Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 56 for “"Betas"”.
-
Market Betas on the JSE: Factor selection, estimation and empirical evaluation
… examines the nature and significance of market betas on the Johannesburg Stock Exchange (JSE). The identity of market betas is determined by means of Principal Component Analysis (PCA) performed on the returns of the FTSE/JSE Africa Index Series. A scree test shows two factors necessary for …
-
Interaction between firm-level variables and stock betas : a South African perspective
… between firm-level variables and stock betas in the South African equity market and if existent, use this relationship to aid market participants in the investment process. This paper looks at the use of Kalman filter in estimating stock betas which vary over time. A brief overview of …
-
Two Essays on Asset Pricing
… chapter shows that the measurement errors in betas for stocks induce corresponding measurement errors in alphas and a spurious negative covariance between the estimated betas and alphas across stocks. This negative covariance between the estimated betas and alphas results in a violation of the …
-
Rational asset pricing: book-to-market equity as a proxy for risk in utility stocks
… fundamentals. Utilities have historically used betas to justify rate increases I developing rate structures that meet the rate of return demands for investors given the risk profiles that the company betas suggest. Realizing that low betas argue against large rate increases l utilities have …
-
Asset pricing in UK
… find differences, between constant unconditional betas and conditional betas cost of capital. The average Mean Square Error (MSE) for the conditional betas are smaller compared to constant betas. Moreover we find that the CAPM has larger MSE not only compared to the APT model with conditional …
-
Essays on Macroeconomic Announcements and Asset Pricing
… links. I find that firms’ factor sensitivities (betas) are significantly correlated with their customers’ respective betas. I further document this effect holds in the setting of firms in strategic alliances. The second chapter of my thesis is co-authored with Thomas Gilbert and Christopher …
-
Two essays on the predictability of asset prices: "Benchmarking problems and long horizon abnormal returns" and, "Low R square in the cross section of expected returns"
… exact linear relationship between return and betas (SML). This means that estimated time series betas for firms should be related with firms' future returns. However, the estimated betas have almost no relationship with future returns. The cross-sectional R2 are surprising low (3% average) …
-
Equity investment styles
… by the CAPM model, in particular, alphas, betas and equity premium and to outline implications for investment managers that statistical and structural analysis of the aforementioned variables may suggest. The thesis contributes to the existing literature in the following areas. First, it …
-
Three Essays on Fiscal Policy
… a CAPM is used to estimate time-variant country betas which are used as a proxy for country risk by using a DCC-GARCH model. Then, at the second stage, time variant country betas are regressed on a set of macroeconomic, financial and political variables to distinguish the relative effects of each …
-
Three essays in financial economics
… in stocks with highly positive (negative) betas and short positions in stocks with highly negative betas given a positive (negative) realized factor return. Time-varying stock betas enhance the degree of magnification significantly. I demonstrate that a simulated market in which asset …
-
The incremental information content of the annual report and accounts
… gives rise to a downward bias when estimating betas. Although the sample comprised actively traded mainly large companies, the betas were re-estimated using a method which takes into account thin trading. The results indicated that parameter estimates have to take into consideration thin …
-
A Treatise on Downside Risk
… stock return reversals. We show that downside betas of past losers are significantly greater than downside betas of past winners, and the inclusion of downside beta in Fama-Macbeth regressions subsumes the reversal effect.
-
Essays on Macro-Finance Relationships
… third essay investigates time variation in CAPM betas for book-to-market and momentum portfolios across stock market volatility regimes. For our analysis, we jointly model market and portfolio returns using a two-state Markov-switching process, with beta and the market risk premium allowed to …
-
Essays on comovement
… essay (Chapter 2) finds that the univariate betas of 36-46% of our sample of 733 added stocks 1976-2015 decrease each year following addition. Moreover, a majority of the 192 deleted stocks increase rather than decrease each year at monthly frequency. This chapter develops a stylised model in …
-
Intermediation frictions in equity markets
… returns on more intermediated stocks have higher betas on contemporaneous shocks to intermediary willingness to take risk and are more predictable by state variables that proxy for intermediary health. The empirical evidence suggests that asset pricing models featuring financial intermediaries as …
-
Essays on the emiprical properties of stock and mutual fund returns
… lower return standard deviations and lower betas than the full sample. Beta has no explanatory power even when the CAPM is true, a finding virtually unaffected by survivorship bias. Returns to a momentum strategy are positive even when stock idiosyncratic returns are serially and …
-
Range-based Risk Estimation in Euro Area Countries
… and to construct a new estimator of market betas. We create a measure called “range-beta”, which is based on the daily range-based volatility and covariance estimators of Rogers and Zhou (2008). These range-based betas reflect the current day’s intra-day price movements. They avoid a …
-
Recognition Mechanisms of Nuclear Localization and Export Signals
… Karyopherin beta family of proteins. Karyopherin betas recognize their substrates through either a nuclear localization or export signal depending on the direction of transport. Even though there are ten yeast import Karyopherin betas, for the past thirteen years there was only one well …
-
Three Essays on the Impact of Analysts on Financial Markets
… test portfolios that are double-sorted on their betas and their coefficients on aggregate dispersion, as well as numerous test portfolios. We construct a general equilibrium model in the spirit of Merton’s ICAPM, in which analysts of different types have heterogeneous beliefs and provide different …
Page 1 of 3