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 37 for “"Market Timing"”.
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Market Timing strategy through Reinforcement Learning
… an excess return on investments in the capital market. The trading strategy outperforms the benchmark S&P 500 index with higher returns and lower volatility through effective market timing. In addition, this dissertation starts by modeling the market tail risk using the EVT and reinforcement …
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Market timing on the Johannesburg Stock Exchange
The concept of market timing is hardly new. Theoretical work on the predictability of return stretches back for over a century, with substantial empirical work emerging from the 1960s onwards. This study aims to extend the literature by focusing on whether it is possible for an investor, utilising …
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Market timing and cost of capital of the firm
… indicate that firm managers try to time debt markets based on term spreads or excess bond returns when choosing the maturity of new debt issues. Whether debt market timing increases firm value via a reduced cost of capital is an empirical question. I examine differences in firm value across …
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Market timing on the Johannesburg Stock Exchange under different market conditions
… performance and risk characteristics of three market timing strategies, namely traditional, bull and bear timing, and how different market conditions affect these strategies. The market is segmented into bullish and bearish phases and three independent but corroborative studies test how each of …
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Market Dynamics in the Financial Industry - Essays on Interdependence and Market Timing
… reminders of how the standards of financial markets are profoundly challenged in times of crisis. The main lesson is that the structural changes and the increased risk of shock transmissions require a more accurate risk assessment that captures the complexity of market dynamics. Based on an …
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Are the capital structures of JSE listed companies influenced by equity market timing?
… sets out to test whether evidence of the market timing theory exists in JSE listed firms by applying the method used by De Bie and De Haan (2007) for evidence of market timing in Dutch firms; the regression model used to test market timing was developed by Baker and Wurgler (2002). Baker …
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Which version of the equity market timing affects capital structure, perceived mispricing or adverse selection?
… outcome of past attempts to time the equity market. Baker and Wurgler extend market timing theory to long-term capital structure, but their results do not clearly distinguish between the two versions of market timing: perceived mispricing and adverse selection. The main purpose of this …
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The South African Volatility Index (SAVI) as a tool for market timing on the Johannesburg Stock Exchange (JSE)
… analysis in the application of selected market timing trading strategies. This study therefore has very real practical relevance to investors on the JSE, who wish to take an active approach to investing. Using the JSE Top 40 Index for the period May 2007 to March 2018 as a sample, this …
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An investigation into the profitability and sustainability of market timing strategies in Real Estate Investment Trusts (REITs): A global perspective
The buying and selling activity of market participants creates dynamic movements in the prices of listed securities. Investors typically aim to realise short term profit from this volatility using market timing strategies. Several studies have explored the reliability of market timing rules across …
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Predictability of returns in commercial real estate : implications for investment decisions
… to realize superior investment performance by market timing. The study examines commercial real estate both at the aggregate level and in markets for four major property types in the United States. A rolling regression using a vector autoregressive model is employed to forecast returns and …
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Testing capital structure theories : Evidence from REITs
… theory, the pecking order theory and the market timing theory are three competing theories of capital structure that have been widely examined in finance literature. But empirical tests of REITs capital structure were limited.This study employs a partial adjustment model of Fama and French …
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Trading foreign exchange carry portfolios
… emerged as a major driver of foreign exchange market turnover. Given the widespread use and ease of implementation of carry strategies, active currency managers should be evaluated relative to a benchmark which incorporates a proxy for carry trade returns. Within this thesis we study the …
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The impact of taxation reforms and other factors on the capital structure of real estate enterprises
… utilising Static Trade-off, Pecking Order and Market Timing theories are empirically examined using a series of the taxes variables (i.e., effective tax rate and non-debt tax shields); firm characteristics (such as size, asset structure, profitability, growth and business operation risk); and …
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Essays on foreign currency risk management
… We build a model that anticipates a firm’s market timing in currency markets and credit markets according to the exchange-rate return and interest rate differential. Using a unique set of data containing complete foreign currency spot and derivatives positions of Korean exporting firms, we …
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Macroeconomic conditions and capital structure: evidence from publicly listed companies in the U.K.
… variables, namely, business cycle, financial market risk, credit supply and stock market performance, affect capital structure of publicly listed U.K. firms. Specifically, by using fixed effects, random effects, tobit, and GLS regression models and GMM methods (SGMM and DGMM), this research …
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Do money managers outperform their respective benchmark? Evidence from South African Unit Trust industry
… in asset allocation, security selection and market timing that assist them to consistently generate abnormal returns on a risk-adjusted basis. This research attempts to test this claim by making a distinction in performance attribution between returns generated as a result of managerial …
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UK mutual fund performance
… probably superior. The study also examines the market timing performance of the funds. Using a nonparametric test procedure the study evaluates both unconditional market timing and timing conditional on publicly available information. A relatively small number of funds (around 1%) are found to …
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Essays in International Finance
… the extent to which investment financing and market-timing explanations motivate public equity offers. Our estimates imply that firms invest 18.8 cents in R&D and 7.3 cents in capital expenditures for an incremental dollar raised in an equity offer during the year following the offer, rising …
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Determinants of Capital Structure in the South African Listed Property Sector
… the trade-off theory, pecking order theory and market timing theory in the South African listed property context, and are generally in agreement with international findings. Thus, size is found to be positively correlated to debt levels, in line with trade-off theory prediction. Growth …
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Essays on Market Microstructure, Behavioral Finance, and Asset Management
… to obtain the empirical distribution of timing coefficients under the null hypothesis of no timing ability and compare this distribution to that of the timing coefficients of the actual funds. Fund managers do not seem to be timing any of the risk factors. For the market factor in …
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