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 20 of 54 for “"outperformance"”.
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Market outperformance by nonparametric, simugram-based portfolio selection
A new portfolio selection system is presented which weights components in a target major market index such that the resulting portfolio consistently outperforms the underlying market index by most any multi-period return measure. This is accomplished by use of the simugram, which gives a …
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The Drivers of ESG Index Outperformance : A Transatlantic Analysis of US and European Markets
The purpose of this study is to meticulously investigate the varying effects of diverse Environmental, Social, and Governance (ESG) integration approaches on the financial performance of securities within the European and US markets over the decade from 2013 to 2023. This research topic represents …
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An investigation into South African property unit trusts: do active managers add value to investors?
… order to determine whether there is significant outperformance amongst the funds. The benchmark used to compare performance was the South African Listed Property index (SAPY), which is the most common and well established proxy for the South African property market. The sample was divided into …
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Low volatility alternative equity indices
… These portfolios have shown significant outperformance when compared with the market capitalization-weighted portfolios. This study analyses the low volatility portfolios in South Africa using sectors instead of individual stocks as building blocks for portfolio construction. The …
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Three essays on mispricing and market efficiency
… costs. Consistent with our hypothesis that the outperformance of EW indexes comes from mispricing, we find that this outperformance concentrates in stocks with greater mispricing, as measured by deviation of stock prices from random walk. Findings in this essay not only imply a potentially …
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An Investigation into The Predictive Power of Overnight Gaps on The Johannesburg Stock Exchange
… strategy, with a sustained average annual outperformance of the JSE AllShare Index observed under even the highest transaction costs of 1.3% per trade. At the lower transaction cost level associated with CFD trading, an average annual outperformance of 166% was recorded. The theoretical and …
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Loosely coupled LiDAR-Visual/Thermal-Inertial Odometry and Mapping
… of evaluation studies is presented showing the outperformance of our approach against the LiDAR only odometry and mapping method in a tunnel environment and the field-verification in an autonomous mission in an underground mine.
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Alternative fixed income indexation: A study on fundamental indexes in the South African corporate bond market
… and simpler method to implement, the search of outperformance has evolved from only focusing on picking securities from larger institutions and has expanded to trying out various weighting methods so as to maximize on the best performing instruments. As yet, there is no definite winner, with the …
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Actively Managed Mutual Fund Holdings and Fund Performance
… I find that these measures do not predict outperformance, but appear to be related to future fund flows.
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Tactical Allocation Through the Lens of Correlational Time-Variance, Determinants, and Regimes
… Our research pivots to practice, illustrating outperformance in portfolios constructed upon the principles of time-varying change, macro drivers, and correlational regimes, thus enabling investors to make more informed decisions, leading to superior risk-adjusted returns amid a dynamically …
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Momentum Effects: Essays on Trading Rule Returns in G10 Currency Pairs
… short-term moving average signals exhibits clear outperformance over a trading strategy that is generically composed from all moving average crossover signals. This outperformance persists over time. Chapter 2: Momentum Effects: G10 Currency Return Survivals, Implications for Trading Rules The …
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An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange
… anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why …
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Jump Variation in High-Frequency Asset Returns: New Estimation Methods
… variance. In a simulation analysis, we find outperformance of our estimators against the established. In an empirical analysis we find dramatically different estimates of jump variation and integrated variance based on the estimation scheme, suggesting careful attention must be paid to the …
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Why Do Banks Participate in a FDIC Failed Bank Auction? A study on both winning and non-winning bidders’ performance
… market reaction, which is rationalized by their outperformance in operation. More interesting, we find that the market reaction to first time participation in failed bank auctions is significantly higher than the market reaction to the announcement of participation by an experienced participant. …
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South African General Equity Unit Trust Funds:Fund Performance and Characteristics
… them to improve their ability to provide outperformance consistently over time.
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A new approach to calculate and forecast dynamic conditional correlation - the use of a multivariate heteroskedastic mixture model
… comparison we find significant evidence of outperformance of our models over other alternative models from a range of perspectives. Besides, in this research we also study a new type of correlation model using multivariate skew-t as basis for quantifying the density values of conditional …
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Magic formula optimisation in the South African Market
… on a statistically significant basis, an outperformance of the investment strategy relative to the Johannesburg Stock Exchange All Share Index. Accordingly, the study makes several contributions to the literature. Firstly, it provides direct evidence of the relationship between value …
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An investigation into higher and partial moment portfolio selection frameworks
… absolute return and ratio basis; however, this outperformance has not consistently proven to be statistically significant.
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Graph-based Multi-ODE Neural Networks for Spatio-Temporal Traffic Forecasting
… on four real-world datasets demonstrate the outperformance of GRAM-ODE compared with state-of-the-art baselines as well as the contribution of different GRAM-ODE components to the performance.
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Essays in Asset Allocation
… outperforms both the MV and 1/N rules and the outperformance is robust to investment horizons and stock market states. The BSV rule is effective for investors with different preferences or investment opportunities. The effectiveness of the BSV rule is robust to data screening criteria, …
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