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 91 for “"market returns"”.
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Labor Market Returns to School Quality in China
… of school quality on students' subsequent labor market earnings in China. Three distinctive datasets involving both urban and rural areas of China are used in the dissertation to investigate this issue: the Chinese General Social Survey (CGSS), China Health and Nutrition Survey (CHNS), and the …
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Are realized moments useful for stock market returns analysis?
Tématem této práce je analýza využití realizovaných momentů k oceňování aktiv. K analýze je použit dataset obsahující data o devětadvaceti z nejvíce likvidních veřejně obchodovaných akciových spolecností. Tento dataset pokrýva období deseti let a je dále rozdělen na trénovací a testovací dataset, …
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Winner-Takes-All: Access to Education and Labor Market Returns in the Philippines
… inequalities in access to education and labor market returns have evolved over time in the Philippines. Using the Origin-Education-Destination (OED) triangle as frame (see for example, Breen & Goldthorpe, 1997; Breen & Jonsson, 2005; Bukodi & Goldthorpe, 2018), the study disentangles the extent …
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The impact of sovereign credit rating changes on financial market returns in Africa
… provided by credit rating agencies on financial markets in 30 African countries during the period of 1994 to 2014 in order to determine whether long-term foreign currency sovereign credit rating announcements contain material information that influences the secondary market stock and bond …
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An investigation into the association between accounting variables and stock market returns: the Mexican case
… exists between accounting variables and stock market returns in a Mexican context. Security price research refers to such statistical dependence as "information content." In order to satisfy the above objective, three different abnormal performance indexes were used and the following hypothesis …
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Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market
… examines the efficiency of Botswana's bond market. It focuses on the properties of the return and volatility of the Fleming Asset Bond Index (the main aggregate fixed income benchmark index in Botswana) over the period September 2009 to May 2019. The weak-form version of efficient market …
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Internal stock market returns and systematic risk factors. An empirical investigation into the APT using macroeconomic factors and multivariate estimation
… thesis examines the 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 …
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The predictive nature of short interest on market returns and the effect of short selling on volatility, liquidity and price discovery with some international evidence
… there is evidence that short sellers engage in market manipulation. I also look at whether and to what extent short sales affect liquidity, price discovery, volatility and cross-section of stock returns. The main novelties of research of this PhD are that I employ a new more efficient asset …
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The Relationship between Analyst Forecasts, Investment Fund Flows and Market Returns = Elemzői előrejelzések, befektetési alapok pénzáramlása és a részvénypiaci hozamok kapcsolata. A feltörekvő európai részvénypiac vizsgálata
… opinion and fund flow data in understanding returns through the example of Emerging European equity markets. With wider-spread availability of the analyst opinion and fund flow data, we hope more academic research would cover the microstructure of the cash equities business, that would …
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The Value of Analyst Recommendations: An International Perspective
… stock recommendations in international stock markets. The first study focuses on the information content of analyst recommendations at the country level. It shows that analyst recommendations aggregated at the country level predict international stock market returns. A trading strategy based …
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Do macroeconomic variables explain future stock market movements in South Africa?
… macroeconomic variables drive future stock market returns in South Africa. If found, the macroeconomic variables would therefore constitute useful predictive information for the future FTSE/JSE All Share Index. The data was examined from 1965 to 2010 which constitutes the longest study of …
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Industry Based Fundamental Analysis: Using Neural Networks and a Dual-Layered Genetic Algorithm Approach
… of artificial learning methodologies to map market returns better than logistic regression. The learning methodologies used are neural networks and dual-layered genetic algorithms. These methodologies are used to develop a trading strategy to generate excess returns. The excess returns are …
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Stocks, bonds and volatility in financial markets
… funding liquidity can predict future stock market returns. The key idea is that, as capital constraints become more binding, speculators withdraw first from small stocks and then from large stocks. Given that asset liquidity is provided by speculators, the asset liquidity of large and small …
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Bayesian Applications in Financial Econometrics
… and parametric methods to financial market and macroeconomic time series. Chapter 1 extends popular discrete time short-rate models to include Markov switching of infinite dimension. This is a Bayesian nonparametric model that allows for changes in the unknown conditional distribution …
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Decoding Relations between Geopolitical Risk and Financial Markets
… between geopolitical risk and financial markets by analyzing two major geopolitical events: the Russia-Ukraine conflict and China-related tensions. Using Latent Dirichlet Allocation (LDA) topic modeling, it identifies key topics discussed in business media. Through ordinary least squares …
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Special events and their impacts on stock markets
… a special event will have an impact on stock market returns. Shanghai Composite Index, S&P 500, and CAC 40 are used as representation of the Chinese, U.S., and French stock markets. The author makes a hypothesis of the correlation between political influence and equity market returns. The …
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A machine learning hybrid approach to forecasting equity returns volatility: A South African perspective.
… scholars and professionals in the financial markets have been deeply interested in the forecasting of financial market return volatility. There are many methods for predicting the volatility of financial market returns, and various studies have indicated differing degrees of accuracy in this …
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Predictive analytics for crude oil tanker markets
Tanker markets are one of the many markets to experience extreme volatility, historically realizing drastic swings in earnings of up to 260% week over week. This volatility has placed pressure on tanker market participants to forecast future returns, create guidance for their investment decisions, …
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