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 80 for “"Systematic risk"”.
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A multilayer network approach to quantifying biologically-derived systematic risk in biomedical finance
… New methods will be needed to better assess systematic financial risks for these therapeutic project portfolios. This primarily methodological thesis seeks to explore the opportunity to leverage multilayer network models as tools to help measure this risk, specifically the …
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Thin trading, non-normality and the estimation of systematic risk on small stock markets
… and how they impact on the estimation of systematic risk. Bearing these points in mind, the primary objective of the thesis is to offer concrete suggestions for selecting estimators of beta coefficients. In order to attain the objective outlined above, the first steps are to establish the …
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The change in systematic risk after the 9/11 events: An analysis of restaurant industry
… study was to investigate whether the average systematic risk, or beta, of the restaurant industry changed significantly after 9/11. More specifically, this study examined the difference in systematic risk of different types of restaurants, such as fine/casual dining restaurants, family …
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A Theoretical and Empirical Investigation of Operating Leverage and Its Relationship to Business and Systematic Risk
Made available in DSpace on 2014-12-14T14:17:06Z (GMT). No. of bitstreams: 1 7803996.pdf: 9009330 bytes, checksum: 072eb08b763d814669eb8ec6a96dc41e (MD5) Previous issue date: 1977
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Internal stock market returns and systematic risk factors. An empirical investigation into the APT using macroeconomic factors and multivariate estimation
… relationship between stock market returns and systematic risk factors in twelve industrial countries. Using the APT framework, the thesis investigates the notion of international stock market integration versus segmentation in terms of pricing risk, international stock market efficiency in …
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An empirical investigation of the inter-relationships between systematic risk, financial leverage and operating leverage of industrial companies listed on the Johannesburg Stock Exchange
… measure of a company's undiversifiable risk, the determinants of which are of considerable interest to financial managers and investors alike. Analytical research has shown that beta is a positive function of a company's unlevered or asset beta and its market value debt to equity ratio …
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The Relative Association Between Firms' Systematic Risk and Accounting Signals Derived From Alternative Methods: Capitalization vs. Footnote Disclosure of Long-Term Leases to the Financial Statements
Made available in DSpace on 2014-12-14T13:34:00Z (GMT). No. of bitstreams: 1 7803957.pdf: 7274447 bytes, checksum: 4a6db15727550baba354ad8a015418ba (MD5) Previous issue date: 1977
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Kredito ciklo prognozavimo modeliai Baltijos šalims /
… thesis is to investigate the time series of the systematic risk factor in two sectors in the Baltic States and to develop appropriate forecasting models. Before using macroeconomic indicators in the analysis smoothed acceleration cycles were developed for them, i. e. the annual change in the data …
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Three Essays in Empirical Studies on Derivatives
… swap spreads are affected by how the total risk is decomposed into the systematic risk and the idiosyncratic risk for a given level of the total risk. The risk composition is measured by the systematic risk proportion, defined as the proportion of the systematic variance in the total …
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Study of the Accounting Classification of Convertible Securities: A Market Analysis
… that are related to convertible security systematic risk. This work provides evidence concerning how accounting and interest rate risk measures relate to market risk measures of convertible securities. An alternative market-based classification scheme is compared to the traditional …
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Market Reactions to Dividend Announcements: Temporary or Temporal (Risk Stability, Signalling, Beta)
… the market changes its assessment of a firm's systematic risk as a result of the dividend signal. When the signal is given, the market perceives the firm's revised expected cash flows. The newly revealed incremental cash flows may interact with the old cash flows so as to effect changes in …
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The nature of deferred income taxes arising from differences in depreciation methods
… This is accomplished by relating changes in firm systematic risk to discounted measures of those changes. If deferred tax balances are in the nature of debt (equity), then increases in these balances should be associated with increases (decreases) in systematic risk. Further, market association is …
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Corporate portfolio management within Japanese diversified trading & investment companies : what role does real estate play?
… composition based on each business unit's systematic risk and excess market return relative to its systematic risk and industry average. A firm also needs consideration on how the composition adjustment would affect diversification benefits the firm now enjoys and also on its overall …
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The effect of economic factors on the performance of the Australian stock market
… assets can be invested efficiently and how risk can be minimized. An effectively diversified portfolio minimizes the unsystematic risk which is affected by factors that are specific to the individual firms and, to some extent, the industry in which the firm operates. The unsystematic risk …
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The post-deregulation impact on the Canadian financial services industry's mergers and acquisitions
… on two levels. First, to verify if the systematic risk of the pillars increased following deregulation, and secondly, to examine if mergers and acquisitions (M&As) following deregulation were creators of wealth. Results show that while the banks' systematic risk decreased following …
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The Determinants of Tobin's Q Ratio and an Evaluation of Sfas 33 Data (Monopoly Power, Growth Potential, Valuation)
… to SFAS 33, and to examine the relationships of systematic risk to monopoly power and growth potential.
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Wealth Effects of the Gramm-Leach-Bliley Act on Financial Services Industry
… the industry. For all types of banks exposure to systematic risk reduces following the enactment of the GLBA. In cross sectional analysis I find that banks size and change in exposure to systematic risk can explain the wealth effects at firm level. In the domestic insurance industry, …
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The impact of derivative use on firm risk and firm value. Evidence from South African non-financial firms
… examines the effect of derivatives use on firm risk and value. The dissertation is based on a sample of 91 South African non-financial firms listed on the FTSE/JSE Africa All Share Index on the JSE over the sample period 2012 to 2016. Firm risk is measured using total risk, systematic risk and …
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Crude Oil and Crude Oil Derivatives Transactions by Oil and Gas Producers.
… With these two major goals in mind, I study the risk and return profile of crude oil, the value effect of crude oil derivatives transactions, and the systematic risk exposure effect of crude oil derivatives transactions. In contrast with previous studies, this study applies the Goldman Sachs …
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Valuation of Stock Index Futures and Their Relation to the Underlying Index: Theory and Evidence (Hedging)
… a range of hedger motivation and attitudes to risk were applied to the three stock index futures. Both optimal hedge ratios and measures of effectiveness were calculated. It was found that the models worked well with stock index futures: the various criteria (utility maximization, variance …
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