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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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A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula DependenciesBerberovic, Adnan, Eriksson, Alexander January 2017 (has links)
Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. We also add price momentum as a sixth factor and add a one-day lag to the factors. The Regime-Switches are obtained from a Hidden Markov Model with conditional Student's t distributions. For the return process we use factor data as input, Student's t distributed residuals, and Student's t copula dependencies. To fit the copulas, we develop a novel approach based on the Expectation-Maximisation algorithm. The results are promising as the quantiles for most of the portfolios show a good fit to the theoretical quantiles. Using a sophisticated Stochastic Programming model, we back-test the predictive power over a 26 year period out-of-sample. Furthermore we analyse the performance of different factors during different market regimes.
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