Global ETD Search
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Showing 1 to 20 of 118 for “"S&P 500"”.
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Virðismargfaldarar S&P 500. Söguleg greining á núverandi margföldurum S&P 500 vístölunnar
… ritgerðar er að rannsaka virðismargfaldara S&P 500 vísitölunnar í sögulegu ljósi og kanna hvort þeir geti gefið fyrirheit um hvort hlutabréfabóla sé ríkjandi og að setja spá fyrir meðalraunávöxtun á ári næstu 10 ár. Farið verður yfir sögu verðbréfamarkaða og helstu margfaldarar kynntir. Fjallað …
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Essays on the Modelling of S&P 500 Volatility
… 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 term-structure of implied volatility; 2) to compare the performance of …
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Innovation in founder-run firms: evidence from S&P 500
… than nonfounder CEOs. Using a sample of S&P 500 firms from 1995-2005 and the NBER patent database for measuring innovation output, the study’s baseline results suggest that founder-CEOs are actually associated with fewer patents (quantity of innovation) and fewer citations (quality of …
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The Dogs of the Dow Strategy Applied to the S&P 500
… yield stocks from each sector of the S&P 500. We compare returns of this this strategy to those of the Dogs of the Dow and to those of the S&P 500. We find that this strategy has higher raw returns than both the Dogs of the Dow and S&P.</p>
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A system to predict the S&P 500 using a bio-inspired algorithm
… 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 markets using historical data, testing on an in-sample and trend basis …
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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?
… 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 the Index and be replaced by another firm. It is referred to as the anticipation …
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The Relationship Between ESG Scores and Cost of Debt – Evidence from the S&P 500
… on all the companies on the Standard and Poor's 500 (S&P 500) that had both an ESG disclosure score and a cost of debt figure. The study collected panel data over a five-year period from 2016 to 2020. Fifty-six panel data regressions, including robustness checks were used to test the relationship …
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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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Corporate Governance and Strategic Behavior: A Study of Acquisitions and CEO Compensation Practices of Publicly-Owned and Family-Controlled Firms in S&P 500
… peers. In particular, for firms in the S&P 500, I evaluate the results of two important strategic policies; mergers and acquisitions, as well as CEO compensation practices. In studying acquisitions made by family and nonfamily firms in the S&P 500 index from 1992-2006, I find that family …
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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
… measure and the historical volatility of the S&P 500 index. Then, I investigate the performance of the implied price change volatility in a regression setup and in hedging applications. I compare the performance of hedges using daily updated implied price change volatility and implied volatility …
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Testing for systematic ESG fund construction and independence measures
… from an existing fund very similar to the S&P 500. To test for uniqueness, large cap US equity ESG funds were compared against how many of the underlying assets were shared with the S&P 500. Signals found heavy overlap. However when looking at how the underlying assets are weighted in the fund …
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The impact of institutional stock ownership on a firm's earnings management practice: an empirical investigation
… having different information environment, S&P 500 versus non S&P 500, is also examined to see whether the difference in information environment of these two sets of firms has any effect on this empirical relationship. By performing various multivariate statistical analyses, I find significant …
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