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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

Reappraisal of market efficiency tests arising from nonlinear dependence, fractals, and dynamical systems theory /

Cha, Gun-Ho. January 1900 (has links)
Diss. Stockholm : Handelshögsk.

On the unconditional and conditional cross section of expected futures returns

Miffre, Joelle January 1998 (has links)
While most of the literature on asset pricing examines the cross section of stock and bond returns, little attention has been devoted to the analyse of the trade-off between risk and return in futures markets. Since, alike stocks and bonds, futures contracts qualify as investments on their own, the purpose of this thesis is to remedy this problem by addressing three issues related to the unconditional and conditional cross section of expected futures returns. Chapter II investigates the presence of a futures risk premium and, ultimately, the validity of the normal backwardation theory in the context of constant expected return asset pricing models and argues that the inconsistency in the literature stems from methodology problems that might result in incorrect inferences regarding the applicability of the normal backwardation theory. With methodologies free from these problems, we show that, while producers and processors of agricultural commodities transfer their risk to one another at no cost, hedgers are willing to pay a premium to induce speculators to enter financial and metal futures markets. Chapter III looks at the integration between the futures and underlying asset markets. While we fail to reject the hypothesis that the prices of systematic risk in futures markets are equal to those in the underlying currency and equity markets, we present new results that the futures and commodity spot markets are segmented. Such results are of primary importance to investors who use constant expected return asset pricing models to adjust the risk-return trade-off of their portfolio and evaluate portfolio performance. The remainder of the thesis investigates the degree of efficiency with which futures contracts are priced. Since futures returns are predictable using information available at time t-1, the purpose of chapters IV, V. and VI is to analyse whether the variation in expected futures returns reflects rational pricing in an efficient market or is the result of weak-form market inefficiency. In this respect, chapter IV investigates the profitability of a trading rule based on available information and concludes that the implemented investment strategy does not generate any abnormal return on a risk and transaction cost adjusted basis. Chapter V looks at the link between the time-varying futures risk premia and the economy and demonstrates that the information variables predict futures returns because of their ability to proxy for change in the business cycle. Finally, chapter VI makes use of time-varying asset pricing models to analyse the relationship between the predictable movements in futures returns and the conditional cross section of expected futures returns. The results indicate that conditional versions of asset pricing models capture most of the predictable movements in futures returns. Hence the predictability of futures returns seem to mirror the change in the consumption-investment opportunity set over time. Chapters V and VI also raise some interesting observations that have not been evidenced to date in the literature on predictability. First, the time-variation in the expected returns of currency and agricultural commodity futures is not consistent with the evidence from the stock and bond markets and with traditional theoretical explanations of the trade-off between risk and expected return. Second, chapter VI demonstrates that shift in the sensitivities of futures returns to the constant prices of covariance risk accounts for most of the predictable movements in futures returns. This result is somehow surprising since the change in the prices of risk is the main source of predictability in the stock and bond markets.

Option valuation and hedging under transactions costs

Neuhaus, Henrik Juhan January 1989 (has links)
No description available.

Multiple time series modelling and tests of market efficiency

Levy, E. January 1987 (has links)
No description available.

Risk Management And Market Efficiency On The Midwest Independent System Operator Electricity Exchange.

Jones, Kevin 12 1900 (has links)
Midwest Independent Transmission System Operator, Inc. (MISO) is a non-profit regional transmission organization (RTO) that oversees electricity production and transmission across thirteen states and one Canadian province. MISO also operates an electronic exchange for buying and selling electricity for each of its five regional hubs. MISO oversees two types of markets. The forward market, which is referred to as the day-ahead (DA) market, allows market participants to place demand bids and supply offers on electricity to be delivered at a specified hour the following day. The equilibrium price, known as the locational marginal price (LMP), is determined by MISO after receiving sale offers and purchase bids from market participants. MISO also coordinates a spot market, which is known as the real-time (RT) market. Traders in the real-time market must submit bids and offers by thirty minutes prior to the hour for which the trade will be executed. After receiving purchase and sale offers for a given hour in the real time market, MISO then determines the LMP for that particular hour. The existence of the DA and RT markets allows producers and retailers to hedge against the large fluctuations that are common in electricity prices. Hedge ratios on the MISO exchange are estimated using various techniques. No hedge ratio technique examined consistently outperforms the unhedged portfolio in terms of variance reduction. Consequently, none of the hedge ratio methods in this study meet the general interpretation of FASB guidelines for a highly effective hedge. One of the major goals of deregulation is to bring about competition and increased efficiency in electricity markets. Previous research suggests that electricity exchanges may not be weak-form market efficient. A simple moving average trading rule is found to produce statistically and economically significant profits on the MISO exchange. This could call the long-term survivability of the MISO exchange into question.

Efficiency comparison of online and offline markets: evidence from the two largest U.S. retailers

Paskert, Niklas January 2020 (has links)
The online market has developed into an equally strong competitor to the offline market. This study examines the market efficiency of the U.S. online and offline market based on the price level, price dispersion, price elasticity and menu cost. A direct comparison of all four market efficiency criteria based on empirical results is not discussed in the literature. Here, the empirical study analyzes and compares the online and offline prices of electronic products between the two largest retailers, Amazon and Walmart. The results clearly indicate that the online market is more efficient than the offline market. Comparing the online prices between the multichannel retailer Walmart and the pure online retailer Amazon we find that for 64.5% of the electronic products, Amazon has the better offer. While 26% of the prices are identical and only 9.5% of the overall prices offered by Walmart are lower. The price advantage of Amazon is explained by the strong price linkage between the online shop and the less efficient offline shop within the retailer Walmart. In 73% of the examined prices, the online and offline prices at Walmart are identical. Furthermore, this price linkage causes a high price dispersion of 14.7% between the online shops of the two retailers. As soon as Walmart breaks the price linkage through sales offers in their online shop, the price dispersion between the two retailers drops to 10.2%.

The properties of revision of earnings forecasts by financial analysts : Canadian evidence

Hennessey, Sean Michael January 1993 (has links)
No description available.

Mexican ADRs, market efficiency and insider trading

January 2017 (has links)
acase@tulane.edu / The relationship between microstructure, efficiency and data frequency give us a new opportunity to test information (e.g. events and news) efficiency assimilation for Mexican ADRs and their underlying Bolsa Mexicana de Valores (BMV) stocks It also allows to corroborate whether in emerging markets, specifically in the Mexican market, insider trading could be present but it may not be necessarily detected by market efficiency tools only. Using a proprietary dataset of Mexican Stock Exchange (Mexican Bolsa) intraday prices for underlying stocks and their respective Type II and III ADRs quoted in NASDAQ, AMEX and New York Stock Exchange, time series analysis related to price dynamics and event studies methodologies were applied. Non-linearity of the prices was tested, finding no statistical evidence of such behavior, which led to conclude linearity in them. Volatility transmission was also analyzed, finding that external shock can impact both markets having a recursive behavior; shocks in Mexican market has an impact also in American Market and vice versa. Using a standard Event Studies methodology we tested for nine different corporate events (dividends, changes in capital structure, acquisitions, mergers, takeovers, spin offs, sell offs, joint ventures and privatizations) and seven different classes of stocks in both markets, looking for parallelism in cumulative abnormal returns, volatility, trade volume and Granger causality. The results are a statistically significant behavior similar in both markets (for both CARs and volatility). The evidence of Granger-causality in ADR / underlying stock was detected in both ways: underlying stocks Granger cause the ADRs and vice versa. The results corroborate a non-arbitrage behavior in both markets and no evidence of insider trading in ADRs / underlying stocks in both markets / 1 / Polux E. Diaz Ruiz

Time variations in equity returns

FitzGerald, Adrian January 2009 (has links)
Investors accept that there is uncertainty, or risk, associated with equity investment returns. Consequently, equities are normally priced so that they provide a premium to the returns available on risk-free investments. Equity returns, however, are cyclical. There can be long periods when equity returns greatly exceed risk-free returns; there can be long periods when the premium disappears altogether. This thesis explores the influences and driving forces in equity markets, with a particular emphasis on the UK equity market. Both rational and irrational influences are examined and discussed. A General Literature Review examines the general progression in academic thinking in the area of equity pricing over four decades and takes a close look at the concepts of market efficiency and the challenges mounted by behavioural finance. The “equity risk premium puzzle” is also examined. Chapters 3 to 6 contain empirical studies of the variation in UK equity returns over time from four angles. The chapters look, respectively, at: macro-economic influences on the equity market; the relationship between equity returns and market volatility; the impact of variation in risk-free returns; a full decomposition of both ex-ante and ex-post equity returns. Reassuringly, the results confirm that the UK equity market is driven, in the main, by economic factors. However, the results also indicate that the full set of influences on the equity market is complex. The analyses undertaken suggest that significant swings occur in the risk premium element of expected equity returns. The results also suggest that there are periods when the UK equity market may be in disequilibrium with other financial markets. It is not the contention that many of the puzzles that have confronted equity market researchers over recent decades are now resolved by the analyses undertaken and presented in this thesis. It is to be hoped, however, that a useful platform has been built from which further investigation and analysis can be taken forward. In particular, it is suggested that comprehensive surveys of long-term expectations could lead to a better understanding of equity market mechanisms.

Market efficiency? : A Good(will) test

Skenberg, Christian, Tran, Hoan, Venemyr, Henrik January 2005 (has links)
Problem: Recent articles argue that the new accounting standard regarding abandonment of depreciation of goodwill will cause a rise in share prices. According to the Efficient Market Hypothesis, a rise in profits due to accounting changes should not cause an increase in share prices. Therefore we ask the following main question in our thesis: Do investors on the Stockholm Stock Exchange act semi-strong efficient in relation to the abandonment of linear depreciation of goodwill? Purpose: The purpose of this study is to test the semi-strong form of market efficiency on the Stockholm Stock Exchange by studying if companies show positive abnormal returns caused by the removal of linear depreciation of goodwill. Method: Both a qualitative and quantitative approach was used to investigate semi-strong market efficiency. We conducted an event study to measure if companies with a high degree of goodwill showed abnormal returns. To be able to see if the abnormal returns were caused by the new accounting standards, a qualitative research was made. Conclusion: The empirical investigation indicates that investors acted semistrong efficient in relation to the abandonment of linear depreciation of goodwill.

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