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You searched for +publisher:"University of Manchester" +contributor:("KOSTAKIS, ALEXANDROS A"). Showing records 1 – 3 of 3 total matches.

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1. Sivarajan, Swaminathan Sam. Risk Tolerance, Return Expectations and Other Factors Impacting Investment Decisions.

Degree: 2018, University of Manchester

Do investment portfolios meet the needs and preferences of investors? Can the portfolio selection process be improved? Traditionally, investor preferences have been identified using risk tolerance questionnaires. These questionnaires have recently attracted a fair deal of criticism. However, there has been little focus as to whether the questionnaires are useful in predicting investors’ risk-taking behaviour. In this thesis, an explanatory sequential mixed methods approach was employed to find answers to the primary research question: what factors determine risk-taking behaviour in investment decisions? This thesis looked at the risk-taking behaviour of investors in Canada (N=192) and the risk-taking advice provided by financial advisers in Canada (N=155), collectively risk-taking decisions. The results suggested that return expectations and demographic variables were important predictors of risk-taking decisions, whereas risk tolerance questionnaires were not. Further investigation suggested that investment literacy impacted risk-taking decisions while investment experience impacted both return expectations and risk-taking decisions. In a novel contribution by this thesis, additional perspective was provided by qualitative analysis using semi-structured interviews with investors and advisers. From the results of the qualitative analysis, the author suggests that discovery and self-discovery, a consistent approach and a focus on process versus outcome are key attributes valued by both investors and advisers. The thesis concluded with implications and recommendations for stakeholders, including a greater focus on return expectations, more training in discovery for advisers, simulating investment experience for prospective investors and including investment literacy in school curricula. Advisors/Committee Members: KOSTAKIS, ALEXANDROS A, De Bruijn, Oscar, Kostakis, Alexandros.

Subjects/Keywords: Risk tolerance questionnaires; risk-taking behaviour; investor preferences; mixed methods methodology; investment decisions; behavioural research; financial advice; financial decision-making

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APA (6th Edition):

Sivarajan, S. S. (2018). Risk Tolerance, Return Expectations and Other Factors Impacting Investment Decisions. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:317512

Chicago Manual of Style (16th Edition):

Sivarajan, Swaminathan Sam. “Risk Tolerance, Return Expectations and Other Factors Impacting Investment Decisions.” 2018. Doctoral Dissertation, University of Manchester. Accessed October 19, 2019. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:317512.

MLA Handbook (7th Edition):

Sivarajan, Swaminathan Sam. “Risk Tolerance, Return Expectations and Other Factors Impacting Investment Decisions.” 2018. Web. 19 Oct 2019.

Vancouver:

Sivarajan SS. Risk Tolerance, Return Expectations and Other Factors Impacting Investment Decisions. [Internet] [Doctoral dissertation]. University of Manchester; 2018. [cited 2019 Oct 19]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:317512.

Council of Science Editors:

Sivarajan SS. Risk Tolerance, Return Expectations and Other Factors Impacting Investment Decisions. [Doctoral Dissertation]. University of Manchester; 2018. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:317512


University of Manchester

2. Bvirindi, Tinashe Caston. Bank Loan Supply, Quantitative Easing and Corporate Bond Issuance: Evidence from the UK.

Degree: 2018, University of Manchester

This thesis makes two main contributions to the literature. The first is to establish the existence of a capital supply channel, in particular a bank lending channel of monetary policy transmission in the UK using a clean measure of bank loan supply. In this study we exploit the revealed debt preferences of debt issuing firms by using the Becker and Ivashina (2014) fixed effects framework to isolate the impact of credit supply. By conditioning the sample on non-financial firms whose debt issuance is observed, we are able to eliminate the effects of credit demand and to isolate a clean measure for bank loan supply. In this thesis, we find that the tendency by unconstrained, non-financial firms to substitute corporate bonds for bank loans at different points of the financial cycle reflects changes in bank loan supply. We also find that the patterns of substitutability are consistent among more granular classifications of heterogeneous debt. Our results reveal that among unconstrained firms, the proportion of new bank loan issuance declines, while the proportions of corporate bonds and program debt issuance tend to increase, when faced with unfavourable credit market conditions. We then create a loan to bond substitution measure based on observed substitution behaviour of unconstrained firms. We find that this measure explains the out of sample bank loan issuance behaviour of constrained firms. As a result we conclude that the measure is able to cleanly capture changes in bank loan supply. We extend the study to examine the impact of bank loan supply on the financing, hiring and investment decisions of UK non-financial corporations. We find that bank loan supply disruptions significantly and disproportionately affect the hiring and inventory investment decisions of bank dependent firms relative to those of non-bank dependent firms. The propensity to invest or hire among bank dependent UK non-financial firms declines relative to non-bank dependent firms when bank loan supply deteriorates. Moreover, the fixed investment decisions of non-bank dependent firms tend to decline following adverse bank loan supply shocks. These results confirm the existence of a bank lending channel among UK non-financial firms, and the findings are in line with the narrow credit view of monetary policy transmission. Our second central contribution is to analyse the impact of orthogonal QE shocks, credit supply shocks, credit demand shocks, and monetary policy shocks on the aggregate debt issuance behaviour of UK non-financial firms. Using structural vector error correction models (SVECM), we show that QE shocks increase corporate bond issuance and compress term spreads, but have no effect on the policy rate. Moreover, we observe that unexpected increases in the monetary policy rate lead to a decline in corporate bonds in the short term. While credit supply shocks move aggregate bank lending and aggregate corporate bond issuance in the same direction, corporate bond issuance responds with a lag to fluctuation in credit supply. This implies that… Advisors/Committee Members: KOSTAKIS, ALEXANDROS A, Bowe, Michael, Kostakis, Alexandros.

Subjects/Keywords: Quantitative easing; Bank loan supply; Limited intermediation; Corporate bond issuance; SVAR; VECM; Fixed effects; Business cycle

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APA (6th Edition):

Bvirindi, T. C. (2018). Bank Loan Supply, Quantitative Easing and Corporate Bond Issuance: Evidence from the UK. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:313076

Chicago Manual of Style (16th Edition):

Bvirindi, Tinashe Caston. “Bank Loan Supply, Quantitative Easing and Corporate Bond Issuance: Evidence from the UK.” 2018. Doctoral Dissertation, University of Manchester. Accessed October 19, 2019. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:313076.

MLA Handbook (7th Edition):

Bvirindi, Tinashe Caston. “Bank Loan Supply, Quantitative Easing and Corporate Bond Issuance: Evidence from the UK.” 2018. Web. 19 Oct 2019.

Vancouver:

Bvirindi TC. Bank Loan Supply, Quantitative Easing and Corporate Bond Issuance: Evidence from the UK. [Internet] [Doctoral dissertation]. University of Manchester; 2018. [cited 2019 Oct 19]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:313076.

Council of Science Editors:

Bvirindi TC. Bank Loan Supply, Quantitative Easing and Corporate Bond Issuance: Evidence from the UK. [Doctoral Dissertation]. University of Manchester; 2018. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:313076

3. Stilger, Przemyslaw. Numerical and Empirical Studies of Option Pricing.

Degree: 2014, University of Manchester

This thesis makes a number of contributions in the derivative pricing and risk management literature and to the growing literature that exploits information embedded in option prices. First, it develops an effective numerical scheme for importance sampling scheme of Fouque and Tullie (2002) based on a 2-dimensional lookup table of stock price and time to maturity that dramatically improves the speed of this importance sampling scheme. Second, the thesis presents an application of this importance sampling scheme in a Multi-Level Monte Carlo simulation. Such combination yields greater variance reduction compared to Multi-Level Monte Carlo or importance sampling alone. Third, it demonstrates how the Greeks can be computed using the Likelihood Ratio Method based on characteristic function, and how combining it with importance sampling leads to a significant variance reduction for the Greeks. Finally, it documents the positive relationship between the risk-neutral skewness (RNS) and future realized stock returns that is driven by the underperformance of highly negative RNS portfolio. The results provide strong evidence that the underperformance of stocks with the lowest RNS is driven by those stocks that are associated with a higher hedging demand, relative overvaluation and are also too costly or too risky to sell short. Moreover, by decomposing RNS into its systematic and idiosyncratic components, this thesis shows that the latter drives the positive relationship with future realized stock returns. Advisors/Committee Members: KOSTAKIS, ALEXANDROS A, Poon, Ser-Huang, Kostakis, Alexandros.

Subjects/Keywords: Importance Sampling; Stochastic Volatility; Risk-Neutral Skewness

University of Manchester Przemyslaw Stanislaw Stilger Doctor of Philosophy 20 October 2014… …x29; and s/he has given The University of Manchester certain rights to use such Copyright… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Stilger, P. (2014). Numerical and Empirical Studies of Option Pricing. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:237414

Chicago Manual of Style (16th Edition):

Stilger, Przemyslaw. “Numerical and Empirical Studies of Option Pricing.” 2014. Doctoral Dissertation, University of Manchester. Accessed October 19, 2019. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:237414.

MLA Handbook (7th Edition):

Stilger, Przemyslaw. “Numerical and Empirical Studies of Option Pricing.” 2014. Web. 19 Oct 2019.

Vancouver:

Stilger P. Numerical and Empirical Studies of Option Pricing. [Internet] [Doctoral dissertation]. University of Manchester; 2014. [cited 2019 Oct 19]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:237414.

Council of Science Editors:

Stilger P. Numerical and Empirical Studies of Option Pricing. [Doctoral Dissertation]. University of Manchester; 2014. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:237414

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