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 “"Risk and return"”.
-
Risk and Return Comparisons of Pre-harvest Marketing Strategies
<p>This paper analyzes risk and returns associated with pre-harvest corn grain marketing strategies for the state of Arkansas. Farming is characterized by a volatile environment. Numerous risks are taken by producers in order to provide commodities that are bought and sold by various parties in the …
-
Essays on risk and return in the stock market
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 1995.
-
The risk and return characteristics of real estate investment trusts
… Institute of Technology, Dept. of Urban Studies and Planning, 1992.
-
Testing the risk and return trade-off in the Athens stock exchange
… as the employment of (G)ARCH models, unit root and cointegration analysis. A theoretical and empirical review on the models is presented and, more specifically, there is an empirical examination of the validity of the Capital Asset Pricing Model (CAPM) and the two main forms of the Arbitrage …
-
Dynamic and robust estimation of risk and return in modern portfolio theory
… options in a portfolio using the expected return and variance of the returns. Sharpe uses the same optimization approach but estimates the mean and covariance in a regression framework using the index models. Sharpe makes a crucial assumption that the residuals from different assets are …
-
The Spatiality of Housing Price Risk and Return in The Greater Toronto Area
Financial investment theory has concentrated on risk exposure and returns for decades. Many studies apply financial theory to the real estate market, and some of these studies control for its spatial structure. There is a deficiency, however, in studies that examine the spatial relationship of risk …
-
The risk and return trade-off in the film industry : a comparative empirical analysis
Despite its proved riskiness, the film industry is one of the most economically relevant industries in the world, constantly undergoing rapid change and development, since every day millions of dollars, pounds, euros or other currencies are invested in film productions. Although restricted to the …
-
Risk and return in institutional commercial real estate : a fresh look with new data
… Investment managers need a thorough understanding of the risk return relationship and tools to adequate implement sound investing, portfolio management and risk management strategies. Equilibrium asset pricing models are tools that identify and quantify the risk factors priced by the capital …
-
Multiple asset class investing : equilibrium asset pricing evaluation of real estate risk and return across four quadrants
… models with respect to how well they price risk across multiple asset classes; including the four quadrants of real estate. While using the Geltner (1999) paper as a springboard for our approach, this thesis both updates Professor Geltner's earlier work and extends its scope through the …
-
Essay 1. The Risk and Return From Factors. Essay 2. Forecasting Covariances for Portfolio Optimization. Essay 3. An Agency Explanation of the Book-to-Market Effect
… maximize total expected assets under management and that the cross-sectional flow-performance relation in the mutual fund industry gives rise to a tournament effect regarding subsequent cash flows into mutual funds) are generally accepted as fact. The last two assumptions (that glamour stocks …
-
An analysis into the hedging effectiveness and efficiency of the share index futures market in South Africa
… much written on the ability of futures to reduce risk thereby hedging against potential market declines. However, the effect on return has been largely overlooked. This study investigates the risk and return effectiveness of hedging and hedging strategies using share index futures (SIF) market in …
-
Effects of Stock Portfolio Diversification With Agricultural Futures Contracts
… identify the effects of futures contracts on the risk and return characteristics of the investor's portfolio.
-
Analisi perbandingan risk dan return antara saham BUMN dengan saham swasta: Studi pada saham LQ 45 sektor perbankan 2011-2014
… seseorang dalam berinvestasi adalah bagaimana return yang ditawarkan hingga seberapa risk yang mungkin terjadi. Sektor perbankam merupakan salah satu sektor saham yang ada dalam jajaran BEI yang mempunyai kinerja cukup baik. Dan saham-saham dalam LQ-45 merupakan kumpulan saham yang liquid yang …
-
A comparative analysis of risk-return characteristics between Sukuk (Islamic bonds) and conventional bonds.
… in the 1980s, Sukuk have gained recognition and popularity as a substitute for conventional bonds. However, their unique features mean that Sukuk are not always clearly understood. The aim of this study is to analyse the differences and similarities between Sukuk and conventional bonds in …
-
Design and implementation of multi-asset funds in India
… opportunities, owing to high GDP growth rates and rising levels of per capita income. Asset management in India is going through a steady metamorphosis with rapidly growing AUM attributable to an influx of foreign investment and a steadily increasing investable surplus, albeit in the face of …
-
Systematic Liquidity Risk and Stock Price Reaction to Large One-Day Price Changes: Evidence from London Stock Exchange.
This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of …
-
Construction Project Selection Under Risk: Market Model Approach
… project selection model under conditions of risk, and provides guidance for its implementation. The model consists of three parts. Part I selects an appropriate objective for the model based on shareholder's expected equity maximization, and examines some alternative objectives. Part II …
-
Risk, Returns to Scale and Monopoly Power in Horizontal Mergers: Theory and Evidence
… of this research is to provide a better understanding of the risk and return changes surrounding horizontal mergers. A multi-period model of the firm incorporating monopoly power and returns to scale is used to relate microeconomic variables to capital market variables. A new measure, combining …
-
Empirical essays in financial economics
Paper 1 focuses on implied volatility estimation and investigates the volatility smile in a South African context with fourteen stocks listed on JSE Limited and fifty-nine options on these underlying stocks for the period April 4, 2002 to November 8, 2008. Paper 2 uses an empirical approach, based …
-
Risk parity and other risk based portfolio allocation approaches in South African and international equity markets
Risk parity, a portfolio allocation technique based on the equalization of constituent risk contributions, has garnered significant attention in academic circles over the past decade. This study employs back-tests to explore the empirical performance of the approach relative to other prominent …
Page 1 of 3