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 17 of 17 for “"Total Returns"”.
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Information and trading patterns in financial markets
… imply market maker trades and contemporaneous returns are negatively correlated. I find a strong positive correlation, implying that dealers do not provide liquidity. I develop a unique profit decomposition and find that dealers earn significant excess returns, in aggregate driven by …
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The United States sheep industry: producer behavior and supply response
… are determined to be positively related to total returns per ewe and crop acreage harvested and negatively related to calf price and hay price. Breeding inventories are projected to decline through 1993 based on current information. The sheep industry is found to be more prone to contraction …
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Time diversification and holding periods on the Johannesburg Stock Exchange
… serial correlation within the JSE logarithmic total returns. By assessing the possibility of mean reversion or trending behavior in returns, this study aims to determine if short-term variance (as a risk measure) calculation intervals accurately describe the long-term risk on the JSE when …
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Market thinness and the potential benefits of domestic-only portfolio diversification in Canadian equity markets
… effects exist in the variances of the monthly returns and in the risk-adjusted performance ratios for the simulated portfolios. Fourth, the monthly total returns for the simulated portfolios do not exhibit heteroscedasticity based on the Portmanteau Q and Lagrange Multiplier tests for the time …
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Have the private equity real estate funds out-performed REITs on a risk adjusted basis over time?
… be wondering which option will provide the best returns on their investment. In this paper, we provide a comparison of the return performance between REITs and PERE Funds’ three main strategies, including Core, Value-Added, and Opportunistic, from 2000 to 2020. The study analyzes a series of data …
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Monetary policy and the stock market in South Africa: how do South African equity prices respond to expected and unexpected changes in the repo rate?
… points causes short term JSE All Share index total returns to decline by 2.71%. We also find that the stock market reacts positively (negatively) to expansionary (contractionary) unexpected monetary policy actions due to revised market expectations about future dividends, excess premiums and …
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The maturation and resiliency of the self-storage asset class
… fragmentation of the industry and self-storage's total market share, the investment opportunity is growing due to its proven resiliency through market and natural disruptions. This resiliency is evident in the micro-level occupancy and cash flow performance of self-storage properties as well as …
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The cost of equity capital for REITs : an examination of three asset-pricing models
… Asset Pricing Model (CAPM). In the CAPM, the total excess returns for each REIT in the sample are regressed against the total excess returns of the broad market index. The second research model incorporates the two firmspecific factors developed by Fama and French, SMB (small minus big) and …
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Do large South African acquisitions result in post-acquisition improvements in cash flow returns?
… as post-acquisition improvements in cash flow returns. The reason for this approach is the view that a firm's intrinsic value is coupled to its long-term cash-generating ability. Post-acquisition change in cash flow returns for large acquisitions made by JSE-listed firms over the period 1995 - …
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A risk-adjusted performance history of public and private market real estate investment, 1978-1997
… to its investors as measured by risk adjusted total return over the 20 year period from 1978-1997. The initial objective of this thesis was to create a publicly traded real estate equity index(the "Thesis index") for comparison to the existing National Association of Real Estate Investment …
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Income growth and pricing of REITs
… in terms of exhibiting high dividends and total returns. Since the payout dividend depends on a REIT's income, positive income growth can increase shareholder wealth and therefore keep investors interested in its stock. So far, the primary channel for REITs to grow fast is by arbitraging …
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The performance of non-core property assets held by a state owned enterprise: a case study of Transnet
… poor state of repair with resultant sub-optimal returns being derived. The non-core property portfolio of Transnet is immediately visible, by way of comparison, of their deteriorating condition as opposed to those in close proximity or surrounding them that are privately owned. Transnet is a …
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Performance determinants of foreign currency bonds issued by JSE-listed companies? An indexation approach
… generate superior absolute nominal and excess returns versus a traditional market cap equivalent, but do so by taking less total, systematic and downside risk. The next substantive chapter considers the volatility of total bond returns generated by these indices. This is done using a …
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The performance of value versus growth stocks on the JSE during and post the financial crisis
… is a popular strategy for obtaining abnormal returns. However, limited research has been done on how value and growth stocks perform during periods of economic downturn, particularly in emerging economies. The 2008 financial crisis has been named one of the worst recessions. By the end of …
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Stocks are from Mars, real estate is from Venus : an inquiry into the determinants of long-run investment performance
… accurately modeled the cross-section of long-run total returns across the major asset classes, including real estate. The present thesis narrows that earlier focus to concentrate on the cross-section of long-run total return performance within the core institutional real estate asset class. This …
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Essays in International Finance: International Capital Flows, Equity and FX markets
… experience a currency depreciation, as higher total returns in domestic equity market will cause foreign investors to repatriate some of their investments to decrease their exchange rate exposure, leading to exchange rate depreciation. Using daily equity flow data including all the recorded …
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A search for firm characteristics that explain option-granting behaviour in South Africa
… from 61 firms over 2000 and 2001 was obtained. A total of 33 firms that granted share options were examined together with 28 firms that did not. The value of share options was measured using the dividend-adjusted Black Scholes model, and the dependent variable was calculated to be the value of …