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Risk and Return in Transportation and Other US and Global Industries - Manolis G. Kavussanos

Risk and Return in Transportation and Other US and Global Industries

Hardcover Published: 30th June 2001
ISBN: 9780792373568
Number Of Pages: 174

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The type of research methodologies used in analysing stock returns in the book is outlined in this technical chapter. The chapter begins with definitions of useful summary statistics, such as the mean, standard deviation, coefficient of variation, and their interpretation. Tests statistics for inferences on population means, proportions and differences of means, among others, are also presented. A summary of single equation regression techniques and the way these are applied through estimation and inference are outlined, focusing on the interpretation of standard output and diagnostic tests. The single equation methodology is then extended to multiple equation systems; the methods of Multivariate Least Square (MLSQ) of Seemingly Unrelated Regression Equations (SURE) are Regressions as well as those considered. Time series, ARlMA, models form also part of the discussion. This is a chapter, which is aimed at readers who are interested in understanding the technical background used in deriving results later in the book. 2.2. Summary Statistics for a set of Data A set of numbers which are generated by agents' actions in the market, and which can take different values if the agents were to repeat their actions, are known as random variables. For example, prices of shares in the stock exchange are determined at each point in time from the collective actions of agents operating in the market through their demand and supply decisions. The price of a share is thus a random variable, and so is the return of the share.

List of Figuresp. xii
List of Tablesp. xiii
List of Abbreviationsp. xv
List of Symbolsp. xvi
Book Overviewp. 1
Aim of the Bookp. 1
The Decision Process for the Investor-Analysing and Selecting Stocksp. 7
The Determinants of Stock Returns-General Literature Surveyp. 9
Importance of the Industry Effectp. 15
A General Finance point of viewp. 15
A Strategy point of viewp. 18
Industry Classification of Industriesp. 20
Industries used for the Purposes of this Thesisp. 23
US Transportation Industriesp. 23
Non-Transportation Industriesp. 29
Rationale for selecting the above industriesp. 35
Conclusionp. 36
Exact SIC Definitions for the US Industries covered in the Bookp. 37
US Companies used in this Book grouped according to SICp. 40
Statistical Methodologyp. 43
Introductionp. 43
Summary Statistics for a set of Datap. 43
Inference (Hypothesis Testing or Confidence Intervals)p. 47
Single Equation Regression Methodsp. 49
The problem of Estimationp. 52
The problem of Inferencep. 53
Goodness of Fit and some DiagnosticTestsp. 54
The Significance of the Regression Model Assumptions and GLS estimationp. 56
Multiple Equation Regression Methodsp. 58
Seemingly Unrelated Regression Equations (SURE)p. 60
SURE Estimation with unknown Covariance Matrixp. 61
Properties of SURE Estimatorsp. 62
Autoregressive Integrated Moving Average (ARIMA) Modelsp. 63
Conclusionp. 64
Data Definitions, Properties, Transformationsp. 66
Introductionp. 66
Models and Variablesp. 66
Correlation Amongst Variablesp. 71
Properties of Returns of the Water Transportation Industryp. 71
Conclusionp. 74
Results from the CAPM-Capital Asset Pricing Modelp. 75
Introductionp. 75
The Capital Asset Pricing Model (CAPM) and Market Riskp. 76
The CAPM under different market conditionsp. 77
Results for the Water Transportation Industryp. 78
Camparison of the Industry with the Market Indexp. 79
Bull versus Bear Market Conditionsp. 83
The Size effectp. 84
Comparison of the Water Transportation Beta with other Industriesp. 86
Conclusionp. 91
Microeconomic (Company Specific) Factors As Determinants Of Equity Returnsp. 93
Introductionp. 93
A Possible Set of Relevant Microeconomic Factorsp. 93
Results--Identified Factors in each Industryp. 95
Conclusionp. 104
Macroeconomic (Economy Wide) Factors As Determinants Of Equity Returnsp. 106
Introductionp. 106
A Possible Set of Relevant Macroeconomic Factorsp. 107
Results--Identified Factors in each Industryp. 109
Conclusionp. 116
Microeconomic and Macroeconomic Factors-A Unified Approachp. 118
Introductionp. 118
A Possible Set of Relevant Micro and Macroeconomic Factorsp. 119
Results--Identified Factors in each Industryp. 120
Conclusionp. 126
Macroeconomic Factors and International Industry Returnsp. 128
Introductionp. 128
Methodologyp. 130
Datap. 132
Empirical Tests and Resultsp. 135
Summary and Conclusionp. 139
Conclusionp. 141
Major Findings of the Bookp. 141
Summary of Results from the CAPM: Intertemporal Analysis, Different market conditions and Cross Industry Comparisonp. 146
Microeconomic Factors as Determinants of Equity Returnsp. 147
Macroeconomic Factors as Determinants of Equity Returnsp. 149
Microeconomic and Macroeconomic Factors-A Unified Approachp. 151
Macroeconomic Factors and International Industry Returns--A Global Approachp. 153
Usefulness of the Findings of this Bookp. 155
Usefulness of the findings for investors and portfolio managersp. 155
Usefulness of the findings for corporate financiersp. 157
Conclusionp. 160
Referencesp. 163
Index of Authorsp. 169
Index of Subjectsp. 171
Table of Contents provided by Syndetics. All Rights Reserved.

ISBN: 9780792373568
ISBN-10: 0792373561
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 174
Published: 30th June 2001
Publisher: Springer
Country of Publication: NL
Dimensions (cm): 23.4 x 15.6  x 1.91
Weight (kg): 1.0