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 31 for “"S&P 500 Index"”.
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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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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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Multiple asset class investing : equilibrium asset pricing evaluation of real estate risk and return across four quadrants
… two different market portfolio proxies, the S&P 500 Index and the National Wealth Portfolio (NWP). We also apply the single-factor formula to a non-wealth based, consumption oriented approach. Test results show the NWP based CAPM to be the strongest model, being both robust and statistically …
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Application of machine learning : automated trading informed by event driven data
… of the model is evaluated using the S&P 500 index.
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Market Timing strategy through Reinforcement Learning
… trading strategy outperforms the benchmark S&P 500 index with higher returns and lower volatility through effective market timing. In addition, this dissertation starts by modeling the market tail risk using the EVT and reinforcement learning methods, distinguishing from the traditional value at …
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Essays on comovement
… comovement between individual stocks and the S&P 500 index, each constituting a separate chapter. These essays provide use with new angles to see the comovement. First, they find that comovement does not always change as people predict. Secondly, they find the motivation to use 3- and 4-factor …
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Islamic finance: a low risk, value-adding alternative
… asset class, on the global side, the MSCI World Index was compared to the Dow Jones Islamic Index, within the United States the S&P 500 Index was compared to the S&P Shariah Index and for South Africa the FSTE All Share Index was compared to the FTSE Shariah All Share Index. Within the fixed …
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Option pricing and machine learning: a comparison of black-scholes, bachelier, and artificial neural networks
… call options on the Standard & Poor's (S&P) 500 Index using five different volatility estimation methods. Moreover, it then compares the forecasts of the two parametrised models to a deep feed-forward artificial neural network which is also used to price such options. Overall, the artificial …
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Using High-Frequency Options Data to Evaluate Economic Trading Models
… Using high-frequency data for options on the S&P 500 index, I provide new empirical evidence of disagreement between investors in the market of S&P 500 index options. The options market provides two natural variables that are sharply related to disagreement: moneyness and tenor. I argue that these …
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Tax-efficient asset management via loss harvesting
… historical stock return time series from the S&P 500 Index, we study the performance of loss-harvesting from a different and more practical, point of view. Through this empirical exploration, we identify three new findings about loss-harvesting: (1) introducing a transaction cost rate of 1% …
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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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Option pricing with non-constant volatility
… For the purpose of this research, the S&P 500 Index option prices extracted from market are used. We investigate and compare for models: the GARCH(l ,I) model, the Constant Elasticity of Variance model, the Hull and White model, and the Heston model. The former two belong to deterministic …
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Analyst Coverage and Tax Reporting Aggressiveness
… using expected coverage and inclusion in the S&P 500 index as instrumented variables to account for the endogeneity of analyst coverage selections. Additional analyses investigate the impact of analyst characteristics: experience as an analyst, experience covering a specific firm and …
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Banking regulation: a Bayesian network approach to risk management
… counterparts, using Standard and Poor's (S&P) 500 index returns from 1991 to 2020. The initial results show that autoregressive models are the most accurate of the traditional market risk models. Second, the first section's results are then used as the basis against which a novel and …
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Firm level factors that affect returns to real estate investment trusts
… impact of macroeconomic factors. In addition, indexes for the broader markets are identified and included in the regressions to adjust for the impact of trends in the general market. Following adjustments for macroeconomic factors and general market trends the regression results identify …
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Learning connections in financial time series
… a 10-year time period. In comparison, the S&P 500 index generated 5% return in the same time period.
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Developing high-frequency equities trading models
… 50 of the most liquid equities in the S&P 500 index to test our results.
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The Relationship Between Share Price and Operating Cash Flow Under the Casual Theme Restaurant Setting
… have used cross-industries data, primarily S&P 500 index. These studies do not distinguish service industry from manufacturing industry. However, the service industry is different from manufacturing in many ways. These differences make cash play different roles in the daily operation between the …
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Essays on Investor Attention
… investor attention on a recent sample of S&P 500 index additions in the context of anticipatory trading effects. It finds that risk arbitrageurs anticipate the outcome of the index review and purchase stocks that have a high likelihood of becoming new index members, exploiting the mean price …
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