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.
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Showing 1 to 20 of 64 for “"Equity returns"”.
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Testing Market Efficiency of MENA Equity Returns
… policy uncertainty, and transparency on stock returns. The study also investigates how Stock Market Efficiency responds asymmetrically to different macroeconomic policies, transparency, and economic policy uncertainty. The study measures the efficiency of stock exchanges in 14 countries in the …
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Essays on the term structure of equity returns
… contains three essays on the term structure of equity returns. In the first chapter I document substantial variation in the cross-section of the term premium of US stocks between 1996 and 2019. I introduce a model with multiple stocks and an SDF with two priced sources of risk - dividend …
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Oil Price Movements and Equity Returns: Evidence from the GCC Countries
… what extent how oil movements differently affect equity returns in general and sectoral levels of the GCC countries stock markets. Modeling the equity returns volatility requires using GARCH-type models. These models help to explore the pronounced differences of the conditional variance structures …
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Cash-Flow Risks, Financial Leverage and the Cross Section of Equity Returns
… between financial leverage and expected equity returns? How is the empirical relationship associated with firm's financial decisions? This dissertation investigates the potential explanations for the flatness relation between financial leverage and expected equity returns, and its link to …
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The Differential Effects of Unexpected Permanent and Transitory Earnings Changes on Equity Returns
… The design uses standardized abnormal returns from a market model to surrogate changes in firm value, and forecasts from the Value Line Investment Survey to proxy market earnings expectations. Parametric and nonparametric tests are utilized in testing the hypotheses. The results of the …
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An investigation of the equity premium using habit utility and equity returns: Australian evidence
… free assets represented by bonds is named the 'Equity Premium' or 'Equity Risk Premium'. In the history of asset pricing models, one of the most serious problems for the equity premium is that the average equity premium is too large to be explained by standard general equilibrium asset pricing …
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Reexamine the impact of security offering decisions on equity returns: The multivariate signaling hypothesis
This thesis reexamines the validity of the informational signaling hypothesis with the security offering announcements of companies. Market, company and offering data are used to test this hypothesis directly by examining the immediate and permanent announcement effects on stock price. For the …
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A machine learning hybrid approach to forecasting equity returns volatility: A South African perspective.
… predicting the volatility of financial market returns, and various studies have indicated differing degrees of accuracy in this regard. Research on describing the effectiveness of various approaches under various conditions is still ongoing. This field has moved from simple econometric …
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Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange
… between firm-specific attributes and stock returns on the Tokyo Stock Exchange (TSE). A dataset of 226 firm-specific attributes are constructed and tested. The data are adjusted for thin-trading and outliers are free from look-ahead bias. Two separate time periods are investigated in order …
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The puzzling behavior of equity returns: The need to move beyond the consumption capital asset pricing model
<p>This dissertation examines returns in equity markets and the ability of extant models to account for their behavior. I first consider the so-called "expectations hypothesis" (EH) and find that it fails empirically even when structural change is incorporated into the analysis. I then examine the …
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Artificial neural networks and the cross-section of equity returns: identifying nonlinear opportunities on the Johannesburg Stock Exchange
… Neural Networks (ANNs) to forecast stock returns on the Johannesburg Stock Exchange (JSE) using fundamental and technical factors. The optimal neural network architecture is explored, considering varying model depths and node counts. The activation function, training algorithm, learning …
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The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns
… factors on the cross-sectional variation in equity returns on the Johannesburg Securities Exchange (JSE). Three approaches to address this objective were identified through an extensive literature study covering more than half a century’s research, namely a cross-sectional regression …
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Analysis of the cross-section of equity returns on the JSE Securities Exchange based on linear and nonlinear modeling techniques
… style attributes and the cross-section of equity returns on the JSE Securities Exchange (JSE) over the period from 1 January 1997 to 31 December 2007. Both linear and nonlinear expected returns forecasting models are constructed based on the cross-section of equity returns. A blended …
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The currency risk factor in international equity pricing
Currency risk in the pricing of international equity returns is analyzed from an empirical viewpoint. The significance of other factors, such as the domestic market index, world index, and industry index is also analyzed.
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Equity investment styles
… is to investigate the nature of determinants of equity returns as suggested 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 …
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Three essays on institutions, financial markets and foreign direct investment
… the connection between freedom of the press and equity returns in emerging market firms. Freedom of the press is argued to affect systematic risk in financial markets and thus, has impact on returns of financial assets. The study reveals that there is significant connection between freedom of the …
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