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 113 for “"Expected Returns"”.
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Measuring Expected Returns in a Fluid Economic Environment
… Model and the model's uses to analyze portfolios returns. It also looks at subsequent versions of the CAPM including a multi-variable CAPM with the inclusion of selected macro-variables as well as a non-stationary beta CAPM to estimate portfolio returns. A new model is proposed that combines the …
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Effect of market anomalies on expected returns on the JSE: A cross-sector analysis
… what impact these market anomalies have on the expected returns of different stock market's sectors. The aim of the study was to test the effect of selected market anomalies on expected return in different sectors of the Johannesburg Stock Exchange (JSE). More specifically, the study aimed to …
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The conditional CAPM and the cross section of expected returns : evidence for the Canadian market
… explain the cross-sectional variation of monthly returns on 25 SIZE - and beta -sorted portfolios of Canadian common stocks over the period from June 1965 to December 1992 (330 months); and (b) to compare the performance of this conditional CAPM with the unconditional CAPM (SLB model). For …
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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"
… "Benchmarking problems and long horizon abnormal returns" and, "Low R-square in the cross section of expected returns". Long run abnormal returns following Initial Public Offerings (IPOs), Seasoned Equity Offers (SEO) and other firm level events are well documented in the finance literature. These …
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Three Essays on Extremes and Non-Linearities in Asset Pricing
… The first essay "Time-Varying Conditional Market Returns: Is Variance or Tail-Risk Priced", empirically investigates the question whether there is a positive relationship between aggregate market tail risk and expected returns. Based on the classical risk return trade-off, intuition suggests a …
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The effect of crop yield and feed price variability on profitability of dairy farming in Virginia: a target MOTAD approach
… particular feed crops affect the variability of expected returns in dairy farming. Specific objectives include: 1) to evaluate the relationship between feed production risk and the level and variability of net returns for a representative dairy farm in Virginia; 2) to evaluate the relationship …
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Robust portfolio construction using sorting signatures
… of estimation error in the estimates of the expected returns and covariances which serve as input to the optimisation. Several attempts have been made to produce more reliable estimates, with a significant amount of effort and resources placed in estimation of expected returns, which is …
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Application of robust statistics to asset allocation models
… for asset allocation involve the computation of expected returns and the covariance or correlation matrix of financial instruments returns. How much of each instrument to own is determined by an attempt to minimize risk (the variance of linear combinations of investments in these financial …
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Developing a Mainland China REIT Return Index (2015-2020) through a Pure-Play Approach
… investors are keen to seek a proxy for expected returns in this potential market for formulating investment decisions. Expected returns on an exante basis are typically based on ex-post return data, and since China does not currently have a REIT market, there is no historical data …
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Rational Expectations, Supply Effect, and Stock Price Adjustment Process: A Simultaneous Equations System Approach
… upon a postulated probability distribution of returns, is examined. Thus the model is too restrictive in its omission of multiperiod price behavior, its assumption of exogenously given expected returns, and its neglect of the supply side.
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The Determinants of Rural Outmigration in the United States: 2010-2014
… from rural to urban areas, our analysis compares expected returns in rural to those in urban areas. Using annual U.S. countylevel count data spanning the period from 2010 to 2014, Fixed Effect and Negative Binomial methods are used to evaluate the effects of both economic and noneconomic variables …
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Essays in the economic implications of select animal health and crop production issues
… results will be used to evaluate the expected returns and risk for various BVDV biosecurity measures in U.S. cow-calf herds by using a linear programming model which incorporates risk. Results from the study show that, in the context of whole farm planning, vaccination, testing or a …
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Factors influencing German private equity investment in US real estate
… Interview results indicate that "Higher Expected Returns in US Real Estate," "Trust in the Investment Advisor/Company," and "Diversification" are the three most influential factors for investor decisions about US real estate investment. Investors reported that exogenous factors such as …
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A portfolio analysis based on the leverage effect of exchange rates on JSE stocks
… are estimated for the three groups and expected returns are calculated for the different investors, which are predetermined by their future exchange rate expectations vis-a.-vis purchasing power parity (PPP).
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Essays on predictability of stock returns
… three chapters exploring predictability of stock returns. In the first chapter, I suggest a new approach to analysis of stock return predictability. Instead of relying on predictive regressions, I employ a state space framework. Acknowledging that expected returns and expected dividends are …
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Lobbying as a hedge on political risk : when size matters
… through lobbying, which leads them to earn lower expected returns. I provide two strands of empirical evidence consistent with the model predictions. The first one looks at the behavior of a blue versus red industries around the unexpected results of the 2016 US Presidential election. The second …
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