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 41 for “"Return volatility"”.
-
Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
… of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs …
-
Impact of foreign ownership on the firm-level stock return volatility in emerging countries: evidence from Vietnam
… institutional ownership on firm-level stock return volatility in Vietnam, using a panel data of 298 firms listed on the Vietnam stock market for the period from 2007 to 2014. Vietnam is known as the third largest recipient that received investments from foreign investors in 2004 (Hafiz & …
-
The role of information asymmetry and the level of market trading activity in shaping the time-to-maturity pattern of futures return volatility
… Samuelson effect, which postulates that futures return volatility increases closer to maturity when the futures price becomes more sensitive to information flows. First, I empirically investigate Hong’s (2000) theoretical suggestion that information asymmetry has an impact on the time-to-maturity …
-
U.S. Housing Market Volatility
… the determinants of U.S. housing market volatility. With volatility defined as the sample variance of home value monthly returns during a given quarter, a model of volatility from equilibrium in the housing market is derived. Supply and demand effects on housing return volatility for the …
-
Essays on Information Asymmetry, Active Management, and Performance
… the role of active management in influencing returns and return volatility of mutual funds. Chapter 1 investigates whether real estate mutual funds (REMFs) outperform Carhart’s (1997) four-factor and index benchmarks using daily return data from the CRSP survivorship bias-free mutual fund …
-
Essays on Real Estate Investment Trusts
… the relationship between downside risk and returns of real estate investment trusts (REITs) and assesses the performance of real estate mutual funds (REMFs). We measure the asymmetric risk through downside and upside betas and through the measures incorporated higher moments such as …
-
Stock price fragility in an emerging market
… it aims to isolate the drivers of stock price volatility beyond traditional fundamental drivers, in particular examining the impact of concentrated stock ownership and correlated liquidity shocks on price volatility. Here, the measure is applied to the South African financial market. Subject to …
-
Analytic methods for asset allocation with illiquid investments and low-frequency data
… by low RMSEs and reliable forecasts for mean return, volatility, Sharpe Ratio, and drawdown. Keywords: Illiquid Investments, Low-Frequency Data, Missing Data.
-
Theoretical and empirical evidence of the influence of economic linkages on stock returns
… via economic linkages influence firm-level stock returns. Studies find that significant movements in a firm's stock price forecast subsequent movements in the stock price of its major suppliers. Several questions remain open, however, regarding how shocks spread via economic linkages influence …
-
An Investigation into the suitability of using GARCH process for pricing options on the SAFEX all share index futures contracts
… This involves an assessment of whether the log-returns of the ALSI futures (the instruments underling the ALSl option) follow an ARCH process. A secondary objective is to assess the potential for using an ARCH process to model the ALST spot log returns. This could have the following uses: • …
-
Transition equity markets of Central Europe: volatility, predictability, integration
… time series by addressing the issues of volatility, predictability and international asset pricing in these markets. In Chapter Two we start from an overview of the transition stock markets by presenting their historical background, basic regulations, statistics, and stock market indices. …
-
Three essays on financial markets
… Southwest stock/Dow Jones Transportation index returns and return volatilities significantly. Assuming Southwest airlines' hedging effort is effective, this essay tries to find supportive evidence showing that Southwest stock return and return volatility are less sensitive to positive oil/jet …
-
Two Essays on Institutional Investors and U.S. Bank Holding Companies
… in size, have better loan quality, lower stock return volatility and less derivative trading. In addition, the expansion of bank power is welcomed by various types of institutional investors, except for long-term institutions. Institutional investors also become less risk-averse when investing …
-
Essays in Corporate Finance
… is also associated with a higher post-IPO volatility and lower Sharpe ratio. Our results are robust to various econometric specifications and suggest that even when the high level of information asymmetry inherent to the IPO context prevails, insurers have information about the firms’ …
-
A Study on GARCH volatility processes in pricing derivatives
… in the pricing of long term contracts. Volatility modelling results indicate that the return-volatility relationship is symmetric in the long run, but over the short term asymmetry also arises in the EURUSD and GBPUSD exchange rates. The third application evaluates canola futures in …
-
An Application of Artificial Neural Networks in Forecasting Future Oil Price Return Volatilities
… In order to forecast crude oil futures prices return volatilities, two types of the ANNs have been applied in this study. The results of these ANNs are compared with the GARCH model, which is a commonly used model for volatility modeling and prediction. In this part of the study, the crude oil …
-
Three Essays on Bank Capital Structure, Performance, and Financial Inclusion
… market-to-book ratio, dividends, and market return volatility risk; while credit risk does not seem to significantly affect banks’ capital structure decisions. Moreover, we find a positive relationship between equity capital and banks’ reputational risk related to Environmental Social …
-
Topics in Macro Finance
… aims to further understanding of risky asset return and volatility behaviour from a macro-finance perspective. In three of the four chapters, the macro drivers of both risky asset returns (the first moment) and volatility (the second moment) are studied and analyzed in detail across different …
-
Essays On Corporate Investment Dynamics
This dissertation contains two paper. The first, "Volatility and Venture Capital,'" demonstrates that the performance of venture capital (VC) investments load positively on shocks to aggregate return volatility. I document this novel source of risk at the asset-class, fund, and portfolio-company …
Page 1 of 3