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 12 of 12 for “"Risk-Return Trade-Off"”.
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Recruiting and maintaining dairy cooperative members: a strategy for reducing the free rider problem
… gains. Independents also appeared to have a risk/return trade-off. They received higher prices in exchange for fewer written contracts. Economic issues were important to both groups but significantly more important to independent producers. The two groups exhibited no difference on tradition …
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Three Essays on Extremes and Non-Linearities in Asset Pricing
… The first essay "Time-Varying Conditional Market Returns: Is Variance or Tail-Risk Priced", empirically investigates the question whether there is a positive relationship between aggregate market tail risk and expected returns. Based on the classical risk return trade-off, intuition suggests a …
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The Impact of Corporate Diversification on the Financial Performance of U.S. Bank Holding Companies Pre and Post the Financial Services Modernization Act of 1999
… services industry on the profitability and the risk-adjusted performance of bank holding companies. Using a variety of diversification measures, the study analyzes the relationship between corporate diversification and the financial performance of BHCs pre- and post-GLBA, from 1990 to 2011.</p> …
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Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices
… is to examine predictable fluctuations in asset returns based on rational and irrational human behaviour in financial markets. The results presented in this thesis can inform retail and professional investors, as well as economic policy design, e.g., related to the better understanding and …
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Evolving Banking Systems in the CIS: Geopolitical Profiles, Business Models, Performance and Risk
… Specifically, the results indicate a distinct risk–return trade-off, where geopolitical prominence increases systemic vulnerability (measured by Z-scores and NPL ratios) while simultaneously boosting net interest margins as banks price in the elevated risk. Further, utilizing a unique, manually …
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Risk and Uncertainty in Healthcare Finance, Investment Management, and Asset Pricing
Measuring and managing risk and uncertainty has been a ongoing challenge for academics and practitioners in finance and economics. At its core, the challenge requires to understand both the randomness in the underlying process as well as the way humans respond to it when making decisions. This …
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Portfolio diversification utilising rolling economic drawdown constraints and risk factor analysis
… benefits while still seeking to maximise risk adjusted and overall return. This will have strong implications for investors as it could provide an additional method and tool to be considered during the asset allocation decision stage if they have a strong drawdown aversion. The concept of …
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Testing the Long-Term Profitability of the Short-Term Reversal Strategy
… of an investor earning a positive cash return from the activities of the stock market despite effectively holding no position at all in said market. The sample data were the daily returns for the shares of the 780 companies listed on the NASDAQ and the New York Stock Exchange (“NYSE”), …
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Essays on Volatility Risk and Security Returns
… studies the determinants of expected option returns and equilibrium determinants of variance risk and the variance risk premium. In the first essay, I analyze the relation between expected option returns and the volatility of the underlying securities. In the Black-Scholes-Merton and …
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Empirical Studies in Financial Econometrics: Market Functioning, Forecasting, and Reform
… industrial production, unemployment, and equity returns, it tests eight hypotheses along two dimensions: the contribution of financial data given different estimation methods and model classes, and the role of modelling choices given different financial inputs. Data aspects include …
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The Determinants of the Merger Arbitrage Spread: Panel Data Approach Evidence from the UK.
… to the extant literature concerning the risk return trade‐off and level of efficiency of the UK equity market. A spread is created when one listed company, the bidder, announces its intention to acquire another listed company, the target, and the consideration offered to the shareholders …
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Vine copula modelling of dependence and portfolio optimization with application to mining and energy stock return series from the Australian market
This thesis models the dependence risk profile, investment risk and portfolio allocation features of seven 20-stock portfolios from the mining, energy, retail and manufacturing sectors of the Australian market in the context of the 2008-2009 global financial crisis (2008-2009 GFC) and pre-GFC, GFC, …