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Full-Text Articles in Finance and Financial Management
An Investigation Of The Equity Premium Using Habit Utility And Equity Returns: Australian Evidence, Lurion De Mello
An Investigation Of The Equity Premium Using Habit Utility And Equity Returns: Australian Evidence, Lurion De Mello
Theses: Doctorates and Masters
The gap between the return on stocks and the return on the risk free assets represented by bonds is named the 'Equity Premium' or 'Equity Risk Premium'. In the history of asset pricing models, one of the most serious problems for the equity premium is that the average equity premium is too large to be explained by standard general equilibrium asset pricing models. Researcher's have tried to use variables such as dividend yield's to explain the gap between stocks and bonds with mixed results. After retrieving around a one percent equity premium with the most standard consumption base asset pricing …
Finding The True Performance Of Australian Managed Funds, Victor Soucik
Finding The True Performance Of Australian Managed Funds, Victor Soucik
Theses: Doctorates and Masters
When making conclusions about the performance of managed funds, it is critical that the framework in which such performance is measured provides an accurate and unbiased environment. In this thesis I search for true performance of the two major classes of funds- equity as well as fixed interest managed funds. Focusing, first on the former class, I examine five measurement models across three risk-free proxies, nine benchmarks proposed by the extant literature (covering conditional and unconditional as well as single and multi factor definitions) and over three independent periods in an effort to identity (in a consistent setting) the most …
International Portfolio Diversification With Special Reference To Emerging Markets, Joseline Chimhini
International Portfolio Diversification With Special Reference To Emerging Markets, Joseline Chimhini
Theses: Doctorates and Masters
This study evaluates the potential benefits that investors obtain from diversifying their portfolios into emerging markets when the time varying behavior of assets is considered. It also tests whether the existing asset-pricing model developed in the context of developed markets, which assumes complete integration, can explain the expected returns in emerging markets and determines the risk of investing in these markets using cross section and time series data. An international capital asset pricing model (ICAPM) with time varying moments developed by Harvey (1991) is adopted. The conditional asset-pricing model, which takes into account prevailing world economic factors, was used. The …