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Do Retail Investors Benefit From a High Dividend Yield? : The Dogs of the Dow strategy applied on the Swedish stock market.Gerson Frisö, Daniel January 2016 (has links)
In this thesis, the ten stocks with the highest dividend yield from the OMXS30 have been used to construct a portfolio, a strategy called The Dogs of the Dow. The portfolio was equally weighted and rebalanced every year. The purpose of this thesis is to see how the strategy would perform in terms of return and risk compared to the market. To define the market two indexes were used, OMXSPI and OMXSGI, which excludes and includes dividends respectively. A low dividends portfolio was also used as a benchmark. Though beating the market some individual years and showing a tendency of performing better in an up-going market, the strategy's average annual return of 9.69 percent for the whole period only beat one of the benchmarks. The strategy's risk was fairly similar to the market risk hence, it does not compensate the lower return with lower risk. The Sharpe ratio showed that the Dogs of the Dow portfolio had the best risk adjusted return in only two out of the eleven years. This points towards the conclusion that the strategy would not have performed better, overall, compared to the benchmarks between the years of 2005 and 2015.
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Modeling the interaction between flooding events and economic growthGrames, Johanna, Prskawetz, Alexia, Grass, Dieter, Viglione, Alberto, Blöschl, Günter January 2016 (has links) (PDF)
Recently socio-hydrology models have been proposed to analyze the interplay of community risk-coping
culture, flooding damage and economic growth. These models descriptively explain the feedbacks between
socio-economic development and natural disasters such as floods. Complementary to these descriptive
models, we develop a dynamic optimization model, where the inter-temporal decision of an economic agent
interacts with the hydrological system. We assume a standard macro-economic growth model where agents
derive utility from consumption and output depends on physical capital that can be accumulated through
investment. To this framework we add the occurrence of flooding events which will destroy part of the
capital. We identify two specific periodic long term solutions and denote them rich and poor economies.
Whereas rich economies can afford to invest in flood defense and therefore avoid flood damage and develop
high living standards, poor economies prefer consumption instead of investing in flood defense capital and
end up facing flood damages every time the water level rises like e.g. the Mekong delta. Nevertheless, they
manage to sustain at least a low level of physical capital. We identify optimal investment strategies and
compare simulations with more frequent, more intense and stochastic high water level events.
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African frontier markets: extent of illiquidity and inherent private equity investment opportunitiesDu Toit, Willem Johannes 27 August 2013 (has links)
Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / This study investigates the current private equity market in African frontier markets as well as
inherent investment opportunities in these African frontier markets. The research includes an analysis
of, inter-alia, the following: the development of capital markets in Africa, the classification of African
frontier markets, the measurement of liquidity, the relationship between liquidity and asset prices and
the history of private equity. This study will highlight to policymakers both in African and in donor
capitals the need to implement strategies that will support investment (especially private equity
investment) into the continent. The research carried out in this study should contribute to a better
understanding of illiquidity risks of African frontier markets and show how these can be mitigated.
This study will also provide key information on African frontier markets to investors and fund
managers in order for them to understand that a typical investment strategy for investing in developed
markets cannot be applied to frontier markets. The study analyses data of listed stocks on selected
African stock exchanges and compares this to data for similar stocks listed on developed world stock
markets to examine the relationship between liquidity, earnings multiples and market capitalisations
for these stocks. Interestingly, results show that, while there is no relationship between the liquidity of
stocks and the Price Earnings (PE) multiples of stocks, there is strong evidence to suggest that a
relationship exists between the liquidity of stocks and the Enterprise Value to EBITDA
(EV/EBITDA) multiples of stocks. Furthermore, we find strong evidence that African frontier market
stocks are significantly less liquid and have lower earnings multiples than stocks with similar market
capitalisations listed on stock exchanges in the developed world.
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Dividend yield investment strategies in the South African stock marketErasmus, Nelmarie 26 August 2013 (has links)
Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / The subject of this study posits the profitability of an investment strategy focused on high-dividend yielding securities from the South African stock market over the period of 10 years from 2002 to 2012. The study follows an expected dividend yield model, similar to the model proposed by Hsu and Lin (2010), for the construction of a high-dividend yielding portfolio. Financial data of listed companies’ dividends and other financial information is used to estimate these expected current dividend yields by employing multiple regression analysis. It is suggested that these expected yields better reflect companies’ future profitability than traditional current dividend yields. The results of the study show that the performance differences between the portfolios based on the expected dividend yield model and the benchmark portfolios are significant; however the tests of the model suggest that the model is not a good fit for the data.
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Can algorithmic trading beat the market? : An experiment with S&P 500, FTSE 100, OMX Stockholm 30 IndexKiselev, Ilya January 2012 (has links)
The research at hand aims to define effectiveness of algorithmic trading, comparing with different benchmarks represented by several types of indexes. How big returns can be gotten by algorithmic trading, taking into account the costs of informational and trading infrastructure needed for robot trading implementation? To get the result, it’s necessary to compare two opposite trading strategies: 1) Algorithmic trading (implemented by high-frequency trading robot (based on statistic arbitrage strategy) and trend-following trading robot (based on the indicator Exponential Moving Average with the Variable Factor of Smoothing)) 2) Index investing strategy (classical index strategies “buy and hold”, implemented by four different types of indexes: Capitalization weight index, Fundamental indexing, Equal-weighted indexing, Risk-based indexation/minimal variance). According to the results, it was found that at the current phase of markets’ development, it is theoretically possible for algorithmic trading (and especially high-frequency strategies) to exceed the returns of index strategy, but we should note two important factors: 1) Taking into account all of the costs of organization of high-frequency trading (brokerage and stock exchanges commissions, trade-related infrastructure maintenance, etc.), the difference in returns (with superiority of high-frequency strategy) will be much less . 2) Given the fact that “markets’ efficiency” is growing every year (see more about it further in thesis), and the returns of high-frequency strategies tends to decrease with time (see more about it further in thesis), it is quite logical to assume that it will be necessary to invest more and more in trading infrastructure to “fix” the returns of high-frequency trading strategies on a higher level, than the results of index investing strategies.
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Investments in the Swedish Cleantech Sector : A Case Study of Swedish Public and Private Venture Capital Investments in CleantechYang, Ying, Sollén, Irina January 2013 (has links)
The ever-growing awareness of sustainable living brings us to Cleantech - a technology that aims to reduce pollution and enhance efficiency by developing environmentally friendly products and services. Investors nowadays claim they are moving towards investments incorporating CSR and ESG issues, which is closely connected to Cleantech investments. As a growing sector, the most concerning issue is the financing. Since Cleantech was introduced around 2006, the market has seen investors with different profiles. Among them venture capitalists (VC) have played a vital role in supporting Cleantech growth. It is noticeable that state-owned VCs, together with private VCs, have been actively participating in Swedish Cleantech investments. This study sets out to evaluate how public VCs differ from private VCs in terms of investment strategies, in Swedish Cleantech context. The results of the study aim to give an understanding of roles of different VCs in investment evaluations, which affect the decision making of their Cleantech investments. Through Cleantech Scandinavia’s database we have collected information regarding previous investments made in Swedish Cleantech between 2007 and 2011. The results showed that public VCs and private VCs had similar stage preferences, focusing at seed and commercialization stages with little touch on expansion stages. The co-investing activities were mainly targeted at energy related segments in Cleantech. Based on this rough understating about Swedish Cleantech investments we conducted semi-structured interviews with 11 VCs, both public and private, to gain a deeper understanding on their investment strategies. We found that the difference between public and private VCs lies merely in the sense that public VCs operates under governmental guidelines, which they have to comply with when making an investment decision. The majority of the public VCs must co-invest with private investors, which opens a door for private VCs seeking co-financing for Cleantech projects. Particularly public VCs with a regional focus work under both local governments’ and EU’s regulations, which make them restricted to some degree. On the contrary private VCs have the freedom to decide whatever they want under different circumstances. Apart from that, public and private VCs share a great deal of similarities in their investment strategies and evaluations in Cleantech investments.
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Análise da sobre-reação de preços no mercado de ações brasileiro durante o período de 1995 a 2003 / Overreaction in the Brazilian Stock Market from 1995 until 2003Yoshinaga, Claudia Emiko 06 December 2004 (has links)
Esta dissertação analisa a existência de oportunidades de obtenção de ganhos econômicos através da adoção de estratégias de investimento que explorem o viés de sobre-reação de preços no mercado de ações brasileiro no período de 1995 a 1998. De forma complementar, busca identificar se os resultados são persistentes a alterações do indicador de retorno utilizado, período de tempo da análise, método de acumulação de retornos e número de ativos da carteira. Os indicadores de retorno utilizados foram: retorno total, excesso de retorno de mercado e retorno ajustado ao risco, para períodos mensais, trimestrais, semestrais, anuais e bianuais. Utilizou-se a acumulação aritmética e composta, bem como diferentes quantidades de ações (fixas de 5 e 10 ações e variável de 5% e 10% da carteira total). Os instrumentos utilizados para os testes estatísticos de associação foram o teste de diferença de médias para duas amostras independentes, o teste de proporções, além do coeficiente de correlação de Spearman. A amostra compreendeu todas as ações existentes no período, cujos dados estavam disponíveis no banco de dados Economática. Os resultados demonstraram que existe a oportunidade de se obter ganhos no curto prazo, pois a estratégia contrária de investimento apresentou ganhos estatisticamente significantes para os períodos mensal e trimestral. / This dissertation analyzes the possibility of obtaining gains by adopting contrarian investments policy in the Brazilian Stock Market during the period from 1995 to 2003, in order to prove the existence of the overreaction bias in the investors? behavior. As a complementary objective, it was explored whether the strategy performance depends upon the measure employed to address performance, time period, cumulating returns method or number of securities in the portfolios. The research has involved different measures of performance: total return, market excess return and risk-adjusted return for different time horizons: monthly, quarterly, semi-annually, annually and biannually. It was computed two methods for cumulating returns, arithmetic and buy-and-hold, and also various quantitites of securities in each portfolio. The statistical procedures used to measure the degree of association were: difference of sample means test, proportions test and Spearman?s correlation coefficients. The sample included all stocks listed in Bovespa, with available data in the Economática database. Results show that there is an opportunity to gain in the short-time horizon, once the contrarian investment strategy presented statistically significant gains for monthly and quarterly periods.
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Mathematical models for optimal management of bank capital, reserves and liquidityvan Schalkwyk, Garth January 2019 (has links)
Philosophiae Doctor - PhD / The aim of this study is to construct and propose continuous-time mathematical models
for optimal management of bank capital, reserves and liquidity. This aim emanates from
the global financial crisis of 2007 − 2009. In this regard and as a first task, our objective
is to determine an optimal investment strategy for a commercial bank subject to capital
requirements as prescribed by the Basel III Accord. In particular, the objective of the
aforementioned problem is to maximize the expected return on the bank capital portfolio
and minimize the variance of the terminal wealth. We apply classical tools from stochastic
analysis to achieve the optimal strategy of a benchmark portfolio selection problem which
minimizes the expected quadratic distance of the terminal risk capital reserves from a
predefined benchmark.
Secondly, the Basel Committee on Banking Supervision (BCBS) introduced strategies
to protect banks from running out of liquidity. These measures included an increase of
the minimum reserves that the bank ought to hold, in response to the global financial
crisis. We propose a model to minimize risk for a bank by finding an appropriate mix of
diversification, balanced against return on the portfolio. Thirdly and finally, in response
to the financial crises, the Basel Committee on Banking Supervision (BCBS) designed a
set of precautionary measures (known as Basel III) for liquidity imposed on banks and one
of its purposes is to protect the economy from deteriorating. Recently, bank regulators
wanted banks to depend on sources such as core deposits and long-term funding from
small businesses and less on short-term wholesale funding.
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Mutual Fund Investment based on Genetic AlgorithmChen, Chih-shiang 21 October 2011 (has links)
This research proposes a decision and behavior model which tries to approximate the fund trading. The main idea is based on the principle of the publication ¡§Genetic Algorithms for the Investment of the Mutual Fund with Global Trend Indicator¡¨, and four optimization schemes are proposed as well. First, the calculation of GTI is refined to prevent the possible problems caused by the case that all the fund are getting rise, or the opposite. Second, the tolerance is considered to avoid the reduction of profits owing to the increase of rates for transaction which Funds, those near threshold ones, might exchange ranking too often. Third, the concept of Stop-Loss Point is involved to release the fund dynamically instead of oversell. The last, Someone like to investment more profitable with short-term data, but high-risk. Someone like to investment long-term data, therefore, we added (1-£\)History + (£\)Recent to make users could set by themselves. And we also design genetic algorithm to calculate £\ for reference.
Under the constraints of three different coefficients of stop-loss and release, the Return of Investment (ROI) is four times than original one(8.98%), which is compared in 2007.
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The study of the investment strategy of the foreign banks in ChinaYang, Hui-Tsun 12 July 2005 (has links)
After China entry WTO at the end of 2001, the financial market will open to the outside world progressively , and it will even open business of RMB after five years. It will attract more foreign banks to invest to China's market ; On the other hand, the Taiwanese investing banks want to serves small and medium-sized enterprises invest in China, so it is necessary to the Taiwanese investing banks to invest in China. It is obvious that more and more foreign banks want to make investment in China.
For the Taiwanese investing banks or other foreign banks can make investment successfully in China, through the study of the foreign banks make investment successfully and for a long time in China to probe the development of the foreign banks in China. And find the competitiveness of the five cities that absorb the foreign banks in SWOT analysis¡FAnd then analyse with the investment strategy of case banks , such as HSBC , Citibank and Standard Chartered Bank. Finally the study find that the foreign banks still faced the hindrance on a lot of policies when made investment in China. China want to open the private banks at present , and it will form state-run bank , the foreign banks and private banks to compete with each other in China¡¦s financial market in the future. It¡¦s important to the foreign banks to use one's own assets strength and develop investment strategy actively. The best choice is to cooperate with China¡¦s banks and replace competing. Finally the study offers the suggest to the Taiwanese investing banks or other foreign banks¡G(1)Stoke the China Banks of the good performance and have complementary or develop the strategic alliance¡F(2)Take the identity of Hong Kong -invested banks in order to enjoy the CEPA policy¡F(3)Develop variety of the retailing financial business¡F(4)Develop the on-line banks¡F(5)Invest in the big city to forming the function of radiating¡F(6)Plant the local market deeply with the localization strategy¡F(7)Cooperate with private bank.
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