The object of this dissertation is to investigate some of the more recent concepts and methods of technical forecasting of market trends, business cycles and individual security cycles and to indicate the sources from which such data may be obtained. This investigation indicates that technical forecasting is a useful technique for the security analyst which may be used to advantage. No attempt has been made to prove that technical methods of forecasting are infallible or that these methods may be considered superior to individual security analysis but rather that they should be used by security analysts in conjunction with other techniques. The problem is divided into three phases. The first phase, presented in Chapters I to IX, discusses technical market trend forecasting and the results are compared with actual market performances for 1959. The second phase, Chapters X and XI, considers the shortcomings of the earnings and valuation approaches of security analysis and contains a discussion of business cycle forecasting. The third phase, Chapters XII and XIII, illustrates a modified technical method of evaluating common stocks. / Business, Sauder School of / Graduate

The 'On-Balance Volume' (OBV) method of technical analysis for stock market decision making is the creation of Joseph Granville and was first described in his 1963 book, "New Key to Stock Market Profits". The method uses daily stock prices and volumes to generate further information which is then analysed for buying and selling opportunities. Granville proposes eighteen signals for the analyst to determine these opportunities. The purpose of this study is to develop a computer model of the OBV method and to test this model on a series of stocks to determine if the method is feasible for use by technical analysts. Furthermore the study attempts to determine those segments of the method which have the best success for further study. This study abstracts the basic OBV method and develops a computer model for testing the validity of the method. A detailed description of the model and the assumptions used is provided. A series of five Canadian companies were tested on the OBV model. Analysis of the results indicated that on an overall basis the method does not generate a high return on investment. Although two of the five stocks showed profits when tested, the variability of returns was too large to accept the method as profitable. On an individual signal basis however, certain of the signals were found to provide the majority of the profitable trades. Further work into the development of models using these signals is recommended. / Business, Sauder School of / Graduate

No description available.

The purpose of this research is to analyze the impact that a sample of securities blended together would have upon the variance of the expected returns of an energy and a gold-minerals portfolio. A framework based on the Markowitz model, but solved linearly, has been constructed in which the optimal weight of each security in its respective portfolio is determined in order to minimize variance given the expected portfolio returns. The data elaborated for each stock (price, return and dividend) were on an annual basis for a period of 16 years and are the basis from which the projections of both the energy and the gold-minerals portfolio expected returns were derived. The results show that the variance in both portfolios is considerable, because stocks as a group show co-movement, meaning that stocks tend to do well or poorly as a group.

Typescript (photocopy). / Digitized by Kansas Correctional Industries

Commodity markets display substantial volatility both in prices and in the quantities traded. This has led to the development of different instruments designed to address this volatility. Processors and traders, who are actively involved in the international market, participate in these commodity markets using cross-hedging strategies by their export and domestic supply decisions. Spot and future prices, as well as the cross-hedging strategies, affect export and the domestic supply decisions. Understanding this complex interaction calls for further and newer insights and this research contributes to this. The primary objective of Chapter 1 of this thesis is to develop a model which explains the export and domestic supply decisions when traders, producers and speculators participate in a futures market for a primary commodity, which can be stored and for which future markets operate. As a result, exports and domestic supply are affected by the prices of the primary product, and jointly by the prices in the external and domestic market. Chapter 2 provides the historical, political and economic context of the Argentine economy and the agricultural sector, specifically on the three agricultural commodities used in the empirical part of this research. In Chapter 3, we perform a comprehensive analysis of the seasonal unit roots of monthly series of exports and domestic supply, using time series that include zero values. In the past, this technique has mostly been applied to quarterly data but never to monthly series that display periods of inactivity. The results indicate that, in general, the seasonality observed in the series analysed can be sufficiently explained by a deterministic approach. The estimation and further analysis of the supply equations derived in Chapter 1 are undertaken in Chapter 4. A comprehensive analysis of seasonal cointegration using monthly data was conducted but, in light of the results obtained in Chapter 3, only the Engle-Granger cointegration is applied. The results indicate weak cointegration relationships. This may indicate the need for improved data and/or alternative econometric techniques.

The essays empirically show the impact of investors speculation and disagreements on the returns and trading volume of securities. The results also shed light on the central issues of price formation and investors’ trading motives in security markets. The first essay investigates whether the trading activities of retail investors affect option prices through volatility speculation. This essay empirically shows that higher retail trading proportions are related to lower delta-hedged option returns. The phenomenon is more pronounced before earnings announcements and among stocks with more time-varying and positively skewed volatility. The results suggest that retail investors speculate and pay a lottery premium on the expected future volatility, resulting in more expensive options in terms of higher implied volatilities. This systematic deviation of option-implied volatility from realized volatility suggests retail investor clientele as a behavioral-based driving force of volatility risk premium. The second essay investigates the motive of option trading. It is shown that option trading is mostly driven by differences of opinion, a finding different from the current literature that attempts to attribute option trading to information asymmetry. First, option trading around earnings announcements is speculative in nature and mostly dominated by small, retail investors. Second, around earnings announcements, option turnovers do not predict stock returns, once prior stock returns are controlled for. Third, regression results reveal that option trading is also significantly explained by differences of opinion at ordinary times. While informed trading is present in stocks, it is not detected in options. The third essay provides strong evidence of reduction in informational efficiency when there are short-sale constraints and disagreements. Post earnings announcement returns are found to be significantly lower for stocks with more dispersed opinions and stocks that are exogenously short-sale prohibited by the Hong Kong Stock Exchange, supporting Miller’s (1977) overvaluation hypothesis. The results also suggest short-sale constraint as an explanation to negative post earnings announcement drift.

The essays empirically show the impact of investors speculation and disagreements on the returns and trading volume of securities. The results also shed light on the central issues of price formation and investors’ trading motives in security markets. The first essay investigates whether the trading activities of retail investors affect option prices through volatility speculation. This essay empirically shows that higher retail trading proportions are related to lower delta-hedged option returns. The phenomenon is more pronounced before earnings announcements and among stocks with more time-varying and positively skewed volatility. The results suggest that retail investors speculate and pay a lottery premium on the expected future volatility, resulting in more expensive options in terms of higher implied volatilities. This systematic deviation of option-implied volatility from realized volatility suggests retail investor clientele as a behavioral-based driving force of volatility risk premium. The second essay investigates the motive of option trading. It is shown that option trading is mostly driven by differences of opinion, a finding different from the current literature that attempts to attribute option trading to information asymmetry. First, option trading around earnings announcements is speculative in nature and mostly dominated by small, retail investors. Second, around earnings announcements, option turnovers do not predict stock returns, once prior stock returns are controlled for. Third, regression results reveal that option trading is also significantly explained by differences of opinion at ordinary times. While informed trading is present in stocks, it is not detected in options. The third essay provides strong evidence of reduction in informational efficiency when there are short-sale constraints and disagreements. Post earnings announcement returns are found to be significantly lower for stocks with more dispersed opinions and stocks that are exogenously short-sale prohibited by the Hong Kong Stock Exchange, supporting Miller’s (1977) overvaluation hypothesis. The results also suggest short-sale constraint as an explanation to negative post earnings announcement drift.

Inaug. diss.-Würzburg. / "Benützte werke, broschüren, statistiken tisw.": 1 p. facing p. 1.

This paper is intended to better understand the effects of speculation on crude oil prices. While speculation has many benefits such as increasing market liquidity and bearing market risks that other wish to offset, speculation can also create unwanted market volatility and economic bubbles. During the past decade, crude oil prices have been extremely volatile causing increased controversy between investors and regulators regarding the role that oil speculation has played in the price of crude oil. This report examines the relationship between crude oil spot and futures prices to determine the role arbitragers, speculators, and hedgers have had in crude oil pricing. / text