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Articles 1 - 4 of 4
Full-Text Articles in Business
Essays On Time-Varying Risk And Investor Sentiment: Evidence From The U.S. And G-7 Countries Using Multivariate Garch Modeling, David William Johnk
Essays On Time-Varying Risk And Investor Sentiment: Evidence From The U.S. And G-7 Countries Using Multivariate Garch Modeling, David William Johnk
Theses and Dissertations - UTB/UTPA
This dissertation investigates the effects of investor sentiment on asset prices in both the U.S. equity market (chapter III) and international market (chapter IV). It employs a conditional version of the CAPM using a parsimonious generalized autoregressive conditional heteroskedasticity (GARCH) model in which the risk premia, betas, and correlations are time-varying. Investor sentiment is presented from two direct measures (surveys) and one indirect measure as conditional information variables; whereas, previous studies used macroeconomic fundamentals. Furthermore, investor sentiment is not assumed to be fully irrational. It is decomposed into its rational and irrational components. Both rational and irrational components are tested …
Essays On Hedge Fund Performance, Sang Heon Shin
Essays On Hedge Fund Performance, Sang Heon Shin
Theses and Dissertations - UTB/UTPA
This dissertation consists of two essays on hedge fund performance. The first essay models exposure of hedge fund to risk factors and examines time-varying performance of hedge funds. From existing models such as ABS-factor model, SAC-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we find combinations of risk factors that most explain variance in performance of each hedge fund portfolio by investment strategy. The results show instability of coefficients in the performance attribution regression. Incorporating time-varying factor exposure feature would be the best way to appropriately measure hedge …
The Role Of Liquidity In The Market For American Depositary Receipts: Evidence From Latin America, Alma Delia Hales
The Role Of Liquidity In The Market For American Depositary Receipts: Evidence From Latin America, Alma Delia Hales
Theses and Dissertations - UTB/UTPA
Since 2003 Latin America has exhibited macroeconomic stability that starkly contrasts conditions in the 1990s. Capital flows from the United States to Latin American equity markets, particularly through American Depositary Receipts (ADRs), increased from 2003 until 2008 when they declined due to the global financial crisis. However, by 2010, capital flows to most Latin American countries exceeded their pre-crisis levels. In spite of the reported macroeconomic stability and rising capital flows, Latin American stock markets remain underdeveloped and exhibit low domestic liquidity. This dissertation analyzes the relationship between low domestic liquidity and the market for ADR issues from four Latin …
Is Capital Structure Relevant? An Empirical Examination Of Capital Structure Choices, William R. Pratt
Is Capital Structure Relevant? An Empirical Examination Of Capital Structure Choices, William R. Pratt
Theses and Dissertations - UTB/UTPA
Modigliani and Miller propose a scenario in which capital structure becomes irrelevant. To achieve the condition of capital structure irrelevance, Modigliani and Miller have to assume market frictions such as taxes, information asymmetry, and other factors do not exist. With the acknowledgement of such forces, capital structure irrelevance does not hold and we are left with the question “why do firms finance the way that they do?” Within this dissertation I address this very question. Chapters one and two provide an introduction and review of the extant literature. Chapter three examines data over a period of 1970 to 2010, with …