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 13 of 13 for “"Market anomalies"”.
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Effect of market anomalies on expected returns on the JSE: A cross-sector analysis
The efficient market hypothesis and behavioural finance have been the cause of much debate for decades, with one theory advocating market efficiency and the other opposing it. The efficient market hypothesis (EMH) assumes that investors always act rationally and stock prices adjust rapidly to new …
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Options in emerging markets.
Index options are traded in many derivatives markets around the world. These derivatives markets can either operate in efficient or inefficient markets. Most derivatives markets use the best known option pricing model, i. e. the Black and Scholes Option Pricing Model, in order to produce …
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Distress Effects in Stock Returns
… stocks to a common factor with many other market anomalies. The economic implication is that arbitrage profits are likely to be limited due to the high transaction costs alongside the limited investment capacity with associated low-priced, microcap stocks.
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An Essay on Cash Flows in Finance
I examine whether stock market anomalies reflect risk compensation or mispricing by analyzing their underlying cash-flow patterns. I distinguish between discrete anomalies based on information events (e.g., profitability) and continuous anomalies lacking such coordinating events (e.g., …
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Memory Vs Momentum - Exploring Momentum Strategies With The Hurst Exponent
… movements, has been one of the most puzzling market anomalies in modern finance. This paper seeks to exploit the momentum profitability from the perspective of the excursion patterns in the stock price movements. A theoretical framework is developed for momentum strategy analysis and the long …
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An Investigation into The Predictive Power of Overnight Gaps on The Johannesburg Stock Exchange
Stock market gaps occur nearly every day, yet very little is known about their influence on subsequent pricing behaviour, particularly in developing economies like South Africa. The aim of this research is to comprehensively identify and analyse the relationship between overnight price gaps and …
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A hedge fund business plan : investment theory, operations, and capital raising for Broadgates Capital Management
… risk adjusted returns by focusing on certain market anomalies while also utilizing traditional, value driven, fundamental analysis. An offshore master feeder fund structure will be utilized with the formation of a limited liability corporation as the management company. Finally, in order to …
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New Evidence on Interest Rate and Foreign Exchange Rate Modeling
… investigates three interrelated issues of market anomalies in interest rates derivatives and foreign exchange rates. The first essay models the spot exchange rate as a decomposition of permanent and transitory components. Unlike extant analysis, the transitory component could be stationary …
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The Amman financial market : institutional features and calandar [sic] effects
… reader an insight into a relatively little known market in a developing country. The purpose of the study is to look at the market from an investor's/portfolio manager's perspective. Most investors are used to operating in a developed, mature market such as the New York Stock Exchange or the …
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Essays on Aggregate Liquidity and Corporate Events
… investment and financing activities in capital markets occur in waves through time, which are accompanied with many abnormal phenomena surrounding and after the announcement of events. Motivated by existing studies in firm-level and aggregate-level liquidity, which suggest the influence of …
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Cash Flow as a Predictor of Share Returns: Evidence from the Johannesburg Stock Exchange
The existence of so-called equity market anomalies suggests that factors outside of the traditional asset-pricing models can model share returns. Despite this, there is limited empirical evidence on cash flow metrics as anomalies, and less so on cash flows as a predictor of share returns. The aim …
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Green Choices, Grey Areas: Risk Management and Investor Behavior in the ESG Landscape
… of the green investors on the sophisticated market, but the brown capital market participants immediately trade these arbitrage opportunities. The behavior model of the house money effect accelerates when the investor sentiment is relatively positive. In these times, the market anomalies …
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Essays on the Modelling of S&P 500 Volatility
… models under the influence of the observed market biases. Our research is based primarily upon the use of S&P 500 data for the period 1982-2002. There are three self-contained but seemingly related projects in this dissertation. The objectives of this research are: 1) to characterise the …