STATISTICS AND FINANCE: LIVING ON THE "HEDGE"
Abstract: The Efficiency of the Market for Foreign Exchange under Floating Exchange Rates
- EconomicsJournal of Financial and Quantitative Analysis
Our paper reports on tests of the weak form of the efficient markets hypothesis applied to spot foreign exchange contracts for the Canadian dollar, Swiss franc, Dutch guilder, German mark, British…
Financial Economics, Return Predictability and Market Efficiency
- EconomicsEncyclopedia of Complexity and Systems Science
Investing in the wine market: a country-level threshold cointegration approach
In recent years, investments in commodities, via commodity futures and commodity index funds, have grown rapidly. The appeal of investing in commodities is generally attributed to the low correlati...
The reaction of stock prices to dividend announcement and market efficiency in Namibia.
A thesis/dissertation submitted in fulfilment of the requirements for the Degree of Master of Science in Economics.
Analysis of the Warrant Hedge in a Stable Paretian Market
- Business, EconomicsJournal of Financial and Quantitative Analysis
A stock purchase warrant gives the owner the option to buy some predetermined number of shares of the associated common stock at a specified price over a stipulated time period. The specified price…
The effect of cross-listing on the value of firms cross-listed within the East Africa securities exchanges
Research project submitted in partial fulfillment of the Requirements for the award of Degree Of Master of Science in Finance Of the University Of Nairobi
A new approach to analysis of stock marketing using non-linear differential equations
Modelling the behaviour of arbitragers and speculators in the crude oil futures market
Since the crude oil futures price peaked at $147 per barrel, the role of speculators has come under tremendous scrutiny. The rise in oil price, along with the increased participation of financial…
SHOWING 1-10 OF 74 REFERENCES
Portfolio Selection: Efficient Diversification of Investments
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of…
THE RANDOM-WALK HYPOTHESIS OF STOCK MARKET BEHAVIOR†
SUMMARY A model of the form xt - xt-1= et where xt is the price of a share at time t and et forms a sequence of independent random variates is postulated as a model of the price determining…
DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES
Distribution of Incomes of Corporations Among Dividens, Retained Earnings, and Taxes Author(s): John Lintner Source: The American Economic Review, Vol. 46, No. 2, Papers and Proceedings of the…
Portfolio Analysis in a Stable Paretian Market
Recently evidence has come forth which suggests that empirical probability distributions of returns on securities conform better to stable Paretian distributions with infinite variances than to the…
A Revision of Previous Conclusions Regarding Stock Price Behavior
This paper reports results which verify the general proposition that, where each unit of a time series is an average of points within that unit, the effect of such averaging will be to introduce a…
DIVIDEND POLICY, GROWTH, AND THE VALUATION OF SHARES
In the hope that it may help to overcome these obstacles to effective empirical testing, this paper will attempt to fill the existing gap in the theoretical literature on valuation. We shall begin,…
The Varying (?) Quality of Investment Trust Management
Abstract The paper compares year-to-year changes in the Wiesenberger Index of Return for investment funds of similar objectives. It is initially shown, using correlation techniques, that there was…
The Variation of Certain Speculative Prices
The classic model of the temporal variation of speculative prices (Bachelier 1900) assumes that successive changes of a price Z(t) are independent Gaussian random variables. But, even if Z(t) is…
New Methods in Statistical Economics
An interesting relationship between the methods in this chapter and renormalization as understood by physicists is described in the Annotation for the physicists that follows this text.