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An empirical examination of the weak form martingale efficient market theory of security price behaviorFinkelstein, John Maxwell, 1941- January 1971 (has links)
No description available.
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Essays on strategic trading, asymmetric information, and asset pricingPeterson, David John 05 1900 (has links)
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.
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Predictive ability or data snopping? : essays on forecasting with large data setsKışınbay, Turgut January 2004 (has links)
This thesis examines the predictive ability of models for forecasting inflation and financial market volatility. Emphasis is put on evaluation of forecasts and the usage of large data sets. Variety of models are used to forecast inflation, including diffusion indices, artificial neural networks, and traditional linear regressions. Financial market volatility is forecast using various GARCH-type and high-frequency based models. High-frequency data are also used to obtain ex-post estimates of volatility, which is then used to evaluate forecasts. All forecast are evaluated using recently proposed techniques that can account for data snooping bias, nested, and nonlinear models.
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Three new perspectives for testing stock market efficiencyChandrashekar, Satyajit, January 1900 (has links) (PDF)
Thesis (Ph. D.)--University of Texas at Austin, 2006. / Vita. Includes bibliographical references.
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Essays on strategic incentives for information revelationSerrano-Padial, Ricardo, January 2007 (has links)
Thesis (Ph. D.)--University of California, San Diego, 2007. / Title from first page of PDF file (viewed August 7, 2007). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 86-90).
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Essays on the predictability and volatility of returns in the stock marketWu, Ruojun. January 2008 (has links)
Thesis (Ph. D.)--University of California, San Diego, 2008. / Title from first page of PDF file (viewed Sept. 4, 2008). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 127-132).
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Mixture time series models and their applications in volatility estimation and statistical arbitrage tradingCheng, Xixin. January 2008 (has links)
Thesis (M. Phil.)--University of Hong Kong, 2008. / Includes bibliographical references (leaf 99-108) Also available in print.
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Nesting regime-switching GARCH models and stock market volatility, returns and the business cycle /Lin, Gang, January 1998 (has links)
Thesis (Ph. D.)--University of California, San Diego, 1998. / Vita. Includes bibliographical references.
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Three essays on initial public offerings and market informationJohnson, William C. January 2006 (has links)
Thesis (Ph. D.)--Michigan State University. Dept. of Finance, 2006. / Title from PDF t.p. (viewed on June 19, 2009) Includes bibliographical references (p. 143-147). Also issued in print.
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Individual investor reaction to the earnings expectations path and its componentsPinello, Arianna Spina. Morton, Richard M. January 2004 (has links)
Thesis (Ph. D.)--Florida State University, 2004. / Advisor: Dr. Richard M. Morton, Florida State University, College of Business, Dept. of Accounting. Title and description from dissertation home page (viewed Sept. 23, 2004). Includes bibliographical references.
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