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Market microstructure and day-of-the-week return patterns : submitted to the University of Canterbury as a thesis for the degree of Doctor of Philosophy in Finance in the College of Accountancy, Finance and Information Systems /Pierce/Maberly, Raylene M. January 2006 (has links)
Thesis (Ph. D.)--University of Canterbury, 2006. / "February 2006." Typescript (photocopy). Includes bibliographical references (leaves 136-144). Also available via the World Wide Web.
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O grau de investimento corporativo das empresas listadas no IBRX50 : análise do rating divulgado pelas certificadorasCastilhos, Nádia Cristina de 31 August 2017 (has links)
As empresas são constantemente avaliadas, no que tange a resultados financeiros e econômicos, bem como as suas estratégias. As demonstrações financeiras são relatórios importantes na avaliação do desempenho da evolução patrimonial das organizações, fornecendo uma visão global da organização. Este estudo tem como objetivo identificar a relação entre Grau de Investimento, definido pelo rating do método de Guth, com o das certificadoras Standard & Poor's, Moody's e Fitch Ratings, com base nos dados das empresas listadas no IBRX 50. O grau de investimento de uma empresa concede um selo de “bom pagador”, esta avaliação ocorre de forma quantitativa e qualitativa, permitindo uma visão ampla dos negócios da organização. Para analisar a aderência do método que utiliza apenas indicadores financeiros e o divulgado pelas principais certificadoras será realizada uma pesquisa pelo método quantitativo-descritivo, utilizando as empresas listadas no IBRX50. A pesquisa é classificada como aplicada, com abordagem quantitativa, sendo apurado o grau de investimento pelo método de Guth através das demonstrações contábeis das empresas listadas no IBRX50, no ano de 2016, comparando com o divulgado pelas agencias certificadoras. Quanto ao objetivo é descritiva, utilizando procedimentos documentais, baseada em relatórios contábeis financeiros para calcular o grau de investimentos e os pareceres divulgados pelas certificadoras para comparar o rating divulgado como o apurado a partir dos seguintes indicadores financeiros: liquidez, rentabilidade, lucratividade, , solvência, endividamento e giro do ativo. Como resultados verificou-se a existência de diferenças entre o rating divulgado pelas agências, empresas que não possuem classificação divulgada pelas três certificadoras concomitantemente. A lista do IBRX50 contempla empresas que não foram avaliadas pelas certificadoras. / Submitted by Ana Guimarães Pereira (agpereir@ucs.br) on 2017-12-06T16:50:26Z
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Previous issue date: 2017-12-06 / Companies are constantly evaluated in terms of financial and economic results as well as their strategies. The financial statements are important reports in assessing the performance of the organization's equity evolution, providing a global view of the organization. This study has as general objective to identify the relation between Investment Grade, defined by the rating of Guth’s Method, with the certifiers Standard & Poor's, Moody's and Fitch Ratings, based on the data of the companies listed in the IBRX 50. The degree of investment of a company grants it a "good payer" seal, this evaluation occurs quantitatively and qualitatively, allowing a broad view of the organization's business. In order to analyze the adherence of the method that uses only financial indicators and that disclosed by the main certifiers, a research based on a quantitative-descriptive method will be done, using the companies listed in the IBRX50, in 2016. The objective is descriptive, using documentary procedures, based on financial accounting reports to calculate the degree of investments and the opinions published by the certifiers to compare the rating disclosed as calculated from the financial indicators: Liquidity indebtedness, Immediate liquidity, Profitability of the asset, Profitability, Current liquidity, Dry liquidity, Solvency, Indebtedness of Liquid Equity, Return on Liquid Equity and Asset turnover. As results it was verified that there are differences between the ratings disclosed by the three agencies. The IBRX50 list includes companies that have not been evaluated by the certifiers.
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An analysis of the turn-of-the-year effect in South African equity returnsPotgieter, Damien January 2007 (has links)
This study investigates FTSE/JSE All Share index monthly and daily equity returns for evidence of the January and TY effect. Four different measures of monthly return are analysed for the 1995-2006 period, whilst daily returns are analysed during the 1995-2005 period. In addition to this, analysis is conducted on monthly Fama-MacBeth risk premium estimates tor the FTSE/JSE All Share Index. Descriptive statistics are first analysed, followed by ANOV A or Kruskai-Wallis tests, the paired t-test and finally dummy variable regression analysis in investigating the seasonality of FTSE/JSE All Share Index returns and risk premia. Analysis on monthly returns reveals an absence of the January effect, however a positive slightly statistically significant December effect is found. Thus, investors earn abnormal returns on equity during the month of December. The results from the Fama-MacBeth risk premia estimates reveals highly statistically significant negative risk premia seasonal patterns during March, July and September. Thus, investors are in fact penalised for investing in equities during these months. In addition, the analysis reveals an absence of a December effect in risk premia, which contradicts the risk-return trade-off central to modem finance. The daily return analysis reveals a highly significant Turn-of-the-Year effect (TY), which suggests that investors earn abnormal returns on days at the turn of the year. Therefore, it is concluded that a December effect is apparent in South African equity monthly returns, whilst a March, July and September effect is apparent in South African equity risk premia contradicting the risk-return trade-off central to modem finance. In addition to this, a TY effect is present in South African equity daily returns.
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Economic and financial indexesWhite, Alan G. 11 1900 (has links)
This thesis examines the theoretical underpinnings and practical construction of select economic
and financial indexes. Such indexes are used for a variety of purposes, including the
measurement of inflation, portfolio return performance, and firm productivity.
Chapter 1 motivates interest in economic and financial indexes and introduces the principal
ideas in the thesis.
Chapter 2 focuses on one potential source of bias in the Canadian consumer price index
(CPI) that arises from the emergence of large discount/warehouse stores—the so-called outlet
substitution bias. Such outlets have gained market share in Canada in recent years, but
current CPI procedures fail to capture the declines in average prices that consumers enjoy
when they switch to such outlets. Unrepresentative sampling, and the fact that discount
stores often deliver lower rates of price increase can further bias the CPI. Bias estimates
for some elementary indexes are computed using data from Statistics Canada's CPI production
files for the province of Ontario. It is shown that the effect on the Canadian CPI of
inappropriately accounting for such discount outlets can be substantial.
Another area in which indexes are frequently used is the stock market. Several stock
market indexes exist, including those produced by Dow Jones and Company, Standard and
Poor's Corporation, Frank Russell and Company, among others. These indexes differ in two
fundamental respects: their composition and their method of computation—with important
implications for their usage and interpretation. Chapter 3 introduces the concept of a stock
index by asking what, in fact a stock market index is—this is tantamount to considering the
purpose for which the index is intended, since stock indexes should be constructed according
to their usage. Because stock indexes are most commonly used as measures of returns on
portfolios, the main considerations in constructing such return indexes are examined.
Chapter 4 uses the Dow Jones Industrial Average (DJIA) as a case study to examine
its properties as a return index. It is shown that the DJIA is not the return on a market
portfolio consisting of its thirty component stocks: in fact the DJIA measures the return
performance on a very particular (and unusual) investment strategy, a fact that is not well
understood by institutional investors. An examination of some other popular stock indexes
shows that they all differ in their computational formula and that each is consistent with a
particular investment strategy. Numerical calculations reveal that the return performance of
the DJIA can vary considerably with the choice of basic index number formula, particularly
over shorter time horizons.
Given the numerous ways of constructing stock market return indexes, the user is left to
determine which is 'best' in some sense. The choice of an appropriate (or 'best') formula for
a stock market index is formally addressed in chapter 5. The test or axiomatic approach to
standard bilateral index number theory as in Eichhorn & Voeller (1983), Diewert (1993a),
and Balk (1995) is adapted here. A number of a priori desirable properties (or axioms) are
proposed for a stock index whose purpose is to measure the gross return on a portfolio of
stocks. It is shown that satisfaction of a certain subset of axioms implies a definite functional
form for a stock market return index.
Chapter 6 evaluates the various stock indexes is use today in terms of their usefulness
as measures of gross returns on portfolios. To this end the axioms developed in chapter 5
are used to provide a common evaluative framework, in the sense that some of the indexes
satisfy certain axioms while others do not. It is shown that the shortcomings of the DJIA as
a measure of return arise from its failure to satisfy a number of the basic axioms proposed.
Notwithstanding this, each index corresponds to a different investment strategy. Thus, when
choosing an index for benchmarking purposes an investor should select one which closely
matches his/her investment strategy—a choice that cannot be made by appealing to axioms
alone. / Arts, Faculty of / Vancouver School of Economics / Graduate
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O grau de investimento corporativo das empresas listadas no IBRX50 : análise do rating divulgado pelas certificadorasCastilhos, Nádia Cristina de 31 August 2017 (has links)
As empresas são constantemente avaliadas, no que tange a resultados financeiros e econômicos, bem como as suas estratégias. As demonstrações financeiras são relatórios importantes na avaliação do desempenho da evolução patrimonial das organizações, fornecendo uma visão global da organização. Este estudo tem como objetivo identificar a relação entre Grau de Investimento, definido pelo rating do método de Guth, com o das certificadoras Standard & Poor's, Moody's e Fitch Ratings, com base nos dados das empresas listadas no IBRX 50. O grau de investimento de uma empresa concede um selo de “bom pagador”, esta avaliação ocorre de forma quantitativa e qualitativa, permitindo uma visão ampla dos negócios da organização. Para analisar a aderência do método que utiliza apenas indicadores financeiros e o divulgado pelas principais certificadoras será realizada uma pesquisa pelo método quantitativo-descritivo, utilizando as empresas listadas no IBRX50. A pesquisa é classificada como aplicada, com abordagem quantitativa, sendo apurado o grau de investimento pelo método de Guth através das demonstrações contábeis das empresas listadas no IBRX50, no ano de 2016, comparando com o divulgado pelas agencias certificadoras. Quanto ao objetivo é descritiva, utilizando procedimentos documentais, baseada em relatórios contábeis financeiros para calcular o grau de investimentos e os pareceres divulgados pelas certificadoras para comparar o rating divulgado como o apurado a partir dos seguintes indicadores financeiros: liquidez, rentabilidade, lucratividade, , solvência, endividamento e giro do ativo. Como resultados verificou-se a existência de diferenças entre o rating divulgado pelas agências, empresas que não possuem classificação divulgada pelas três certificadoras concomitantemente. A lista do IBRX50 contempla empresas que não foram avaliadas pelas certificadoras. / Companies are constantly evaluated in terms of financial and economic results as well as their strategies. The financial statements are important reports in assessing the performance of the organization's equity evolution, providing a global view of the organization. This study has as general objective to identify the relation between Investment Grade, defined by the rating of Guth’s Method, with the certifiers Standard & Poor's, Moody's and Fitch Ratings, based on the data of the companies listed in the IBRX 50. The degree of investment of a company grants it a "good payer" seal, this evaluation occurs quantitatively and qualitatively, allowing a broad view of the organization's business. In order to analyze the adherence of the method that uses only financial indicators and that disclosed by the main certifiers, a research based on a quantitative-descriptive method will be done, using the companies listed in the IBRX50, in 2016. The objective is descriptive, using documentary procedures, based on financial accounting reports to calculate the degree of investments and the opinions published by the certifiers to compare the rating disclosed as calculated from the financial indicators: Liquidity indebtedness, Immediate liquidity, Profitability of the asset, Profitability, Current liquidity, Dry liquidity, Solvency, Indebtedness of Liquid Equity, Return on Liquid Equity and Asset turnover. As results it was verified that there are differences between the ratings disclosed by the three agencies. The IBRX50 list includes companies that have not been evaluated by the certifiers. / Companies are constantly evaluated in terms of financial and economic results as
well as their strategies. The financial statements are important reports in assessing
the performance of the organization's equity evolution, providing a global view of the
organization. This study has as general objective to identify the relation between
Investment Grade, defined by the rating of Guth’s Method, with the certifiers
Standard & Poor's, Moody's and Fitch Ratings, based on the data of the companies
listed in the IBRX 50. The degree of investment of a company grants it a "good
payer" seal, this evaluation occurs quantitatively and qualitatively, allowing a broad
view of the organization's business. In order to analyze the adherence of the method
that uses only financial indicators and that disclosed by the main certifiers, a
research based on a quantitative-descriptive method will be done, using the
companies listed in the IBRX50, in 2016. The objective is descriptive, using
documentary procedures, based on financial accounting reports to calculate the
degree of investments and the opinions published by the certifiers to compare the
rating disclosed as calculated from the financial indicators: Liquidity indebtedness,
Immediate liquidity, Profitability of the asset, Profitability, Current liquidity, Dry
liquidity, Solvency, Indebtedness of Liquid Equity, Return on Liquid Equity and Asset
turnover. As results it was verified that there are differences between the ratings
disclosed by the three agencies. The IBRX50 list includes companies that have not
been evaluated by the certifiers.
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Derivation of Probability Density Functions for the Relative Differences in the Standard and Poor's 100 Stock Index Over Various Intervals of TimeBunger, R. C. (Robert Charles) 08 1900 (has links)
In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means.
The density functions allow stock market participants trading index options and futures contracts on the S & P 100 Stock Index to determine probabilities of success or failure of trades involving price movements of certain magnitudes in given lengths of time.
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