Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2003. / Includes bibliographical references (leaves 80-86). Also available in electronic version. Access restricted to campus users.

Thesis (M.B.A.)--University of Hong Kong, 1984.

Thesis (M.B.A.)--University of Hong Kong, 1983.

This paper assesses the aspect of market neutrality for a pairs trading strategy built on cointegration. This was conducted by evaluating the strategy?s performance during a negative market environment, 2007-06-01 to 2008-12-30, and a positive market environment, 2013-05-31 to 2014-12-30, for the stocks listed in the OMXS30 index. The results indicate market neutrality and that profitability of pairs trading is higher in prolonged periods of turbulence.

Since its’ invention at Morgan Stanley in 1987 pairs trading has grown to be one of the most common and most researched strategies for market neutral returns. The strategy identifies stocks, or other financial securities, that historically has co-moved and forms a trading pair. If the price relation is broken a short position is entered in the overperforming stock and a long in the underperforming. The positions are closed when the spread returns to the long-term relation. A pairs trading portfolio is formed by combining a number of pairs. To detect adequate pairs different types of data analysis has been used. The most common way has been to study historical price data with different statistical models such as the distance method. Gatev et al (2006) used this method and provided the most extensive research on the subject and this study will follow the standards set by that article and add new interesting factors. This is done through an investigation on how the analysis can be improved by using the stocks fundamental data, e.g. P/E, P/B, leverage, industry classification. This data is used to set up restrictions and Lasso models (type of regression) to optimize the trading portfolio and achieve higher returns. All models have been back-tested using S&P 500 stocks between 2001-04-01 and 2015-04-01 with portfolios changed every six months. The most important finding of the study is that restricting stocks to have close P/E-ratios combined with traditional price series analysis increases returns. The most conservative measure gives annual returns of 3.99% to 4.98% depending on the trading rules for this portfolio. The returns are significantly (5%-level) higher than those obtained by the traditional distance method. Considerable variations in return levels is shown to be created when capital commitments are changed and trading rules, transaction costs and restrictions on unique portfolio stocks are implemented. Further research regarding how analysis of P/E-ratios can improve pairs trading is suggested. The thesis has been written independently without an external client and studied an area that the author found interesting.

The study was carried out to examine the effect of economic factors on stock price in a global economy - a case study of the Nigerian stock market. The main objectives of the study was to examine some peculiarities or differences in terms of economic variables that influence stock prices in the Nigerian stock market from those of the global economy. The study makes use of regression analysis and analysis of variance to analyze the secondary data obtained from the Nigerian Stock Market. There are numerous variables that can be identified to determine stock prices in any economy. / Mjeramgatan 2 lag 231 412 76 Göteborg

Development in infrastructure limits the communication gap, speedy travel and low cost tariff barriers as well other drivers of globalization have made overseas markets easier to get small firms and gave more opportunities to SME´s internationalize. The market entry mode choice or selections have strong effect the success or failure of the company. For instance an insufficient or wrong entry mode selection can decrease opportunities and limit important choice for the firm and could lead to high financial loss as well as lose control on overseas market. The purpose of research study is to provide a deep and better understanding of the factors those effecting SME´s selection of market entry mode. Research question how can the influence of internal and external factors on the selection of market entry mode. A frame of reference led to the building of summary which in turn became the basis for data collection. Two qualitative case studies for Pakistani SME´s namely socks knitter Pakistan and RK International were undertaken. The main findings shows the clear link between the theories claim to be internal and external factors influencing market entry mode choice between SME´s. / C/O Kamran Anjum Norrekaer 14. 7 Tv 2610 Rodovre Denmark

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We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers with non-traded random endowments, we provide necessary and sufficient conditions for the negotiation to be successful, i.e., for the trade to occur. We, also, study the asymptotic case where the size of the claim is small compared to the random endowments and give a full characterization in this case. We, then, study a partial-equilibrium problem for a bundle of divisible claims and establish its existence and uniqueness. A number of technical results on conditional indifference prices are provided. Finally, we generalize the notion of partial-equilibrium pricing in the case where the agents' risk preferences are modelled by convex capital requirements. / text

The objective of this dissertation is to evaluate how regulatory and market factors affect title insurance charges in different states. As substantial components of home purchase closing costs, title insurance charges have been controversial for decades, and both practitioners and analysts have pointed out apparent variations in title insurance charges among states. Although existing studies have suggested a set of regulatory and market factors as explanations for these among-state variations, empirical evaluations are limited. To fill in this gap, this dissertation empirically assesses whether these factors influence title insurance charges. The research outcomes of these dissertation indicate that after taking into account market factors such as services included in title insurance charges, title-related losses, property values, state populations, home sale volumes, housing prices, and income levels, regulation styles can still partially explain the title insurance charge variations in different states. In particular, states with promulgation regulation can have a higher average title insurance charge than states allowing free competition. This dissertation also tests whether regulation affects title insurance charges by influencing competition in the market and whether regulators' characteristics are related to the effect of regulation on charges. The test results imply that appointed commissioners can be associated with a higher average title insurance charge than elected commissioners. This dissertation provides insights into the title insurance regulatory reform in different states. More broadly, one methodology (multiple model for change) used in this dissertation simultaneously assesses regulation's over-time and state-by-state effects on title insurance charges, which contributes to the development of regulation evaluation methods. The outcomes of this dissertation can also provide empirical evidence to the theoretical debate of regulation versus competition. / text