STATISTICS AND FINANCE: LIVING ON THE "HEDGE"
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.
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…
The limited efficiency of The Johannesburg Stock Exchange
A brief, critical evaluation of the evidence for and against the Efficient Market Hypothesis on The Johannesburg Stock Exchange indicates that, at most, the hypothesis applies to half of the shares…
The pricing of industrial shares on The Johannesburg Stock Exchange
ABSTRACTThis paper reviews the major features of modern investment theory and illustrates them with examples drawn from The Johannesburg Stock Exchange (“JSE”). The cardinal relationship that emerges…
SHOWING 1-10 OF 77 REFERENCES
The Random Character of Stock Market Prices.
This work is known to a generation of financial economists having marked the beginnings of the field known as financial econometrics. This edition sets out to show that the text, first written in…
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 advanced theory of statistics
A method for continuously effecting reactions in a liquid phase in the presence of a gas and of a finely divided solid catalyst in a bubble column-cascade reactor with little or no liquid…
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,…
Spectral analysis of New York stock market prices
New York stock price series are analyzed by a new statistical technique. It is found that short-run movements of the series obey the simple random walk hypothesis proposed by earlier writers, but…
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…