published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

Stochastic portfolio theory is a novel methodology, developed by Fernholz (2002), for analysing stock and portfolio behaviour, and equity market structure, constructing portfolios and understanding the structure of equity markets. It thus has immediate applications to equity portfolio management and performance measurement. This theory successfully generalises well-known models for the stock price to provide models for portfolios and markets, leading to a better and more precise understanding of equity market structure. The aim of this dissertation is to present an exhaustive review of stochastic portfolio theory by imitating the work done and contributions made by Fernholz (2002) thus far. A detailed discussion of stochastic portfolio theory as well as how the implications di er from the conclusions and results of classic portfolio theory will be provided. In this dissertation, we will undertake a thorough investigation into stochastic portfolio theory; by focusing on the central, innovative ideas of the excess growth rate, long-term stock market and portfolio behaviour, stock market diversity of equity markets, portfolio generating functions, the concept of how to select stocks by their rank and the existence of relative arbitrage opportunities within the context of stochastic portfolio theory. Thus, we shall review the central concepts of stochastic portfolio theory, this will include a detailed explanation of the excess growth rate, long-term behaviour of portfolios, stock market diversity, portfolio generating functions and stocks selected by rank. We will also present examples of portfolios and markets with a wide variety of di erent properties. We will also show how this new and fast-evolving theory can be applied, in particular, to equity management, by considering the performance of certain functionally generated portfolios. Furthermore, several results and implications of stochastic portfolio theory will be discussed, and in this dissertation, we shall examine these results in far greater depth. Keywords and Phrases: Stochastic portfolio theory, Portfolios, Stock market and portfolio behaviour, Stock market diversity, Portfolio generating functions, Functionally generated portfolios, Rank-dependent portfolio generating functions, Local time, Relative arbitrage opportunities, Performance of functionally generated portfolios.

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.

Project (M.A.) - Simon Fraser University, 2004. / Theses (Dept. of Economics) / Simon Fraser University. Also issued in digital format and available on the World Wide Web.

Thesis (Ph. D.)--Drexel University, 2004. / Includes abstract and vita. Includes bibliographical references (p. 74-78).

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

 This thesis contains two pieces of empirical study on market efficiency. The first essay tests the semi-strong form of market efficiency in the U.S. We use sell-side analyst target prices as publically available information and test the performance of a mean-variance optimized portfolio which is based on the Treynor and Black model. We focus on constituents of S&P 500 index as our sample universe. During the period of beck-testing from 2004 to 2010, we find that the dynamically rebalanced portfolio beats the market in 6 out of 7 years and that the strategy generates significant risk-adjusted abnormal returns. In the second essay we study the post-earnings-announcement drift (PEAD) phenomenon, a well-documented market anomaly, on the French stock market. Our empirical study devises a difference-in-difference policy experiment to test if trading activities by individual investors contribute to the magnitude of PEAD. We exploit a recent policy reform on the French stock market, which significantly increased speculative trading costs of individual investors and reduced their trading activities. The impact of reform is found twice as large on individual contrarian traders than momentum traders. Using a group of unaffected stocks to control for potential non-experimental factors, we find magnitude of PEAD dropped significantly after the reform in the experimented group but not in the experimented group but not in the control group. / published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

This paper explores a new data set of the profit alerts from electronic disclosure in the Hong Kong Stock Exchange website from 25th June 2007 to 30th June 2013 in view of the potential day-of-the-week effects in terms of Cumulative Abnormal Returns (CAR) anomalies in Fridays and Mondays due to behavioral biases such as limited attention, under-reaction and over-reaction. A novel approach of hypothesis testing that combines a hypothetical portfolio for a representative informed trader of the CAR anomalies and a trading strategy back-tested with past data with special reference to the limits of arbitrage by incorporating institutional factors such as short sales constraints imposed by stock exchange refutes the conjecture that there are such tradable anomalies with measurable economic significance without relying on unstable parameters in traditional hypothesis testing and arbitrary interpretation of statistical significance. In the absence of reliable frame of reference by the problem nature, the study investigates the methodological issues of anomalies, expectations, information, externalities, efficiency, and so on, in economics and finance with new perspectives and insights from other disciplines including physics, biology, psychology and philosophy. Keywords: profit alerts, day-of-the-week effects, Friday, Monday, anomalies, behavioral biases, attention, inattention, under-reaction, over-reaction, methodology, limits of arbitrage, short sales constraints, frame of reference, expectations, Rational Expectations, Efficient Market Hypothesis Least Action Principle, evolutionary, Adaptive Markets Hypothesis, market ecology, ever-changing cycles, corporate governance, information, externalities, efficiency, beliefs, knowledge, decision-making, uncertainty, equilibrium, disequilibrium. / published_or_final_version / Economics and Finance / Master / Master of Economics

published_or_final_version / Economics / Master / Master of Social Sciences