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.
Results
Showing 1 to 20 of 88 for “"equities"”.
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Developing high-frequency equities trading models
… We randomly selected 50 of the most liquid equities in the S&P 500 index to test our results.
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Health equities: social determinants of migrant health
… (the higher IHDI) indicated fewer health inequities between migrants and locals.
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Corporate Bonds and Equities: A Comparison of Returns
… of reliable data sources. Corporate bond and equities possess commonalities in their behaviour largely because of being at different points in the capital structure of firms. Indeed, adverse news for a company should adversely affect the pricing of both the firm’s equity and debt. As a result, …
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Modelling Equities with a Stochastic Volatility Jump Diffusion
The Bates model provides a parsimonious fit to implied volatility surfaces, and its usefulness in developed markets is well documented. However, there is a lack of research assessing its applicability to developing markets. Additionally, research surrounding its usefulness for hedging long term …
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Policy and Health (In)Equities among Native Elders
Sociological theory and literature in the study of disparities in health and access to care in old age has, with few exceptions, not considered important political contexts for the aging AI/AN community. Political histories have unique implications for this population, and particularly those in old …
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AN APPLICATION OF DATA ENVELOPMENT ANALYSIS IN RELATIVE VALUATION OF EQUITIES
Data envelopment analysis (DEA) has been widely used in efficiency evaluation among various organisations since the late 70s. In this research, DEA method is firstly applied to value shares that are traded in the financial market. Then the facet analysis is developed to further match two sub-groups …
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Evaluation of Asset Pricing Models in the South African Equities Market
Asset pricing models have been of interest since their origin in modern finance. The Capital Asset Pricing Model is a widely used tool and is one of the early developed asset pricing models in modern finance. There are continual improvements of this model with the evident multifactor models of Fama …
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Optimized Forecasting of Dominant U.S. Stock Market Equities Using Univariate and Multivariate Time Series Analysis Methods
… investigation into forecasting U.S. stock market equities via two very different time series analysis techniques: 1) autoregressive integrated moving average (ARIMA), and 2) singular spectrum analysis (SSA). Approximately 40% of the S&P 500 stocks are analyzed. Forecasts are generated for one and …
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Law Without Recognition: The Lack of Judicial Discretion to Consider Individual Lives and Legal Equities in United States Immigration Law
… to consider personal circumstances and equities of the individuals who come before them. The effects of these laws have resulted in greater numbers of individuals being detained and deported and a significant increase in the militarization of the border.</p> <p>In this work, I examine …
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Learning connections in financial time series
… that a portfolio containing a diversified set of equities can be used to control risk while achieving a good rate of return. The basic idea is to choose equities that have high expected returns, but are unlikely to move together. Identifying a portfolio of equities that remain well diversified …
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Optimal asset allocation for retirement funds: a South African perspective
… including developed market and emerging market equities. This study, based on data from 1995 to 2013, uses mean variance optimisation as well as optimisation using the Omega ratio to determine the optimal portfolio. The Omega Ratio has an added advantage over the mean variance optimisation as it …
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Long term portfolio construction
… to invest in portfolios comprised more of equities. This advice is usually coupled with the practice of shifting the investor's portfolio from risky asset holdings towards bonds and cash as the investor's target date gets closer. This view rests on the notion that equities tend to be less …
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Modelling the asset allocation process and the effectiveness of the models through time
… investment model for the asset classes of cash, equities and fixed interest. Structural breaks occur in 1947 and 1973 but stability since then means that stochastic investment modelling is a feasible proposition. The final model contains four real variables with inflation as the sole exogenous …
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Crude Oil and Crude Oil Derivatives Transactions by Oil and Gas Producers.
… the diversification benefit of crude oil for equities. Second, it examines whether or not crude oil derivatives transactions by oil and gas producers can change shareholders' wealth. With these two major goals in mind, I study the risk and return profile of crude oil, the value effect of crude …
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Does Firm Performance Impact Perk Usage? Evidence From Flights of Corporate Jets
… jet usage. I identify changes in corporate equities and financial ratios to look for a resulting shift in detailed flight activity. For firms that are considered large based on total assets, regression analysis finds a significant association between a change in equities and flight activity …
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Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia
… in most of the asset classes and especially in equities. Investors during recessions suffer from severe losses and diversification does not provide the optimal solution. Through the development of an econometric model for dynamic management of recession risk in equity portfolios based on an …
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Market thinness and the potential benefits of domestic-only portfolio diversification in Canadian equity markets
… for domestic-only investment in Canadian equities. The study also determines if the benefits of diversification are best examined using time-varying or static estimates of volatility. This thesis has four major findings. First, about 30 securities are required, on average, to obtain most …
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Normality of JSE Returns: Macro-outliers, Micro-outliers: an Empirical Evaluation
… to the Gaussian distribution for single-listed equities on the Johannesburg Stock Exchange (JSE). Single-listed equities refer to stocks (i) listed on the JSE Main Board over the period covered in this study, (ii) that comprise of the exchange’s largest 100 stocks by market capitalisation, and …
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