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 57 for “"Low volatility"”.
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Low volatility alternative equity indices
… has been an increasing interest in constructing low volatility portfolios. These portfolios have shown significant outperformance when compared with the market capitalization-weighted portfolios. This study analyses the low volatility portfolios in South Africa using sectors instead of individual …
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Examining the Low Volatility Anomaly in Stock Prices
… higher returns vis-à-vis investments with lower beta over the long run. In fact, many studies suggest that investments with lower beta actually generate equal to or higher returns relative to investments with higher beta. In looking at data for the S&P 500 going back 22 years between 1990 …
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Understanding the low volatility anomaly in the South African equity market
… 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 argued as early as Black (1972). Instead, an anomaly has been evidenced across a …
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Measurement and characterization of low volatility organic compounds in the atmosphere
… technique for the quantification of intermediate volatility organic compounds (IVOCs), which are compounds with saturation vapor pressures of 10³-10⁷ [mu]g/m³. This analytical technique, the thermal-desorption electron ionization mass spectrometer (TD-EIMS) provides a volatility separated, bulk …
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An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange
The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind …
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Ignition Quality Tester: an alternative for characterizing the combustion kinetics of low volatility fuels, The
… validate the kinetic mechanisms of both high and low volatility fuels. Such validated mechanisms are an essential component for engine models used to improve efficiency and determine the impact of alternative fuels. There are other approaches to measure the ignition kinetics of high volatility …
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The Economics Of Gasoline Regulation: Price Impacts And Consumer Costs Of Environmental Air Quality Programs
… to assess impacts of reformulated gasoline and low volatility gasoline on retail gasoline prices and consumer costs. I estimate that reformulated gasoline has had a positive and statistically significant impact on real fuel prices of approximately 3.4 to 6.0 cents per gallon. I estimate that …
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Forecasting Equity Volatility Dynamics with Markov-Switching EGARCH Models
Understanding and anticipating stock market volatility enables better portfolio management. We forecast US equity volatility with a Markov-Switching EGARCH model with one high and one low volatility regime. We show that this model contains similar information about future volatility as the VIX …
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On Volatility, Outliers, and Uncertainty
… different manner during periods of low volatility versus periods of high volatility. I achieve this by measuring non-linearities in relationship between the SP 500 and the VIX across different market regimes. Three distinct market regimes are identified through a Markov Process, …
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Essays on the empirical analysis of energy risk
… examines the very short-end of the futures curve volatility. To address in a realistic way the potential diverse response of oil volatility to fundamentals across high and low volatility regimes, augmented regime volatility models are employed. Results indicate that volatility can be decomposed to …
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Formation and evolution of atmospheric organic matter from radical intermediates
… radical molecular structure in the formation of low-volatility species. Here, measured aerosol yields and chemical composition were explained by two major effects: (1) the relative importance of isomerization and fragmentation pathways, which control the distribution of products, and (2) …
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Essays on the term structure of equity returns
… SDF with two priced sources of risk - dividend volatility risk and discount rate risk - which generates an economy with both upward and downward sloping equity term structures. The model creates two hypotheses: (1) dividend strips of stocks with more volatile dividends should earn higher …
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Two Essays on Investment
… momentum. Using a Markov-switching framework, allowing for variation between high volatility and low volatility states, I find that price momentum is significantly more influenced by earnings momentum in the high volatility state. Further for price momentum I find that loser firms display a …
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Essays on monetary policy and international trade
… When the transitory component is in the low volatility state, a contractionary monetary policy significantly reduces stock prices. When the transitory component is in the high volatility state, the negative effect of monetary policy becomes larger, but the difference of the monetary …
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Trimethylation Enhancement using Diazomethane (TrEnDi) Enhances Mass Spectrometry-Based Analysis of Glufosinate and 3-(Methylphosphinico)propionic Acid in Complex Matrices
… plants and mammals. Due to their high polarity, low volatility, small size and lack of chromophores and fluorophores, glufosinate and its breakdown product 3-(methylphosphinico) propionic acid (3-MPPA) are difficult to detect at trace levels. Using the chemical derivatization strategy …
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Thermodynamical, structural, and dynamical characterization of solvent mixtures of technological interest: experimental and computational studies
… solvents with “green” characteristics, such as low volatility and low toxicity. They can be used as a valid alternative to the common organic solvents with a high environmental, health and safety impact. The aim of my research was to investigate their thermodynamical, structural, and dynamical …
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Interaction effects within factor investing in a South African context
… focuses specifically on quality, value, low volatility and momentum and determines which factors have the largest impact on portfolio return. In addition to testing these single factor portfolios, the various interaction effects between the individual factors are investigated. This …
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Interaction studies of imidazolium based ionic liquids with organic acids and acetophenone : thermodynamic, spectroscopic, and theoretical approaches
… of cations and anions. They exist as liquids below 100°C or at room temperature, which is why they are sometimes referred to as room-temperature ionic liquids (RTILs). These salts are receiving a great deal of attention in a wide range of fields of chemistry and chemical engineering, this is due …
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Why Go Democratic? Civil Service Reform in Central and Eastern Europe
… display signs of institutionalization (e.g., low fragmentation and low volatility), there is little political patronage, as party competition is able to constrain cronyism. In the absence of political patronage, the civil service is filled with professionals chosen on a meritocratic basis, …
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Chemical communication in the European otter, Lutra lutra
… mapped spraint chemical composition changes following deposition and how low temperature storage and exposure to the environment affected these changes. Chemicals with opposite time dependence were found; providing a possible spraint ageing mechanism. Temperature and environmental conditions …
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