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Showing 1 to 3 of 3 for “"return dispersion"”.
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The effect of security return dispersion on performance measurement in a South African context
… the conjecture that increased fund performance dispersion was primarily due to higher CSV, and not changes in informational efficiency or ranges in managerial talent. In this dissertation we firstly critique the CSV-adjusted alpha as a measure of fund performance and show that it can only be …
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Momentum: A Rational Interpretation
… However, among market-state variables, it is the return dispersion within the market that is more important, as opposed to the returns of the market themselves. Return dispersion is negatively related to momentum returns. If return dispersion is considered to be a measure of market uncertainty, …
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Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE)
… no evidence of herding towards the market return; on the contrary there is evidence of ‘anti-herding' behaviour during periods of market stress. However, there is significant herding towards the domestic fear index, which becomes more pronounced during the crisis period. Furthermore, …