect investor demand for IPO shares. IPOs which go public in the hot market conditions (periods with high past market return) and IPOs which come from liquid industries (industries which have high stock turnover) attract more investor demand. These two factors are also positively correlated with IPO first day return. This suggests that investors have higher demand for IPOs which go public in the hot market conditions and IPOs which come from liquid industries because these IPOs are underpriced, and the underpricing of these IPOs is corrected during the first trading day. IPOs with low investor demand underperform their benchmarks in the long run. On the contrary, the long run returns of IPOs with high investor demand are not significantly different from their benchmarks. One possible explanation for the underperformance of IPOs with low investor demand is that these IPOs may be illiquid. The lack of demand during the first trading day may cause their first closing price to be different from their intrinsic value. This difference is gradually adjusted in the long run leading to the underperformance of these IPOs. This hypothesis is supported by the evidence. The sample of rights offerings announced in the SET between 1994 and 1999 also supports the role of liquidity in explaining the poor long run performance of issuers. The change in operating performance of IPOs from the IPO-year to the post-IPO years also has some power in explaining the long run underperformance of IPOs. IPOs which perform more badly after going public have poor long run returns.
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Jing-Guan, Wang Wang, and 王靜觀. "Association Analysis of Exchange Rate, Global Oil Prices and Taiwan Stock Index Returns." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/75621451202411616620.
Full textAbstract:
碩士嶺東科技大學
財務金融研究所
97
This research focuses on analyzing the association among exchange rate, global oil prices and Taiwan stock index returns ranging from January 1, 2000 to September 30, 2008. The real diagnosis result shows that such an association among them can be analyzed based on GARCH(1,1) and EGARCH(1,1) models. The real diagnosis result also depicts that the relationship among global oil prices, exchange rate and Taiwan stock index returns is asymmetric. Using the EGARCH(1,1) model to analyze the relationship is therefore more effective in forecasting the stock index compared to using the GARCH(1,1) model. Meanwhile, the diagnosis illustrates that the relationship between oil prices and Taiwan stock index returns is positive but with less mutual influence whereas the one between exchange rate and Taiwan stock index returns is negative but with high mutual influence. The above mentioned evidences in this research can suggest that stock market investors or international fund managers need to assess the related risk conducted by the global oil prices and exchange rate when making Taiwan stock investment policies. Additionally, the government authority may not neglect the influence caused by the external volatility when the stock market is stable. Otherwise, the anticipated goal may not be achieved.
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Magone, André Tiago Torres Lopes. "How earnings announcement impact Faang stock prices?" Master's thesis, 2019. http://hdl.handle.net/10071/19614.
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Beginning in the late '30s, stock market event studies intend to provide more information about market movements and behavior, around the major events during the year, allowing market players to make better and more sustained investment decisions.
This paper analyzes how the FAANG stocks behave when quarterly earnings announcement results are reported. To answer this question, we compare the performance of 7 different announcements for each firm, by the calculation of the abnormal returns, using 3 different normal models with 2 different extensions, and test the statistical robustness with 4 different statistical tests. Our results showed different price reactions around events, but consistent high abnormal returns on an individual event and period analysis on the day after the announcement.
Results also revealed that on a multi-period analysis, the stocks are not consistently positive or negative, leading to symmetric high abnormal returns and a low percentage of abnormal performance. At the same time, on a multi-event analysis, results, by type of news, show significant under and overreactions on the stock market price movements.
However, the efficient market hypothesis is not consistent when the news, resulting from the announcement, incorporate the stock price. From a safety perspective, this study emphasizes on the necessity to consider the impact of quarterly earnings announcement reports, on FAANG stock prices, and consequently on market players’ investment decisions.Com início no final dos anos 30, os estudos sobre eventos nos mercados de capitais surgem com o intuito de proporcionar mais informação sobre os movimentos e o comportamento do mercado, em torno dos maiores eventos anuais, permitindo aos players de mercado tomar decisões de investimento mais sustentadas. Esta tese analisa como é que as ações FAANG reagem, quando é anunciado o relatório dos resultados trimestrais das empresas. Para conduzir a análise, iremos comparar a performance de 7 anúncios, diferentes para cada empresa, através do cálculo dos abnormal returns, utilizando 3 modelos normais com 2 extensões diferentes, e testar a robustez estatística através de 4 testes. Os resultados demonstram diferentes reações dos preços em torno dos eventos. Mais precisamente, abnormal returns elevados e consistentes, no dia após o anúncio, numa análise individual. Os resultados também revelaram que, numa análise de vários períodos, as ações não apresentam consistência positiva ou negativa, levando a abnormal returns simétricos e uma percentagem reduzida de abnormal performance. Ao mesmo tempo, numa análise multi-eventos, os resultados, de acordo com o tipo de notícias, são significativamente baixos e demonstram reações exageradas nos movimentos de preço no mercado acionista. No entanto, a Hipótese de Mercado Eficiente não é consistente quando as notícias relacionadas com os anúncios trimestrais incorporam o preço da ação. De forma geral, o estudo enfatiza a necessidade de considerar o anúncio dos resultados trimestrais nos preços das ações FAANG e, consequentemente, nas decisões de investimento dos players de mercado.
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Chung, Feng-Yin, and 鍾鳳櫻. "Analyses of Normal Returns of Taiwan Telecom Stock Prices: Application of Event Study Approach." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/u4cm3p.
Full textAbstract:
碩士世新大學
財務金融學研究所(含碩專班)
103
This study explores the linkage among the major and representative stocks related to important events in the history of Taiwan telecommunication since 2002 and their abnormal return rate. The event study was adopted to analyze the stock price return rate of the representative stocks of cell phone manufacturers and agents and telecommunication system suppliers in all stages were selected within 15 event days. Meanwhile, the abnormal return rate of these representative stocks was also tested. In this way, this study aims to find out the influence of the important events in the development stages of telecommunication on the abnormal return rate of stock price. The average abnormal return rates of the event period during the event days in the 3G development stages showed that most AR of stock price was negative only on the tendering date of 3G and that the majority of relevant stocks were under the adverse impact of the events. As the telecommunication systems were put into operation one by one, the sample stocks gradually turned for positive and the adverse impact gradually changed into a positive one. Likewise, the events created positive effect after the telecommunication system suppliers started their business in the 4G development stages. According to the average abnormal return rate of the event period during the event days in the stage where the iPhone products went public, only the AR of the stocks of cell phone agents were positive; the event days had negative effect on the remaining stocks related to telecommunication. Judging from the mean of AR, the positive value of HTC was high because its main products and flagship types in the 3G and 4G development stages were all popular commodities in the market. The number of the types deputized by AURORA decreased year after year; consequently, its AR mean was the most negative one. According to the cumulative average abnormal return rate during the event period, the investors gained little excess return from the stocks in the initial stage of the 3G development; the telecommunication initiation might obtain some excess return only when it bore a positive relationship to the telecommunication system suppliers. In the 4G development stage, it was a positive relationship only on the tendering day, and there was slight excess return during other 4G event days, showing beforehand reaction and flowing the market trend.