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 11 of 11 for “"book-to-market ratio"”.
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The book-to-market ratio and Schwert-Seguin type tests of volatility
… 2 areas of financial research; research on the book-to-market (BM) anomaly and research on time-varying capital asset pricing models (CAPM). Fama and French (1992) introduced the BM anomaly to the academic literature and suggested that it might be driven by changes in economic variables missed …
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Firms’ financial flexibility and the profitability of style investing
… value-growth trading strategy (going long on stocks with high Book-to-Market ratio and short on stocks with low Book-to-Market ratio), the momentum trading strategy (going long on stocks that have performed well and short on stocks that have performed poorly recently), and the accruals based …
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Three Essays in Capital Markets Research
… power of the estimated value for future stock returns. The key empirical issue of the model is to estimate future residual income. While most research has relied on the earnings forecasts of security analysts for future residual income, we attempt to estimate firms' future residual income …
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Piotroski's F-Score in the Chinese A-Share market
… F-Score strategy can successfully be applied to the Chinese A-Share market. The empirical evidence shows that in the Chinese A-Share market, the high F-Score portfolio significantly outperforms the low F-Score portfolio. Especially within a low BM firm sample, buying high F-Score firms and …
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The performance of tilting strategies for the Toronto stock exchange 300 composite index
… the performance of tilting strategies for the Toronto Stock Exchange 300 Composite Index during the period from February 1982 to December 1996. The emphasis is to create a rebalanced or tilted portfolio that has a significantly higher reward-to-risk ratio than the Toronto Stock Exchange 300 …
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An analysis of technical trading strategies
… generally rely on the theoretical alternatives to the efficient market hypothesis which encourages possibilities for markets to be inefficient. We then investigate the link between the risk involved in trading rule strategies and the resulting excess returns. The empirical analysis is based …
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Active portfolio management adapted for the emerging markets
In the emerging markets with a fast growing economy but a not quite efficient capital market, investors try to find a constant excess return against the benchmark from active portfolio management. In this paper, after defining what an active portfolio is, we tested various alpha generating …
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The Effect of Accounting Method Choice on Earnings Quality: A Study of Analysts' Forecasts of Earnings and Book Value
… of a firm's reported earnings affects investors' ability to predict future earnings and stock returns is still a subject of much debate among accounting researchers. Lev (1989) suggests that low quality earnings may be causing the relatively low correlation between reported earnings and …
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ESSAYS ON EMPIRICAL ASSET PRICING USING BAYESIAN METHODS
This thesis is composed of three essays related to empirical asset pricing. In the first essay of the thesis, we investigate recent rational explanations of the value premium using a regime-switching approach. Using data from the US stock market, we investigate the risk of value and growth in …
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Three Essays on High-Frequency and High-Dimensional Financial Data Analysis
<p>In recent decades, financial market data has become available with increasingly higher frequency and higher dimension. This rapidly growing amount of financial data has created many research opportunities and challenges. In this dissertation, I address several important issues in the areas of …
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Semiparametric Characteristics-based Models of Asset Returns
… characteristics such as capitalization, book-to-market ratio etc., and their implications on assets prices and portfolio management. This thesis selects characteristics that have prediction powers on assets excess returns and specifies a flexible regression model, including linear, …