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 6 of 6 for “"Stock price volatility"”.
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Stock price fragility in an emerging market
This research project examines stock price fragility, a measure developed by Greenwood and Thesmar (2011), which serves as a proxy for non-fundamental risk i.e. it aims to isolate the drivers of stock price volatility beyond traditional fundamental drivers, in particular examining the impact of …
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LBO's, reverse LBO's, and the reduction of agency problems
… ratio at the time of the IPO and post-IPO stock price volatility. Finally, our study does not find an association between underpricing and managerial levels of equity ownership before or after the IPO
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Peeling away the layers of news : climate change sentiments and financial markets
… disagreement and uncertainty sentiments on stock performances in the U.K. Based on a large sample of climate news with data set of 3,747,807 daily observations in the sample window from 2008 to 2019, the results from panel regression models show that both disagreement and uncertainty …
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An investigation into the characteristics of equity volatility and its implications for derivative strategies
… the original model. The reality of stochastic volatility contradicts a key assumption of the Black-Scholes model and addressing this has motivated the development of more appropriate volatility models. The improved speci�cation and forecasting of asset price volatility has been influenced by …
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Examining the Low Volatility Anomaly in Stock Prices
… be a poor measure of risk as it relates to the stock market.</p> <p>In addition to beta and returns, this study looked at the fundamental characteristics of each company specifically corporate profitability and balance sheet leverage which are commonly used by investors in assessing the …