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(1 - 5 of 5)
- Title
- A test of market efficiency using ARCH models.
- Creator
- Tan, Feifei., Florida Atlantic University, Yuhn, Ky-hyang
- Abstract/Description
-
The purpose of this thesis is to examine the efficient market hypothesis (EMH) employing an ARCH model proposed by Engle (1982). The relations of the US stock market and other five major stock markets, i.e., the Canadian, French, German, Japanese, and UK markets are investigated. The time series used in this study are monthly stock price and dividend indices for the above six stock markets. The data cover the period from January 1970 to March 1991. In this study I utilize the ARCH model which...
Show moreThe purpose of this thesis is to examine the efficient market hypothesis (EMH) employing an ARCH model proposed by Engle (1982). The relations of the US stock market and other five major stock markets, i.e., the Canadian, French, German, Japanese, and UK markets are investigated. The time series used in this study are monthly stock price and dividend indices for the above six stock markets. The data cover the period from January 1970 to March 1991. In this study I utilize the ARCH model which appears to be very powerful in modeling conditional heteroscedasticity of stock prices. My test results provide unambiguous evidence of significant ARCH effects existing between the six national stock markets. Therefore, this study demonstrates the existence of market inefficiency for these national markets.
Show less - Date Issued
- 1996
- PURL
- http://purl.flvc.org/fcla/dt/15349
- Subject Headings
- Futures Market, Stock Exchanges--Econometric Models
- Format
- Document (PDF)
- Title
- Essays on bond exchange-traded funds.
- Creator
- Evans, Charles W., College of Business, Department of Finance
- Abstract/Description
-
This dissertation investigates two fundamental questions related to how well exchange-traded funds that hold portfolios of fixed-income assets (bond ETFs) proxy for their underlying portfolios. The first question involves price/net-asset-value (NAV) mean-reversion asymmetries and the effectiveness of the arbitrage mechanism of bond ETFs. Methodologically, to answer the first question I focus on a time-series analysis. The second question involves the degree to which average returns of bond...
Show moreThis dissertation investigates two fundamental questions related to how well exchange-traded funds that hold portfolios of fixed-income assets (bond ETFs) proxy for their underlying portfolios. The first question involves price/net-asset-value (NAV) mean-reversion asymmetries and the effectiveness of the arbitrage mechanism of bond ETFs. Methodologically, to answer the first question I focus on a time-series analysis. The second question involves the degree to which average returns of bond ETF shares respond to changes in factors that have been found to drive average returns of bond portfolios. To answer this question I shift the focus of the analysis to a cross-section asset pricing test. In other words, do bond ETF share prices track the value of their underlying assets, and are they priced by investors like bonds in the cross-section? The first essay concludes that bond ETF shares exhibit mean-reversion asymmetries when price and NAV diverge, along persistent small premiums. These premiums appear to reflect the added value that bond ETFs bring to the fixed-income asset market through smaller trading increments, greater liquidity, and the ability to buy on margin and sell short. The second essay concludes that market, bond-specific, and firm-specific risk factors can help to explain the variation in U.S. bond ETF average returns, but only size seems to be priced in the cross-section of expected returns. This is not surprising as the sample used in the asset pricing tests is limited to the period 2007-2010, which corresponds to the "great recession", and size has been interpreted in the asset pricing literature as a state variable that proxies for financial distress and is highly dependent on the phase of the real business cycle., The two essays together suggest that bond ETFs can be used in trading strategies based on taking long and short positions in fixed-income assets, especially when trading in portfolios of fixed-income assets directly is not feasible.
Show less - Date Issued
- 2011
- PURL
- http://purl.flvc.org/FAU/3175017
- Subject Headings
- Exchange traded funds, Portfolio management, Hedge funds, Stock index futures
- Format
- Document (PDF)
- Title
- Intuitive conceptions of dead agents' minds: The natural foundations of afterlife beliefs.
- Creator
- Bering, Jesse Michael, Florida Atlantic University, Bjorklund, David F.
- Abstract/Description
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Little is known about how the minds of dead agents are represented. In Study 1, adult participants with different types of explicit afterlife beliefs were asked in an implicit interview task whether various psychological state types (psychobiological, perceptual, emotional, desire, and epistemic states), as well as pure biological imperatives (e.g., need to eat), continue after death. The results suggest that, regardless of one's explicit reports about personal consciousness after death,...
Show moreLittle is known about how the minds of dead agents are represented. In Study 1, adult participants with different types of explicit afterlife beliefs were asked in an implicit interview task whether various psychological state types (psychobiological, perceptual, emotional, desire, and epistemic states), as well as pure biological imperatives (e.g., need to eat), continue after death. The results suggest that, regardless of one's explicit reports about personal consciousness after death, those who believe in some form of life after death (and, to a certain extent, even those who do not) implicitly represent dead agents' minds in the same way: psychobiological and perceptual states cease while emotional, desire, and epistemic states continue. The findings are interpreted according to simulation constraints---because it is epistemologically impossible to know what it is like to be dead, individuals will be most likely to attribute to dead agents those types of mental states that they cannot imagine being without. In Study 2, the developmental emergence of such reasoning was investigated. In Experiment 1, 4--6-year-olds and 6--8-year-olds were asked a series of biological questions about a dead agent (e.g., "Does his brain still work?"). Even the youngest children were likely to reason that biological processes cease at death. In Experiment 2, different, similarly aged children and also a group of 10--12-year-olds were asked a series of psychological questions about a dead agent (e.g., "Does he know that he's not alive?"). The youngest children were equally likely to reason that both cognitive (e.g., knowing) and psychobiological states (e.g., hunger) continue after death, while the oldest children were more likely to reason that cognitive states continue. Finally, in Experiment 3, both children and adults were asked about a broad array of psychological states (those used in Study 1). With the exception of the youngest children (M = 5 years), who did not distinguish between any of the psychological state types, older children (M = 11-years) and adults were most likely to attribute to dead agents epistemic, emotional, and desire states, suggesting that developmentally based mechanisms underlie implicit accounts of deceased agents' minds.
Show less - Date Issued
- 2002
- PURL
- http://purl.flvc.org/fcla/dt/11989
- Subject Headings
- Future life, Children--Death--Religious aspects, Cognition and culture, Cognitive psychology
- Format
- Document (PDF)
- Title
- Bar splendor: Francesco Meriano e la (ri)illuminizaione delle parole in libertáa.
- Creator
- Patel, Erin., Dorothy F. Schmidt College of Arts and Letters, Department of Languages, Linguistics and Comparative Literature
- Abstract/Description
-
This thesis focuses on the translation of parole in libertáa, an early twentieth century poetic styling that combines a visual and written code proposed by F.T. Marinetti, the founder of Futurism, the Italian avant-garde literary and artistic movement. A translation of 5 "tavole parolibere" from the collection Equatore Notturno, parole in libertáa (1916) by the relatively unknown poet Francesco Meriano will lay the groundwork for the analysis of the obstacles a translator faces in regards to...
Show moreThis thesis focuses on the translation of parole in libertáa, an early twentieth century poetic styling that combines a visual and written code proposed by F.T. Marinetti, the founder of Futurism, the Italian avant-garde literary and artistic movement. A translation of 5 "tavole parolibere" from the collection Equatore Notturno, parole in libertáa (1916) by the relatively unknown poet Francesco Meriano will lay the groundwork for the analysis of the obstacles a translator faces in regards to maintaining the faithfulness to the original while keeping in mind the rules Marinetti set forth in his manifestos on literature and poetry between 1909 and 1914. Meriano adhered to many of these Futurist literary conditions, and thus the translartor's task becomes more challengind as the rules dictate the style, content and form so uniquely interwoven within these pages. The aim of this thesis in not only to shine a new light upon Meriano through the English translation of some of his poems, but also to readdress translation theories with regards to parole in libertáa.
Show less - Date Issued
- 2012
- PURL
- http://purl.flvc.org/FAU/3358752
- Subject Headings
- Criticism and interpretation, Futurism (Art), Futurism (Literary movement), Graphic design (Typography)
- Format
- Document (PDF)
- Title
- Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market.
- Creator
- Sagul, Ryan, Yuhn, Ky-hyang, Florida Atlantic University, College of Business, Department of Economics
- Abstract/Description
-
For the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to...
Show moreFor the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to informational efficiency. The results demonstrate continuously inefficient oil future markets which exhibit decreased informational efficiency during recessionary periods, advocating the adaptive market hypothesis over the efficient market hypothesis.
Show less - Date Issued
- 2016
- PURL
- http://purl.flvc.org/fau/fd/FA00004730, http://purl.flvc.org/fau/fd/FA00004730
- Subject Headings
- Capital market -- Psychological aspects, Energy industries -- Risk management, Financial risk management -- Mathematical models, Futures, Investment analysis, Petroleum industry and trade -- Economic aspects, Stocks -- Mathematical models
- Format
- Document (PDF)
