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 68 for “"Expected return"”.
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Pengaruh kenaikan harga bahan bakar minyak (BBM) terhadap expected return saham: Event study pada saham LQ-45 yang terdaftar di bursa efek Indonesia periode 2012-2013
… untuk menguji apakah terdapat pengaruh terhadap expected return saham LQ-45 pada saat sebelum dan sesudah kenaikan harga BBM. Hasil penelitian ini menyatakan bahwa terdapat perbedaan yang signifikan antara harga saham sektor LQ-45 pada saat sebelum dan sesudah kenaikan harga BBM. Hal ini …
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The effect of South African dividend and capital gains taxes on cost of capital, firm value and capital structure
… capital gains tax (CGT) on investor measures of expected return and firm value, firm cost of capital and optimal capital structure. The discussion, findings and models presented in this study are entirely original in the field of South African corporate finance research. I model the relationship …
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Essay 1. Equity Style Identification. Essay 2. Equity Fund Performance Evaluation: The Importance of Fund Style. Essay 3. A Dynamic Model of Mutual Fund Managers' Investment Strategies
… has the best trade-off between the portfolio's expected return and its volatility of tracking error. When the time is close to the end of the assessment period, poor performers increase expected returns by raising skill levels but good performers reduce the volatility of returns by decreasing …
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Application of portfolio theory to labor contract valuation : the case of the airline industry
… Pricing Model (CAPM) is used to determine the expected return from the bond relative to the entire financial market. The Net Present Value of the payment stream and the expected return of the bond are then combined to give the value of the labor contract. The resulting formula is a function of …
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Does specialization in security analysis and portfolio management explain deviations from the CAPM?
… the risk of an individual security to its expected return, is frequently cited in investments textbooks and the academic literature as a centerpiece of modem finance theory. The main prediction of the CAPM is that investors are compensated in the form of expected return only for bearing …
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General superposition strategies and asset allocation
… measuring the impact of stop-loss rules on the expected return and volatility of an arbitrary portfolio strategy, and derive conditions under which stop-loss rules add or subtract value to that portfolio strategy. I show that under the Random Walk Hypothesis, simple 0/1 stop-loss rules always …
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Empirical Essays on Financial Economics
… we develop a model for calculating the net expected value of a swap agreement subject to dual-default risk. The main explanatory variable for the net expected return of a swap is the default intensity of each party measured by the credit rating of the firm. We derive the net expected return …
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Stocks are from Mars, real estate is from Venus : an inquiry into the determinants of long-run investment performance
… modeled the cross-section of long-run total returns across the major asset classes, including real estate. The present thesis narrows that earlier focus to concentrate on the cross-section of long-run total return performance within the core institutional real estate asset class. This thesis …
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Understanding the low volatility anomaly in the South African equity market
… Asset Pricing Model (CAPM) advocates that expected return has a linear proportional relationship with beta (and subsequently volatility). As such, the higher the systematic risk of a security the higher the CAPM expected return. However, empirical results have hardly supported this view as …
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Volatility Modeling and Risk Measurement using Statistical Models based on the Multivariate Student's t Distribution
… has focused on the statistical modeling of expected return and volatility. The primary aim of this study is to propose a framework, based on the probabilistic reduction approach, to reliably quantify market risk using statistical models and historical data. Particular emphasis is placed on …
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Financial Structure of Corn -Belt Cow -Calf Enterprises: The Impact of Alliance Participation on Producer Financial Position
… Cow-Calf producers. The study finds the risk-return theory to be intact as income variability rises with the added expected returns of alliance participation. Additionally, the results suggest that the improved expected return has a strong impact on improving financial ratios due to the low …
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An analysis of the capital budgeting sophistication of primary forest products firms in the Eastern United States
… method. The majority of firms compared the expected return on an investment to a minimum rate of return but this minimum was often determined non-quantitatively. Firms most often accounted for the risk of an investment by subjective means.
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The behaviour of style anomalies on the Australian Stock Exchange : a univariate and multivariate analysis
… explain the cross-sectional variation in share returns beyond that explained by data. These anomalous effect have become known as "style effects " or "style characteristics". This thesis sets out to examine the existence and behaviour of these style-characteristics over the period June 1994 to …
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Predictability in Equity Markets: Estimation and Inference
… the predictor is an imperfect proxy for the expected returns. I show that when there are differences between the dynamic structure of the expected return and the predictor, the predictive regression uses predictive information inefficiently. As a solution, I propose a persistence adjustment …
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Risk-return portfolio modelling
… with a given security as the variance of the expected return and showed how under certain conditions an investors portfolio can be managed by balancing the expected return of the portfolio and its variance. Building on Markowitz original framework, William Sharpe, extended these ideas by …
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The effect of economic factors on the performance of the Australian stock market
… as a whole and analyses how, for a given rate of expected return, assets can be invested efficiently and how risk can be minimized. An effectively diversified portfolio minimizes the unsystematic risk which is affected by factors that are specific to the individual firms and, to some extent, the …
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Analysis of Exponential Filter Time Series Operators of Geometric Brownian Motion in Trading Strategies
… inferences about various properties such as expected returns. In this work, a deductive model is assumed where asset price dynamics are driven by a stochastic differential equation (SDE) in a continuous-time setting under the assumption of a frictionless market. A number of properties about …
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On the waterfront : a 25 year study of the relative risk & return of Florida single-family waterfront and inland homes (1977-2002)
… study applies the classic capital markets risk/return relationship-the riskier the investment, the greater the expected return-to the single-family home market. Treating coastal waterfront property as a unique asset class, its investment performance is measured and compared with that of inland …
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Skew Normal Bayesian Asset Allocation
… by assuming hidden truncation skew-normal returns. Hidden truncation model provides a flexible family of skewed alternatives to the classical k dimensional normal distribution. In their groundbreaking framework in Bayesian asset allocation, Black and Litterman (BL) were able to construct …
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Returns on Chinese residential development projects : a practical investment evaluation procedure developed for the analysis of Chinese residential development projects based on modern financial economic norms
… calculating residential real estate development returns in China, I argue in this thesis that, based on modern financial economic norms, a practical investment evaluation procedure can be developed for analyzing Chinese residential development projects. The new procedure is a practical …
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