Thesis (Ph. D.)--University of Chicago, Dept. of Economics. / Includes bibliographical references. Also available on the Internet.

Thesis (master's)--Universidade Federal do Rio Grande do Sul, 1990. / Abstract in English. Includes bibliographical references (p. 209-222).

Thesis (Ph. D.)--University of Texas at Austin, 1989. / Vita. Includes bibliographical references (leaves 187-192).

Thesis (Ph. D.)--University of Colorado, 1987. / Includes bibliographical references (leaves [126]-131).

Magister Commercii - MCom / The equity market has a long memory of indexing. The market portfolio is a capweighted index that weights stocks based on the market capitalisation of the stocks constituting the index and has been upheld by modern portfolio theory as the optimal portfolio, generating the highest return for given risk. Justification for the meanvariance efficiency of the market portfolio stems from the assumed efficiency of stock markets. However, Siegel (2006) states that, because of speculative trading in the market, which induces noise in stock prices, the prices of stocks deviate from their intrinsic value. The subsequent reversal of overweighting of overvalued stocks and underweighting of undervalued stocks to their intrinsic values by capitalisation weighting results in a return drag. Recent observations of portfolios constructed based on weighting methodologies other than capitalisation weighting have resulted in portfolios that generate excess riskadjusted returns over and above that of the market portfolio; casting doubt on the assumed efficiency of the market. One such weighting methodologies is fundamental indexation, under which stocks are weighted by their fundamental metrics of size. The concept was introduced by Arnott, Hsu and Moore (2005). Chen, Chen and Bassett (2007) also introduced the concept of smoothed cap weights (SCW) as a more reliable estimate of the intrinsic value of a stock. This research study applies the concept of fundamental indexation and SCW to investigate the relative performance of fundamental indices of different concentrations (top 50 and mid-100 stocks) against cap-weighted portfolios on the Taiwanese equity market. The research period runs from January 2001 to June 2014, using the TEJ database as the data source. The TAIEX is employed as the market proxy. The research also examines the performance attribution and robustness of fundamental indices against cap-weighted portfolios. The results indicate that most fundamental indices constructed from the top 50 stocks are less mean-variance efficient than the TAIEX but more mean-variance efficient than the cap-weighted reference portfolio. All fundamental indices of the mid-100 stocks are more mean-variance efficient than the TAIEX and the reference portfolio. The return drag observed in the cap-weighted TAIEX and reference portfolio evidences the presence of mean reversion of stocks. Moreover, the returns of fundamental indices of the top 50 stocks are partly influenced by size risk premium but the fundamental indices comprised of the mid-100 stocks display return variations with statistically significant factor loading on the small cap (size) risk premium and value risk premium. Fundamental indices, on average show a higher resilience against the cap-weighted portfolios in both bull and bear markets. The sales index and fundamental composite index are the most mean-variance efficient fundamental indices and generate statistically significant alphas post accounting for both size and value risk premia.

Stanley Fischer. / Includes bibliographies and index.

At head of title: Mortgage study reports; report [no.] 1. To appear in the Proceedings of the Conference on the New Inflation, a conference held in Milano, Italy, June 1974.

No description available.

Thesis (Ph. D.)--University of California, San Diego, 2007. / Title from first page of PDF file (viewed October 3, 2007). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 60-64).

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2017-08-16T13:55:58Z No. of bitstreams: 2 MARCELO SANTANA DA SILVA.pdf: 579761 bytes, checksum: 31198b1e756da9a787c417c0e54d6c5a (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2017-08-16T13:55:58Z (GMT). No. of bitstreams: 2 MARCELO SANTANA DA SILVA.pdf: 579761 bytes, checksum: 31198b1e756da9a787c417c0e54d6c5a (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2017-02-22 / The objective of this study is to analyze the factors that determine the spread of the public issues of debentures indexed to the Broad Consumer Price Index (IPCA) in Brazil. Emissions indexed to the IPCA were choose because they are instruments usually used to capture resources of longer maturity by the issuing companies. The database had 245 series of issues occurred between January 2010 and December 2015. Regressions were estimated by ordinary least squares and weighted least squares methods, and the results presented by the last method were more robust. The rating-spread ratio was confirmed in all regressions and the results indicate that this variable explains, by itself, 58% of the spread variation. Other the rating, the results indicate that the main factors that determine the spread of the issues are: collateral, issuer experience, maturity, amount, prestige of the coordinating bank, tax benefits and economic scenario. Due to the results achieved, other issues related to market efficiency were approached, such as agency conflicts, information asymmetry and adverse selection. The results show that the collaterized issues remunerated the investors with a higher spread than the unsecured ones, and this premium ranged from 35 to 38 basis points. The results were interpreted in the context of agency theory and resemble those found by John, Lynch and Puri (2003) for the US corporate bonds market. Finally, the favorable economic scenario, as measured by the Emerging Market Bond Index - Brazil (EMBI + BR), showed negativelycorrelated with the spread, and these results were interpreted as effects of the information asymmetry and adverse selection present in the local market for debt issuance. / O objetivo deste estudo ?? analisar os fatores que determinam o spread das emiss??es p??blicas de deb??ntures indexadas ao ??ndice de Pre??os ao Consumidor Amplo (IPCA) no Brasil. Utilizou-se as emiss??es indexadas ao IPCA por serem instrumentos usualmente empregados na capta????o de recursos de maturidade mais longa pelas empresas emissoras. A base de dados contou com 245 s??ries de emiss??es realizadas entre janeiro de 2010 e dezembro de 2015. As regress??es foram estimadas pelos m??todos de m??nimos quadrados ordin??rios e m??nimos quadrados ponderados, e os resultados apresentados por este ??ltimo foram mais robustos. A rela????o rating-spread foi confirmada em todas as regress??es e os resultados indicam que essa vari??vel explica, isoladamente, 58% da varia????o do spread. Al??m do rating, os resultados indicam que os principais fatores que determinam o spread das emiss??es s??o: garantias, experi??ncia do emissor, maturidade, volume, prest??gio do banco coordenador, benef??cios fiscais e cen??rio econ??mico. Em raz??o dos resultados alcan??ados, foram abordados temas relacionados ?? efici??ncia de mercado, tais como conflitos de ag??ncia, assimetria de informa????o e sele????o adversa. Os resultados demonstram que, as emiss??es com garantia remuneraram seus investidores com spread maior que as sem garantia, e esse pr??mio variou de 35 a 38 basis points. Os resultados foram interpretados no contexto da teoria da ag??ncia e se assemelham aos encontrados por John, Lynch e Puri (2003) para o mercado norte-americano de corporatebonds. Finalmente, o cen??rio econ??mico favor??vel, medido pelo ??ndice Emerging Market Bond Index - Brazil (EMBI+ BR), demonstrou-senegativamentecorrelacionado com o spread, e esses resultados foram interpretados como efeitos de assimetria de informa????o e sele????o adversa presentes no mercado local de emiss??o de d??vida.