The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently outperform their high volatility counterparts, as well as their own expected return, over the long-term are discussed. This includes analysing how financial risk is measured and whether this plays a role in obscuring the expected risk-return relationship, in addition to other fundamental factors impacting expected returns. It is found that the low-volatility anomaly is present on the JSE and that using a number of different risk metrics does not significantly change where a stock is ranked on the risk spectrum. Additionally, including an interest rate exposure factor, a value factor and a momentum factor lowers the unexpected portion (Alpha) of the returns of low volatility stocks, at the same time as narrowing the gap between the unexpected performance of the lowest and highest volatility stocks.

Informed traders trade options on underlying securities to lower transaction costs and increase financial leverage for price trend and variance strategies. Options markets play a significant role in price discovery by incorporating private information about future prices for an underlying security into option prices. I generate a new model-free volatility measure to calculate the "distance from arbitrage bounds" from minute-by-minute option series for the S&P 500 index and 30 individual underlying stocks. These iron butterfly arbitrage bounds (IBBs) use intraday call and put option prices from the Bloomberg database. Narrow and wide IBBs are expected to reveal the options market valuation of volatility by market participants. Data series is gathered by using successive one-minute intervals from the Bloomberg database. The data comprise the most recent bid and ask option prices and volumes. I collect S&P 500 index values and index options and use 30 underlying stock prices and option prices for the contracts that have the largest option trading volume during the sampling interval. These bid and ask prices reflect the information generated by intraday price pressures implied by S&P 500 index options or stock options. Consistent with the option micro-structure literature, I find that the IBB measure for actively traded stock options attains its highest level immediately after the open of the market, declines steadily throughout the first trading hour and remains relatively stable until market close. However, index IBBs behave differently. S&P 500 index option IBB attains its lowest level during the first hour of the trading day, then increases and remains relatively stable until market close. I present new evidence regarding the dynamic relation between stock returns and innovations in expected volatility by using the minute-by-minute change in implied volatility (IV) as a proxy. Unlike the relationship between individual stock returns and their respective changes in implied idiosyncratic volatility, I find that all the coefficients on the market volatility index (VIX) term are negative and significant. Therefore, the evidence supports the explanation that the negative relationship between stock returns and expected volatility innovations is primarily related to the systematic component of the expected volatility. I also test whether narrow and wide IBB values capture incremental information to explain the return-volatility relationship. Results indicate that neither narrow IBB nor wide IBB values provide additional information beyond that provided by VIX and IV. The results are robust to five-minute and ten-minute sampling frequencies.

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Ammonia emissions from dairy and livestock operations are of significant environmental and human health concern in the United States. Conservation of ammonia from fall surface-applied manure could benefit farmers by retaining nitrogen for use by crops in the spring growing season. The primary goal of this research was to investigate a management strategy for mitigating ammonia volatility from cow manure at the time of field application with no incorporation in the fall before snow fall. The hypothesis is that application of manure in cooler fall temperatures will slow the rate of ammonia volatilization. The objective was achieved by measuring temperature and rates of ammonia volatility from surface-applied liquid dairy manure every month over a period of four months from September to December, 2008. Manure was surface-applied to a field cover-cropped with winter rye (Secale cerealeL.) in September. Ammonia emissions were measured using a dynamic chamber method. Colder temperatures significantly reduced rates of volatility and amounts of nitrate found in the soil. However, N-accumulation in the cover crop fluctuated and was not significantly different from month to month. The greatest spring nitrogen retention and lowest rates of ammonia volatility in the fall were from December plots. Surface application of liquid dairy manure should be conducted as late as possible in the fall before snow fall for the least amount of nitrogen loss due to ammonia volatilization. Planting a cover crop at the time of fall harvest in conjunction with a late fall (November or December) manure application is a nutrient management strategy which deserves further investigation.

Price volatility is a consistent problem that affects all of the parties involved in the residential construction industry. The myriad factors that can have an impact on construction costs are such that it is extremely hard to anticipate upcoming changes in a timely and accurate way. When prices fluctuate during the course of a project, estimates become erroneous and completion of projects within expected budgets becomes difficult. Increasing prices typically leave contractors with the majority of the risk burden due to the enforceability of contracts that are likely to have been executed months prior. The risk associated with the owner's role primarily exists when prices decrease and they are required to make payments on pre-existing contracts that do not accurately reflect "actual" costs at the time of construction. The risk of price volatility needs to be managed. Numerous methods have been developed for managing the risk of price volatility. The various methods available are implemented based on the parties involved, the types of contracts being used, and the existing market conditions. Typical practices transfer the risk of price volatility to other involved parties, be it the owner, the contractor, subcontractors, or suppliers. However, no method has proven completely effective at removing the risks associated with price volatility. Involved parties need to utilize a combination of best practices to protect themselves. They need to coordinate and communicate with the other parties to ensure that the risk of price volatility is appropriately accounted for and managed throughout the construction process.

In the commercial construction industry, the problem of price volatility as it pertains to materials and labor is a consistent problem. The changing instability of market conditions presents a challenge for construction companies to accurately estimate and complete projects within budget. This volatility can lead to higher costs and more risk to suppliers, contractors, and owners which can cause financial distress for all parties involved in the construction process. As lump sum contracts are typically being used on many projects, the owners seem to have the upper hand and are forcing contractors to honor lump sum contracts even when prices increase significantly. Owners are also using their position to reap the benefits of price decreases by basing future work relationships with the contractor as an incentive to pass on any savings of price decreases. Volatility in construction will continue to be a risk that participants in the construction industry in Utah will face. Commercial construction projects will continue to be built as the population increases and as more buildings are needed to service other industries. Price volatility can be economically dangerous when price changes affect the assumptions on which the contract is based. While there is no proven method to remove the risk of price volatility, methods have been developed to control the risk participants are exposed to in various contracting methods. Contractors, owners, and suppliers need to coordinate with each other and use best practices that will distribute the risk to the party that has the capability to handle the risk.

A parameter used in the Black-Scholes equation, volatility, is a measure for variation of the price of a financial instrument over time. Determining volatility is a fundamental issue in the valuation of financial instruments. This gives rise to an inverse problem known as the calibration problem for option pricing. This problem is shown to be ill-posed. We propose a regularization method and reformulate our calibration problem as a problem of finding the local volatility in a reproducing kernel Hilbert space. We defined a new volatility function which allows us to embrace both the financial and time factors of the options. We discuss the existence of the minimizer by using regu- larized reproducing kernel method and show that the regularizer resolves the numerical instability of the calibration problem. Finally, we apply our studied method to data sets of index options by simulation tests and discuss the empirical results obtained.

Financial supervision department has loosened restrictions on insurance company’s holdings on capital market, aiming to give full play to the insurance funds which typically have the strengths of large scale, long investment horizon and stable supply. Nevertheless, some insurance companies carry out unfriendly behaviors through capital superiority, which may cause volatility of stock prices. Based on this, the paper mainly studies the insurance funds and volatility spillover of individual stocks as well as the entire capital market. This paper uses a framework of econometric methods based on vector autoregressive mode, and selects the 2016—2020 quarterly data from the SSE A-share disclosure. The results reveal that on one hand, price fluctuation has a unidirectional spillover effect on insurance companies’ changes in ownership. On the other hand, insurance companies’ changes in ownership also have a unidirectional spillover effect on volatility of the SSE index. / Business Administration/Finance

This thesis investigates the relationship between product market competition and zero leverage behavior within firms, aiming to uncover how these dynamics interact. Additionally, it explores whether firms characterized by higher earnings volatility exhibit a more pronounced positive relationship between product market competition and the likelihood of adopting a zero-leverage strategy. To carry out this investigation, we employed product market competition data (Fluidity) from the Hoberg-Phillips Data Library and financial data from the Compustat (North America) database, spanning from 1989 to 2019. As product market competition intensifies, the probability of firms adopting a zero leverage policy increases. Furthermore, our research illuminates that the positive impact of heightened product market competition on the likelihood of zero leverage policies is accentuated in firms characterized by elevated levels of earnings volatility. This finding corroborates our initial hypothesis, substantiating the notion that increased competition significantly influences a company's earnings volatility. We also strengthened our analysis with insights from existing literature, underscoring how heightened earnings volatility intensifies the propensity to embrace a zero leverage policy. This study contributes insights to the literature, notably as the first to employ the interaction term between product market competition and earnings volatility in exploring these financial dynamics.

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