Thesis advisor: Tracy Regan / This study analyzes the response of pharmaceutical firms’ stock prices to the release of information regarding successful Phase III clinical studies and final FDA marketing approval. I employ an event study methodology to show that positive abnormal returns occur at these drug development stages, and that larger abnormal returns occur over a three-day window surrounding a sample of successful Phase III trial announcements in comparison to a sample of FDA approval announcements. To my knowledge, all previous literature of this kind has compared a random sample of firms making Phase III announcements to a random sample of FDA approval announcements. This study advances drug development literature by conducting a second set of event studies that compares the abnormal returns of the same drugs at the two drug development stages, and it finds that controlling for the unique characteristics of the drugs analyzed in event studies leads to a smaller difference in returns at the two drug development stages. The drugs selected for analysis were taken from IMS Health’s lists of the top 100 (or 200) best-selling pharmaceuticals from 2003 to 2010. They were split into 13 therapeutic classes, such as drugs for cardiovascular ailments and drugs for respiratory ailments. Regression analysis was conducted on the returns of the three-day window to find a positive relationship between the FDA approval of alimentary and cardiovascular drugs and stock price increases for larger pharmaceutical firms and the approval of nervous system drugs and stock price increases for smaller pharmaceutical firms. To my knowledge, this is the first study to show these relationships. / Thesis (BA) — Boston College, 2015. / Submitted to: Boston College. College of Arts and Sciences. / Discipline: Departmental Honors. / Discipline: Economics.

by Nip Yun Wing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1988. / Bibliography: leaf 75.

This thesis began with an introduction and literature review in Chapter 1. In Chapter 2, I propose a new intertemporal asset-pricing model based on heterogeneous beliefs to bring together the concurrent theories that could generate value and momentum effects. In this model, I assume that such behaviour occurs simply due to an agnostic view of forecasting returns considering the dominant strategy in the market. Given the endogenous price determination in the model, individuals were expected to adjust their own strategies to match the dominant strategy to obtain higher profits (from more accurate fore- casts). The idea was to bridge the literature on intertemporal asset allocation with the one on heterogeneous beliefs. In Chapters 3 and 4, I consider the empirical problem of implementing Markowitz (1952) mean-variance optimisation on a portfolio of stocks. In particular, I focus on the out-of-sample performance of the minimum-variance portfolio obtained from the use of asset group information and regularisation methods to obtain more stable estimates of the parameters in the model. Specifically, in Chapter 3, I introduce the use of regularisation methods to the portfolio selection problem and a literature review on the subject. In Chapter 4, I propose two alternative approaches for the use of the group structure information and to obtain more stable and regularised minimum-variance portfolios. I show that these procedures produce significantly better results in the portfolios compared with the unconstrained minimum-variance portfolios estimated from the whole data set in terms of portfolio variance and the Sharpe ratio.

Based on a long span database, four important issues are addressed in this study. First one is about their holding preference in Taiwan stock market. The second and third issues are relative to the positive feedback trading and herding. Finally, the price impact of their trading behavior is also discussed on various angles. / In sum, the empirical results of this study suggest the success of the QFIIs scheme in Taiwan, and the import role played by the foreign institutional investors for this success. However it should be noted that the trading behaviors of the foreign investors in the emerging market has a close relationship with the nature and characteristics of the industry and economy of this country, especially the internationalization levels of the domestic industry and the opening degree of the national economy. / Part I. This study provides an integrate investigation into the trading behaviors and the price impact of the qualified foreign institutional investors (QFIIs) in Taiwan stock market. The main purpose of this study is to provide some policy implications to the regulators of emerging financial markets by giving a comprehensive insight into the whole development process of QFIIs scheme in Taiwan. Another purpose is to contribute to the literature, especially on the emerging market, with extensive and in-depth evidences of the QFIIs a sub-group of institutional investors. / Part II. A populous viewpoint ascribes the resent stagnancy in the Chinese stock market to the original inequality of the equity price and rights between the non-liquid equity holders and liquid equity holders. Using the Capital cost IRR method, this paper provides another view on this problem by analyzing the interest balance between the two types of equity holders in the Chinese listed companies. The theoretical models and empirical results suggest the two types of equity holders can reach their interest balance under the original of stock market system, though the balancing mechanism is skewed and results in a wealth outflow due to the specific equity structure and agency problem of the Chinese listed companies. As the necessary step for the long-term development of the Chinese stock market, "Full liquidity" may lead to the break down of the original balance mechanism. Some problems results from the skew mechanism may float up in the new balance achievement and put some pressure to the market. The key to the market reform is not making any compensation to any type of the equity holders but lies in how to restrict a new balance system and mitigate the market pressure. (Abstract shortened by UMI.) / Kang, Li. / "April 2005." / Adviser: He Jia. / Source: Dissertation Abstracts International, Volume: 67-01, Section: A, page: 0284. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

Kong Tze-shan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 60-62). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- Moving Average --- p.5 / Chapter 2.2 --- Other Trading Rules --- p.9 / Chapter 2.3 --- Share Repurchase --- p.12 / Chapter 2.3.1 --- Types of Share Repurchase --- p.12 / Chapter 2.3.2 --- Previous Studies on Relationship between Share Repurchase and Stock Price --- p.14 / Chapter 3 --- Regulations and Facts of Share Repurchase in Hong Kong --- p.19 / Chapter 4 --- Data Summary --- p.23 / Chapter 4.1 --- Description on Hong Kong Stock Market --- p.23 / Chapter 4.2 --- Description on Hang Seng Index --- p.24 / Chapter 4.3 --- Description on Stock Price Series --- p.25 / Chapter 4.4 --- Description on Repurchase Data --- p.26 / Chapter 5 --- Profitability of Technical Trading Rule --- p.30 / Chapter 5.1 --- Moving Average --- p.30 / Chapter 5.2 --- Result of Individual Stocks --- p.32 / Chapter 5.3 --- Overall Result for 25 Stocks Tested --- p.35 / Chapter 5.4 --- Using short moving averages rather than current stock price --- p.37 / Chapter 6 --- Profitability with transaction cost --- p.39 / Chapter 6.1 --- Result of Individual Stock --- p.39 / Chapter 6.2 --- Sharpe Ratio of 25 Stocks Tested --- p.40 / Chapter 7 --- Profitability with Share Repurchase Dates Removed --- p.42 / Chapter 7.1 --- Removing Share Repurchase Dates --- p.42 / Chapter 7.2 --- Result of Individual Stock --- p.43 / Chapter 7.3 --- Overall Results for 10 Stocks Tested --- p.44 / Chapter 7.4 --- Removing Repurchase Dates of 28 Non-HSI Constituent Stocks --- p.47 / Chapter 8 --- Further discussion --- p.51 / Chapter 8.1 --- Basic differences in market structure --- p.51 / Chapter 8.2 --- Difference between central bank intervention and share repurchase --- p.52 / Chapter 8.2.1 --- Motivation of central bank intervention --- p.53 / Chapter 8.2.2 --- Motivation of share repurchase --- p.53 / Chapter 9 --- Conclusion --- p.57

The primary purpose of this research is to perform an empirical test using Arbitrage Pricing Theory (APT) in order to investigate the relationship between the Chinese stock market performance and domestic economic activity.China's stock market was established in early 1990s and has operated through a period of strong economic growth. Generally, it has been recognized that the development of a sound financial market is necessary to sustain and support a high growth economy. In turn, a growing economy will drive financial market growth. This research is designed to shed light on this unique relationship by investigating the links between China's booming national economy and the domestic stock returns.Using both time-series and cross-section regressions, several identified macro economic variables are shown to be significant in their influence on stock returns. These variables include the growth rate of industrial production, the growth rate of total social retail sales, the growth rate of terms of trade and the growth rate of total social saving deposits. Stock market indexes are found significantly related to the stock portfolio returns in time-series regressions.Overall, the empirical results suggest that the rapid growth of the Chinese economy is factored into stock returns by the market. It also indicates that the market index has strong explanatory power over, the time-series returns, providing empirical support for the market model Capital Asset Pricing Model (CAPM). However, the explanations of cross-section returns need to be further explored.

Four research projects have been carried out with the objective of providing insights into some of the popular Asian investment myths and beliefs. The studies also throw some light on the efficiency of one Asian stock market. At the same time, the results reported in these research papers provide pragmatic investment guidelines for Asian emerging stock market investors. These research efforts add depth and breath (sic) to the existing emerging stock market investment literature, especially on Asian emerging stock markets. The Four Research Papers were : Research Paper I : Stock Selection Criteria During the Bull Run in the Malaysian Stock Market; Research Paper II : How Important Were Political Factors for Asian Stock Market Investors Throughout the Recent Financial Crisis?; Research Paper III : Active Equity Management versus Passive Equity Management - The Case of Malaysia from the Perspective of Foreign Investors; Research Paper IV : Stock Selection Criteria during the Bear Phase of the Malaysian Stock Market. Four popular myths/beliefs (myliefs) were selected for in-depth study with the conviction that the findings from these four studies could provide an insight into the emerging Malaysia stock market. The selection of the myliefs is mainly based on the popularity of the mylief as well as the applicability of the research results in the view of a foreigner investor / Doctor of Business Administration

This thesis investigates the impact of terrorist attacks on equity financial markets. It employs traditional event study approaches to identify and measure stock market reactions to terrorist attacks in New York on September 11, 2001, and subsequent terrorist attacks in Madrid, London and Bali. Three studies are presented. The first study investigates the impact of September 11 on the tenant firms within the World Trade Centre. The second study investigates industry effects following the Madrid and London bombings. The third study undertakes a sensitivity analysis to different event study techniques over the various terrorist attacks. The results from the three studies suggest that equity markets can remain efficient in the wake of terrorist events. Terrorist events can trigger large abnormal movement in both equity prices and volume traded. These price and volume effects are influenced by industry effects. Terrorism has a differential impact on stock markets and industry portfolios within stock markets. The detailed analysis presented in this thesis can be used to exploit that industry effect and can be employed to guide diversification strategies that could minimize terrorist risk through industry diversification. The thesis has also evaluated alternative event study methods and produced a critical analysis of event study methodology. It shows clearly that methodological choices can and do significantly influence results. The thesis contributes to eliminating some uncertainty about the markets response to terrorist events, and identifies opportunities for reducing terrorist risk in stock markets.

Stock assessments for many U.S. Pacific coast groundfish stocks are developed using the catch-at-age method known as Stock Synthesis. In this work a simulation package was developed and used to evaluate the sensitivity of the Stock Synthesis program. More specifically, the evaluation focused on the impacts of input data errors and stock characteristics on the accuracy and precision of Synthesis estimates. Factors examined included the length of the time series of data, the rate of natural mortality, the shape of the fishery and survey selectivity curves, the trend in the rate of fishing mortality, the recruitment pattern, and errors in the observed data for annual catch, fishing effort, fishery and survey age composition, and survey biomass indices. First, the study evaluated the sensitivity of the Stock Synthesis program applied to populations with simple multinomial age compositions. The length of the data series and sample size were the two most influential factors. Second, the study focused on populations with compound multinomial age composition, in which the age composition data were over-dispersed relative to simple multinomial samples. When the fishery age composition actually followed a compound multinomial distribution, the estimates produced by the Stock Synthesis program, which assumed simple multinomial distributions with maximum sample sizes of 400 fish, were moderately more biased and more variable. When applying Synthesis to populations whose age compositions follow compound multinomial distributions, the results from the experiments indicated that a common configuration, in which age sample sizes in the likelihood specification are limited to 400 fish per sample, probably gives age composition data too much emphasis. The experiments indicated that using 200 as the upper limit provided more accurate results than using 400. Third, the actual stock assessment of yellowfin sole (Limanda Aspera) was taken as a case study and it was found that more accurate assessment results could be achieved from a better balance in the amount of sampling effort allocated to age composition data versus survey biomass estimates. / Graduation date: 2002

Statistical modeling has evolved around building increasingly more complex models, even though it is common knowledge among statisticians that an optimal model size usually exists for any given data set. Having overly complex models leads to imprecise parameter estimates and tends to increase the subjective role of the modeler, which can distort the perceived characteristics of the system under investigation. One approach for controlling the tendency of contemporary models to increase in complexity and subjectivity is to use model selection criteria that account for these factors. The initial task of this thesis was to review existing model selection criteria. The second task involved testing the effectiveness of several model selection criteria. The Stock Synthesis program, which is often used on the U.S. west coast to assess the status of exploited marine fish stocks, was used for this evaluation because of its ability to handle multiple data sets and mimic highly complex population dynamics. In the review of existing model selection criteria the Akaike Information Criterion (AIC) and Schwarz's Bayesian Information Criterion (BIC) were identified as the criteria that most completely satisfied the fundamental principles of model selection: goodness-of-fit, parsimony, and objectivity. Their ability to select the correct model form and produce accurate parameter estimates was evaluated in Monte Carlo experiments with the Stock Synthesis program and were compared to a simple maximum log-likelihood criterion. The maximum log-likelihood criterion surprisingly outperformed both AIC and BIC in several of the experiments. / Graduation date: 1999