You searched for subject:(332).
Showing records 1 – 30 of
1114 total matches.
◁ [1] [2] [3] [4] [5] … [38] ▶
University of Oxford
1.
Hou, Zhaoxu.
A robust approach to pricing-hedging duality and related problems in mathematical finance.
Degree: PhD, 2016, University of Oxford
URL: http://ora.ox.ac.uk/objects/uuid:4a21584a-f898-43ac-bfa5-914fec17961e 
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.729951
► In this thesis, we pursue a robust approach to pricing and hedging problems in mathematical finance. The general goal of this approach is to develop…
(more)
▼ In this thesis, we pursue a robust approach to pricing and hedging problems in mathematical finance. The general goal of this approach is to develop a pricing and hedging theory, which is based mainly on the market information than on a specific probabilistic belief about the future evolution of the risky assets. Motivated by the notion of prediction set in Mykland (2003), we include in our framework modelling beliefs through a set of paths to be considered, e.g. super-replication of a contingent claim is required only for paths falling in the given set. Our framework thus interpolates between model-independent and model-specific settings and allows quantifying the impact of making assumptions or gaining information. The first part of the thesis is concerned with robust fundamental theorem of asset pricing, pricing-hedging duality and their applications in a discrete-time setting in which some underlying assets and options, are available for dynamic trading and a further set of European options, possibly with varying maturities, is available for static trading. In the second part of the thesis, we consider the robust pricing-hedging duality problem with options in a continuous-time setting where underlying assets are assumed to have continuous paths. Our results include an "unconstrained" pricing-hedging duality, in the absence of options and beliefs, and a general but approximated pricing-hedging duality result. Moreover, when all put options are available for static hedging, the pricing problem is connected to the martingale optimal transport problem and our duality results in this thesis include the martingale optimal transport duality of Dolinsky and Soner (2013) and extend it to multiple maturities and multiple assets.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Hou, Z. (2016). A robust approach to pricing-hedging duality and related problems in mathematical finance. (Doctoral Dissertation). University of Oxford. Retrieved from http://ora.ox.ac.uk/objects/uuid:4a21584a-f898-43ac-bfa5-914fec17961e ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.729951
Chicago Manual of Style (16th Edition):
Hou, Zhaoxu. “A robust approach to pricing-hedging duality and related problems in mathematical finance.” 2016. Doctoral Dissertation, University of Oxford. Accessed February 24, 2021.
http://ora.ox.ac.uk/objects/uuid:4a21584a-f898-43ac-bfa5-914fec17961e ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.729951.
MLA Handbook (7th Edition):
Hou, Zhaoxu. “A robust approach to pricing-hedging duality and related problems in mathematical finance.” 2016. Web. 24 Feb 2021.
Vancouver:
Hou Z. A robust approach to pricing-hedging duality and related problems in mathematical finance. [Internet] [Doctoral dissertation]. University of Oxford; 2016. [cited 2021 Feb 24].
Available from: http://ora.ox.ac.uk/objects/uuid:4a21584a-f898-43ac-bfa5-914fec17961e ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.729951.
Council of Science Editors:
Hou Z. A robust approach to pricing-hedging duality and related problems in mathematical finance. [Doctoral Dissertation]. University of Oxford; 2016. Available from: http://ora.ox.ac.uk/objects/uuid:4a21584a-f898-43ac-bfa5-914fec17961e ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.729951
University of Newcastle upon Tyne
2.
Keenan, Liam Francis.
Financialisation, the brewing industry and the changing role of the pub in Britain and Germany.
Degree: PhD, 2017, University of Newcastle upon Tyne
URL: http://theses.ncl.ac.uk/jspui/handle/10443/3874
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748144
► Financialisation has been understood in varying ways from different disciplinary perspectives. Developing a political economy approach concerned with the geographical and institutional variegation of national…
(more)
▼ Financialisation has been understood in varying ways from different disciplinary perspectives. Developing a political economy approach concerned with the geographical and institutional variegation of national capitalisms, this thesis aims to provide a more finely grained, geographically sensitive understanding of financialisation which more thoroughly appreciates the constitutive roles of space and place. Taking the dramatic reductions in the number of pubs in Britain and Germany as the entry point, the empirical focus seeks to explain the roles of financialisation in the pubs business at both national and sub-national scales. The changing role and closures of pubs will be utilised to explain how the processes of financialisation are reorienting economic interests, transforming corporate forms, enrolling an increasing number and widening set of actors into the global financial system, and impacting the experience of an economically and socially significant sector of the economy. The international comparison serves to explain how while the processes of financialisation maintain certain general characteristics they are unfolding in geographically differentiated and uneven ways shaped by the institutional configurations of variegations of capitalism. Whilst exhibiting core constituents and common underlying tendencies, it will be argued that the spatially and temporally variegated phenomena of financialisation is enacted, mediated and resisted by geographically grounded actors and institutions.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Keenan, L. F. (2017). Financialisation, the brewing industry and the changing role of the pub in Britain and Germany. (Doctoral Dissertation). University of Newcastle upon Tyne. Retrieved from http://theses.ncl.ac.uk/jspui/handle/10443/3874 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748144
Chicago Manual of Style (16th Edition):
Keenan, Liam Francis. “Financialisation, the brewing industry and the changing role of the pub in Britain and Germany.” 2017. Doctoral Dissertation, University of Newcastle upon Tyne. Accessed February 24, 2021.
http://theses.ncl.ac.uk/jspui/handle/10443/3874 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748144.
MLA Handbook (7th Edition):
Keenan, Liam Francis. “Financialisation, the brewing industry and the changing role of the pub in Britain and Germany.” 2017. Web. 24 Feb 2021.
Vancouver:
Keenan LF. Financialisation, the brewing industry and the changing role of the pub in Britain and Germany. [Internet] [Doctoral dissertation]. University of Newcastle upon Tyne; 2017. [cited 2021 Feb 24].
Available from: http://theses.ncl.ac.uk/jspui/handle/10443/3874 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748144.
Council of Science Editors:
Keenan LF. Financialisation, the brewing industry and the changing role of the pub in Britain and Germany. [Doctoral Dissertation]. University of Newcastle upon Tyne; 2017. Available from: http://theses.ncl.ac.uk/jspui/handle/10443/3874 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748144
3.
Oduneye, Chris Emeka.
Credit modelling : generating spread dynamics with intensities and creating dependence with copulas.
Degree: PhD, 2011, Imperial College London
URL: https://doi.org/10.25560/6910
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535603
► The thesis is an investigation into the pricing of credit risk under the intensity framework with a copula generating default dependence between obligors. The challenge…
(more)
▼ The thesis is an investigation into the pricing of credit risk under the intensity framework with a copula generating default dependence between obligors. The challenge of quantifying credit risk and the derivatives that are associated with the asset class has seen an explosion of mathematical research into the topic. As credit markets developed the modelling of credit risk on a portfolio level, under the intensity framework, was unsatisfactory in that either: 1. The state variables of the intensities were driven by diffusion processes and so could not generate the observed level of default correlation (see Schönbucher (2003a)) or, 2. When a jump component was added to the state variables, it solved the problem of low default correlation, but the model became intractable with a high number of parameters to calibrate to (see Chapovsky and Tevaras (2006)) or, 3. Use was made of the conditional independence framework (see Duffie and Garleanu (2001)). Here, conditional on a common factor, obligors’ intensities are independent. However the framework does not produce the observed level of default correlation, especially for portfolios with obligors that are dispersed in terms of credit quality. Practitioners seeking to have interpretable parameters, tractability and to reproduce observed default correlations shifted away from generating default dependence with intensities and applied copula technology to credit portfolio pricing. The one factor Gaussian copula and some natural extensions, all falling under the factor framework, became standard approaches. The factor framework is an efficient means of generating dependence between obligors. The problem with the factor framework is that it does not give a representation to the dynamics of credit risk, which arise because credit spreads evolve with time. A comprehensive framework which seeks to address these issues is developed in the thesis. The framework has four stages: 1. Choose an intensity model and calibrate the initial term structure. 2. Calibrate the variance parameter of the chosen state variable of the intensity model. 3. When extended to a portfolio of obligors choose a copula and calibrate to standard market portfolio products. 4. Combine the two modelling frameworks, copula and intensity, to produce a dynamic model that generates dependence amongst obligors. The thesis contributes to the literature in the following way: • It finds explicit analytical formula for the pricing of credit default swaptions with an intensity process that is driven by the extended Vasicek model. From this an efficient calibration routine is developed. Many works (Jamshidian (2002), Morini and Brigo (2007) and Schönbucher (2003b)) have focused on modelling credit swap spreads directly with modified versions of the Black and Scholes option formula. The drawback of using a modified Black and Scholes approach is that pricing of more exotic structures whose value depend on the term structure of credit spreads is not feasible. In addition, directly modelling credit spreads, which is required…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Oduneye, C. E. (2011). Credit modelling : generating spread dynamics with intensities and creating dependence with copulas. (Doctoral Dissertation). Imperial College London. Retrieved from https://doi.org/10.25560/6910 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535603
Chicago Manual of Style (16th Edition):
Oduneye, Chris Emeka. “Credit modelling : generating spread dynamics with intensities and creating dependence with copulas.” 2011. Doctoral Dissertation, Imperial College London. Accessed February 24, 2021.
https://doi.org/10.25560/6910 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535603.
MLA Handbook (7th Edition):
Oduneye, Chris Emeka. “Credit modelling : generating spread dynamics with intensities and creating dependence with copulas.” 2011. Web. 24 Feb 2021.
Vancouver:
Oduneye CE. Credit modelling : generating spread dynamics with intensities and creating dependence with copulas. [Internet] [Doctoral dissertation]. Imperial College London; 2011. [cited 2021 Feb 24].
Available from: https://doi.org/10.25560/6910 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535603.
Council of Science Editors:
Oduneye CE. Credit modelling : generating spread dynamics with intensities and creating dependence with copulas. [Doctoral Dissertation]. Imperial College London; 2011. Available from: https://doi.org/10.25560/6910 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535603
4.
Vavra, Marian.
Testing for non-linearity and asymmetry in time series.
Degree: PhD, 2013, Birkbeck (University of London)
URL: http://eprints.bbk.ac.uk/id/eprint/40097/
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629700
► The Ph.D. thesis, called Testing for Non-linearity and Asymmetry in Time Series, focuses on various issues related to testing for non-linearity and marginal asymmetry of…
(more)
▼ The Ph.D. thesis, called Testing for Non-linearity and Asymmetry in Time Series, focuses on various issues related to testing for non-linearity and marginal asymmetry of economic time series. This is an important issue since testing for non-linearity and/or asymmetry represents an early, yet crucial, step in the whole process of time series modelling. A mistake in this preliminary step may lead to model misspecification, and, subsequently, to a sequence of related issues throughout all the modelling steps (i.e. identification, estimation, and forecasting). As a result, this type of mistakes is very likely to result in wrong business or economic policy decisions. The thesis is divided into six chapters. The first chapter explains the motivation for the thesis. The second chapter, called Robustness of the Power of Non-linearity Tests, examines the statistical properties of the selected univariate non-linearity tests under different conditions. In particular, special attention is paid to the robustness of the power properties of the tests against moment condition failure of innovations, asymmetry of innovations, and the parameter configuration of data generating processes. Since analytical results are available only for a very limited number of the test statistics, an extensive Monte Carlo approach is implemented instead. The Monte Carlo results reveal that the power of the selected non-linearity tests is statistically significantly inflated under asymmetry of innovations and moment condition failure. In the third chapter, called Testing for Non-linearity Using a Modified Q Test, a new version of the portmanteau Q test, based on auto- and cross-correlations, is developed. The main task of this chapter is to propose a new type of the Q test in order to bypass some of the shortcomings of the McLeod and Li Q test discovered in Chapter 2. Our results, based on extensive Monte Carlo experiments, suggest the proposed Q test significantly improves the power against some non-linear time series models (e.g. threshold autoregressive and moving average models) and is capable to detect some interesting non-linear processes (e.g. non-linear moving average models), for which the standard Mcleod and Li Q test completely fails. In the fourth chapter, called Testing for Marginal Asymmetry in Time Series, a modified test for symmetry of the marginal law of weakly dependent processes is proposed. The test statistic is based on sample quantiles. It is shown that the test has an intuitive interpretation, it is easy and fast to calculate, it it follows a standard limiting distribution, and much more importantly, it is robust against weak dependence of observations. Especially the last feature makes the test very attractive for the use in applied economics since it minimizes inferential errors due to the incorrect configuration of the test. The finite sample properties of the test are examined via Monte Carlo experiments. The results suggest that the quantile-based test of symmetry performs very well. In the fifth chapter, called Testing for…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Vavra, M. (2013). Testing for non-linearity and asymmetry in time series. (Doctoral Dissertation). Birkbeck (University of London). Retrieved from http://eprints.bbk.ac.uk/id/eprint/40097/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629700
Chicago Manual of Style (16th Edition):
Vavra, Marian. “Testing for non-linearity and asymmetry in time series.” 2013. Doctoral Dissertation, Birkbeck (University of London). Accessed February 24, 2021.
http://eprints.bbk.ac.uk/id/eprint/40097/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629700.
MLA Handbook (7th Edition):
Vavra, Marian. “Testing for non-linearity and asymmetry in time series.” 2013. Web. 24 Feb 2021.
Vancouver:
Vavra M. Testing for non-linearity and asymmetry in time series. [Internet] [Doctoral dissertation]. Birkbeck (University of London); 2013. [cited 2021 Feb 24].
Available from: http://eprints.bbk.ac.uk/id/eprint/40097/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629700.
Council of Science Editors:
Vavra M. Testing for non-linearity and asymmetry in time series. [Doctoral Dissertation]. Birkbeck (University of London); 2013. Available from: http://eprints.bbk.ac.uk/id/eprint/40097/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629700
University of Newcastle upon Tyne
5.
Zapata, Gisela.
Migration, remittances and development : constructing Columbian migrants as transnational financial subjects.
Degree: PhD, 2011, University of Newcastle upon Tyne
URL: http://theses.ncl.ac.uk/jspui/handle/10443/1455
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566934
► In recent years, remittances have been hailed as potential drivers of economic development in migrant-sending countries. Over four million Colombians (around 10% of Colombia‘s population)…
(more)
▼ In recent years, remittances have been hailed as potential drivers of economic development in migrant-sending countries. Over four million Colombians (around 10% of Colombia‘s population) reside abroad and the UK is their second most favoured destination in Europe. Approximately 100,000 Colombians live and work in London and, in turn, the UK is the fourth biggest source of remittances to Colombia. In recent years, the Colombian Government has introduced policies to make their citizens abroad an integral part of a reconstituted definition of the Colombian nation. It has sought to render migrants as agents of economic development by channelling their remittances towards ‗productive investment‘. The main component of this investment is mortgage-financed housing. To this end, the government has promoted ‗Mi casa con remesas‘, a model of housing finance for people who receive remittances periodically from their family members abroad, and sponsored housing/property fairs for Colombian migrants in their main cities of destination in the global north: Madrid, London, New York and Miami. This thesis situates the Colombian government‘s narratives around the use of remittances to finance housing investment within broader discourses of development and neoliberalism and the strategies and experiences of accessing housing articulated by Colombian migrants in London and their households in the Coffee Region of Colombia. Based on empirical data collected at both ends of the migration network, it argues that the conception of migrants as agents of development – and hence as transnational financial subjects – is tightly linked to wider attempts at the institutionalisation of the transnational social field. These attempts are embedded in ideologically-driven discourses of citizenship that privilege financial markets as the medium for individuals‘ and households‘ socioeconomic reproduction. Furthermore, they displace the responsibility for economic development from the state to its citizens (at home and abroad) and bring to the fore investment as the preferred mechanism for the ‗proper‘ use of remittances and through which migrant households‘ connection to broader circuits of capital and finance can be exploited. Although housing is a growing component of remittances expenditure, for the most part, Colombians in London are not embracing their newly-assigned financial subjectivities but are instead using alternative channels for housing acquisition and financing.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Zapata, G. (2011). Migration, remittances and development : constructing Columbian migrants as transnational financial subjects. (Doctoral Dissertation). University of Newcastle upon Tyne. Retrieved from http://theses.ncl.ac.uk/jspui/handle/10443/1455 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566934
Chicago Manual of Style (16th Edition):
Zapata, Gisela. “Migration, remittances and development : constructing Columbian migrants as transnational financial subjects.” 2011. Doctoral Dissertation, University of Newcastle upon Tyne. Accessed February 24, 2021.
http://theses.ncl.ac.uk/jspui/handle/10443/1455 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566934.
MLA Handbook (7th Edition):
Zapata, Gisela. “Migration, remittances and development : constructing Columbian migrants as transnational financial subjects.” 2011. Web. 24 Feb 2021.
Vancouver:
Zapata G. Migration, remittances and development : constructing Columbian migrants as transnational financial subjects. [Internet] [Doctoral dissertation]. University of Newcastle upon Tyne; 2011. [cited 2021 Feb 24].
Available from: http://theses.ncl.ac.uk/jspui/handle/10443/1455 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566934.
Council of Science Editors:
Zapata G. Migration, remittances and development : constructing Columbian migrants as transnational financial subjects. [Doctoral Dissertation]. University of Newcastle upon Tyne; 2011. Available from: http://theses.ncl.ac.uk/jspui/handle/10443/1455 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566934
University of Plymouth
6.
Kandil, Tarek Taha.
The impacts of culture on cross-border mergers and acquisitions post-financial performance in the banking industry using multi-group structural equation modeling.
Degree: PhD, 2011, University of Plymouth
URL: http://hdl.handle.net/10026.1/537
► This thesis is concerned with the impacts of national culture on the cross-border-mergers and acquisitions performance in the banking industry across Egypt and UK through…
(more)
▼ This thesis is concerned with the impacts of national culture on the cross-border-mergers and acquisitions performance in the banking industry across Egypt and UK through studying the role of the human side as a mediator variable. The main conceptual framework has been developed based on the GLOBE cultural project. It perceives the national culture as a multi-dimensional construct that interacts between levels. The thesis consists of a mixed methods approach which investigated international mergers and acquisitions by banks in Egypt and the UK from 2004 to 2007. The data collection process was carried out between June 2008 and November 2009 and was divided into three Phases: 1) desk research on the Egyptian and British banking industries; 2) 6 interviews with middle managers in both countries, and 3) (876) returned questionnaires (in Egypt and in the UK) of three mediating multi-sample groups (middle managers, employees and customers). The data analysis process involves analysing the case studies using pattern-coding, triangulation data methods and two distinct statistical methods: multiple regression analysis and multi-group structural equation modelling to test the hypothesised models. The analysis techniques used examined the significance of the differences of the two national cultures and their impacts on cross-border banks. For purposes of quantitative testing of bank-level cross-border MERGERS AND ACQUISITIONS post performance was examined using two distinct multi-dimensional constructs: between multi-group (middle managers, employees and customers) and within groups (the two nations). The findings seem to suggest that post-MERGERS AND ACQUISITIONS performance in the banking industry across nations has been influenced by very distinguishable cross-cultural leadership behaviours in each country. The findings of the qualitative and quantitative data analysis are consistent. The multiple regression findings indicate that the impact of v cultural distance on cross border acquisition performance varies with the level of post-acquisition integration, with cultural distance reducing performance to a larger extent at high levels of integration. These findings are consistent with previous researchers. However, in the Egyptian banking sample, the impact on the Egyptian leadership style has more positive impacts of the Egyptian shared understanding vales of Egyptian banking staffs than the British banking leaders. On the other hand, the British leaders, in the British banking sample, show a strong interaction between banking managers and employees, and between the leadership and the perceived services quality of the British customers. The multi-dimensional cultural interface developed from the literature has been supported by the findings of the research. It shows the complex interactions of national culture on the post-cross-border MERGERS AND ACQUISITIONS financial performance in banking industry. The thesis suggests that by charting the culture-financial performance relationship, it may be possible to anticipate…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Kandil, T. T. (2011). The impacts of culture on cross-border mergers and acquisitions post-financial performance in the banking industry using multi-group structural equation modeling. (Doctoral Dissertation). University of Plymouth. Retrieved from http://hdl.handle.net/10026.1/537
Chicago Manual of Style (16th Edition):
Kandil, Tarek Taha. “The impacts of culture on cross-border mergers and acquisitions post-financial performance in the banking industry using multi-group structural equation modeling.” 2011. Doctoral Dissertation, University of Plymouth. Accessed February 24, 2021.
http://hdl.handle.net/10026.1/537.
MLA Handbook (7th Edition):
Kandil, Tarek Taha. “The impacts of culture on cross-border mergers and acquisitions post-financial performance in the banking industry using multi-group structural equation modeling.” 2011. Web. 24 Feb 2021.
Vancouver:
Kandil TT. The impacts of culture on cross-border mergers and acquisitions post-financial performance in the banking industry using multi-group structural equation modeling. [Internet] [Doctoral dissertation]. University of Plymouth; 2011. [cited 2021 Feb 24].
Available from: http://hdl.handle.net/10026.1/537.
Council of Science Editors:
Kandil TT. The impacts of culture on cross-border mergers and acquisitions post-financial performance in the banking industry using multi-group structural equation modeling. [Doctoral Dissertation]. University of Plymouth; 2011. Available from: http://hdl.handle.net/10026.1/537
University of Oxford
7.
Aymanns, Christoph.
Models of systemic risk in financial markets.
Degree: PhD, 2015, University of Oxford
URL: http://ora.ox.ac.uk/objects/uuid:3a1a0580-a9b8-4d6e-9a21-6ecfdd7f9e5c
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.712109
► This thesis studies systemic risk in financial markets and how it emerges through dynamical and structural amplification mechanisms. In part (1) I study the dynamics…
(more)
▼ This thesis studies systemic risk in financial markets and how it emerges through dynamical and structural amplification mechanisms. In part (1) I study the dynamics and control of Basel leverage cycles. For this I develop a simple model of a financial system consisting of leveraged banks and an unleveraged fundamentalist investor (fund). Banks trade a risky asset with the fund and rely on historical information to estimate their portfolio risk. This risk estimate determines the banks' leverage limit. I show that these simple ingredients can lead to endogenous, irregular oscillations, which I call Basel leverage cycles. I then proceed to evaluate alternative regulatory capital requirements based on their impact on endogenous risk. I find that in the microprudential limit, when the bank is small and exogenous volatility is high, the optimal policy is simply given by a Value-at-Risk constraint. However, when the bank is large, the optimal policy is constant leverage. In part (2) I study contagion in financial networks for two examples. First, I study how intra-institutional linkages can amplify financial contagion when financial institutions are active in multiple over-the-counter markets. In particular, spillover within a diversified financial institution allows for contagion from one over-the-counter market to another. Using recent methods for coupled networks I illustrate that under certain circumstances, the presence of intra-institutional spillover can lead to the amplification of small shocks to the extent that trading across all markets collapses abruptly. Finally, I develop a simple model of social learning in the context of a financial network. I study how banks' portfolio decisions can synchronize if banks rely both on outside information and information from their social network to compute the expected payoff of an investment opportunity. In the same model, I propose a simple boundedly rational decision mechanism for endogenous network formation based on the information content of a bank's neighbors' decisions.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Aymanns, C. (2015). Models of systemic risk in financial markets. (Doctoral Dissertation). University of Oxford. Retrieved from http://ora.ox.ac.uk/objects/uuid:3a1a0580-a9b8-4d6e-9a21-6ecfdd7f9e5c ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.712109
Chicago Manual of Style (16th Edition):
Aymanns, Christoph. “Models of systemic risk in financial markets.” 2015. Doctoral Dissertation, University of Oxford. Accessed February 24, 2021.
http://ora.ox.ac.uk/objects/uuid:3a1a0580-a9b8-4d6e-9a21-6ecfdd7f9e5c ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.712109.
MLA Handbook (7th Edition):
Aymanns, Christoph. “Models of systemic risk in financial markets.” 2015. Web. 24 Feb 2021.
Vancouver:
Aymanns C. Models of systemic risk in financial markets. [Internet] [Doctoral dissertation]. University of Oxford; 2015. [cited 2021 Feb 24].
Available from: http://ora.ox.ac.uk/objects/uuid:3a1a0580-a9b8-4d6e-9a21-6ecfdd7f9e5c ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.712109.
Council of Science Editors:
Aymanns C. Models of systemic risk in financial markets. [Doctoral Dissertation]. University of Oxford; 2015. Available from: http://ora.ox.ac.uk/objects/uuid:3a1a0580-a9b8-4d6e-9a21-6ecfdd7f9e5c ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.712109
University of Exeter
8.
Hua, Shan.
Financial market evaluation of firms' greenhouse gas emissions.
Degree: PhD, 2013, University of Exeter
URL: http://hdl.handle.net/10871/10522
► Climate change has been influenced more by human activities now than previously. These influences are largely attributed to industries, whose activities can potentially produce enormous…
(more)
▼ Climate change has been influenced more by human activities now than previously. These influences are largely attributed to industries, whose activities can potentially produce enormous amounts of carbon dioxide and other greenhouse gases, and exacerbate the speed of climate change. This thesis examines how the financial markets evaluate corporations’ greenhouse gas emission performance. We consider various emission criteria, and distinguish between the better and worse performers in different emission policy regimes, including the US, the UK and the rest of the EU. The investigations have been conducted at three stages, presented in chapter 3, 4 and 5. Firstly, in chapter 3 we examine the carbon effects at the portfolio-level, where total return indices are our main concern. By adopting the long-short strategy, we report that investors in the UK and EU markets, can make an arbitrage profit at the lower cut-off levels, when applying various carbon screening policies and forming equally-weighted portfolios. However, no such profit opportunities can be achieved in the US market. We further consider the reason for such arbitrage opportunities, which is the link between corporate governance/management efficiency and different levels of carbon constraint. Secondly, in chapter 4, the carbon effects are investigated at firm-level, where firms’ financial market values act as the dependent variable. Our regression models are based on the Ohlson framework, which considers firms’ financial market value in relation to its accounting performance, and the ‘other information’, which in our case is the carbon emission performance. We find a significant relationship between the US firms’ values and their carbon emission performances; however, this relationship has been weakened for UK companies, and in fact becomes even unreliable for EU companies. Further, in order to explore the reason for this relationship, we have focused on energy efficiency and firms’ reputation that are associated with carbon reduction activities. The scale effects have also been discussed in this chapter, as the various deflators are adopted. Finally, in chapter 5, again at firm-level, cash flow expectation and cost of capital have been considered to possibly be the source that drives firms’ value. Cash flow expectation is measured at the short-, medium- and long- term, by profitability, earnings growth, and residual income growth rate, respectively. Two portfolios for each target parameters are constructed according to different carbon screening criteria at different cut-off levels, the differences between each pair of portfolios are then calculated and tested for significance. A sub-sample regression, which is based on the observations available from analysts’ earnings forecast, has been conducted for each of the three regimes. After matching the portfolio and regression results, we report that the implied cost of equity is only reduced for the less carbon emission firms, in regimes where more stringent carbon constraints are applied; whereas in regimes…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Hua, S. (2013). Financial market evaluation of firms' greenhouse gas emissions. (Doctoral Dissertation). University of Exeter. Retrieved from http://hdl.handle.net/10871/10522
Chicago Manual of Style (16th Edition):
Hua, Shan. “Financial market evaluation of firms' greenhouse gas emissions.” 2013. Doctoral Dissertation, University of Exeter. Accessed February 24, 2021.
http://hdl.handle.net/10871/10522.
MLA Handbook (7th Edition):
Hua, Shan. “Financial market evaluation of firms' greenhouse gas emissions.” 2013. Web. 24 Feb 2021.
Vancouver:
Hua S. Financial market evaluation of firms' greenhouse gas emissions. [Internet] [Doctoral dissertation]. University of Exeter; 2013. [cited 2021 Feb 24].
Available from: http://hdl.handle.net/10871/10522.
Council of Science Editors:
Hua S. Financial market evaluation of firms' greenhouse gas emissions. [Doctoral Dissertation]. University of Exeter; 2013. Available from: http://hdl.handle.net/10871/10522
University of Exeter
9.
Liu, Jian.
Essays on corporate finance.
Degree: PhD, 2018, University of Exeter
URL: http://hdl.handle.net/10871/33108
► This thesis examines the impact of sources of financing on the performance of M&As and the value of firm diversification. Chapter Three examines how sources…
(more)
▼ This thesis examines the impact of sources of financing on the performance of M&As and the value of firm diversification. Chapter Three examines how sources of financing between corporate cash holdings and bank lines of credit affect the performance of M&As. The evidence shows that the M&As financed by bank lines of credit have higher stock return performance and operating performance than those financed by corporate cash holdings. Firms with higher institutional ownership are more likely to use bank lines of credit as a source of financing in M&As. Moreover, M&As that are financed entirely by bank lines of credit are associated with lower acquisition premiums than those financed by corporate cash holdings. The outperformance is only significant in firms with a lower level of corporate governance and firms with a lower level of bankruptcy risk. Further, the fraction of bank lines of credit used as the source of financing is positively related to the performance of M&As, and the costs associated with bank lines of credit are negatively related to the performance of M&As. The results are consistent with the hypothesis based on agency problems between shareholders and managers. Chapter Four examines how sources of financing between corporate cash holdings, other bank loans, debt issues, and equity issues affect the performance of M&As. The evidence shows that the M&As financed by other bank loans and debt issues are associated with higher announcement returns, higher operating performance, and lower premiums than those financed by corporate cash holdings. Moreover, poorly governed firms benefit from the use of debt financing, and the positive effect of debt financing on M&As is only pronounced among firms with a lower level of bankruptcy risk. The results are consistent with the hypothesis based on agency problems between shareholders and managers. Chapter Five examines how the sources of financing between bank lines of credit and corporate cash holdings in M&As affect the value of firm diversification. The evidence shows that firms financed by bank lines of credit in M&As have a smaller reduction in excess value, more efficient internal resources transfers, and a higher value added by allocation than those financed by corporate cash holdings. Firms with higher institutional ownership are more likely to use bank lines of credit in M&As. Moreover, firms financed by bank lines of credit have a higher value of firm diversification than those financed by corporate cash holdings if they have a lower level of corporate governance and a lower level of bankruptcy risk. The results are consistent with the hypothesis based on agency problems between shareholders and managers.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Liu, J. (2018). Essays on corporate finance. (Doctoral Dissertation). University of Exeter. Retrieved from http://hdl.handle.net/10871/33108
Chicago Manual of Style (16th Edition):
Liu, Jian. “Essays on corporate finance.” 2018. Doctoral Dissertation, University of Exeter. Accessed February 24, 2021.
http://hdl.handle.net/10871/33108.
MLA Handbook (7th Edition):
Liu, Jian. “Essays on corporate finance.” 2018. Web. 24 Feb 2021.
Vancouver:
Liu J. Essays on corporate finance. [Internet] [Doctoral dissertation]. University of Exeter; 2018. [cited 2021 Feb 24].
Available from: http://hdl.handle.net/10871/33108.
Council of Science Editors:
Liu J. Essays on corporate finance. [Doctoral Dissertation]. University of Exeter; 2018. Available from: http://hdl.handle.net/10871/33108
University of Exeter
10.
Garcia Ares, Pedro Angel.
Essays on stock return predictability and corporate payout policy.
Degree: PhD, 2014, University of Exeter
URL: http://hdl.handle.net/10871/17212
► This dissertation studies the effect of the changes in corporate dividend policy on the predictability of stock returns. The first two chapters re-visit the question…
(more)
▼ This dissertation studies the effect of the changes in corporate dividend policy on the predictability of stock returns. The first two chapters re-visit the question of what drives stock returns after controlling for these market-wide changes in the cross-sectional profile of dividend paying firms, and the third chapter studies the nature of these changes across different industry groups, stock market indexes, size and age. There have been several significant changes in the nature of corporate payout policy of US firms over the last several decades. We focus our work on the effect of two of these changes, using the present value model, into the question of what drives stock returns-cash flows or discount rate news. Chapter 1 studies the effect of the large decrease in the proportion of dividend paying firms in changes in expected cash flows and/or discount rates by focusing on portfolios of dividend paying firms rather than aggregate portfolios of all listed firms. Our results, from Chapter 1, imply that the relatively importance of cash flows and discount rate news is intimately related to the cross-sectional variation in the patterns of dividend payers in the stock market and provide an intuitive explanation for the contradictory results documented in the existing literature. Chapter 2 builds on Chapter 1 and tries to reconcile and explain why results using the return and the book-to-market decomposition differ for the post-WW II period. It also provides with an alternate explanation different from dividend smoothing for the apparent absence of dividend growth predictability in post-WW II U.S. data. We find that predictive regressions based on the return on equity decomposition are sensitive to the way in which firm-level data is aggregated. Specifically we find that when firm-level data is weighted by value both decomposition methods -the Campbell-Shiller and the Voulteenaho return decompositions provide strong support for cash flow news as a driver of stock returns in post-WW II data. We also find that, in post-WW II data, the existence of cash flow news is driven by the fact that the biggest firms by market capitalization are not always those that generate the biggest earnings or pay the largest dollar dividends. In Chapter 3, the final part of this work, we investigate the anatomy of corporate payouts. Specifically, we use firm-level data to understand which firms drive the changing patterns of payouts over time and in the cross-section. Our work extends the current literature by studying firms payouts based on industry sectors, firm age and other attributes. Our main finding is that we find support for our conjecture - in Chapter 2, that the biggest firms by market capitalization are not always those that generate the biggest earnings or pay the largest dollar dividends.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Garcia Ares, P. A. (2014). Essays on stock return predictability and corporate payout policy. (Doctoral Dissertation). University of Exeter. Retrieved from http://hdl.handle.net/10871/17212
Chicago Manual of Style (16th Edition):
Garcia Ares, Pedro Angel. “Essays on stock return predictability and corporate payout policy.” 2014. Doctoral Dissertation, University of Exeter. Accessed February 24, 2021.
http://hdl.handle.net/10871/17212.
MLA Handbook (7th Edition):
Garcia Ares, Pedro Angel. “Essays on stock return predictability and corporate payout policy.” 2014. Web. 24 Feb 2021.
Vancouver:
Garcia Ares PA. Essays on stock return predictability and corporate payout policy. [Internet] [Doctoral dissertation]. University of Exeter; 2014. [cited 2021 Feb 24].
Available from: http://hdl.handle.net/10871/17212.
Council of Science Editors:
Garcia Ares PA. Essays on stock return predictability and corporate payout policy. [Doctoral Dissertation]. University of Exeter; 2014. Available from: http://hdl.handle.net/10871/17212
Durham University
11.
Ho, Chien-Wei.
The role of investor sentiment in asset pricing.
Degree: PhD, 2012, Durham University
URL: http://etheses.dur.ac.uk/3382/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.546103
► This thesis investigates various roles that investor sentiment may play in asset pricing. The empirical analysis consists of three main parts based on the role…
(more)
▼ This thesis investigates various roles that investor sentiment may play in asset pricing. The empirical analysis consists of three main parts based on the role of investor sentiment in the stock markets. The first part discusses the role of investor sentiment as conditioning information. It aims to examine its ability to explain the dynamic nature of the expected returns for individual stocks and its explanatory power capture the financial market anomalies such as the size, value, liquidity, and effects. The second part focuses on the role of investor sentiment as a risk factor. The purpose is to construct a risk factor on the basis of investor sentiment and test whether this proposed sentiment factor is priced and helps to explain the aforementioned financial market anomalies. The third part explores the role of investor sentiment in different international stock markets. It attempts to assess the extent to which investor sentiment affects the stock market volatility and returns of different regions. The results suggest that investor sentiment exhibits explanatory power for cross section of stock returns in the U.S. market. Acting as conditioning information or a risk factor, investor sentiment can generally capture the size and value effects. Furthermore, it can also capture the momentum effect under certain model specifications. The thesis shows that investors require compensation for bearing noise traders; in other words, investor sentiment is a priced factor. At the market level, the impacts of investor sentiment on stock volatility and returns vary across countries. For some countries investor sentiment affects both volatility and returns while for the others investor sentiment has less influence on stock price behaviour. Overall, the findings of the thesis provide empirical evidence that overlooking the role of investor sentiment in classical finance theory could lead to an imperfect picture of describing the stock price behaviour.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Ho, C. (2012). The role of investor sentiment in asset pricing. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/3382/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.546103
Chicago Manual of Style (16th Edition):
Ho, Chien-Wei. “The role of investor sentiment in asset pricing.” 2012. Doctoral Dissertation, Durham University. Accessed February 24, 2021.
http://etheses.dur.ac.uk/3382/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.546103.
MLA Handbook (7th Edition):
Ho, Chien-Wei. “The role of investor sentiment in asset pricing.” 2012. Web. 24 Feb 2021.
Vancouver:
Ho C. The role of investor sentiment in asset pricing. [Internet] [Doctoral dissertation]. Durham University; 2012. [cited 2021 Feb 24].
Available from: http://etheses.dur.ac.uk/3382/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.546103.
Council of Science Editors:
Ho C. The role of investor sentiment in asset pricing. [Doctoral Dissertation]. Durham University; 2012. Available from: http://etheses.dur.ac.uk/3382/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.546103
Durham University
12.
Meng, Qingrui.
Delayed credit rating changes, firm financing and firm performance.
Degree: PhD, 2012, Durham University
URL: http://etheses.dur.ac.uk/3426/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547917
► Motivated by the insufficient research in understanding the influences of the delayed changes in credit ratings, the practical importance of information asymmetry as well as…
(more)
▼ Motivated by the insufficient research in understanding the influences of the delayed changes in credit ratings, the practical importance of information asymmetry as well as the theoretical difficulty of measuring information gap with an appropriate proxy, this thesis regards delayed credit rating change (DCRC) as a source of asymmetric information and exploits whether and how it affects issuer’s capital structure adjustments. It uses Compustat North America quarterly data from 1985 to 2010 inclusive. Rating agencies often delay updating credit ratings, leading to an information gap between bond issuers and the market. This offers issuers (market insiders) opportunities to utilise the delayed credit rating changes as superior information, alongside which, factors capturing the associated benefits and costs of the rating changes and capital structure adjustments, are addressed to form the three key interactive variables in this research: DCRC, capital structure adjustments and firm performance. First considered are the effects of information asymmetry on financing adjustment before DCRCs. The evidence shows that issuers often adjust debt and equity financing at least one quarter before rating change announcements published by rating agencies. Issuers who anticipate rating upgrades in the next quarter do not significantly change the net debt issuance. Issuers who anticipate rating downgrades increase net debt issuance before rating changes. Secondly, this research is concerned with the robustness of DCRC’s effects, which is confirmed by various robustness check tests and incorporating DCRC into tests of the existing capital structure theories. The result confirms DCRC’s robust effects on firm financing adjustments. The last issue addressed is the relation between information asymmetry and gains or losses to issuers when utilising the information asymmetry. The results suggest that information asymmetry does bring material effects on firm performance. The three groups of results form a mechanism of delayed credit rating change’s real effects and reveal a fresh explanation for issuer’s financing decision making under asymmetric information.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Meng, Q. (2012). Delayed credit rating changes, firm financing and firm performance. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/3426/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547917
Chicago Manual of Style (16th Edition):
Meng, Qingrui. “Delayed credit rating changes, firm financing and firm performance.” 2012. Doctoral Dissertation, Durham University. Accessed February 24, 2021.
http://etheses.dur.ac.uk/3426/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547917.
MLA Handbook (7th Edition):
Meng, Qingrui. “Delayed credit rating changes, firm financing and firm performance.” 2012. Web. 24 Feb 2021.
Vancouver:
Meng Q. Delayed credit rating changes, firm financing and firm performance. [Internet] [Doctoral dissertation]. Durham University; 2012. [cited 2021 Feb 24].
Available from: http://etheses.dur.ac.uk/3426/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547917.
Council of Science Editors:
Meng Q. Delayed credit rating changes, firm financing and firm performance. [Doctoral Dissertation]. Durham University; 2012. Available from: http://etheses.dur.ac.uk/3426/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547917
Durham University
13.
Hua, Jun.
The impact of information uncertainty on stock price performance and managers' equity financing decision.
Degree: PhD, 2011, Durham University
URL: http://etheses.dur.ac.uk/1393/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537768
► This thesis investigates the role of information uncertainty in determining the stock price performance and managers' equity nancing decisions. The previous literature documents the experimental…
(more)
▼ This thesis investigates the role of information uncertainty in determining the stock price performance and managers' equity nancing decisions. The previous literature documents the experimental evidence of significant impact of information uncertainty on investors' preference and decision making. The first empirical examines the interaction effect between information uncertainty and underreaction anomaly in UK stock market. The empirical evidence is consistent with behavioral finance theory that stocks with higher information uncertainty have greater abnormal adjusted returns, especially following bad news. Chapter 4 further tests the role of information uncertainty in cross-sectional stock returns within 30 global stock markets. The evidence confirms my conjecture that both growth options and information asymmetry are attributes to the information uncertainty. The empirical findings show that stocks with higher information uncertainty have lower future stock returns after controlling for information asymmetry and other characteristics of market and firm. Chapter 5 reports a positive correlation between information uncertainty and probability of equity issuance among industry firms in US market. The evidence shows that information uncertainty does not only affect the stock price performance, but also have in uence in managers' equity financing decisions. Overall, our empirical work contributes to the literature with conclusive evidence that information uncertainty amplifies the extent of stock mispricing, which is consistent with behavioral nance and is in contrast to predictions of neoclassic finance theory.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Hua, J. (2011). The impact of information uncertainty on stock price performance and managers' equity financing decision. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/1393/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537768
Chicago Manual of Style (16th Edition):
Hua, Jun. “The impact of information uncertainty on stock price performance and managers' equity financing decision.” 2011. Doctoral Dissertation, Durham University. Accessed February 24, 2021.
http://etheses.dur.ac.uk/1393/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537768.
MLA Handbook (7th Edition):
Hua, Jun. “The impact of information uncertainty on stock price performance and managers' equity financing decision.” 2011. Web. 24 Feb 2021.
Vancouver:
Hua J. The impact of information uncertainty on stock price performance and managers' equity financing decision. [Internet] [Doctoral dissertation]. Durham University; 2011. [cited 2021 Feb 24].
Available from: http://etheses.dur.ac.uk/1393/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537768.
Council of Science Editors:
Hua J. The impact of information uncertainty on stock price performance and managers' equity financing decision. [Doctoral Dissertation]. Durham University; 2011. Available from: http://etheses.dur.ac.uk/1393/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537768
Durham University
14.
Cao, Viet Nga.
Firms’ financial flexibility and the profitability of style investing.
Degree: PhD, 2011, Durham University
URL: http://etheses.dur.ac.uk/771/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.532728
► This thesis examines how firms’ financial flexibility affects the profitability of three of the most commonly used style investing strategies. They are the value-growth trading…
(more)
▼ This thesis examines how firms’ financial flexibility affects the profitability of three of the most commonly used style investing strategies. They are the value-growth trading strategy (going long on stocks with high Book-to-Market ratio and short on stocks with low Book-to-Market ratio), the momentum trading strategy (going long on stocks that have performed well and short on stocks that have performed poorly recently), and the accruals based trading strategy (going long on stocks with low accruals and short on stocks with high accruals). The findings suggest the value premium exists when controlling for risks using the Fama and French three factor model. However, it is explained when the risk factors are conditioned on firms’ investment irreversibility and the business cycle. Next, the momentum profit can be explained by (a) adjusting returns for risks using the Fama and French model that is conditioned on firms’ financial constraints and the business cycle, and (b) accounting for the interaction between the momentum profit and firms’ investments beyond the risk-return relationship. Finally, the accruals based trading strategy is most successful at the two ends of the financial inflexibility spectrum, supporting both an explanation based on the risk-return relationship and an explanation based on the catering theory. When controlling for the cyclicality in stock returns, the strategy ceases to be profitable. The results suggest that the understanding of corporate investment decisions can help improve the understanding of securities markets and portfolio investment strategies. There are a few lessons that investors can learn from the findings of this thesis. Value-growth investors should focus on value and growth firms with high investment irreversibility gap. Momentum investors should pursue the trading strategy among firms with high financial constraints and during economic upturns. They could also benefit from forming their portfolio from past winners and past losers with high investment gaps. Accruals based investors would benefit from pursuing the strategy among firms with high investment and financing flexibility and during economic upturns.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Cao, V. N. (2011). Firms’ financial flexibility and the profitability of style investing. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/771/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.532728
Chicago Manual of Style (16th Edition):
Cao, Viet Nga. “Firms’ financial flexibility and the profitability of style investing.” 2011. Doctoral Dissertation, Durham University. Accessed February 24, 2021.
http://etheses.dur.ac.uk/771/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.532728.
MLA Handbook (7th Edition):
Cao, Viet Nga. “Firms’ financial flexibility and the profitability of style investing.” 2011. Web. 24 Feb 2021.
Vancouver:
Cao VN. Firms’ financial flexibility and the profitability of style investing. [Internet] [Doctoral dissertation]. Durham University; 2011. [cited 2021 Feb 24].
Available from: http://etheses.dur.ac.uk/771/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.532728.
Council of Science Editors:
Cao VN. Firms’ financial flexibility and the profitability of style investing. [Doctoral Dissertation]. Durham University; 2011. Available from: http://etheses.dur.ac.uk/771/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.532728
Durham University
15.
Hussin, Nazimah.
An analysis of attitudes to Islamic and conventional credit cards in Malaysia : perspectives on selection criteria and impact analysis.
Degree: PhD, 2011, Durham University
URL: http://etheses.dur.ac.uk/3326/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.544310
► The development of everyday financial instruments is an important dimension of modern life, and credit cards are considered to be the main instruments and facilitators…
(more)
▼ The development of everyday financial instruments is an important dimension of modern life, and credit cards are considered to be the main instruments and facilitators of spending in modern economies. Together with the Internet, which facilitates the spending process, credit cards have become essential instruments of spending. In response to this, and due to the expansion of Islamic banking and finance, the Islamic equivalent of credit cards (Islamic credit cards or ICCs) have been engineered with their own sophisticated financing methods alongside conventional credit cards (CCCs). Malaysia is one of the pioneering countries in Islamic finance and has developed a number of ICC products. This study aims to analyse the two main aspects of credit cards, namely, the selection criteria and the impact of credit cards in Malaysia in general, as well as the difference between ICCs and CCCs in particular. The selection criteria are investigated in terms of various factors, including those that explain the first motivation for credit card holding, selection factors influenced by the credit cards’ embedded features, the difference between the satisfaction and the loyalty level of CCC holders as compared to ICC holders, the customers’ perceptions of ICCs, an investigation into whether ICCs are perceived as being inferior to CCCs, religious commitments of ICC holders as opposed to CCC holders, and how the socio-demographic characteristics may have deterministic power over the holding of ICCs and CCCs. The impact of credit cards is investigated through their usage as well as the perceptions of the credit card holders. In conducting the research, this study assembled primary data from Malaysia through a questionnaire survey with 507 participants. In addition, interviews with financiers or bankers, Shari’ah scholars, economists, and cardholders were conducted to verify the results that were established through a quantitative data analysis of the questionnaire. The findings of this study, inter alia, indicate that Malaysian cardholders are found as perceiving credit card selection factors not much differently than individuals in other nations. ‘Protection’ and ‘convenience’ appear to be on the top of the selection list, while ‘reputation’ is in the lowest rank. Furthermore, in investigating the selection attributes, ICC holders were found to value religious factors more highly than in comparison with CCC holders. It was also revealed that ICC holders were less satisfied with having a credit card but they were more loyal than CCC holders. Interestingly, the results also revealed that ICC holders perceived ICCs to be more Islamic than CCC holders, although, in an overall evaluation, ICCs were perceived as inferior to CCCs by ICC holders. It should be noted that the religious commitments among the ICC holders were also higher than those of the CCC holders. Furthermore, the ‘ethnicity’ and ‘religion’ of the socio-demographic variables appear to be significantly related to the holding type. Therefore, the results reveal that religious…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Hussin, N. (2011). An analysis of attitudes to Islamic and conventional credit cards in Malaysia : perspectives on selection criteria and impact analysis. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/3326/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.544310
Chicago Manual of Style (16th Edition):
Hussin, Nazimah. “An analysis of attitudes to Islamic and conventional credit cards in Malaysia : perspectives on selection criteria and impact analysis.” 2011. Doctoral Dissertation, Durham University. Accessed February 24, 2021.
http://etheses.dur.ac.uk/3326/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.544310.
MLA Handbook (7th Edition):
Hussin, Nazimah. “An analysis of attitudes to Islamic and conventional credit cards in Malaysia : perspectives on selection criteria and impact analysis.” 2011. Web. 24 Feb 2021.
Vancouver:
Hussin N. An analysis of attitudes to Islamic and conventional credit cards in Malaysia : perspectives on selection criteria and impact analysis. [Internet] [Doctoral dissertation]. Durham University; 2011. [cited 2021 Feb 24].
Available from: http://etheses.dur.ac.uk/3326/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.544310.
Council of Science Editors:
Hussin N. An analysis of attitudes to Islamic and conventional credit cards in Malaysia : perspectives on selection criteria and impact analysis. [Doctoral Dissertation]. Durham University; 2011. Available from: http://etheses.dur.ac.uk/3326/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.544310
Durham University
16.
Dodd, Olga.
Price, liquidity, volatility, and volume of cross-listed stocks.
Degree: PhD, 2011, Durham University
URL: http://etheses.dur.ac.uk/867/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.534135
► This thesis examines the possible implications of international cross-listings for the wealth of shareholders, for stock liquidity and volatility, and for the distribution of trading…
(more)
▼ This thesis examines the possible implications of international cross-listings for the wealth of shareholders, for stock liquidity and volatility, and for the distribution of trading volumes across both the domestic and foreign stock markets where the shares are traded. For the purpose of clarity, these three issues are analysed in three empirical chapters in the thesis. The first empirical issue examined in this thesis is the effects of international cross-listings on shareholders’ wealth. This is discussed in chapter 2. The chapter compares the gains in shareholders’ wealth that result from cross-listing in the American, British, and European stock exchanges and then evaluates their determinants by applying various theories on the wealth effects of cross-listing. Moreover, it evaluates how the wealth effect of cross-listing has changed over time reflecting the implications of the significant developments in capital markets that have taken place in recent years. In particular, the effects of the introduction of the Euro in Europe and the adoption of the Sarbanes-Oxley Act in the US are analysed. The findings suggest that, on average, cross-listing of stocks enhances shareholders’ wealth but the gains are dependent on the destination market. In addition, the regulatory and economic changes in the listing environment not only alter the wealth effects of cross-listings, but also affect the sources of value creation. Overall, this chapter provides in-depth insights into the motivations for, and the benefits of, cross-listings across different host markets in changing market conditions. The second empirical issue examined is the impact of cross-listing and multimarket trading on stock liquidity and volatility (chapter 3). Cross-listing leads to additional mandatory disclosure in order to comply with the requirements of the host market. Such requirements are expected to reduce information asymmetry among various market participants (corporate managers, stock dealers, and investors). An enhanced information environment, in turn, should increase stock liquidity and reduce stock return volatility. The findings of this study suggest that the stock liquidity and volatility improves after cross-listing on a foreign stock exchange. Moreover, this study distinguishes between cross-listing and cross-trading. The distinction is important because cross-trading, unlike cross-listing, does not require the disclosing of additional information. Although such a distinction means there is a variation in the information environment of cross-listed and cross-traded stocks, the results do not reveal any significant difference in the liquidity and volatility of the stocks that are cross-listed and cross-traded. This evidence suggests that the improvement in the liquidity and volatility of cross-listed/traded stocks comes primarily from the intensified competition among traders rather than from mandatory disclosure requirements. The final empirical issue investigated in this thesis (chapter 4) is the identification of the determinants of the…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Dodd, O. (2011). Price, liquidity, volatility, and volume of cross-listed stocks. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/867/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.534135
Chicago Manual of Style (16th Edition):
Dodd, Olga. “Price, liquidity, volatility, and volume of cross-listed stocks.” 2011. Doctoral Dissertation, Durham University. Accessed February 24, 2021.
http://etheses.dur.ac.uk/867/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.534135.
MLA Handbook (7th Edition):
Dodd, Olga. “Price, liquidity, volatility, and volume of cross-listed stocks.” 2011. Web. 24 Feb 2021.
Vancouver:
Dodd O. Price, liquidity, volatility, and volume of cross-listed stocks. [Internet] [Doctoral dissertation]. Durham University; 2011. [cited 2021 Feb 24].
Available from: http://etheses.dur.ac.uk/867/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.534135.
Council of Science Editors:
Dodd O. Price, liquidity, volatility, and volume of cross-listed stocks. [Doctoral Dissertation]. Durham University; 2011. Available from: http://etheses.dur.ac.uk/867/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.534135
King's College London (University of London)
17.
Musmeci, Nicolo.
Dynamical filtered graphs in finance.
Degree: PhD, 2016, King's College London (University of London)
URL: https://kclpure.kcl.ac.uk/portal/en/theses/dynamical-filtered-graphs-in-finance(1b57af36-485e-4275-85ef-7324dc0a3c26).html
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.700803
► Financial markets are complex systems characterised by the interaction of several heterogeneous agents. The associated dependence structure is non-trivial and exhibits high levels of non-stationarity…
(more)
▼ Financial markets are complex systems characterised by the interaction of several heterogeneous agents. The associated dependence structure is non-trivial and exhibits high levels of non-stationarity and non-linearity. These features make the understanding and forecasting of financial risk very challenging, since regularities observed from historical data do not necessarily mirror future behaviours. The main aim of this thesis is to investigate the complexity of the dependence structure through network filtering and clustering techniques. We have relied on these tools because they are data driven, model-independent and lend themselves to dynamical analyses. In particular, we have proposed a novel volatility forecasting tool based on network filtering. Furthermore, we have applied the Directed Bubble Hierarchical Tree (DBHT) clustering method for the first time to financial data, highlighting its advantages over other clustering techniques. We have performed statistical hypothesis tests on the dynamical DBHT clustering, in order to track the evolution of each cluster and how their industry-related information is affected by the market regime. We have studied the evolution of correlation-based filtered networks topology by means of data mining and time series techniques, investigating long-term memory properties and their relation with market risk. We have investigated how different measures of dependence perform and compare in terms of network topology, by combining multiplex tools and network filtering for the first time. We have found that the 2007 financial crisis marks a phase transition between two different regimes of dependence, which display deep dissimilarities in terms of industrial information and remain well distinct for years after the crisis. We have found that different clustering methods display different sensitivity to these structural changes. Moreover we have shown that correlation-based filtered networks display peculiar patterns in their evolution, notably long-term memory and possibly early-warning signals. After having found that a significant interplay exists between dependence structure variations and volatility, we have introduced a novel volatility forecasting tool which relies on this empirical feature. This new tool overcomes the curse of dimensionality, which limits traditional econometric models to porfolios of few assets. The multiplex analysis has revealed that it is crucial to monitor financial dependence with more than one measure at a time, as linear measures turn out to provide an incomplete picture of the dependence structure, especially during financial crises.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Musmeci, N. (2016). Dynamical filtered graphs in finance. (Doctoral Dissertation). King's College London (University of London). Retrieved from https://kclpure.kcl.ac.uk/portal/en/theses/dynamical-filtered-graphs-in-finance(1b57af36-485e-4275-85ef-7324dc0a3c26).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.700803
Chicago Manual of Style (16th Edition):
Musmeci, Nicolo. “Dynamical filtered graphs in finance.” 2016. Doctoral Dissertation, King's College London (University of London). Accessed February 24, 2021.
https://kclpure.kcl.ac.uk/portal/en/theses/dynamical-filtered-graphs-in-finance(1b57af36-485e-4275-85ef-7324dc0a3c26).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.700803.
MLA Handbook (7th Edition):
Musmeci, Nicolo. “Dynamical filtered graphs in finance.” 2016. Web. 24 Feb 2021.
Vancouver:
Musmeci N. Dynamical filtered graphs in finance. [Internet] [Doctoral dissertation]. King's College London (University of London); 2016. [cited 2021 Feb 24].
Available from: https://kclpure.kcl.ac.uk/portal/en/theses/dynamical-filtered-graphs-in-finance(1b57af36-485e-4275-85ef-7324dc0a3c26).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.700803.
Council of Science Editors:
Musmeci N. Dynamical filtered graphs in finance. [Doctoral Dissertation]. King's College London (University of London); 2016. Available from: https://kclpure.kcl.ac.uk/portal/en/theses/dynamical-filtered-graphs-in-finance(1b57af36-485e-4275-85ef-7324dc0a3c26).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.700803
18.
Stahl, L.
Capital 2.0 : capital formation and legal risk in a new global economic order from fiat to exit : including case studies of the proposed transatlantic trade and investment partnership between the United States and the European Union and the financing relation between the United States and the People's Republic of China.
Degree: PhD, 2016, University of Westminster
URL: https://westminsterresearch.westminster.ac.uk/item/9ywzx/capital-2-0-capital-formation-and-legal-risk-in-a-new-global-economic-order-from-fiat-to-exit-including-case-studies-of-the-proposed-transatlantic-trade-and-investment-partnership-between-the-united
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.698791
► Following the intrinsically linked balance sheets in his Capital Formation Life Cycle, Lukas M. Stahl explains with his Triple A Model of Accounting, Allocation and…
(more)
▼ Following the intrinsically linked balance sheets in his Capital Formation Life Cycle, Lukas M. Stahl explains with his Triple A Model of Accounting, Allocation and Accountability the stages of the Capital Formation process from FIAT to EXIT. Based on the theoretical foundations of legal risk laid by the International Bar Association with the help of Roger McCormick and legal scholars such as Joanna Benjamin, Matthew Whalley and Tobias Mahler, and founded on the basis of Wesley Hohfeld’s category theory of jural relations, Stahl develops his mutually exclusive Four Determinants of Legal Risk of Law, Lack of Right, Liability and Limitation. Those Four Determinants of Legal Risk allow us to apply, assess, and precisely describe the respective legal risk at all stages of the Capital Formation Life Cycle as demonstrated in case studies of nine industry verticals of the proposed and currently negotiated Transatlantic Trade and Investment Partnership between the United States of America and the European Union, TTIP, as well as in the case of the often cited financing relation between the United States and the People’s Republic of China. Having established the Four Determinants of Legal Risk and its application to the Capital Formation Life Cycle, Stahl then explores the theoretical foundations of capital formation, their historical basis in classical and neo-classical economics and its forefathers such as The Austrians around Eugen von Boehm-Bawerk, Ludwig von Mises and Friedrich von Hayek and most notably and controversial, Karl Marx, and their impact on today’s exponential expansion of capital formation. Starting off with the first pillar of his Triple A Model, Accounting, Stahl then moves on to explain the Three Factors of Capital Formation, Man, Machines and Money and shows how “value-added” is created with respect to the non-monetary capital factors of human resources and industrial production. Followed by a detailed analysis discussing the roles of the Three Actors of Monetary Capital Formation, Central Banks, Commercial Banks and Citizens Stahl readily dismisses a number of myths regarding the creation of money providing in-depth insight into the workings of monetary policy makers, their institutions and ultimate beneficiaries, the corporate and consumer citizens. In his second pillar, Allocation, Stahl continues his analysis of the balance sheets of the Capital Formation Life Cycle by discussing the role of The Five Key Accounts of Monetary Capital Formation, the Sovereign, Financial, Corporate, Private and International account of Monetary Capital Formation and the associated legal risks in the allocation of capital pursuant to his Four Determinants of Legal Risk. In his third pillar, Accountability, Stahl discusses the ever recurring Crisis-Reaction-Acceleration-Sequence-History, in short: CRASH, since the beginning of the millennium starting with the dot-com crash at the turn of the millennium, followed seven years later by the financial crisis of 2008 and the dislocations in the global economy we are facing…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Stahl, L. (2016). Capital 2.0 : capital formation and legal risk in a new global economic order from fiat to exit : including case studies of the proposed transatlantic trade and investment partnership between the United States and the European Union and the financing relation between the United States and the People's Republic of China. (Doctoral Dissertation). University of Westminster. Retrieved from https://westminsterresearch.westminster.ac.uk/item/9ywzx/capital-2-0-capital-formation-and-legal-risk-in-a-new-global-economic-order-from-fiat-to-exit-including-case-studies-of-the-proposed-transatlantic-trade-and-investment-partnership-between-the-united ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.698791
Chicago Manual of Style (16th Edition):
Stahl, L. “Capital 2.0 : capital formation and legal risk in a new global economic order from fiat to exit : including case studies of the proposed transatlantic trade and investment partnership between the United States and the European Union and the financing relation between the United States and the People's Republic of China.” 2016. Doctoral Dissertation, University of Westminster. Accessed February 24, 2021.
https://westminsterresearch.westminster.ac.uk/item/9ywzx/capital-2-0-capital-formation-and-legal-risk-in-a-new-global-economic-order-from-fiat-to-exit-including-case-studies-of-the-proposed-transatlantic-trade-and-investment-partnership-between-the-united ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.698791.
MLA Handbook (7th Edition):
Stahl, L. “Capital 2.0 : capital formation and legal risk in a new global economic order from fiat to exit : including case studies of the proposed transatlantic trade and investment partnership between the United States and the European Union and the financing relation between the United States and the People's Republic of China.” 2016. Web. 24 Feb 2021.
Vancouver:
Stahl L. Capital 2.0 : capital formation and legal risk in a new global economic order from fiat to exit : including case studies of the proposed transatlantic trade and investment partnership between the United States and the European Union and the financing relation between the United States and the People's Republic of China. [Internet] [Doctoral dissertation]. University of Westminster; 2016. [cited 2021 Feb 24].
Available from: https://westminsterresearch.westminster.ac.uk/item/9ywzx/capital-2-0-capital-formation-and-legal-risk-in-a-new-global-economic-order-from-fiat-to-exit-including-case-studies-of-the-proposed-transatlantic-trade-and-investment-partnership-between-the-united ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.698791.
Council of Science Editors:
Stahl L. Capital 2.0 : capital formation and legal risk in a new global economic order from fiat to exit : including case studies of the proposed transatlantic trade and investment partnership between the United States and the European Union and the financing relation between the United States and the People's Republic of China. [Doctoral Dissertation]. University of Westminster; 2016. Available from: https://westminsterresearch.westminster.ac.uk/item/9ywzx/capital-2-0-capital-formation-and-legal-risk-in-a-new-global-economic-order-from-fiat-to-exit-including-case-studies-of-the-proposed-transatlantic-trade-and-investment-partnership-between-the-united ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.698791
University College London (University of London)
19.
Sobolev, D.
Financial applications of human perception of fractal time series.
Degree: PhD, 2015, University College London (University of London)
URL: https://discovery.ucl.ac.uk/id/eprint/1461731/
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.647212
► The purpose of this thesis is to explore the interaction between people’s financial behaviour and the market’s fractal characteristics. In particular, I have been interested…
(more)
▼ The purpose of this thesis is to explore the interaction between people’s financial behaviour and the market’s fractal characteristics. In particular, I have been interested in the Hurst exponent, a measure of a series’ fractal dimension and autocorrelation. In Chapter 2 I show that people exhibit a high level of sensitivity to the Hurst exponent of visually presented graphs representing price series. I explain this sensitivity using two types of cues: the illuminance of the graphs, and the characteristic of the price change series. I further show that people can learn how to identify the Hurst exponents of fractal graphs when feedback about the correct values of the Hurst exponent is given. In Chapter 3 I investigate the relationship between risk perception and Hurst exponent. I show that people assess risk of investment in an asset according to the Hurst exponent of its price graph if it is presented along with its price change series. Analysis reveals that buy/sell decisions also depend on the Hurst exponent of the graphs. In Chapter 4 I study forecasts from financial graphs. I show that to produce forecasts, people imitate perceived noise and signals of data series. People’s forecasts depend on certain personality traits and dispositions. Similar results were obtained for experts. In Chapter 5 I explore the way people integrate visually presented price series with news. I find that people’s financial decisions are influenced by news more than the average trend of the graphs. In the case of positive trend, there is a correlation between financial forecasts and decisions. Finally, in Chapter 6 I show that the way people perceive fractal time series is correlated with the Hurst exponent of the graphs. I use the findings of the thesis to describe a possible mechanism which preserves the fractal nature of price series.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Sobolev, D. (2015). Financial applications of human perception of fractal time series. (Doctoral Dissertation). University College London (University of London). Retrieved from https://discovery.ucl.ac.uk/id/eprint/1461731/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.647212
Chicago Manual of Style (16th Edition):
Sobolev, D. “Financial applications of human perception of fractal time series.” 2015. Doctoral Dissertation, University College London (University of London). Accessed February 24, 2021.
https://discovery.ucl.ac.uk/id/eprint/1461731/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.647212.
MLA Handbook (7th Edition):
Sobolev, D. “Financial applications of human perception of fractal time series.” 2015. Web. 24 Feb 2021.
Vancouver:
Sobolev D. Financial applications of human perception of fractal time series. [Internet] [Doctoral dissertation]. University College London (University of London); 2015. [cited 2021 Feb 24].
Available from: https://discovery.ucl.ac.uk/id/eprint/1461731/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.647212.
Council of Science Editors:
Sobolev D. Financial applications of human perception of fractal time series. [Doctoral Dissertation]. University College London (University of London); 2015. Available from: https://discovery.ucl.ac.uk/id/eprint/1461731/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.647212
Durham University
20.
Song, Wei.
CEO overconfidence and dominance in bank financial decisions : the US evidence.
Degree: PhD, 2012, Durham University
URL: http://etheses.dur.ac.uk/3409/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547923
► This thesis empirically investigates financial and investment decisions of banks and bank holding companies in a managerial behavioural approach with a view to ascertaining to…
(more)
▼ This thesis empirically investigates financial and investment decisions of banks and bank holding companies in a managerial behavioural approach with a view to ascertaining to what extent managerial psychology is as important as managerial incentive a determinant affecting the process of instituting an efficient bank governance mechanism. A large sample of US banks and bank holding companies over 1996-2006 is examined for the effects of irrational and powerful bank Chief Executive Officers (CEOs). Integrating the analyses of both corporate governance and corporate finance, the thesis uncovers evidence that overconfident, dominating and overconfident-dominating bank CEOs have negative impact on bank financial decisions, such as M&As, payout policy and risk taking as they tend to overestimate their ability and underestimate possible risks of invested projects. Cognitive failures of this origin would have the worst fallout effects when the overconfident CEOs are also dominating the boards. Deploying Holder 67 and CEO-Chair as proxies for overconfidence and dominance factors respectively, the study shows that overconfident, dominating and overconfident-dominating CEOs are more likely to perform mergers with dubious quality, particularly in activity and geography diversifying mergers. The one- and two-year negative post-merger performance of banks ran by overconfident, dominating and overconfident-dominating CEOs bolsters the argument that mergers undertaken by these CEOs are economically undesirable. For the effects of psychological and cognitive biases on bank payout policy, results show that overconfident and overconfident-dominating CEOs are negatively related to the dividend payout ratio and total payout ratio. The negative association becomes stronger when the banks under examination have a higher degree of information asymmetry or with less growth opportunity. Evidence also confirms that CEO overconfidence, dominance and especially overconfidence-dominance have negative effects on bank risk control. CEOs with these attributes have a higher propensity for taking some bank-related risks, such as market-based risk, earnings volatility, credit risk and default risk. Overall, findings of this research suggest the essentiality of taking account of managerial psychological biases in reforming the existing bank governance mechanism, especially in designing appropriate compensation packages for executives and the desirable board composition for banks with overconfident-dominating CEOs.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Song, W. (2012). CEO overconfidence and dominance in bank financial decisions : the US evidence. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/3409/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547923
Chicago Manual of Style (16th Edition):
Song, Wei. “CEO overconfidence and dominance in bank financial decisions : the US evidence.” 2012. Doctoral Dissertation, Durham University. Accessed February 24, 2021.
http://etheses.dur.ac.uk/3409/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547923.
MLA Handbook (7th Edition):
Song, Wei. “CEO overconfidence and dominance in bank financial decisions : the US evidence.” 2012. Web. 24 Feb 2021.
Vancouver:
Song W. CEO overconfidence and dominance in bank financial decisions : the US evidence. [Internet] [Doctoral dissertation]. Durham University; 2012. [cited 2021 Feb 24].
Available from: http://etheses.dur.ac.uk/3409/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547923.
Council of Science Editors:
Song W. CEO overconfidence and dominance in bank financial decisions : the US evidence. [Doctoral Dissertation]. Durham University; 2012. Available from: http://etheses.dur.ac.uk/3409/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547923
Durham University
21.
Hanafi, Hanira Binti.
Critical perspectives on musharakah mutanaqisah home financing in Malaysia : exploring legal, regulative and financial challenges.
Degree: PhD, 2012, Durham University
URL: http://etheses.dur.ac.uk/4927/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.557918
► As shelter is one of basic needs for the human beings, the financing for housing need is also an essential need. Since individuals are not…
(more)
▼ As shelter is one of basic needs for the human beings, the financing for housing need is also an essential need. Since individuals are not in a position to pay for their houses in one go, the availability of mortgage is an imperative in ensuring homeownership. Islamic mortgage as being the housing finance tool of Islamic banking and finance offers a home ownership for those who seek for halal alternative. There are indeed various type of instruments used as an underlying contract for Islamic mortgage, which comprise of debt based financing (murabaha, istisna’, ijarah, bay’bithaman ajil) and equity based financing (musharakah mutanaqisah). As the debt based products of Islamic mortgage are criticised for mimicking the conventional counterparts, the introduction of equity product of home financing based on musharakah mutanaqisah (MM home financing) is deemed to become a better alternative, which capable of fulfilling the true spirit of Shari’ah and overcome the shortcomings of debt based products. As MM based Islamic mortgage has just been in the Malaysian market for seven years, there are many issues surrounding its implementation. This study, therefore, aims to explore and critically analyse the supply and demands side issues related to MM home financing by paying particular attention to challenges and prospects of MM home financing in Malaysia. In particular, this study explores legal and Shari’ah related operational issues associated with the implementation of MM home financing and also examine the prospects of this product through customers’ perceptions and expectations. In achieving the aims, this study employed mixed method whereby the data obtained from the questionnaire survey and interviews. The sample size of the questionnaire survey is 260 respondents who have either Islamic or conventional mortgage and are from Klang Valley area of Malaysia. The interviews were conducted with 19 individuals who are actively involved in the implementation of MM home financing in Malaysia including Islamic bankers, Islamic economists, Shari’ah advisor and regulator. The interview finding revealed that besides several legal issues such as inadequate of legal framework, treatment in the event of default, non-standardised agreement, issue of ownership and Shari’ah issues such as use of purchase undertaking or wa’d, there are number of other issues involved in MM home financing. These include takaful and its maintenance, issue of rental benchmarking. All these together are believed to hinder and ‘pollute’ the MM home financing operation. The study also noted the problems that also arose from the banks and customers itself. The finding of the survey, also, revealed that the customers’ awareness on Islamic mortgage products is still very low, particularly for MM home financing. In addition, take-up reason for Islamic mortgage is mainly due to religious factor and non take-up reason is due to the price. However, it is very interesting to note that the majority of the respondents expected Islamic mortgage to be capable of…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Hanafi, H. B. (2012). Critical perspectives on musharakah mutanaqisah home financing in Malaysia : exploring legal, regulative and financial challenges. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/4927/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.557918
Chicago Manual of Style (16th Edition):
Hanafi, Hanira Binti. “Critical perspectives on musharakah mutanaqisah home financing in Malaysia : exploring legal, regulative and financial challenges.” 2012. Doctoral Dissertation, Durham University. Accessed February 24, 2021.
http://etheses.dur.ac.uk/4927/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.557918.
MLA Handbook (7th Edition):
Hanafi, Hanira Binti. “Critical perspectives on musharakah mutanaqisah home financing in Malaysia : exploring legal, regulative and financial challenges.” 2012. Web. 24 Feb 2021.
Vancouver:
Hanafi HB. Critical perspectives on musharakah mutanaqisah home financing in Malaysia : exploring legal, regulative and financial challenges. [Internet] [Doctoral dissertation]. Durham University; 2012. [cited 2021 Feb 24].
Available from: http://etheses.dur.ac.uk/4927/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.557918.
Council of Science Editors:
Hanafi HB. Critical perspectives on musharakah mutanaqisah home financing in Malaysia : exploring legal, regulative and financial challenges. [Doctoral Dissertation]. Durham University; 2012. Available from: http://etheses.dur.ac.uk/4927/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.557918
22.
Baltas, Akindynos-Nikolaos.
Cross-sectional and time-series momentum in equity and futures markets : trading strategies and the role of correlation risk.
Degree: PhD, 2011, Imperial College London
URL: http://hdl.handle.net/10044/1/9131
► The purpose of the thesis is to investigate momentum trading strategies in equity and futures markets and to explore the links between momentum profitability and…
(more)
▼ The purpose of the thesis is to investigate momentum trading strategies in equity and futures markets and to explore the links between momentum profitability and the equity market correlation of the economy. The first topic focuses on cross-sectional equity momentum patterns by modeling a stock’s price path as the interaction between a long-term growth component and a number of fluctuating price components that oscillate around the long-term trend at various distinct frequencies. Based on this specification, the dependence of momentum profitability on the asset price response to oscillations at various frequencies is explored. The evidence is consistent with a behavioural overreaction-to-private-information and underreaction-to-public-information explanation of the momentum patterns. Cross-sectional momentum profitability is found to be robust to realistic transaction costs and is shown to be optimized in terms of minimising the effects of transaction costs for a 6-month holding horizon. Simple stop-loss rules are shown to improve the performance of strategies with long-term holding horizon by discarding big and growth stocks, which achieve higher levels of price efficiency and therefore realise their momentum potential faster than small and value stocks. The second topic focuses on the source of profitability for cross-sectional momentum portfolios and other commonly used long-short zero-cost factor-mimicking portfolios and investigates whether these abnormal premia are justified as compensation for bearing correlation risk. Using a novel dataset on correlation swaps and building on the fact that large equity market declines are accompanied by increases in stock correlations, it is shown that correlation risk is priced in the cross-section of stock returns even after including conventional risk factors. Moreover, it is documented that a significant part of long-short portfolios’ return premia is explained by exposure to correlation risk. Interestingly, the inflow of capital into long-short hedge fund strategies coincides with increases in the realized equity market correlation, and consequently with decreases in the price of insurance against unexpected correlation surprises. Finally, the profitability and the mechanics of time-series momentum strategies in futures markets are explored. A time-series momentum strategy involves the volatility-adjusted aggregation of univariate strategies and therefore relies heavily on the efficiency of the volatility estimator and on the quality of the momentum trading signal. The evidence shows that trading signals generated by fitting a linear trend on the asset price path maximise the out-of-sample performance while minimising the portfolio turnover. The momentum patterns are found to be strong at the monthly frequency of rebalancing, relatively strong at the weekly frequency and relatively weak at the daily frequency. In fact, significant reversal effects are documented at the very short-term horizon. Regarding the volatility-adjusted aggregation of univariate strategies, the…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Baltas, A. (2011). Cross-sectional and time-series momentum in equity and futures markets : trading strategies and the role of correlation risk. (Doctoral Dissertation). Imperial College London. Retrieved from http://hdl.handle.net/10044/1/9131
Chicago Manual of Style (16th Edition):
Baltas, Akindynos-Nikolaos. “Cross-sectional and time-series momentum in equity and futures markets : trading strategies and the role of correlation risk.” 2011. Doctoral Dissertation, Imperial College London. Accessed February 24, 2021.
http://hdl.handle.net/10044/1/9131.
MLA Handbook (7th Edition):
Baltas, Akindynos-Nikolaos. “Cross-sectional and time-series momentum in equity and futures markets : trading strategies and the role of correlation risk.” 2011. Web. 24 Feb 2021.
Vancouver:
Baltas A. Cross-sectional and time-series momentum in equity and futures markets : trading strategies and the role of correlation risk. [Internet] [Doctoral dissertation]. Imperial College London; 2011. [cited 2021 Feb 24].
Available from: http://hdl.handle.net/10044/1/9131.
Council of Science Editors:
Baltas A. Cross-sectional and time-series momentum in equity and futures markets : trading strategies and the role of correlation risk. [Doctoral Dissertation]. Imperial College London; 2011. Available from: http://hdl.handle.net/10044/1/9131
University of Sheffield
23.
Zhao, Liang.
System identification for complex financial system.
Degree: PhD, 2011, University of Sheffield
URL: http://etheses.whiterose.ac.uk/14654/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537986
► The mam purpose of this thesis focuses on the investigation of major financial volatility models including the relevant mean model used in the context of…
(more)
▼ The mam purpose of this thesis focuses on the investigation of major financial volatility models including the relevant mean model used in the context of volatility estimation, and the development of a systematic nonlinear identification methodology for these problems. Financial volatility is one of the key aspects in financial economics and volatility modelling involves both the mean process modelling, and the volatility process modelling. Although many volatility models have been derived to approximate the volatility process, linear mean models are almost always used and to the best of our knowledge there is no application of fitting the mean process using a nonlinear model with selected structure. Based on the fact that nonlinearity has been observed in many financial market return data sets, the Non linear AutoRegression Moving Average with eXogenous input (NARMAX) modelling methodology with the term selection algorithm Orthogonal Forward Regression (OFR) is proposed to approximate the nonlinear mean process during volatility modelling. However, the assumption of a constant variance is usually violated in financial market return data. A new Weighted OFR algorithm is therefore proposed to correct for the impact of heteroskedastic noise on the term selection of the nonlinear mean model based on the assumption that the variance process is modelled by a Generalized AutoRegressive Conditional Heteroskedastic (GARCH) model. Because the weights to use are unknown, an iterative refined procedure is developed to learn the weights and to simultaneously improve the parameter estimates of both the mean and the volatility models. New validation methods are proposed to validate the nonlinear selected mean model and the volatility model. During the validation, the assumptions associated with the mean model are tested using a correlation method and the assumptions of the volatility model are tested using a Brock-Dechert-Scheinkrnan (80S) independent and identically distributed (i.i.d.) testing method. The prediction performance of the mean and volatility models is evaluated using a hold out Cross Validation (CV)method. A departure in the prediction of the volatility for the linear mean model, when using nonlinear simulated data, is successfully identified by the new validation methods and the nonlinear selected mean model passes the test. Another application of the NARAMX model, in the very new field of modelling mortality rate, is introduced. A quadratic polynomial mortality rate model selected by the OFR algorithm is developed based on the LifeMetrics male deaths and exposures data for England & Wales from the Office of National Statistics. Comparing the long term prediction of the new model with the Cairns-Blake-Dowd (CSO) statistical mortality rate model indicates the better prediction performance of the quadratic polynomial models. A back-testing method is applied to indicate the robustness of the selected NARMAX type mortality rate models. The term selection, parameter estimation, validation methods and new identification…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Zhao, L. (2011). System identification for complex financial system. (Doctoral Dissertation). University of Sheffield. Retrieved from http://etheses.whiterose.ac.uk/14654/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537986
Chicago Manual of Style (16th Edition):
Zhao, Liang. “System identification for complex financial system.” 2011. Doctoral Dissertation, University of Sheffield. Accessed February 24, 2021.
http://etheses.whiterose.ac.uk/14654/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537986.
MLA Handbook (7th Edition):
Zhao, Liang. “System identification for complex financial system.” 2011. Web. 24 Feb 2021.
Vancouver:
Zhao L. System identification for complex financial system. [Internet] [Doctoral dissertation]. University of Sheffield; 2011. [cited 2021 Feb 24].
Available from: http://etheses.whiterose.ac.uk/14654/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537986.
Council of Science Editors:
Zhao L. System identification for complex financial system. [Doctoral Dissertation]. University of Sheffield; 2011. Available from: http://etheses.whiterose.ac.uk/14654/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537986
University of York
24.
De Tina, Matteo.
Money, transactions and the business cycle : inspecting the mechanism.
Degree: PhD, 2011, University of York
URL: http://etheses.whiterose.ac.uk/1670/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.542827
► This thesis analyses and compares two monetary models - the cash-in-advance (CIA) model and the real-resource-cost (RRC) model - using a Dynamic Stochastic General Equilibrium…
(more)
▼ This thesis analyses and compares two monetary models - the cash-in-advance (CIA) model and the real-resource-cost (RRC) model - using a Dynamic Stochastic General Equilibrium (DSGE) framework, with perfectly competitive markets and flexible prices. The CIA model is built on the quantitative assessment developed by Cooley and Hansen (1989, 1995), while the RRC model is an implementation of the analytical work by Feenstra (1986) and Wang and Yip (1992) on transaction costs. In order to inspect the mechanisms implicit in the monetary models at hand, this thesis analyses also some extensions, building on the seminal contributions by Stockman (1981) and Abel (1985). The main results emerging from the impulse-response functions are that the CIA and the RRC models respond in the same way to a shock in total factor productivity, while they differ in the propagation mechanism of the monetary shock, where the differences depend on the mix between cash- and credit-goods in the model economies. Instead, the impact of a transaction cost shock, in the case of the RRC model, remains weak. When compared with the stylised facts characterising the U.S. business cycle data, the CIA and RRC approaches exhibit the 'dichotomy' typical of the standard RBC literature: the volatility of real expenditure and working hours (and the respective correlation with output) are essentially driven by the technology shock, while nominal variables are mainly affected by the monetary shock. However, when it comes to the correlations of the endogenous variables with money growth, the CIA and the RRC models fail along many dimensions, when only consumption is linked with money (Chapter 3). By contrast, when transaction technologies are extended to investment and the money supply process is modified (Chapters 4 and 5), the empirical performance of the extended CIA model is superior with respect to the extended RRC model.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
De Tina, M. (2011). Money, transactions and the business cycle : inspecting the mechanism. (Doctoral Dissertation). University of York. Retrieved from http://etheses.whiterose.ac.uk/1670/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.542827
Chicago Manual of Style (16th Edition):
De Tina, Matteo. “Money, transactions and the business cycle : inspecting the mechanism.” 2011. Doctoral Dissertation, University of York. Accessed February 24, 2021.
http://etheses.whiterose.ac.uk/1670/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.542827.
MLA Handbook (7th Edition):
De Tina, Matteo. “Money, transactions and the business cycle : inspecting the mechanism.” 2011. Web. 24 Feb 2021.
Vancouver:
De Tina M. Money, transactions and the business cycle : inspecting the mechanism. [Internet] [Doctoral dissertation]. University of York; 2011. [cited 2021 Feb 24].
Available from: http://etheses.whiterose.ac.uk/1670/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.542827.
Council of Science Editors:
De Tina M. Money, transactions and the business cycle : inspecting the mechanism. [Doctoral Dissertation]. University of York; 2011. Available from: http://etheses.whiterose.ac.uk/1670/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.542827
University of York
25.
Smith, Julia.
Personal accounts : managing households during conflict.
Degree: PhD, 2016, University of York
URL: http://etheses.whiterose.ac.uk/17379/
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.714401
► This thesis examines the impact of political conflict on microfinance engagement to put forth a theory of sparse networks traps. It leverages a natural experiment…
(more)
▼ This thesis examines the impact of political conflict on microfinance engagement to put forth a theory of sparse networks traps. It leverages a natural experiment to distinguish between the effects of conflict on determinants of microfinance efficiency and impact, and includes qualitative evidence from 235 (208 microfinance users and 27 microfinance providers) interviews in the Northeastern Kivu province of the Democratic Republic of Congo. Through a combination of regression analyses and panel data modelling with fixed effects, the research indicates that conflict has a stronger effect on the nature of demand for credit and savings services than it has on the actual performance of financial institutions. By introducing informal financial service providers, including community level rotating savings and credit associations, payday lenders, and moneylenders, the research indicates that the demand for financial services is not greatly reduced during conflict. The reduction in demand reported in the literature is seen in the formal sector, while in the conflict area the demand shifts to the informal sector, resulting in a threefold increase in the likelihood to borrow from an informal source of credit in times of political violence. This shift in user preferences is reflective of an overall decrease in engagement in formal networks and reliance on informal ones, and is reflected in other coping mechanisms such as reduced investment in business creation and increased expenditures in areas that can be considered charitable. The mechanisms by which these choices occur are hyperbolic discounting and reduced trust. In turn, these individual level decisions lead to a sparse networks trap, defined as a fragmentation of the economy into independent enclaves of production and the correlating reduction in interregional interdependence, which may have compounding consequences for post-conflict economic recovery and stability.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Smith, J. (2016). Personal accounts : managing households during conflict. (Doctoral Dissertation). University of York. Retrieved from http://etheses.whiterose.ac.uk/17379/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.714401
Chicago Manual of Style (16th Edition):
Smith, Julia. “Personal accounts : managing households during conflict.” 2016. Doctoral Dissertation, University of York. Accessed February 24, 2021.
http://etheses.whiterose.ac.uk/17379/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.714401.
MLA Handbook (7th Edition):
Smith, Julia. “Personal accounts : managing households during conflict.” 2016. Web. 24 Feb 2021.
Vancouver:
Smith J. Personal accounts : managing households during conflict. [Internet] [Doctoral dissertation]. University of York; 2016. [cited 2021 Feb 24].
Available from: http://etheses.whiterose.ac.uk/17379/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.714401.
Council of Science Editors:
Smith J. Personal accounts : managing households during conflict. [Doctoral Dissertation]. University of York; 2016. Available from: http://etheses.whiterose.ac.uk/17379/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.714401
University of Manchester
26.
Tahoun, Ahmed Mamdouh.
Essays in accounting and finance.
Degree: PhD, 2011, University of Manchester
URL: https://www.research.manchester.ac.uk/portal/en/theses/essays-in-accounting-and-finance(f9f1ad0d-fa37-4b6f-a273-809c3b68b164).html
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.538471
► In this thesis, I examine why there are distortions in investor portfolio selection, and show the consequence of these distortions on firms' investment decisions. The…
(more)
▼ In this thesis, I examine why there are distortions in investor portfolio selection, and show the consequence of these distortions on firms' investment decisions. The thesis consists of three essays. In the first essay, I examine the economic consequences of the mandatory adoption of IFRS in EU countries by showing which types of economies have the largest reduction in investment-cash flow sensitivity post-IFRS. I also examine whether the reduction in investment-cash flow sensitivity depends on firm size as well as economy type. I find that the investment-cash flow sensitivity of insider economies is higher than that of outsider economies pre-IFRS and that IFRS reduces the investment-cash flow sensitivity of insider economies more than that of outsider economies. Also, I find that small firms in insider economies have the highest sensitivity of investment to lagged cash flow pre-IFRS, and that they are no longer sensitive to lagged cash flow post-IFRS. Overall, my results suggest that IFRS adoption might have improved the functioning of capital markets in relation to small firms in insider economies. In the second essay, I show that the level of conditional accounting conservatism of foreign markets significantly influences decisions to diversify portfolios internationally. This could be either because conditional conservatism per se is attractive to international investors, or because the unmodelled factors that attract foreign investors to a country also cause these countries to adopt conditionally conservative accounting practices. We also find that the positive association between investor diversification decision and conditional conservatism is sensitive to the level of conditional conservatism of investors' home markets. If conditional conservatism serves to alleviate foreign investors' concerns related to insiders have asymmetric access to information then one would expect the chosen mode of entry into a foreign market (as foreign portfolio or direct investor) to be sensitive to the level of conditional conservatism. I find evidence supportive of this expectation.In the third and final essay, I document pieces of evidence suggesting that the stock ownership of politicians is a mechanism to establish mutual relations with firms. There is a positive association between the ownership of politicians and the contribution they receive from firms during the elections. This association is a function of how valuable it is to establish a mutual relation between politicians and firms. Politicians invest more in firms that favor their party and less in firms that oppose their party. The strength of the ownership-based relation with contributing firms is positively associated with the amount as well as the number of government contracts awarded to firms. When politicians divest the stock, the established relation with contributing firms breaks down. Such break-down, however, only exist when there are no other mechanisms enforcing politician-firm relation.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Tahoun, A. M. (2011). Essays in accounting and finance. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/essays-in-accounting-and-finance(f9f1ad0d-fa37-4b6f-a273-809c3b68b164).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.538471
Chicago Manual of Style (16th Edition):
Tahoun, Ahmed Mamdouh. “Essays in accounting and finance.” 2011. Doctoral Dissertation, University of Manchester. Accessed February 24, 2021.
https://www.research.manchester.ac.uk/portal/en/theses/essays-in-accounting-and-finance(f9f1ad0d-fa37-4b6f-a273-809c3b68b164).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.538471.
MLA Handbook (7th Edition):
Tahoun, Ahmed Mamdouh. “Essays in accounting and finance.” 2011. Web. 24 Feb 2021.
Vancouver:
Tahoun AM. Essays in accounting and finance. [Internet] [Doctoral dissertation]. University of Manchester; 2011. [cited 2021 Feb 24].
Available from: https://www.research.manchester.ac.uk/portal/en/theses/essays-in-accounting-and-finance(f9f1ad0d-fa37-4b6f-a273-809c3b68b164).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.538471.
Council of Science Editors:
Tahoun AM. Essays in accounting and finance. [Doctoral Dissertation]. University of Manchester; 2011. Available from: https://www.research.manchester.ac.uk/portal/en/theses/essays-in-accounting-and-finance(f9f1ad0d-fa37-4b6f-a273-809c3b68b164).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.538471
University of Leeds
27.
Ononugbo, Michael Chinedu.
Monetary policy in developing countries : the case of Nigeria.
Degree: PhD, 2012, University of Leeds
URL: http://etheses.whiterose.ac.uk/3663/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566358
► In recent times, monetary policy has increasingly adopted the interest rate as an instrument and inflation as the ultimate objective. This is congruous with the…
(more)
▼ In recent times, monetary policy has increasingly adopted the interest rate as an instrument and inflation as the ultimate objective. This is congruous with the propositions of the New consensus macroeconomics (NCM) and synonymous with the somewhat widespread practice of inflation targeting. However, the optimality of a monetary policy approach depends critically on its effectiveness and costs; which would differ between developing and developed countries. This thesis investigates the effectiveness and costs of an NCM-type monetary policy in Nigeria. Essentially, it is a systematic study of the implications of monetary policy in Nigeria, while paying attention to the peculiarities of the Nigerian economy and using a rigorous up-to-date framework. Effectiveness is investigated by considering some underlying assumptions of the NCM. First, the assumption of a complete pass-through from the policy interest rate to the market rates (which is critical for the success of monetary policy) is investigated. Here an array of market, retail deposit and lending rates are examined while an attempt is also made to capture the role of financial market (under)development. Second, the effect of monetary policy on aggregate demand is investigated, since it constitutes the intermediate target of policy. Given the high incidence of poverty in Nigeria and our associated assumption that consumption would, in this case, be inelastic to policy changes, the aggregate demand effect is limited to investigating the responsiveness of investment to monetary policy induced changes in the interest rate. Finally, the cost and benefit analysis of monetary policy in Nigeria is investigated by estimating a NCM-type Phillips curve. To understand the dynamics and source of inflation the standard NCM-type Phillips curve is augmented with supply factors. The relative importance of demand vis-à-vis supply factors as well as the cost and benefits of disinflation are thereafter determined. These are analysed using both theoretical and empirical approaches. Results indicated that an NCM-type monetary policy is generally ineffective in anchoring interest rates or aggregate demand and may be conducted at a considerably high cost in terms of output loss and financial instability. These findings and their policy implications are not entirely surprising given the institutional features of the Nigerian economy. They generally suggest that the use of interest rate policies tended to create more problems than it can solve. Hence, to avert the associated problems, there is a need for other instruments which the central bank can control effectively. Moreover, monetary policy focus should be on long-run output expansion and short-run price-stability, rather than the converse. This would have the benefit of moderating poverty and unemployment.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Ononugbo, M. C. (2012). Monetary policy in developing countries : the case of Nigeria. (Doctoral Dissertation). University of Leeds. Retrieved from http://etheses.whiterose.ac.uk/3663/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566358
Chicago Manual of Style (16th Edition):
Ononugbo, Michael Chinedu. “Monetary policy in developing countries : the case of Nigeria.” 2012. Doctoral Dissertation, University of Leeds. Accessed February 24, 2021.
http://etheses.whiterose.ac.uk/3663/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566358.
MLA Handbook (7th Edition):
Ononugbo, Michael Chinedu. “Monetary policy in developing countries : the case of Nigeria.” 2012. Web. 24 Feb 2021.
Vancouver:
Ononugbo MC. Monetary policy in developing countries : the case of Nigeria. [Internet] [Doctoral dissertation]. University of Leeds; 2012. [cited 2021 Feb 24].
Available from: http://etheses.whiterose.ac.uk/3663/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566358.
Council of Science Editors:
Ononugbo MC. Monetary policy in developing countries : the case of Nigeria. [Doctoral Dissertation]. University of Leeds; 2012. Available from: http://etheses.whiterose.ac.uk/3663/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566358
28.
Dos Anjos, Pablo Lucas.
Conventional social behaviour amongst microfinance clients.
Degree: PhD, 2014, Manchester Metropolitan University
URL: http://e-space.mmu.ac.uk/326221/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.618119
► This doctoral thesis inductively explores the role of conventional social behaviour adopted by individual microfinance clients regarding their influence over their own collective success as…
(more)
▼ This doctoral thesis inductively explores the role of conventional social behaviour adopted by individual microfinance clients regarding their influence over their own collective success as a microcredit group. The collective credit in question is subject to an adaptation in Mexico of the Grameen Bank lending framework. An analysis is made on the close interplay between institutional rules, i.e. the repayment conditions imposed by the microfinance institution (henceforth MFI), and the emergent cooperation and penalisation mechanisms that are handled by clients themselves to meet their targets. Thus the research is focused on the clients’ strategies to socially manage debt and defaulters. In this case study, a socio-economical fieldwork has been completed through surveying 600 microcredit clients, their 2404 active loans, 35 credit officers plus their board of directors. This took place in the southernmost state of Mexico, Chiapas, from September 2007 to February 2008, and data analysis was carried out during that period until July 2009. All findings were discussed with relevant stakeholders and policy makers. This proved key in providing influential insights that helped to improve the institutional regulatory framework. That resulted in a policy change that benefited over 20,000 clients. Apart from institutional regulations, it has also been observed group-level strategies devised by microfinance clients themselves to assess and deal with defaulters over time. These operate independently from the MFI framework as, despite influencing when and how quotas should be repaid, their criteria is entirely dealt with and evolved within credit groups. The obtained outcomes from analysing social and financial data include: • (I) insights backed by empirical data helped to influence an adaptation of the MFI funding credit policy, so that group structure and conventions are actually taken into consideration in a bid to foster more successful microcredit groups; • and (II) an analysis deemed reliable by the stakeholders for policy-making purposes, which has also guided the development of an exploratory model for simulating behaviour of how microcredit groups may deal with repayments in adversity. As a result of having developed this research project, three contributions to knowledge are discussed in the thesis. These are organised below according to relevant topics. 1. Understanding the behaviour within studied microfinance groups: based on the analysed evidence, a hypotheses is suggested about how group location and membership can influence the dynamics of acceptable behaviour regarding defaulters. 2. Informing policy-making with research findings: a demonstration of how stakeholders can assess the usefulness of knowledge –produced via research– for policymaking purposes, taking into account the phenomenon’s particular context. 3. The development of an agent-based model (henceforth ABM): application of the proposed ABM methodology, aimed at strengthening validation throughout the modelling process with emphasis on use of evidence…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Dos Anjos, P. L. (2014). Conventional social behaviour amongst microfinance clients. (Doctoral Dissertation). Manchester Metropolitan University. Retrieved from http://e-space.mmu.ac.uk/326221/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.618119
Chicago Manual of Style (16th Edition):
Dos Anjos, Pablo Lucas. “Conventional social behaviour amongst microfinance clients.” 2014. Doctoral Dissertation, Manchester Metropolitan University. Accessed February 24, 2021.
http://e-space.mmu.ac.uk/326221/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.618119.
MLA Handbook (7th Edition):
Dos Anjos, Pablo Lucas. “Conventional social behaviour amongst microfinance clients.” 2014. Web. 24 Feb 2021.
Vancouver:
Dos Anjos PL. Conventional social behaviour amongst microfinance clients. [Internet] [Doctoral dissertation]. Manchester Metropolitan University; 2014. [cited 2021 Feb 24].
Available from: http://e-space.mmu.ac.uk/326221/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.618119.
Council of Science Editors:
Dos Anjos PL. Conventional social behaviour amongst microfinance clients. [Doctoral Dissertation]. Manchester Metropolitan University; 2014. Available from: http://e-space.mmu.ac.uk/326221/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.618119
29.
Fan, Rui.
Essays on financial econometrics : cojump detection and density forecasting.
Degree: PhD, 2016, Lancaster University
URL: https://eprints.lancs.ac.uk/id/eprint/79155/
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.684486
► We choose the Andersen et al. (2007) and Lee and Mykland (2008) jump detection tests to detect intraday price jumps for ten foreign exchange rates…
(more)
▼ We choose the Andersen et al. (2007) and Lee and Mykland (2008) jump detection tests to detect intraday price jumps for ten foreign exchange rates and cojumps for six groups of two dollar exchange rates and one cross exchange rate at the one-minute frequency for five years from 2007 to 2011. We reject the null hypothesis that jumps are independent across rates as there are far more cojumps than predicted by independence for all rate combinations. We find that one dollar rate and the cross rate combination almost always has more cojumps than the two dollar rates combination. We also find some clustering of jumps and cojumps can be related to the macroeconomic news announcements affecting the exchange rates. The two selected jump detection tests find a similar number of jumps for ten foreign exchange rates. We compare density forecasts for the prices of Dow Jones 30 stocks, obtained from 5-minute high-frequency returns and daily option prices for four horizons ranging from one day, one week, two weeks to one month. We use the Heston model which incorporates stochastic volatility to extract risk-neutral densities from option prices. From historical high-frequency returns, we use the HAR-RV model to calculate realised variances and lognormal price densities. We use a nonparametric transformation to transform risk-neutral densities into real-world densities and make comparisons based on log-likelihoods. For the sixty-eight combinations from seventeen stocks for four horizons, the transformed lognormal Black-Scholes model gives the highest log-likelihoods for fifty-nine combinations. The HAR-RV model and the Heston model have similar forecast accuracy for different horizons, either before or after applying a transformation which enhances the densities. The transformed real-world densities almost always pass the Kolmogorov-Smirnov and Berkowitz tests, while the untransformed risk-neutral densities almost always fail the diagnostic tests.
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Fan, R. (2016). Essays on financial econometrics : cojump detection and density forecasting. (Doctoral Dissertation). Lancaster University. Retrieved from https://eprints.lancs.ac.uk/id/eprint/79155/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.684486
Chicago Manual of Style (16th Edition):
Fan, Rui. “Essays on financial econometrics : cojump detection and density forecasting.” 2016. Doctoral Dissertation, Lancaster University. Accessed February 24, 2021.
https://eprints.lancs.ac.uk/id/eprint/79155/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.684486.
MLA Handbook (7th Edition):
Fan, Rui. “Essays on financial econometrics : cojump detection and density forecasting.” 2016. Web. 24 Feb 2021.
Vancouver:
Fan R. Essays on financial econometrics : cojump detection and density forecasting. [Internet] [Doctoral dissertation]. Lancaster University; 2016. [cited 2021 Feb 24].
Available from: https://eprints.lancs.ac.uk/id/eprint/79155/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.684486.
Council of Science Editors:
Fan R. Essays on financial econometrics : cojump detection and density forecasting. [Doctoral Dissertation]. Lancaster University; 2016. Available from: https://eprints.lancs.ac.uk/id/eprint/79155/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.684486
30.
Li, Xuguang.
Modelling financial volatility using Bayesian and conventional methods.
Degree: PhD, 2016, Lancaster University
URL: https://eprints.lancs.ac.uk/id/eprint/82685/
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.695909
► This thesis investigates different volatility measures and models, including parametric and non-parametric volatility measurement. Both conventional and Bayesian methods are used to estimate volatility models.…
(more)
▼ This thesis investigates different volatility measures and models, including parametric and non-parametric volatility measurement. Both conventional and Bayesian methods are used to estimate volatility models. Chapter 1: We model and forecast intraday return volatility based on an extended stochastic volatility (SV) specification. Compared with the standard SV, we incorporate the trading duration information which includes both actual and expected durations. We use the Autoregressive Conditional Duration (ACD) model to calculate the expected duration that can be used to measure the surprise in durations. We find that the effect of surprise in durations on intraday volatility is highly significant. If there is an unexpected increase for the lag actual duration, the current volatility tends to decrease, and vice versa. We also take into account the duration and volatility intraday patterns. Our empirical results is based on the SPDR S&P 500 (SPY) and Microsoft Corporation (MSFT) data. According to the in-sample and out-of-sample empirical results, the extend SV model outperforms the GARCH and GARCH augmented with duration information. Chapter 2: We examine contagion effects resulting from the US subprime crisis on a sample of EU countries (UK, Switzerland, Netherlands, Germany and France) using a Multivariate Stochastic Volatility (MSV) framework augmented with implied volatilities. The MSV framework is estimated using Bayesian techniques. We compare the the MSV framework with the Multivariate GARCH (M-GARCH) framework and find the contagion effect is more significant under MSV framework. Moreover, augmenting the MSV framework with implied volatilities further increases model fit. Compared with the original MSV framework, we find that the contagion effect becomes more significant when we incorporate implied volatilities. Therefore, implied volatility information is useful for detecting financial contagion, or double checking some cases of market interdependence (strong linkages but insignificant increase in correlations). Chapter 3: We extend the Heterogeneous AR (HAR) model to allow the autoregressive parameter of daily realized volatility (RV) to be time varying (TV-HAR). The daily lag weights are adjusted according to the fluctuations of RV around its longer time average level (monthly RV). We compare the TV-HAR model with the HAR model and the recently introduced HARQ model. We observe a regular pattern of RV which the HAR and HARQ models do not fully capture: if there is an increase in the lag daily RV compared with its longer-term average level (monthly RV), the current RV tends to decrease rapidly to its long term level; conversely, if there is a decrease in the lag daily RV compared with its longer-term average level (monthly RV), that reversion takes longer. The TV-HAR model can capture this RV pattern. We find that the TVHAR model performs better than the benchmark HAR model and the HARQ model for both simulated and empirical data. Our empirical analysis is based on the S&P 500 equity index, SPY index and ten…
Subjects/Keywords: 332
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Li, X. (2016). Modelling financial volatility using Bayesian and conventional methods. (Doctoral Dissertation). Lancaster University. Retrieved from https://eprints.lancs.ac.uk/id/eprint/82685/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.695909
Chicago Manual of Style (16th Edition):
Li, Xuguang. “Modelling financial volatility using Bayesian and conventional methods.” 2016. Doctoral Dissertation, Lancaster University. Accessed February 24, 2021.
https://eprints.lancs.ac.uk/id/eprint/82685/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.695909.
MLA Handbook (7th Edition):
Li, Xuguang. “Modelling financial volatility using Bayesian and conventional methods.” 2016. Web. 24 Feb 2021.
Vancouver:
Li X. Modelling financial volatility using Bayesian and conventional methods. [Internet] [Doctoral dissertation]. Lancaster University; 2016. [cited 2021 Feb 24].
Available from: https://eprints.lancs.ac.uk/id/eprint/82685/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.695909.
Council of Science Editors:
Li X. Modelling financial volatility using Bayesian and conventional methods. [Doctoral Dissertation]. Lancaster University; 2016. Available from: https://eprints.lancs.ac.uk/id/eprint/82685/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.695909
◁ [1] [2] [3] [4] [5] … [38] ▶
. 
Open Access Theses and Dissertations