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 71 for “"stock return"”.
-
Stock Return Anomalies, Industry Risk and Capital Structure
… topics related to the anomalous behavior of stock returns in the time series and cross section. It includes three parts. The first part investigates the relation between leverage and stock returns. First, we provide the first empirical evidence that this relation is masked by maturity: stocks …
-
Volatility risk and stock return predictability on global financial crises
… for investigating the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) from …
-
News Sentiment and Stock Return in the Chinese Stock Market
<p>This dissertation studies the effects on stock returns of CSI 300 closing price in Chinese stock market by Sentiment Index of the Social and News Media from the Thomson Reuters MarketPsych Indices. We find that the Sentiment Index is positively related to stock return of CSI 300 closing price. …
-
Another Look at Stock Return Comovement: Some New Evidence and Test
The study of the comovement between asset returns reflects an ongoing effort by economists to understand investment risk in financial markets. Building on previous findings, in the current thesis I provide some new evidence on this topic with a focus on large-cap stocks and highlight an innovative …
-
Artificial Neural Networks in Stock Return Prediction: Testing Model Specification in a Global Context
… and technical factors can accurately predict the returns of a sample of several large-cap stocks from various markets across the globe. This study also explores which hidden layer configuration leads to the best network predictive performance. Furthermore, this research identifies which …
-
Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa
… walk process or, equivalently, that security returns are normally and linerly distributed. A crucial implication or this assumption is that the prices and returns are unpredictable, hence it is not possible to earn excess returns on the market through the innovative use of relevant information.
-
RESEARCH THE DIRECT IMPACT OF CRYPTOCURRENCY ON STOCK RETURN EXCEPTING THE INDIRECT IMPACT THROUGH OVERALL MARKET
… of cryptocurrencies, primarily Bitcoin, on stock returns, as well as to analyze the characteristics of some of the companies which Bitcoin has a large impact on stock returns and the reasons why these phenomena occur. The study examines the returns of three variables, NSDQ100 Index, Bitcoin …
-
Vine copula modelling of dependence and portfolio optimization with application to mining and energy stock return series from the Australian market
… and portfolio allocation features of seven 20-stock portfolios from the mining, energy, retail and manufacturing sectors of the Australian market in the context of the 2008-2009 global financial crisis (2008-2009 GFC) and pre-GFC, GFC, post-GFC and full sample period scenarios revolving around …
-
Board composition and the use of accounting measures: the effect on the relation between CEO compensation and firm performance
… types of performance measures, accounting and stock return, used in the pay-performance relationship is also examined. Data were gathered from publicly available sources, including Forbes compensation surveys, firms’ proxy statements, and COMPUSTAT and CRSP tapes. These data were then …
-
Development and analysis of derivative trading systems using artificial intelligence
… systems that incorporate both volatility and return forecasting. This study focuses on the S&P 500 stock index as a representative for the market. The three different trading methods are discussed: stock return forecasting using a simple call and put option strategy, volatility forecasting …
-
Essays in financial economics
… Lo. We implement various statistical analyses on stock market returns, using CRSP equal weighted and value weighted index returns from 1926-2001, as Fama (1965) did more than 35 years ago. Investigating marginal and conditional stock return distribution, we report many characteristics of stock …
-
The relationship between managerial holdings and performance: An empirical study on the restaurant industry
The relationship between managerial stock holdings and performance, measured by profitability, operating efficiency, and stock return, was examined for the publicly traded restaurant companies during the period of 1995-1996. Additionally, the study investigated whether the degree of association …
-
Are changing margins factored into stock prices?
Stocks returns are often associated with the value of the company. There are many ways in which research has found viable variables to predict the future stock return, including autocorrelation of the stock prices, using the P/E ratio or more recently using the GP/A ratio. Having clear evidence …
-
Tax-efficient asset management via loss harvesting
… of any particular choice of a source for stock return time series. After combining the framework with the Capital Asset Pricing Model as a source for simulated stock returns data, we perform a thorough sensitivity analysis and study the performance of loss-harvesting under various …
-
Essays on Investor Attention
… more for the target firms and large deals; (3) stock return responses and abnormal trading volume are less pronounced when investor attention is low. In particular, stock returns to of targets are less positive when investor attention is lower. Overall, my results suggest that investors …
-
Three essays on financial markets
… noise in private signal is higher for small firm stocks, which is intuitive since information leaks are less likely for small firms and small firms are more secretive. (2) Estimated noise level is larger for stock/year combinations with larger estimated number of informed traders and larger …
Page 1 of 4