Browsing by Subject "Stocks"
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Item Aggregate real growth, inflation, and common stock yield(Texas Tech University, 1976-08) Tindall, Michael LloydNot availableItem An empirical test of the performance of the Value line trading strategy in the period 1969 through 1974(Texas Tech University, 1978-05) Van Geem, Henry EdwardsNot availableItem Crunch the market : a Big Data approach to trading system optimization(2013-12) Mauldin, Timothy Allan; Aziz, AdnanDue to the size of data needed, running software to analyze and tuning intraday trading strategies can take large amounts of time away from analysts, who would like to be able to evaluate strategies and optimize strategy parameters very quickly, ideally in the blink of an eye. Fortunately, Big Data technologies are evolving rapidly and can be leveraged for these purposes. These technologies include software systems for distributed computing, parallel hardware, and on demand computing resources in the cloud. This report presents a distributed software system for trading strategy analysis. It also demonstrates the effectiveness of Machine Learning techniques in decreasing parameter optimization workload. The results from tests run on two different commercial cloud service providers show linear scalability when analyzing intraday trading strategies.Item Effect of lawsuits on stock price compared to product withdrawal: a focus on the consequences of Vioxx's adverse effects(Texas Tech University, 2006-08) Watson, Kimberly S.; Xu, Ke Tom; Steinmeier, Thomas L.Pharmaceutical companies are plagued with lawsuits in today’s society. Some companies will hastily remove a product from the market before the negative side effects of the drug can be fully established for fear of severe losses due to lawsuits. Lawsuits will occur whether the drug is left on the market or not, as seen with the multiple cases both decided and pending against Merck for their drug, Vioxx. Using stock analysis as a measurement, it is evident in the case of Vioxx that removing a product from market will have a more detrimental effect on the manufacturer than the lawsuits will. In the cases where a drug could ethically be left on the market with additional warnings for those that may experience negative side effects, it is better for the company to continue to market the product and endure the lawsuits than remove the product and face the lawsuits alone.Item Is there conditional mean reversion in stock returns?(Texas Tech University, 1998-05) Ho, Chia-ChengIn this dissertation, market efficiency means that stock prices fully reflect available information. In this sense, in order to claim that the stock market is efficient, we must know the true available information and the correct equilibrium price (return) model used in setting the stock price. This is in fact a very strong requirement which makes it virtually impossible to test for market efficiency, for in the real world we do not know the true available information and the true equilibrium price model. Therefore, all we can do in testing for market efficiency is to investigate whether or not for a given proposed equilibrium price model, the behavior of the observed stock price complies with the observed market information. Market efficiency has been one of the most important research topics in finance for the past several decades. Early empirical research seems to support the efficient markets hypothesis to a large extent. However, since the late 1970s, the assertion that the stock market is efficient has come under serious attack. No unanimous conclusion on market efficiency has been reached so far. The primary goal of this research is not to resolve the dispute over market efficiency but to develop a test to examine market efficiency from a new perspective.Item Neural network model for stock forecasting(Texas Tech University, 1995-05) Tan, HongThe purpose of the thesis is to use the predictive abiUty of the ANN to analyze some financial time series. Different kinds of stock price data of more than 7 years are collected and used for prediction. Other kinds of time series also are used for the purpose of testing and making comparison. The probabihstic neural network, PNN, is used primarily because of its one-pass fast learning algorithm when dealing with large data sets. The short-term trend of the stock prices is predicted using the powerful classification ability of PNN. The modification of the PNN is made to forecast the real value of time series by first grouping real values into classes, and then converting the predicted class membership to some corresponding value afterward. The thesis will not pursue any trading strategy development, but it would rather attempt to provide necessary and useful information for making such kind of trading decision. Combining the trend and real change of stock prices along with some other knowledge will allow applicant to seek more benefits in the financial market.Item On the conditional forecast of the market risk premium and its economic significance from a long time series perspective(Texas Tech University, 2002-05) Peng, ZhuomingThe equity return data in Wilson and Jones (2002) used in this dissertation previously has not been available for research. This dissertation also is the first attempt in the literature to examine the forecastibility of the annual market risk premium with nonoverlapping observations. Forecasts of the market risk premium obtained with the regression models specified in Equations (3,6a) and (3,6b) and Equations (3,10a) and (3,10b) of this dissertation represent a new approach in the literature. Aggregate leverage variable and the levels of the previous market risk premiums are new variables employed in the regression models. By employing the longest equity return data for the last 130 years and the new regression models, the empirical evidence found in this dissertation generally indicates that the dividend yield series does posses the forecasting power towards the expected market risk premiums. The new testing models represented by Equations (3,6a) and (3,6b) appear to be good forecasting models. Especially, the conditional volatility estimated by EGARCH (1,1) specification can help to forecast the level of the expected market excess returns sampled with three different intervals, namely, annual, quarterly, and monthly. However, the relationship between the conditional mean, i,e,, the return, and the conditional volatility, i.e.,, the risk, of the expected return appears to be less correlated over time. The relationship between the monthly conditional mean and its conditional volatility from January 1914 to December 1956 remains negative, despite the fact that the short-term T-bill rates have been excluded from the set of explanatory variables. In addition, this relationship is not statistically significant in the last subperiod, January 1957 to December 1999, As such, it remains to be seen how financial economists may explain these puzzles in future research. Both quarterly and monthly ex ante market risk premiums appear to have mean-reverting tendencies. The monthly forecasting models do appear possessing economic significance. The evidence of the aggregate leverage {AL) having forecasting value is weak in the annual data, but there is some evidence that the AL variable may forecast the monthly and quarterly excess returns. Last but not least, the "manufactured" annual dividend yield data from 1802 to 1870 in Schwert (1990) does not appear having forecasting values.Item The British index-linked gilt market: a financial analysis(Texas Tech University, 1995-12) Pai, Chao-LunIndex-linked gilts are gilts whose principal and coupon payments are fully linked to the Retail Prices Index (RPI), the British equivalent of U.S. Consumer Price Index, with an eight-month lag. The indexation is lagged for two reasons. In order for traders to calculate the accmed interest during the six-month interval between the two coupon payment dates, the exact amount of the next coupon payment must be Icnown, which therefore needs to be indexed to the RPI six months before. The other two months are required for the lag between measurement and announcement of the RPI. Because of the lagged indexation, the RPI eight months prior to the issuance date is used as the base index. The first coupon payment is equal to the promised semi-annual coupon payment multiplied by the ratio of the RPI two months before issuance to the base index. In other words, the first coupon payment is scaled up by the inflation rate, as measured by the rate of change of RPI, of the six-month period from the base month. The inflation adjustment factor for the second coupon payment is the inflation rate of the twelve-month period from the base month. All the following coupons are indexed to the RPI in a similar fashion. The last coupon and the redemption value at maturity date will be adjusted by the ratio of the RPI eight months before maturity to the base index.Item The response of stock returns to unexpected earnings under different capital gain and ordinary income tax rates: an analysis based on the Ohlson valuation model(Texas Tech University, 1998-12) White, Craig GrahamThe dividend irrelevance proposition holds that current dividends result in a dollar for dollar reduction in a stock's price and expected future dividend payouts have no effect on a stock's current value (Miller and Modigliani 1961). A long running question in the literature is whether this state exists given tax favored treatment afforded to retained earnings over dividend payments. Given recent firm valuation models, with roots in Miller and Modigliani's work, based on accounting earnings and book value, this question takes on added importance to the accounting literature. This study analyzes the returns of "dividend" and "non-dividend" paying firms around their quarterh' earnings announcement date associated with a measure of unexpected earnings. The firms are sorted into risk groupings in the manner of Fama and French (1992). The results of the study are mixed. The results indicate no perceptible difference in reaction associated with unexpected earnings of the firms. However, the level of return around earnings announcements does exhibit some correlation with dividend paying status.Item The symmetry of systematic risk: a study of security performance responsiveness to market fluctuations(Texas Tech University, 1973-08) Allen, Chester LeeNot available