Current Search: Department of Economics (x) » Investment analysis (x)
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Title
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Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market.
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Creator
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Sagul, Ryan, Yuhn, Ky-hyang, Florida Atlantic University, College of Business, Department of Economics
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Abstract/Description
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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.
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Date Issued
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2016
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PURL
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http://purl.flvc.org/fau/fd/FA00004730, http://purl.flvc.org/fau/fd/FA00004730
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Subject Headings
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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
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Format
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Document (PDF)
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Title
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EXAMINATION OF PORTFOLIO PERFORMANCE USING DIFFERENT TRADING RULES.
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Creator
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HENNIGS, GABRIEL PEREZ., Florida Atlantic University, Redman, Milton, College of Business, Department of Economics
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Abstract/Description
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This thesis uses a fundamentalist approach to portfolio selection similar to that proposed by Benjamin Graham. The purpose is to examine the existence of undervalued securities and to test a methodology designed to identify those that could be considered superior investments. The model designed to select, combine and evaluate performance on risk adjusted basis takes into consideration fundamental principles of modern portfolio theory. Specifically, this analysis evaluates the informational...
Show moreThis thesis uses a fundamentalist approach to portfolio selection similar to that proposed by Benjamin Graham. The purpose is to examine the existence of undervalued securities and to test a methodology designed to identify those that could be considered superior investments. The model designed to select, combine and evaluate performance on risk adjusted basis takes into consideration fundamental principles of modern portfolio theory. Specifically, this analysis evaluates the informational contribution of price earnings ratios, earnings growth and dividend payments. The hypothesis tested is that undervalued securities selected under the conditions here proposed can produce performance results consistently superior than those of a strategy based on passively holding a market portfolio.
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Date Issued
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1984
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PURL
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http://purl.flvc.org/fcla/dt/14228
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Subject Headings
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Portfolio management, Investment analysis
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Format
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Document (PDF)
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Title
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THE EFFICIENT MARKETS HYPOTHESIS AS IT APPLIES TO SECURITIES.
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Creator
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MCCARTHY, JOSEPH MICHAEL., Florida Atlantic University, Stronge, William B., College of Business, Department of Economics
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Abstract/Description
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This thesis deals with the efficient markets hypothesis as it applies to the securities market. The first chapter provides the various forms of the EMH and its theoretical basis. Chapter two analyzes the weak form of the EMH and the major empirical contributions concerning it. Chapter three presents the strong forms of the EMH. It is concluded on the basis of a substantial and consistent body of analysis that efficient is an accurate description of the securities market.
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Date Issued
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1980
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PURL
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http://purl.flvc.org/fcla/dt/14035
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Subject Headings
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Investment analysis
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Format
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Document (PDF)