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Author : E. S. Leung
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)
Download or read book An Empirical Investigation Into Australia's Asset Markets and Exchange Rates written by E. S. Leung and published by . This book was released on 1992 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William Karel Bertram
Publisher :
ISBN 13 :
Total Pages : 482 pages
Book Rating : 4.:/5 (224 download)
Download or read book Modelling Asset Dynamics Via an Empirical Investigation of Australian Stock Exchange Data written by William Karel Bertram and published by . This book was released on 2005 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gale J. Becker
Publisher :
ISBN 13 :
Total Pages : 108 pages
Book Rating : 4.:/5 (779 download)
Download or read book An Empirical Investigation of a Monetary Approach to the Exchange Rate of Australia written by Gale J. Becker and published by . This book was released on 1981 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Manapon Limkriangkrai
Publisher :
ISBN 13 :
Total Pages : 214 pages
Book Rating : 4.:/5 (816 download)
Download or read book An Empirical Investigation of Asset-pricing Models in Australia written by Manapon Limkriangkrai and published by . This book was released on 2007 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: [Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton's zero-intercept criterion for a well-specified pricing model. This study instead documents that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models . . . This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.
Author : Robert William Faff
Publisher :
ISBN 13 :
Total Pages : 596 pages
Book Rating : 4.:/5 (225 download)
Download or read book Empirical Investigations Into Asset Pricing in the Australian Equity Market written by Robert William Faff and published by . This book was released on 1993 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ramya Hewarathna
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (833 download)
Download or read book An Empirical Investigation of the Relationship Among Real, Monetary and Financial Variables written by Ramya Hewarathna and published by . This book was released on 1996 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shigeyuki Hamori
Publisher : Springer Science & Business Media
ISBN 13 : 1441992081
Total Pages : 140 pages
Book Rating : 4.4/5 (419 download)
Download or read book An Empirical Investigation of Stock Markets written by Shigeyuki Hamori and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Author :
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)
Download or read book Research Abstracts written by and published by . This book was released on 1992 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Mark P. Taylor
Publisher : International Monetary Fund
ISBN 13 : 1451964390
Total Pages : 61 pages
Book Rating : 4.4/5 (519 download)
Download or read book Exchange Rate Economics written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1991-06-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: We survey the literature on the two main views of exchange rate determination that have evolved since the early 1970s: the monetary approach to the exchange rate (in flex-price, sticky-price and real interest differential formulations) and the portfolio balance approach. We then go on to discuss the extant empirical evidence on these models and conclude by discussing how the future research strategy in the area of exchange rate determination is likely to develop. We also discuss the literature on foreign exchange market efficiency, on exchange rates and ‘news’ and on international parity conditions.
Author :
Publisher :
ISBN 13 :
Total Pages : 292 pages
Book Rating : 4.:/5 (319 download)
Download or read book Economics Division Working Papers written by and published by . This book was released on 1994 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ronald MacDonald
Publisher : Taylor & Francis
ISBN 13 : 1134801262
Total Pages : 465 pages
Book Rating : 4.1/5 (348 download)
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Taylor & Francis. This book was released on 2007-03-12 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 2007. Exchange Rate Economics: Theories and Evidence is the second edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful content and structure of the previous edition, but has been comprehensively updated and expanded to include additional literature on the determination of both fixed and floating exchange rates. Core topics covered include: • the purchasing power parity hypothesis and the PPP puzzle; • the monetary and portfolio-balance approaches to exchange rates; • the new open economy macroeconomics approach to exchange rates; and • the determination of exchange rates in target zone models and speculative attack models. Exchange Rate Economics: Theories and Evidence also includes extensive discussion of recent econometric work on exchange rates with a particular focus on equilibrium exchange rates and measuring exchange rate misalignment, as well as discussion on the non-fundamentals-based approaches to exchange rate behaviour, such as the market microstructure approach. The book will appeal to academics and postgraduate students with an interest in all aspects of international finance and will also be of interest to practitioners concerned with issues relating to equilibrium exchange rates and the forecastability of currencies in terms of macroeconomic fundamentals.
Author : Christopher Shun
Publisher : Universal-Publishers
ISBN 13 : 1581122810
Total Pages : 336 pages
Book Rating : 4.5/5 (811 download)
Download or read book An Empirical Investigation of the Role of Legal Origin on the Performance of Property Stocks Within the Context of a Tactical Asset Allocation Strategy written by Christopher Shun and published by Universal-Publishers. This book was released on 2005-07-06 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: The role of legal origin was first introduced in the Law and Finance Literature by La Porta et al. (1997) in an original study of legal determinants of external finance. Their study is timely given that investor protection is crucial because in many countries, expropriation of minority shareholders and creditors by controlling shareholders or corporate insiders is extensive. This dissertation intends to replicate the original La Porta et al. (1997) study for Property stocks in 23 countries whose legal jurisdictions falls into the four of the legal fraternities established by La Porta namely, English, French, German and Scandinavian. The primary motivations for this thesis, is that the Property stocks broadly captures several critical aspects of the original La Porta study. Specifically, Property stocks are very tangible assets that can easily be collateralised due to the direct property underpinning the net asset backing of Property stocks. The end result of this research endeavour is to provide a framework for institutional portfolio investors to determine the appropriate countries whose real estate markets have the most favourable investor climate to facilitate a more attractive environment for institutional investors given the Means Variance Optimisation (MVO) methodology. A tactical asset allocation strategy will be employed to determine the three stages that a global investor should undertake to arrive at the optimum proportions of funds to invest in Common stocks or Real Estate stocks in any country firstly based on an Emerging/Developed country analysis then secondly, a geographic Regional analysis and finally on Legal Origin analysis to distil the appropriate proportions of funds that should be invested. This Dissertation has three original contributions, which are as follows: 1) An Empirical investigation of role of Legal origin on the performance of Real Estate stocks within the context of a tactical asset allocation strategy. This dissertation studies the impact that Developed versus Emerging, Regional markets and Legal Origin jurisdictions have on the results of the optimal MVO portfolios (based on the highest Sharpe ratio) and presents the research findings of this study, at the Primary, Secondary and Tertiary levels. This dissertation is envisaged to fill the research gap between legal origin and the performance of Property stocks across four legal fraternities in 23 countries and make an original contribution in the Law & Finance and Portfolio Management Literature. 2) ACTIVE (Ex-Ante) versus PASSIVE (naïve) portfolio management strategy. The original contribution is the application of this methodology to property stocks specifically within a Legal Origin and Regional market framework. Data is collated from 1984 to 2003 (20 years inclusive) from 23 countries with specific reference to the Common and Real Estate stocks markets therein. A 5 year rolling Ex-Post analysis is computed to determine the optimum allocation weights in a multi-asset portfolio and subsequently an Ex-Ante analysis (next immediate year) of the portfolio weights applied to an Actively managed portfolio. This portfolio will be compared with actual portfolio performance from 1989 to 2002 (fifteen subsequent years) to determine whether the Ex-ANTE methodology which underpinned the Active management strategy is preferred over a Passive (equal investment in each asset class) strategy for real estate stocks portfolio management. The Ex-Ante analysis will be undertaken at two stages: Firstly, Legal Origin markets and Secondly, Regional markets. 3) A replication of the Gordon et al. (1995) study which determined the appropriate percentage based on the Markowitz Portfolio Theory (MPT) that should be invested in the Real Estate stock markets in 14 countries. The original contribution is the application of Gordon s methodology to the Legal Origin markets proposed by La Porta et al. (1997). This research study encompasses 23 c
Author : Australian National University. Research School of Social Sciences. Department of Economics
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 ( download)
Download or read book Working Papers in Economics and Econometrics written by Australian National University. Research School of Social Sciences. Department of Economics and published by . This book was released on 1992 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (319 download)
Download or read book The Journal of Agricultural Economics Research written by and published by . This book was released on 1990 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
ISBN 13 : 1589067223
Total Pages : 220 pages
Book Rating : 4.5/5 (89 download)
Download or read book IMF Staff Papers, Volume 55, No. 1 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2008-06-18 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this issue, a team of economists look at approaches to modeling the use of IMF resources in order to gauge whether the recent decline in credit outstanding is a temporary or permanent phenomenon. Era Dabla-Norris and Gabriela Inchauste examine what drives the growth of firms, with a focus on informality and regulations. Evan Tanner and Issouf Samake use a vector autoregression approach to examine the probabilistic sustainability of public debt in Brazil. Mexico, and Turkey. And Rachel Glennerster and Yongseok Shin ask whether transparency pays?that is, does the frequency and accuracy of macroeconomic information released to the public lead to lower borrowing costs in sovereign debt markets?
Author : Stelios Markoulis
Publisher : BoD – Books on Demand
ISBN 13 : 1789238579
Total Pages : 118 pages
Book Rating : 4.7/5 (892 download)
Download or read book Financial Crises written by Stelios Markoulis and published by BoD – Books on Demand. This book was released on 2021-01-14 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book on financial crises is written at a time when the whole world is facing another crisis, a different one this time; one that is related to our health, as well as the economy in a painful manner. The first chapter of this book focuses on the economic effects of this crisis with particular emphasis on the financial sector. The remainder of the book presents a selection of readings related to the GFC. These touch upon issues such as corporate governance; the effect of the collapse of the Lehman Brothers on the net-worth of financial and non-financial firms; securitization and why the alchemy “did not work”; and finally, a case-study on Turkey and in particular the Turkish short-term interest rates and exchange rates and their relationship to political developments.
Author : Shiguang Ma
Publisher : Routledge
ISBN 13 : 1351146912
Total Pages : 302 pages
Book Rating : 4.3/5 (511 download)
Download or read book The Efficiency of China's Stock Market written by Shiguang Ma and published by Routledge. This book was released on 2017-11-30 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: By investigating the efficiency of China's stock market in accordance with the theoretical framework of the Efficient Market Hypothesis, this book focuses on weak form and semi-strong form market efficiency. Empirical tests have been intensively conducted on the random walk hypothesis, the presence of market seasonality and the price reaction to publicly released information. In addition The Efficiency of China's Stock Market provides a comparative analysis between China's stock market and other countries' stock markets.
