Texte remanié de: Tesis--Oviedo--Universidad de Oviedo, 1980. / Bibliogr. p. [325]-340. Index.

Diss.--Universität Gießen, 1998. / Bibliogr. p. 314-356. Index.

Since arbitrage-free is a desirable theoretical feature in a healthy financial market, many efforts have been made to construct arbitrage-free models for yield curves. However, little attention is paid to review if such restriction will improve yield forecast. We evaluate the importance of arbitrage-free restriction on dynamic Nelson-Siegel term structure when forecasting yield curves. We find that it doesn’t help. We also compare these two Nelson-Siegel dynamic models with a benchmark dynamic model and show that Nelson-Siegel structure improve forecasts for long-maturity yields. / text

This study tests the Arbitrage Pricing Theory on the Johannesburg stock Exchange (JSE). Following the McElroy and Burmeister (1988) approach of pre-specifying a factor structure to be tested, a possible set of factors was selected on the basis of a priori theoretical and empirical evidence that they could affect share prices. All combinations of these factors were separately tested against mining and industrial shares listed on the JSE. Two sets of tests were performed, firstly, a multivariate nonlinear regression with cross-equation restrictions as a test of the APT model and secondly, a seemingly unrelated regression model. The APT test results for mining shares show that the model with gold price risk and residual market risk and the model with growth rate risk and residual market risk had the highest adjusted-R2 values. However these factors were not priced APT factors since they were not significantly different from zero. Two one-factor models yielded priced APT factors. These were the model including the gold price risk and another model with growth rate risk. Whilst these were both priced APT factors, the gold price risk model was better fitted. Four models were selected from the APT tests on industrial shares, on the basis of high adjusted-R2 values and factors which were significantly different from zero. They included the following risk factors: gold price risk and residual market risk; foreign exchange risk and residual market risk; inflation risk and residual market risk; default premium risk, gold price risk and residual market risk. The seemingly unrelated regression models had very similar adjusted-R2 values and indicated that the APT did not appear to explain the variation in share returns any better or worse than the seemingly unrelated regression model. The adjusted-R2 values for individual shares and the signs of the factor risk-premiums appear to be reasonable. The residual market risk factor was significantly different from zero for both the mining and industrial share samples, indicating that further work is required to identify the APT factors operating on the JSE. / Thesis (M.Com.)-University of Natal, Durban, 1993.

No description available.

We derive no-arbitrage bounds for expected excess returns to generate scenarios used in financial applications. The bounds allow to distinguish three regions: one where arbitrage opportunities will never exist, a second where arbitrage may be present, and a third, where arbitrage opportunities will always exist. No-arbitrage bounds are derived in closed form for a given covariance matrix using the least possible number of scenarios. Empirical examples illustrate the practical potential of knowing these bounds. (authors' abstract)

This thesis examines risk factors in the UK Stock Market. This objective is achieved by testing the validity of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The models were tested using data for the period between 1972 to 1993. Test of the CAPM was conducted by examining the relationship between stocks returns and systematic risk as measured by beta. By regressing returns against estimates of beta, the results showed that for the overall period the relationship was negative and the estimated risk premium is smaller than the observed risk premium. The results in sub-periods also failed to validate the model. However, examining the results under up and down-market conditions, showed some support to the usefulness of beta. Beta is a good predictor of average returns under down-market conditions as well as under extreme up-market conditions. Test of the APT entails the detennination on the number of factors, estimating the sensitivities or risks of stocks to these factors and finally the pricing of these risks. This study used the Principal Components Analysis (PCA) for the first two procedures. A two stage PCA was performed specifically for short sub-periods of data. The stability of the factor structure across sub-periods was also examined. For the third procedure, a cross-sectional regression between returns and the sensitivities was performed and the risk premia was estimated. The results showed that the number of factors were consistent across sub-periods. A PCA on any sample of stocks cou1l produce a first factor that is common among stocks, while other factors are more sample specific. The study found at least one significant risk premium in all the sub-periods. The first factor was the most likely to produce a significant risk premium. The sensitivities of the stocks to the factors were found to differ across sub-periods, but the risk premia remain constant. This suggests the factor structure may be stable. This thesis then identifies the economic nature of the factors. The factors were regressed against a selection of macroeconomic variables. The result showed that the first factor is related to stock market return, money supply, US and European exchange rates and dividend yield. The first factor from small size firms and low beta stocks are strongly related than usual to money supply. The second factor is related to default risk, term structure and stock market returns.

Thesis (Ph. D.)--UCLA, 2009. / Vita. Description based on print version record. Includes bibliographical references (leaves 118-119).

Köln, Rechtswiss. Diss. v. 5. Okt. 1933. / Auch als : Kölner rechtswiss. Abh. 10. Nur in beschränkter Anzahl f. d. Austausch.

Master-Arbeit Univ. St. Gallen, 2005.