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 8 of 8 for “"market anomaly"”.
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Examining the recent rising preferred perpetuals and its market anomaly in high yield space
… subordinated bond and that trade in bond market. Among those firms, DCP Midstream issued another preferred shares that have same feature, but trade in mezzanine market. This paper explores the recent rising preferred shares and its market inefficiency, especially between bond market (par …
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Limits to Arbitrage and Commodity Index Investment
… index investors in the commodity futures markets and shows that the price impact due to this rolling activity is both statistically and economically significant. Two simple trading strategies, devised to exploit this market anomaly, yielded excess returns with positive skewness and annual …
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Residual momentum and investor sentiment on the Johannesburg Stock Exchange (JSE)
… has been described as the premier financial market anomaly (Fama & French, 2008), but styles based on this phenomenon tend to suffer intermittent crashes (Barroso & Santa-Clara, 2015). The study investigated a variation on momentum that considers only firm-specific returns, determined from …
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A Treatise on Downside Risk
… of downside risk to explain a long-withstanding market anomaly; the long-term stock return reversals. We show that downside betas of past losers are significantly greater than downside betas of past winners, and the inclusion of downside beta in Fama-Macbeth regressions subsumes the reversal …
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An Investigation into The Predictive Power of Overnight Gaps on The Johannesburg Stock Exchange
Stock market gaps occur nearly every day, yet very little is known about their influence on subsequent pricing behaviour, particularly in developing economies like South Africa. The aim of this research is to comprehensively identify and analyse the relationship between overnight price gaps and …
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The Amman financial market : institutional features and calandar [sic] effects
… reader an insight into a relatively little known market in a developing country. The purpose of the study is to look at the market from an investor's/portfolio manager's perspective. Most investors are used to operating in a developed, mature market such as the New York Stock Exchange or the …
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A time-series and cross-sectional momentum strategy: Dual momentum applied from a South African perspective
… p.1654) referred to momentum as a “premier market anomaly”. The momentum effect has been nearly universally observed across all asset classes globally (Asness, et al., 2013). This research paper further explores momentum and replicates the dual momentum strategy proposed by Antonacci (2014) …
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Two Essays in Finance: Momentum Loses its Momentum, and Venture Capital Liquidity Pressure
… robustness of momentum returns in the US stock market over the period 1965 to 2012. We find that momentum profits have become insignificant since the late 1990s partially driven by pronounced increase in the volatility of momentum profits in the last 14 years. Investigations of momentum profits …