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You searched for subject:(Risk return relationship). Showing records 1 – 3 of 3 total matches.

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NSYSU

1. Lin, Chin-Yuan. Risk-return in the banking industry using quantile regression: Evidence from cross-straits banking industry.

Degree: PhD, Finance, 2013, NSYSU

The enigma of risk-return relationships has long posed problems in the field of banking research. This study employed data related to cross-strait banking to investigate the risk-return relationship between 2005 and 2011.Traditional OLS optimization techniques capture only central behaviors, and misidentify the relationship between bank risk and profitability, including the amount, significance, and even sign; therefore, this study departs from conventional research in the modeling of parameters related to risk-return regression and proposes a novel, conditional quantile regression method (hereafter QR), to survey the dynamics of the relationship between risk and return among banks in Taiwan, Hong Kong, and China. This study employed ROE as a proxy variable for bank returns, using loan/total assets (LO) as a proxy variable for bank risk. Risk-return relationships for banks were analyzed using OLS regression and QR. The study period covered the period of the subprime lending crisis; therefore, data was categorized into two groups: a pre-subprime crisis group and a post-subprime crisis group. Data was also classified into three groups according to LO level: low LO group, middle LO group and high LO group. This enabled the effects of the subprime crisis and the impact of risk exposure to be clearly differentiated. Analysis of OLS regression demonstrated that risk and return among banks in Taiwan were negatively related over the entire study period, the pre-subprime crisis group, the low and the middle LO group. This means that increasing the risk assumed by banks would result in reduced profits for these banks. In addition, our empirical findings demonstrate that the risk-return relationship varied across the quantiles of bank profitability in the three LO ranges, both before and after the subprime crisis. Furthermore, variations in profitability were often the result of the business strategies employed. This indicates that grouping banks with different business strategies to facilitate analysis disregards the impact of business strategy on returns and may be one of the reasons for previous inconsistencies in empirical results. While OLS regression results showed a positive risk-return relationship associated with banks in China and Hong Kong, QR results indicate a positive risk-return relationship in all quantile groups, with the exception of banks of Hong Kong in the upper-quantile of the middle LO group and in the lower-quantile of the high LO group. These results support the theory of a positive risk-return relationship; however, it deviates from the negative risk-return relationship observed in Taiwanese banks. In a comparison of loan quality between banks in Taiwan and those in Hong Kong, based on BDTI-LO relationships we discovered that the negative risk-return relationship in Taiwan could be attributed to poor loan quality. Thus, despite efforts of the banking industry in Taiwan to increase the loan ratio for higher ROE, the widespread issue of poor loan quality remains. If loan quality cannot be improved, the… Advisors/Committee Members: Gow-Liang Huang (chair), Chia-Chien Chang (chair), Hsiou-Jen Kuo (committee member), So-De Shyu (committee member), Roger C. Y. Chen (chair).

Subjects/Keywords: Risk-return relationship; Loan quality; Risk of banks; Return of banks; Quantile regression

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APA (6th Edition):

Lin, C. (2013). Risk-return in the banking industry using quantile regression: Evidence from cross-straits banking industry. (Doctoral Dissertation). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0613113-113330

Chicago Manual of Style (16th Edition):

Lin, Chin-Yuan. “Risk-return in the banking industry using quantile regression: Evidence from cross-straits banking industry.” 2013. Doctoral Dissertation, NSYSU. Accessed January 28, 2020. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0613113-113330.

MLA Handbook (7th Edition):

Lin, Chin-Yuan. “Risk-return in the banking industry using quantile regression: Evidence from cross-straits banking industry.” 2013. Web. 28 Jan 2020.

Vancouver:

Lin C. Risk-return in the banking industry using quantile regression: Evidence from cross-straits banking industry. [Internet] [Doctoral dissertation]. NSYSU; 2013. [cited 2020 Jan 28]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0613113-113330.

Council of Science Editors:

Lin C. Risk-return in the banking industry using quantile regression: Evidence from cross-straits banking industry. [Doctoral Dissertation]. NSYSU; 2013. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0613113-113330

2. Berglind, Lukas. The Risk-Return Relationship : Can the Prospect Theory be Applied to Small Firms, Large Firms and Industries Characterized by Different Asset Tangibility?.

Degree: Business Administration, 2016, Umeå University

In 1979 Daniel Kahneman and Amos Tversky created the prospect theory. It became an accepted and appropriate theory in explaining decision making under risk. The prospect theory has been one of the most cited articles in economics and Kahneman received the Nobel Prize in Economic Sciences as a result of the creation and development of the theory. Therefore the prospect theory is considered to be more suitable compared to the previously accepted theory, the expected utility theory. Following the prospect theory, researchers have utilized it to describe individual but also corporate management decision making when faced with risk. In this thesis the authors will focus on the latter. Despite the prospect theory being a well-accepted theory, there have been several critics due to its limitations and Audia and Greve (2006) are one of these critics. Their study suggested that corporations under threat, i.e. small firms with low returns, act risk averse. The findings of Audia and Greve (2006) violate the prospect theory when considering small firms that have below target returns. They tested the theory on an industry that has the characteristics of having relatively high proportions of tangible assets. Audia and Greve (2006) also proposed that a similar conclusion could be drawn if tested on an industry characterized by having a high level of intangible assets. This thesis examines the applicability of the prospect theory in the Swedish automotive industry and staffing and recruitment industry. The characteristics of the two industries are that the automotive industry has a high proportion of tangible assets and the staffing and recruitment industry has a high level of intangibles. The authors test if the prospect theory can be used to describe the decision making of both industries but also test the theory on small and large firms. Following the results of this paper we show that the prospect theory can be applied to the Swedish automotive industry and staffing and recruitment industry, characterized by having high levels of tangible assets and intangible assets respectively. The theory can also be used to explain decision making under risk for small firms within both industries and large firms within the automotive industry. Even though the prospect theory was originally tested on individuals, the conclusion can be drawn that the prospect theory once again prevails as an explanation of the decision making in the management of corporations. It can describe the decision making of firms in the two industries having characteristics of different asset tangibility and for firms of different size.

Subjects/Keywords: Prospect theory; Expected utility theory; Tangible assets; Intangible assets; Decision making; Behavioral decision theory; Risk-return relationship; Risk-return paradox

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

APA (6th Edition):

Berglind, L. (2016). The Risk-Return Relationship : Can the Prospect Theory be Applied to Small Firms, Large Firms and Industries Characterized by Different Asset Tangibility?. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-122846

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Berglind, Lukas. “The Risk-Return Relationship : Can the Prospect Theory be Applied to Small Firms, Large Firms and Industries Characterized by Different Asset Tangibility?.” 2016. Thesis, Umeå University. Accessed January 28, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-122846.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Berglind, Lukas. “The Risk-Return Relationship : Can the Prospect Theory be Applied to Small Firms, Large Firms and Industries Characterized by Different Asset Tangibility?.” 2016. Web. 28 Jan 2020.

Vancouver:

Berglind L. The Risk-Return Relationship : Can the Prospect Theory be Applied to Small Firms, Large Firms and Industries Characterized by Different Asset Tangibility?. [Internet] [Thesis]. Umeå University; 2016. [cited 2020 Jan 28]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-122846.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Berglind L. The Risk-Return Relationship : Can the Prospect Theory be Applied to Small Firms, Large Firms and Industries Characterized by Different Asset Tangibility?. [Thesis]. Umeå University; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-122846

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade Nova

3. Spierts, Joshua. An examination of the cross-sectional relationship of beta and return in international stock returns.

Degree: 2018, Universidade Nova

This paper will follow Pettengill et al.’s (1995) approach to examine the unconditional and conditional relationship between beta and returns from January 1995 to May 2017 in a well globally diversified sample of 22 emerging markets and 23 developed markets. Additionally, Pettengill et al.’s (1995) methodology is adjusted to take into account 1-year time-varying beta values to supplement and check the robustness of the initial results. The empirical results for the full sample as well as both sub-samples indicate that there is no significant unconditional relationship between beta and returns, however, when differentiating between up- and downmarkets a significant conditional relationship is found. This paper adds to the existing literature by examining and comparing a large sample of both developed and emerging markets, as well as, confirming the results according to Pettengill et al.’s methodology with time-varying betas. Advisors/Committee Members: Boons, Martijn, Sampaio, Joelson Oliveira.

Subjects/Keywords: Risk-return relationship; Unconditional; Conditional; Time-varying betas; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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

APA (6th Edition):

Spierts, J. (2018). An examination of the cross-sectional relationship of beta and return in international stock returns. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/36551

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Spierts, Joshua. “An examination of the cross-sectional relationship of beta and return in international stock returns.” 2018. Thesis, Universidade Nova. Accessed January 28, 2020. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/36551.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Spierts, Joshua. “An examination of the cross-sectional relationship of beta and return in international stock returns.” 2018. Web. 28 Jan 2020.

Vancouver:

Spierts J. An examination of the cross-sectional relationship of beta and return in international stock returns. [Internet] [Thesis]. Universidade Nova; 2018. [cited 2020 Jan 28]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/36551.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Spierts J. An examination of the cross-sectional relationship of beta and return in international stock returns. [Thesis]. Universidade Nova; 2018. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/36551

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.