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 311 for “"S&P"”.
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Virðismargfaldarar S&P 500. Söguleg greining á núverandi margföldurum S&P 500 vístölunnar
Mikið hefur verið rætt um hækkanir á hlutabréfamörkuðum seinasta árið. Við slíkt heyrast iðulega raddir um hvort nú sé komin hlutabréfabóla. Markmið þessarar ritgerðar er að rannsaka virðismargfaldara S&P 500 vísitölunnar í sögulegu ljósi og kanna hvort þeir geti gefið fyrirheit um hvort …
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Essays on the Modelling of S&P 500 Volatility
This dissertation studies the patterns of term-structure of implied volatility and examines the performance of different specifications of time-series and options-based volatility forecasting models under the influence of the observed market biases. Our research is based primarily upon the use of …
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Innovation in founder-run firms: evidence from S&P 500
One important element of a firm’s organizational environment that may influence innovation is whether the CEO of the firm is its founder. Popular perception is that the inherent venturous spirit of the founders creates an environment that fosters innovation. This study investigates whether …
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Roll related return in the S&P GSCI Excess Return Index
Standard & Poor’s Goldman Sachs Commodity IndexTM (S&P GSCI) is the largest tradable commodity index fund in the world with more than $80 billion in S&P GSCI-related investments. Investors have been led to believe that investing in the S&P GSCI during periods of rising commodity prices will be …
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The Dogs of the Dow Strategy Applied to the S&P 500
<p>The Dogs of the Dow trading strategy popular strategy that invests in the ten stocks with the highest dividend yield in the Dow Jones Industrial Average. We examine a newer variation of this strategy that involves investing in the five highest dividend yield stocks from each sector of the S&P …
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A system to predict the S&P 500 using a bio-inspired algorithm
The goal of this research was to develop an algorithmic system capable of predicting the directional trend of the S&P 500 financial index. The approach I have taken was inspired by the biology of the human retina. Extensive research has been published attempting to predict different financial …
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Forecasting the S&P 500 index using time series analysis and simulation methods
The S&P 500 represents a diverse pool of securities in addition to Large Caps. A range of audiences are interested in the S&P 500 forecasts including investors, speculators, economists, government and researchers. The primary objective is to attempt to provide an accurate 3 month and 12 month …
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Does the market identify potential candidates for addition to the S&P 500 index?
This paper investigates the markets' capacity to identify the companies that are candidates for addition to the Standard and Poor's 500 Index. A sample of firms likely to be added to the S&P 500 are identified on a date on which the market can anticipate that an S&P 500 member will be removed from …
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The Relationship Between ESG Scores and Cost of Debt – Evidence from the S&P 500
The purpose of this study was to determine the relationship between environmental, social, and governance (ESG) disclosure scores and a firm's cost of debt. Previous studies relating to ESG and cost of debt produced mixed results, with most finding that a relationship exists. Most of the research …
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Three essays in options pricing: 1. Volatilities implied by price changes in the S&P 500 options and future contracts 2. Price changes in the S&P options and futures contracts: a regression analysis 3. Hedging price changes in the S&P 500 options and futures contracts: the effect of different measures of implied volatility
In this work, I develop a new volatility measure; the volatility implied by price changes in option contracts and their underlyings. I refer to this as implied price change volatility. First, I examine the time series behavior of implied price change volatility and investigate possible moneyness …
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional …
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Using the classification and regression tree (CART) model for stock selection on the S&P 700
Traditionally, investment practitioners and academics alike have used stock fundamentals and a linear framework in order to predict future stock performance. This approach has been shown to have flaws as literature has shown that stock returns can exhibit non-linearity and involve complex relations …
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The impact of overconfidence bias on firm performance: an empirical analysis of S&P 1500 firms
In the context of public firms competing for profitable growth, there is abundant evidence that a high proportion of strategic decisions are value destructive. When managers make strategic decisions to position their firms for competitive advantage, they do so in a context of uncertainty and, in so …
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s-, p-, and f-block metals-mediated novel iron-based compounds as precatalysts for efficient alkaline OER
Background: Generating green hydrogen (H2) through alkaline water electrolysis (AWE) powered by renewable resources is crucial for decarbonizing our society. A significant challenge in AWE is kinetically sluggish anodic oxygen evolution reaction (OER). Currently, the anodes used in industrial AWE …
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Share price response associated with additions to and deletions from the S&P ASX 200 share price index
In the 1970’s Managed Investment Funds began to source funds directly from the public for investment in the capital markets. The main selling feature of the funds was that they could accumulate a pool of investment capital which would then be invested to earn returns, through economies of scale, in …
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