Recent research has discussed the possible role of idiosyncratic risk in explaining equity returns. Simultaneously, but somehow independently, numerous other studies have documented the failure ofthe static and conditional capital asset pricing models to explain momentum profits…
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This thesis contains the findings of an examination of the relationship between internal corporate governance structures and the financial performance of South African listed firms. Specifically, using a sample of 100 South African listed firms from 2002 to 2006 (a total of 500 …
The advancesin communicationa nd computert echnology and the availability of the Internet have made it possible that people can do most of their banking transactions from a remote location even without having the need to visit their local branch. With the growing reputation of B…
The present thesis is focused on the examination of the relationship between specific variables with the application of asset pricing models as well as the employment of (G)ARCH models, unit root and cointegration analysis. A theoretical and empirical review on the models is pre…
The work undertaken in this study empirically explores the determinants of regulatory bank capital buffers, and how they influence bank decisions. Focusing on bank capital management under the Basel I framework, this thesis serves to address some of the concerns that have been v…
The aim of this thesis is to study customer order flow and its impact on a small open emerging economy in Sub-Saharan Africa. Customer order flow, as a key concept in the microstructure approach to exchange rate, deals with signed transaction volumes between market-makers and th…
The objective of this paper is to examine whether short-term variation in the ranking of size and style index returns in the UK equity market is better predictable and exploitable by means of quantitative or momentum style rotation strategies. Using UK index data, we assess the …
In this thesis we study the tail behavior of a random variable and sum of dependent random variables using the extreme value theory. We examine the tail behavior of a single random variable by mixture distribution models, and the asymptotic properties of the value-at-risk measur…
This thesis examines if momentum returns are compensation for risk. Using a sample period from 1926 through 2006 for all stocks listed in the NYSE, AMEX and NASDAQ we provide a comprehensive analysis of momentum returns both at the portfolio and at the individual stock level, by…
This thesis investigates the impact of uncertainty on investment in a coalfired power plant using a real options (RO) framework. It is organized in five chapters. In the first chapter I give an outline of the thesis. In Chapter 2 I review the background material. I describe the …