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Gotowe bibliografie tematyczne / Stocks Rate of return Mathematical models

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Gotowa bibliografia na temat „Stocks Rate of return Mathematical models”

Autor: Grafiati

Data publikacji: 4 czerwca 2021

Data aktualizacji: 19 lutego 2022

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Artykuły w czasopismach na temat "Stocks Rate of return Mathematical models"

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Oygur, Tunc, and Gazanfer Unal. "Evidence of Large Fluctuations of Stock Return and Financial Crises from Turkey: Using Wavelet Coherency and Varma Modeling to Forecast Stock Return." Fluctuation and Noise Letters 16, no. 02 (May 25, 2017): 1750020. http://dx.doi.org/10.1142/s0219477517500201.

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Shocks, jumps, booms and busts are typical large fluctuation markers which appear in crisis. Models and leading indicators vary according to crisis type in spite of the fact that there are a lot of different models and leading indicators in literature to determine structure of crisis. In this paper, we investigate structure of dynamic correlation of stock return, interest rate, exchange rate and trade balance differences in crisis periods in Turkey over the period between October 1990 and March 2015 by applying wavelet coherency methodologies to determine nature of crises. The time period incl

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Lioui, Abraham, and Paulo Maio. "Interest Rate Risk and the Cross Section of Stock Returns." Journal of Financial and Quantitative Analysis 49, no. 2 (March 10, 2014): 483–511. http://dx.doi.org/10.1017/s0022109014000131.

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AbstractWe derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money. The model explains well the cross section of stock returns in addition to the excess market return. The interest rate factor is priced and seems to drive most of the explanatory power of the model. In this model, both value stocks and past long-term losers enjoy higher average (excess) returns because they have higher interest rate risk than growth/past winner stocks. The model significantly outperforms the nested models (capital asset pricing model (CAPM) and consumption CAPM (CCAPM

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Škrinjarić, Tihana, and Boško Šego. "Using Grey Incidence Analysis Approach in Portfolio Selection." International Journal of Financial Studies 7, no. 1 (December 23, 2018): 1. http://dx.doi.org/10.3390/ijfs7010001.

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Due to the development of financial markets, products, financial and mathematical models, portfolio selection today represents a comprehensive set of activities. Investors take into consideration many different factors, such as the market factors, return distribution characteristics and financial statements information. This research applies a Grey Relational Analysis (GRA) approach to evaluate the performance on a sample of stocks by taking those different factors into consideration. The results based upon a sample of 55 stocks for the trading year 2017 on the Croatian capital market show tha

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Lee, Cheng-Wen, and Dolgion Gankhuyag. "Portfolio Optimization in Post Financial Crisis of 2008-2009 in the Mongolian Stock Exchange." Jurnal METRIS 21, no. 01 (June 1, 2020): 47–58. http://dx.doi.org/10.25170/metris.v21i01.2432.

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In this study, we present the Mongolian stock market’s performance post phenomenal financial crisis of 2008-2009, opportunities to invest and the risks problems. For analysis of the study, we used financial portfolio optimization models with restricted structure, mathematical statistic methods and financial methods. First, we considered about portfolio optimization in the Mongolian Stock Exchange using Markowitz’s modern portfolio theory and Telser’s safety first model. We used MSE weekly trading data chosen 50 most traded stocks out of 237 stocks listed at the MSE between 2009 and 2013. We ge

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Hatem, Ben Said. "How Can We Measure Stock Market Returns? An International Comparison." International Business Research 10, no. 5 (April 24, 2017): 121. http://dx.doi.org/10.5539/ibr.v10n5p121.

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The aim of our empirical work is to identify how we can measure stock returns. Stocks returns are approximated as the growth rate of market share price. We use two measures of stocks returns; return on assets, ROA, and return on equity, ROE. As a control variable, we use firm age. Our samples consists of 186 firms from United Kingdom and 186 firms from Ukraine studied over a period of 4 years from 2007 to 2010. To this end, we estimate three models. Using the data panels methodology, we conclude that return on equity approximates better socks returns for United kingdom and Ukraine. We could no

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Yuan, Man. "Mathematical Analysis Method for Stock Market Using MA and KDJ Indicator." Asian Business Research 4, no. 2 (June 6, 2019): 21. http://dx.doi.org/10.20849/abr.v4i2.618.

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With the rapid development of Economic Globalization as well as international trade and capital transaction, stock market take a more and more important position in the finance analysis.In this thesis, I combined the MA the KDJ, MA for long term trend analysis and KDJ for short term analysis. First I introduced MA and KDJ separately, their strength and weakness. Then I try to put them together, adjust the parameters to make them suitable for Shanghai Stock Exchange Composite Index.Then I use my model to simulate transaction in real world, estimate the rate of return and comparing with the stoc

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Shin, Dong Hoon. "Optimal Pairs Trading Strategy under Geometric Brownian Motion and its Application to the US stocks." International Journal for Innovation Education and Research 9, no. 5 (May 1, 2021): 550–60. http://dx.doi.org/10.31686/ijier.vol9.iss5.3125.

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This study is a study on pair trading, a representative market-neutral investment strategy. A general pair trading strategy uses econometric techniques to select a pair of stocks and calculates the trading price level depending on a single variable called the variance of stock returns without any theoretical background. This study applies the optimal pair trading strategy proposed by Liu et al. (2020) to the top US market cap stocks and examines its performance. This strategy proposes a mathematical background for optimally calculating the trading price level. Since the statistical method for

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Neilson, E. T., D. A. MacLean, P. A. Arp, F. R. Meng, C. P.-A. Bourque, and J. S. Bhatti. "Modeling carbon sequestration with CO2Fix and a timber supply model for use in forest management planning." Canadian Journal of Soil Science 86, Special Issue (March 1, 2006): 219–33. http://dx.doi.org/10.4141/s05-081.

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Carbon (C) dynamics and forest management have become integrated in recent years, largely due to the Kyoto Protocol stipulating that forest C changes may be accountable in an emissions framework. A C stock modeling framework for forest managers is introduced in this paper. Empirical growth and yield models are used to develop sustainable timber supply for forest companies. These models use linear programming to solve the complex mathematical problem of timing and allocation of forest harvest and silviculture interventions. In this paper, we evaluated the effects of “business as usual”forest ma

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Setyawati, Ni Putu Eka Cahya, and Gede Merta Sudiartha. "PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL MARKOWITZ." E-Jurnal Manajemen Universitas Udayana 8, no. 7 (March 10, 2019): 4213. http://dx.doi.org/10.24843/ejmunud.2019.v08.i07.p08.

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Investment can be related to investing some funds in financial assets or real assets such as land, gold, shares, deposits, bonds and other forms. As a party who is make an investment, investors will be faced with a variety of options in investing that has a rate of return and risk-appropriate expectations. The ways that usually used by investors is to diversify through the creation of a portfolio. The aim of this research is to know the stocks that can be inserted into the optimal portofolio as well as the proportions of each of the stocks, that the model established by Markowitz. This researc

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Qudratullah, Mohammad Farhan. "Treynor Ratio to Measure Islamic Stock Performance in Indonesia." Jurnal Fourier 8, no. 1 (April 30, 2019): 1–13. http://dx.doi.org/10.14421/fourier.2019.81.1-13.

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Treynor Ratio merupakan model pioner inovatif ukuran kinerja saham yang dikemukakan Jack Treynor pada tahun 1965 yang terdiri atas 3 (tiga) komponen, yaitu return saham, return bebas risiko, dan beta saham. Banyak penelitian mendekati return bebas risiko dengan suku bunga termasuk saat mengukur kinerja saham syariah, sedangkan suku bunga dilarang dalam konsep keuangan islam. Tulisan ini membahas variabel alternatif untuk mendekati return bebas risiko selain dengan suku bunga (BI-Rate), yaitu dengan 4 (empat) pendekatan, yaitu: menghilangkan suku bunga, mengganti dengan zakat rate, mengganti de

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Rozprawy doktorskie na temat "Stocks Rate of return Mathematical models"

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Luo, Yan, and 罗妍. "Three essays on noise and institutional trading." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44549246.

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Emeny, Matthew. "The book-to-market effect and the behaviour of stock returns in the Australian equity market." Title page, contents and abstract only, 1998. http://web4.library.adelaide.edu.au/theses/09ECM/09ecme533.pdf.

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"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-

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

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

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

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Xu, Jin, and 徐瑾. "Distress risk and value premium: evidence from Japan." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203682.

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

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

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

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

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Wagenaar, Elmien. "A mathematical approach to financial allocation strategies." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/52648.

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Książki na temat "Stocks Rate of return Mathematical models"

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Flood, Robert P. Estimating the expected marginal rate of substitution: Exploiting idiosyncratic risk. Cambridge, MA: National Bureau of Economic Research, 2004.

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Flood, Robert P. Estimating the expected marginal rate of substitution: Exploiting idiosyncratic risk. Cambridge, Mass: National Bureau of Economic Research, 2004.

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Kandel, Shmuel. Portfolio inefficiency and the cross-section of expected returns. Cambridge, MA: National Bureau of Economic Research, 1994.

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Campbell, John Y. Understanding risk and return. Cambridge, MA: National Bureau of Economic Research, 1993.

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Kandel, Shmuel. On the predictability of stock returns: An asset-allocation perspective. Cambridge, MA: National Bureau of Economic Research, 1995.

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Cochrane, John H. Volatility tests and efficient markets: A review essay. Cambridge, MA: National Bureau of Economic Research, 1991.

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Cecchetti, Stephen G. The equity premium and the risk free rate: Matching the moments. Cambridge, MA: National Bureau of Economic Research, 1991.

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Ferson, Wayne E. Weak and semi-strong form stock return predictability revisited. Cambridge, Mass: National Bureau of Economic Research, 2005.

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Ferson, Wayne E. Weak and semi-strong form stock return predictability, revisited. Cambridge, MA: National Bureau of Economic Research, 2004.

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Ferson, Wayne E. Weak and semi-strong form stock return predictability, revisited. Cambridge, Mass: National Bureau of Economic Research, 2004.

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Części książek na temat "Stocks Rate of return Mathematical models"

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Melicherčík, Igor, and Daniel Ševčovič. "Dynamic model of pension savings management with stochastic interest rates and stock returns." In Mathematical and Statistical Methods for Actuarial Sciences and Finance, 295–303. Milano: Springer Milan, 2012. http://dx.doi.org/10.1007/978-88-470-2342-0_35.

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Nauss, Robert M. "Incorporating the Concept of Internal Rate of Return in Linear and Integer Programming Models." In Algorithms and Model Formulations in Mathematical Programming, 169. Berlin, Heidelberg: Springer Berlin Heidelberg, 1989. http://dx.doi.org/10.1007/978-3-642-83724-1_23.

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Chen, Hong-Yi, Cheng Few Lee, and Tzu Tai. "The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach." In Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, 1345–97. WORLD SCIENTIFIC, 2020. http://dx.doi.org/10.1142/9789811202391_0035.

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