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Zero impact or zero reliability? : An empirical test of Capital Asset Pricing Model during periods ofzero risk-free rateGrammenidis, Ackis, Fattor, Anna January 2009 (has links)
1.3. Research Questions. With this in mind, the research questions of this work are: 1. Is the Capital Asset Pricing Model still applicable despite the heavy impact of the financial crisis on the financial systems? 2. What happens to this model when the risk free rate approaches zero? 3. Is there a relationship between the riskiness of an asset and the risk-free interestrate when the latter is approaching the zero level?
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Portfolio management with heuristic optimization /Maringer, Dietmar. January 1900 (has links)
Univ., Habil.-Schr.--Erfurt, 2004.
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Kapitalmarktorientierte Bewertung ertragsteuerlicher Verlustvorträge /Scherer, Frank. January 2003 (has links) (PDF)
Univ., Diss.--Rostock, 2002.
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Real estate risk in equity returns : empirical evidence from U.S. stock markets /Michel, Gaston. January 2009 (has links)
Zugl.: Oestrich-Winkel, Europ. Business School, Diss., 2009.
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Macroeconomic factors and stock returns: Evidence from three Central and East European countriesTung, Christopher January 2010 (has links)
This dissertation deals with the links between stock market returns and foreign exchange rates, industrial production and exports to Germany in three Central and East European countries (the Czech Republic, Hungary and Poland). The main questions addressed are: "Do macroeconomic factors related to foreign exchange rates and industrial production affect stock market returns in the Visegrad-3? And what is the impact of exports to Germany on those stock returns?" This analysis makes use of panel-data and the Arbitrage Pricing Theory (APT) to produce results. Firstly, foreign exchange rates are found to have a negative effect on stock returns. However the divergence in currency returns between the three countries means that the overall effect may be due to some factors that are not accounted for in this analysis. Secondly, there is a positive, but lagged, association between industrial production and stock returns. Thirdly, exports to Germany from the region are also found to have a positive impact on the stock returns of the Visegrad-3. Finally, there is divergence among the three countries with respect to the relationship between the macroeconomic factors and stock returns. Poland and Hungary are seen to exert a significant amount of influence over the region's stock markets.
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Capital market theories and pricing models : evaluation and consolidation of the available body of knowledgeLaubscher, Eugene Rudolph 05 1900 (has links)
The study investigates whether the main capital market theories and pricing models provide
a reasonably accurate description of the working and efficiency of capital markets,
of the pricing of shares and options and the effect the risk/return relationship has on investor
behaviour. The capital market theories and pricing models included in the study
are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing
Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes
(8-S) Option Pricing Model.
The main conclusion of the study is that the main capital market theories and pricing
models, as reviewed in the study, do provide a reasonably accurate description of
reality, but a number of anomalies and controversial issues still need to be resolved.
The main recommendation of the study is that research into these theories and models
should continue unabated, while the specific recommendations in a South African context
are the following: ( 1) the benefits of global diversification for South African investors
should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities
Exchange SA (JSE) should continue to be monitored, and it should be established
whether alternative theories to the EMH provide complementary or better descriptions
of the efficiency of the South African market; (3) both the CAPM and the APT
should continue to be tested, both individually and jointly, in order to better understand
the pricing mechanism of, and risk/return relationship on the JSE; (4) much South
African research still needs to be conducted on the efficiency of the relatively new
options market and the application of the B-S Option Pricing Model under South African
conditions. / Financial Accounting / M. Com. (Accounting)
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Capital market theories and pricing models : evaluation and consolidation of the available body of knowledgeLaubscher, Eugene Rudolph 05 1900 (has links)
The study investigates whether the main capital market theories and pricing models provide
a reasonably accurate description of the working and efficiency of capital markets,
of the pricing of shares and options and the effect the risk/return relationship has on investor
behaviour. The capital market theories and pricing models included in the study
are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing
Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes
(8-S) Option Pricing Model.
The main conclusion of the study is that the main capital market theories and pricing
models, as reviewed in the study, do provide a reasonably accurate description of
reality, but a number of anomalies and controversial issues still need to be resolved.
The main recommendation of the study is that research into these theories and models
should continue unabated, while the specific recommendations in a South African context
are the following: ( 1) the benefits of global diversification for South African investors
should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities
Exchange SA (JSE) should continue to be monitored, and it should be established
whether alternative theories to the EMH provide complementary or better descriptions
of the efficiency of the South African market; (3) both the CAPM and the APT
should continue to be tested, both individually and jointly, in order to better understand
the pricing mechanism of, and risk/return relationship on the JSE; (4) much South
African research still needs to be conducted on the efficiency of the relatively new
options market and the application of the B-S Option Pricing Model under South African
conditions. / Financial Accounting / M. Com. (Accounting)
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Some contributions to financial market modelling with transaction costs / Quelques contributions à la modélisation des marchés financiers avec coûts de transactionTran, Quoc-Tran 22 October 2014 (has links)
Cette thèse traite plusieurs problèmes qui se posent pour les marchés financiers avec coûts de transaction et se compose de quatre parties.On commence, dans la première partie, par une étude du problème de couverture approximative d’une option Européenne pour des marchés de volatilité locale avec coûts de transaction proportionnelles.Dans la seconde partie, on considère le problème de l’optimisation de consommation dans le modèle de Kabanov, lorsque les prix sont conduits par un processus de Lévy.Dans la troisième partie, on propose un modèle général incluant le cas de coûts fixes et coûts proportionnels. En introduisant la notion de fonction liquidative, on étudie le problème de sur-réplication d’une option et plusieurs types d’opportunités d’arbitrage.La dernière partie est consacrée à l’étude du problème de maximisation de l’utilité de la richesse terminale d’une portefeuille sous contraintes de risque. / This thesis deals with different problems related to markets with transaction costs and is composed of four parts.In part I, we begin with the study of assymptotic hedging a European option in a local volatility model with bid-ask spread.In part II, we study the optimal consumption problem in a Kabanov model with jumps and with default risk allowed.In part III, we sugest a general market model defined by a liquidation procès. This model is more general than the models with both fixed and proportional transaction costs. We study the problem of super-hedging an option, and the arbitrage theory in this model.In the last part, we study the utility maximization problem under expected risk constraint.
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Nichtlineare Regimewechselmodelle : theoretische und empirische Evidenz am deutschen Kapitalmarkt /Brannolte, Cord. January 2002 (has links) (PDF)
Univ., Diss.--Kiel, 2001.
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Tydsberekening binne 'n APT-raamwerk / Market timing in APT frameworkBrevis, Tersia, 1967- 06 1900 (has links)
Die studie vergelyk die prestasie van 'n koop-en-hou-strategie met die van 'n
tydsberekeningstrategie binne die raamwerk van die arbitrasie-prysbepalingsteorie
(APT) op die nywerheidsindeks van die Johannesburgse Aandelebeurs (JA). Die
periode van die studie is oor twee tydperke, naamlik Januarie 1970 tot September
1987 en Januarie 1989 tot Junie 1997.
Die langtermyntendens van die nywerheidsindeks en APT-faktore is bepaal deur die
beste nie-reglynige model vir elke tydreeks te vind. Reglynige meervoudige
stapsgewyse regressie-ontleding is gebruik om die bewegings van die
nywerheidsindeks rondom die langtermyntendens te voorspel. Die sloeringsreekse van
die langtermyntendensresidutelling van die APT-faktore en die sloeringsreekse van die
eerste-ordeverskiltelling van die langtermyntendensresidutelling is as moontlike
voorspellers gebruik. Gegrond hierop is beslissingslyne ontwik:kel wat gebruik is vir
die implementering van 'n tydsberekeningstrategie.
Die resultate van die studie is die volgende:
• Waar die sloeringsreekse van die langtermyntendensresidutelling van die APTfaktore
as moontlike voorspellers gebruik is, is die risiko-aangepaste
opbrengskoers van 'n tydsberekeningstrategie 6, 41 persent en 0, 71 persent b6
die van 'n koop-en-hou-strategie vir tydperk een en twee onderskeidelik.
• Waar die sloeringsreekse van die eerste-ordeverskiltelling van die
langtermyntendensresidutelling van die APT-faktore as moontlike voorspellers
gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 10,40 persent en 1,04 persent b6 die van 'n koop-enhou-
strategie vir tydperk een en twee onderskeidelik.
Die belangrikste gevolgtrekking van die studie is dat die APT en 'n
tydsberekeningstrategie teoreties en prakties versoenbaar is op die JA. Aanbevelings
vir toekomstige navorsing is die volgende: ( 1) sistematiese risikofaktore, anders as
makro-ekonomiese faktore, behoort identifiseer te word wat die voorspellingswaarde
van die faktore in die tweede tydperk van die studie kan verhoog; (2) elke stap van die
model wat ontwikkel is, behoort op elke indeks van die JA toegepas te word om die
risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie toegepas op elkeen
van die indekse met die van 'n koop-en-hou-strategie te vergelyk; en (3) die invloed
van transaksiekoste en dividende op die potensiele voordele van tydsberekening moet
bepaal word. / The study compares the performance of a buy-and-hold strategy with that of a markettiming
strategy in the framework of the arbitrage pricing theory (APT) applied to the
industrial index of the Johannesburg Stock Exchange (JSE). The study period is
divided into two parts, namely January 1970 to September 1987 and January 1989 to
June 1997.
The long-term trend of the industrial index and every APT factor is determined by
finding the best nonlinear model for each time series. Linear multiple stepwise
regression analysis, with the lagged time series of the long-term trend error terms of
the APT factors, is used to forecast the movement of the industrial index around its
long-term trend. Decision lines were developed to implement a market-timing
strategy.
The results of the study are as follows:
• Where the lagged time series of the long-term trend error terms of the APT
factors were used as possible predictors, the risk-adjusted return of a markettiming
strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand-
hold strategy for periods one and two respectively.
• Where the lagged time series of the first-order difference of the long-term trend
error term of the APT factors were used as possible predictors, the riskadjusted
return of the market-timing strategy was 10,40 percent and 1,04
percent higher than that of a buy-and-hold strategy for periods one and two
respectively.
The main conclusion of the study is that the APT and a market-timing strategy are
theoretically and practically reconcilable on the JSE. The main recommendations of
the study are the following: (1) systematic risk factors, other than macroeconomic
factors, should be identified in order to increase the forecasting value of these factors
in the second period of the study; (2) each step of the model developed in this study
should be repeated on every index of the JSE; and (3) the influence of transaction costs
and dividends on the potential benefits of a market-timing strategy should be
determined. / Business Management / DCom (Sakebestuur)
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