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Thesis (Ph. D.)--West Virginia University, 2009. / Title from document title page. Document formatted into pages; contains x, 146 p. : col. ill. Includes abstract. Includes bibliographical references.

Previous work by researchers as Eugene F. Fama and Kenneth R. French, show that average return on stocks are related to a firms characteristics like size and book-to-market ratio. These kinds of patterns in average return is not explained by The Capital Asset Pricing Model (CAPM), and are therefore seen as anomalies. Fama and French have proposed a three-factor model, which captures patterns observed in U.S average returns associated with size and value. Since the previous research on this topic is limited in Sweden we find it interesting to study companies listed on the Swedish stock exchange “Nasdaq OMX Stockholm”. This study finds that the average return on Swedish stocks seems to be related to size and value. The two additional variables in the three-factor model help explain the variation on the Swedish stock market for the period 2011-2013.

Thesis (M.Ec.)--University of Adelaide, School of Economics, 1998. / "August 1998" Bibliography: leaves 74-78.

Project (M.B.A.) - Simon Fraser University, 2004. / Theses (Faculty of Business Administration) / Simon Fraser University. MBA-GAWM Program. Senior supervisor: Dr. Robert R. Grauer.

Thesis (M. Acct.)--Virginia Polytechnic Institute and State University, 1993. / Vita. Abstract. Includes bibliographical references (leaves 52-53). Also available via the Internet.

Thesis (Ph. D.)--University of Texas at Austin, 2004. / Supervisors: David Chapman and Sheridan Titman. Vita. Includes bibliographical references.

I establish the existence of seasonality in 42 popular risk factors in the asset pricing literature. I document extensive empirical evidence for the Keloharju et al. (2016) hypothesis that seasonalities in individual asset returns stem from their exposures to risk factors. It is the seasonal patterns in risk factors that lead to the seasonalities in individual asset portfolios. The empirical findings show that seasonalities are widely present among individual asset portfolios. However, both the all-factor model and the Fama-French (2014) five-factor model demonstrate that these patterns greatly disappear after I eliminate their exposures to the corresponding risk factors. Overall, 76.17% of the returns on 235 test equal-weighted portfolios I examine contain seasonality. My key finding is that 48.68% of equal-weighted portfolio returns with seasonalities no longer contain seasonality after I control for their exposures to all risk factors. Only 52.08% of the equal-weighted portfolio Fama-French five-factor model residual obtain substantial seasonal patterns in the Wald test. Regarding to seasonalities in risk factors, specific seasonal patterns include the January effect, higher returns during February, March, and July, and autocorrelations at irregular lags. The Wald test, a stable seasonality test, the Kruskal-Wallis chi-square test, a combined seasonality test, Fisher's Kappa test, and Bartlett's Kolmogorov-Smirnov test are used to identify the seasonal patterns in individual risk factors. Fama-French SMB (the size factor) and HML (the value factor) in the three-factor model, Fama-French RMW (the operating profitability factor) in the five-factor model, earnings/price, cash flow/price, momentum, short-term reversal, long-term reversal, daily variance, daily residual variance, growth rate of industrial production (value-weighted), term premium (equal-weighted and value-weighted), and profitability display robust seasonalities. Therefore, the first part of the research confirms that risk factors possess substantial seasonal patterns.

published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

This dissertation consists of four chapters. The first chapter developed a new warning system for international currency crises. The existing crisis indicators in the literature are essentially static. We examine the relationship between the foreign reserves dynamics and currency crises. It is shown that rapid reserve depletion is a prominent feature before the collapse of the exchange rate system. Our model provides clear warning signals for policy makers to take actions before the reserves has reached a critical value that heralds the arrival of a full-blown crisis. The second chapter employed a competing risk model to investigate the crisis-driven exit and orderly exit from fixed exchange rate regime for the period 1972-2001. It is found that the time spent within a regime is itself a significant determinant of the probability of an exit. Different types of exits exhibit different patterns of duration dependence. Crisis-driven exits have a positive duration dependence pattern while orderly exits show a negative duration dependence pattern, even after controlling for country specific characteristics and unobserved heterogeneity. The Competing Risk model yields several interesting results. It is found that the more open the economy, the lower the likelihood of leaving an exchange rate peg, and that the higher the trade concentration, the lower the probability of an orderly exit. Further, financial openness increases the probability of having an orderly exit. There is also strong evidence that a lower reserve growth rate and the incidence of bank crisis are associated with a higher likelihood of crisis driven exits. The third chapter examines whether the gains from incentive realignment have driven corporations out of the public security market. It is shown that going private transactions are due to the reduction in the diversification gains from the public market. For firms whose managers own most equity and are highly leveraged, they have low incentive gains prior to the public-to-private transaction. Such firms go private because of financial distress and dwindling profitability. These kinds of going-private activities are counter-cyclical. On the other hand, a financially healthy firm with a low managerial ownership has high anticipated incentive gains. The gain from incentive realignment is the dominant factor for these going-private transactions. Such firms go private because of an increase in profitability or an improvement in financial distress. We show that these going-private activities are pro-cyclical. The fourth chapter investigates the sources of economy fluctuations in China since its economic reform in 1978. Under the framework of a standard neoclassical open economy model with time-varying frictions (wedge), we study the relative importance of efficiency, labor, investment and foreign debt wedges on recent business cycles phenomena in China. The business accounting procedure suggests that productivity best explains the behavior of aggregate economic variables in China throughout the 1978-2006 periods. Labor wedge plays a major role in explaining the movement of labor enforcement. Foreign debt wedge and investment wedge primarily affect the composition of output between consumption, investment and trade balance, and have a modest role in explaining the fluctuation of output. Our results imply that the reform on inefficiency factor utilization and labor market rigidity should be a focus of future government policies. / He, Qing. / Adviser: Tai Leung Chong. / Source: Dissertation Abstracts International, Volume: 71-01, Section: A, page: 0276. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 129-143). / 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 Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese.