This thesis presents three models of asset pricing involving non-competitive behavior and asymmetric information. In the first model, a risk averse investor with private information about dividends trades shares over an infinite time horizon with risk neutral uninformed agents. The informed investor trades strategically in equilibrium. The second model also involves an infinite time horizon, but all agents are risk averse and equally informed about dividends. Non-competitive behavior is exogenously specified; price takers trade shares with a strategic investor who accounts for the effects of her trades on the stock price. In this case, an endogenous information asymmetry arises in equilibrium. Closed form equilibria are derived for both models and implications for price dynamics are explored. While the first model constitutes a new extension of the multiperiod Kyle model of insider trading, the second model generates more interesting price dynamics. If the strategic investor manages a large mutual fund, significant risk premia and price volatility may arise in equilibrium. In fact, if mutual fund participation is sufficiently widespread, multiple equilibria may exist. The third model extends the multiperiod Kyle model to a case where the insider observes a noisy signal of the stock's terminal liquidation value. An equilibrium much like Kyle's is derived. Price tends toward value over time, and stock price volatility depends on both the drift and volatility of the insider's private signal. Like the Kyle model, the insider's trading activity leaves no detectable trace in trading volume, expected returns, or price volatility. / Business, Sauder School of / Finance, Division of / Graduate

This research aims to examine if a negative relationship exists between the dividend yield and stock price volatility of firms listed on the Swedish Stock exchange market, which is of utter interest and intrinsic for investors and financial analyst in the process of valuing a security’s and a stock portfolio's risk and return. The data that was utilized for this study consists of 52 companies for the period of 2010 to 2019 which makes up for 520 observations. A pooled regression model and a multiple ordinary least squares model was applied to test the relationship. The results show a negative relationship between the dividend yield and stock price volatility. On the other hand, the results indicate that there is a significant positive relationship between earnings volatility and stock price volatility. However, there is a negative relationship for leverage, market value and asset growth with stock price volatility.

Submitted in accordance with the requirements for the degree of Master of Management in the subject Finance and investments at the University of Witwatersrand 2017 / Although many studies have been done to determine the relationship between financial development and cost of equity capital in various markets, few have focused on the African emerging and frontier markets. This research therefore investigates the relationship between financial development and cost of equity capital in the African Emerging and Frontier Markets. Stock market development and banking sector development are both used as proxies for financial development in this study whilst cost of equity is determined using CAPM. The study is based on five emerging and frontier markets (Egypt, Kenya, Morocco, Nigeria and South Africa). The research finds that both measures of stock market development (stock market capitalisation to GDP ratio and stock market liquidity/turnover to GDP ratio) tend to reduce cost of equity in the African emerging and frontier markets. In a similar fashion, the banking sector development was also found to be negatively related to cost of equity / MT 2018

No description available.

Yes / This paper examines the effect of textual risk disclosure on the amount of firm-specific information incorporated into share prices, as measured by stock price synchronicity, for Chinese listed firms during 2007-2011. We find that synchronicity is inversely associated with risk disclosure, suggesting that risk disclosure is firm specific and useful to investors. In addition, our results document that the usefulness of risk information is statistically and economically more pronounced among internationally oriented firms than their domestically oriented peers, consistent with the necessity for risk disclosure to be more meaningful when it relates to greater uncertainty. Finally, we find that internationally oriented firms tend to disclose more risk factors than their domestically oriented counterparts. Our findings are robust to a variety of specifications and the use of alternative measures of risk disclosure, stock price synchronicity and international orientation. Our paper has practical implications since its findings shed light on the current debate on whether or not narrative sections of annual reports convey useful information to investors.

Thesis (MBA)--Stellenbosch University, 2001. / This thesis presents a study on : (1) The construction of the SADC All Stock Market Indices, namely the SADIX (SADC Index Including South Africa) and the SADEX (SADC Index Excluding South Africa), which will serve as performance benchmarks for the region, and as indices for tracking the performance of the region excluding the JSE (2) Comparative analysis of the SADC bourses returns (3) Correlation Analysis between the SADC countries The SADC All Stock Market Indices, SADIX & SAD EX are market value, capitalization-weighted indices in which all components are weighted according to the total market value of their outstanding shares. They comprise all equity securities listed on the SADC region excluding Tanzania. Both series are calculated in local currencies and converted to US dollar terms, using end-af-week data with a base value of 1,000 as at 3rd September 1999. The dissertation presents a discussion on the regionalization of the African stock exchanges and how they this will impact the low liquidity levels which is endemic to most of the African Stock Exchanges. The results obtained indicate a significantly high correlation between the individual country indices with the SADe All Stock market Indices. Furthermore, observations are that the SADe stock exchanges show similar reactions to news flow and economic shocks. However, there are negative correlations, which will offer investors a fundamental basis for a diversification strategy in the region. Finally, the thesis concludes that despite the perception that African stock markets are in chaos, there are lucrative SADe markets, smaller in terms of size and market capitalization that will provide good returns.

by Lee Chi Kau. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 115-119). / Abstract also in Chinese. / ACKNOWLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- THE LITERATURE REVIEW --- p.6 / Parametric Models / Nonparametric Estimation Techniques / Chapter THREE --- ANALYTICAL FRAMEWORKS --- p.21 / Parametric Models / Nonparametric Models / Chapter FOUR --- EMPIRICAL FINDINGS --- p.36 / Data / Estimation Results / Evaluation of Model Performance / Out-of-Sample Forecast and Evaluation / Chapter FIVE --- CONCLUSION --- p.54 / TABLES --- p.58 / ILLUSTRATIONS --- p.76 / BIBLIOGRAPHY --- p.115

Kong Tze-shan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 60-62). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- Moving Average --- p.5 / Chapter 2.2 --- Other Trading Rules --- p.9 / Chapter 2.3 --- Share Repurchase --- p.12 / Chapter 2.3.1 --- Types of Share Repurchase --- p.12 / Chapter 2.3.2 --- Previous Studies on Relationship between Share Repurchase and Stock Price --- p.14 / Chapter 3 --- Regulations and Facts of Share Repurchase in Hong Kong --- p.19 / Chapter 4 --- Data Summary --- p.23 / Chapter 4.1 --- Description on Hong Kong Stock Market --- p.23 / Chapter 4.2 --- Description on Hang Seng Index --- p.24 / Chapter 4.3 --- Description on Stock Price Series --- p.25 / Chapter 4.4 --- Description on Repurchase Data --- p.26 / Chapter 5 --- Profitability of Technical Trading Rule --- p.30 / Chapter 5.1 --- Moving Average --- p.30 / Chapter 5.2 --- Result of Individual Stocks --- p.32 / Chapter 5.3 --- Overall Result for 25 Stocks Tested --- p.35 / Chapter 5.4 --- Using short moving averages rather than current stock price --- p.37 / Chapter 6 --- Profitability with transaction cost --- p.39 / Chapter 6.1 --- Result of Individual Stock --- p.39 / Chapter 6.2 --- Sharpe Ratio of 25 Stocks Tested --- p.40 / Chapter 7 --- Profitability with Share Repurchase Dates Removed --- p.42 / Chapter 7.1 --- Removing Share Repurchase Dates --- p.42 / Chapter 7.2 --- Result of Individual Stock --- p.43 / Chapter 7.3 --- Overall Results for 10 Stocks Tested --- p.44 / Chapter 7.4 --- Removing Repurchase Dates of 28 Non-HSI Constituent Stocks --- p.47 / Chapter 8 --- Further discussion --- p.51 / Chapter 8.1 --- Basic differences in market structure --- p.51 / Chapter 8.2 --- Difference between central bank intervention and share repurchase --- p.52 / Chapter 8.2.1 --- Motivation of central bank intervention --- p.53 / Chapter 8.2.2 --- Motivation of share repurchase --- p.53 / Chapter 9 --- Conclusion --- p.57

Hung, Chun Man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 71-74). / Abstracts in English and Chinese. / Abstract --- p.i / 摘要 --- p.ii / Acknowledgement --- p.iii / Table of Content --- p.iv / Chapter 1. --- Introduction --- p.1 / Chapter 1.1 --- Hong Kong securities market background --- p.2 / Chapter 1.2 --- Purpose and brief results --- p.4 / Chapter 1.3 --- Organization of the paper --- p.5 / Chapter 2. --- Literature Review --- p.6 / Chapter 2.1 --- Theoretical Studies --- p.6 / Chapter 2.2 --- Empirical Studies --- p.8 / Chapter 3. --- Methodology --- p.14 / Chapter 3.1 --- Hypothesis development --- p.14 / Chapter 3.2 --- Data and Sample Characteristics --- p.16 / Chapter 3.3 --- Sample selection rules --- p.17 / Chapter 3.4 --- Variables definitions --- p.19 / Chapter 3.5 --- Estimation of market betas (pre-ranking and post-ranking) --- p.23 / Chapter 3.5.1 --- Betas estimation procedure --- p.23 / Chapter 3.5.2 --- Results and findings --- p.25 / Chapter 4. --- Size- Dispersion Portfolio Strategy --- p.27 / Chapter 4.1 --- Formation of size-beta portfolio --- p.27 / Chapter 4.2 --- Results and findings --- p.28 / Chapter 5. --- Fama-MacBeth cross-sectional regressions --- p.32 / Chapter 5.1 --- Relation between dispersion and other firm characteristics --- p.32 / Chapter 5.2 --- Relation between future stocks returns and firm characteristics --- p.33 / Chapter 5.3 --- Robustness check --- p.38 / Chapter 5.3.1 --- Sub-period regressions --- p.38 / Chapter 5.4 --- Possible Explanations --- p.39 / Chapter 6. --- Conclusion Remarks --- p.44 / Chapter 6.1 --- Conclusion --- p.44 / Chapter 6.2 --- Limitations and future direction --- p.45 / Tables --- p.47 / Table 1 Key statistics for the Hong Kong stock market --- p.47 / "Table 2 Sectoral distribution of market capitalization (per cent of total),1997-2006" --- p.48 / "Table 3 Market capitalization: top twenty firms (percentage of total market), 2006" --- p.49 / Table 4 Summary of empirical literature of dispersion on stock returns --- p.50 / Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003 --- p.51 / Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003(continue) --- p.52 / Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003(continue) --- p.53 / Table 6 Sample properties based on sectoral distribution --- p.54 / Table 7 Descriptive statistics for the analysts´ة forecasts dispersion: 1997-2003 --- p.55 / Table 8 Properties of the nine size-beta portfolio for the sample period from January 1997 to December 2003 --- p.56 / Table 9 Mean and Median Portfolio Returns by Size and Dispersion in Analysts´ة Forecasts --- p.57 / Table 9 Mean and Median Portfolio Returns by Size and Dispersion in Analysts´ة Forecasts --- p.58 / Table 10 Mean Portfolio Dispersion by Size and Dispersion in Analysts´ة Forecasts --- p.59 / Table 11 Fama-MacBeth cross-sectional regressions of analysts´ة forecasts dispersion on lagged firm characteristics --- p.60 / Table 12 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics --- p.61 / Table 12 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (continue) --- p.62 / Table 13 Overall monthly correlation matrix between explanatory variables for the period January 1997 to December 2003 --- p.63 / Table 15 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (second sub-period) --- p.66 / Table 15 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (second sub-period) (continue) --- p.67 / Figures --- p.68 / Figure 1 Growth trend of the Hong Kong stock market --- p.68 / Figure 2 Equities funds raised by H shares enterprise for GEM --- p.69 / Appendix one --- p.70 / References --- p.71

In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means. The density functions allow stock market participants trading index options and futures contracts on the S & P 100 Stock Index to determine probabilities of success or failure of trades involving price movements of certain magnitudes in given lengths of time.