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1	Return Correlation of China's Real Estate and Stock Markets Yang, Yang, Ye, Enyang January 2010 (has links) China’s economy has experienced a spectacular growth and achieved a remarkable success over the past three decades. Opportunities created by the striking economic growth have led China’s most important investment markets, real estate and stock markets to undertake an enormous transformation and development. This paper is concentrated on examining the relationship between the returns on Chinese real estate and stock markets. In particular, the paper attempts to investigate whether the returns are correlated between them, and to explore the potential diversification effects on creating a balanced portfolio including both real estate and stock assets. The empirical study is conducted on the basis of monthly data collected from year 2005 to 2010. Statistical tests are applied to measure the magnitude of return correlations between Chinese real estate and stock markets. The results of the empirical study indicate that the monthly returns on Chinese real estate and stock markets are not correlated. And when investing in China’s capital markets, diversification benefits could be achieved by creating a balanced portfolio including both real estate and stock assets. Keywords: Return Correlation; Diversification Benefit; Chinese Real Estate market; Chinese Stock Market Business studies Företagsekonomi
2	Essays in empirical finance Andersson, Magnus January 2007 (has links) Financial market analysis nowadays constitutes an important pillar in central banks' monetary policy considerations. This is because the inherently forward-looking properties of asset prices can provide policy-makers with valuable information about future macroeconomic prospects, as seen through the eyes of investors. The five essays contained in this thesis elaborate upon three separate but complementary topics within the area of financial market research. First, the price discovery process of asset prices following releases of macroeconomic and monetary policy-related news is investigated. Such analysis can help in improving a central bank's understanding of how market participants update their views about future growth and inflation prospects. Second, an attempt is made to identify the factors which explain the time-varying co-movement of bond and stock prices. This analysis reveals that periods of negative correlation between the two assets tend to coincide with periods of very low investor risk appetite. Third, frequency distributions implied by options prices are often employed by central banks to assess the degree of uncertainty prevailing in markets as well as how the perceived balance of risks concerning future asset price movements is tilted. Various methods have been developed to estimate option-implied frequency distributions and the thesis assesses and compares the robustness of two of the most commonly used methods in central banks. / <p>Diss. Stockholm : Handelshögskolan, 2007 S. 9-16: sammanfattning, s. 17-160: 5 uppsatser</p> Monetary policy implied risk-neutral distributions stock-bond return correlation macroeconomic announcements Penningpolitik Aktieanalys Economics Nationalekonomi
3	A Value Relevant Fundamental Investment Strategy : The use of weighted fundamental signals to improve predictability Eliasson, Martin, Malik, Khawar, Österlund, Benjamin January 2011 (has links) The aim of this study is to investigate the possibility to improve the investment model defined in Piotroski (2000) and the subsequent research carried out on this model. Our model builds further upon the original fundamental score put forth by Piotroski. This further developed model is tested in two different contexts; firstly, a weighted fundamental score is developed that is updated every year in order to control for any changes in the predictive ability of fundamental signals over time. Secondly, the behavior of this score is analyzed in context of recession and growth cycles of the macro economy. Our findings show that high book-to-market portfolio consist of poor performing firms, as shown by Fama and French (1995) and is thereby outperformed by both Piotroski's F_score and our own developed scores. The score based on a rolling window correlation is performing a little better then F_score, but the score based on correlations for prior Up and Down periods is not. The conclusions we draw from the results are that improvements have to be made, both to F_score and our own developments, to sort winners from loser to get an even more profitable zero-investment hedge strategy. Fundamental analysis Financial statement analysis Financial analysis High book-to-market quantitative analysis statistical regression study investment strategy longitudinal study NYSE New York Stock Exchange Nasdaq Piotroski Rados and Lovric wieghted and modified Piotroski F_score F_score B/M investment strategy fundamental signals correlation return correlation rolling window investment strategy Piotroski's F_score fundamental signals Fundamental analys finansiell analys Piotroski Piotroskis F_score Rados och Lovric modifierat F_score undervärderade företag fundamentala signaler Business studies Företagsekonomi

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