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Title: Return seasonalities and systematic risk estimation on the Brussels stock exchange option pricing models
Author: Corhay, A. H.
Awarding Body: University of Cambridge
Current Institution: University of Cambridge
Date of Award: 1990
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This doctoral dissertation consists of five essays related to two fields in financial economics which have been receiving a considerable interest from the academic community: stock market anomalies and option pricing. The first three essays deal with return seasonalities and systematic risk estimation. All three are empirical studies, and the data they use come from the equity markets of the Brussels Stock Exchange. The first essay is devoted to the study of the daily seasonalities in the rates of return. This reveals both a persistent lower return on Tuesday explained neither by various adjustments for the measurement errors nor by a relationship with other seasonal anomalies, and a seasonal pattern in the returns related to the settlement process of the forward market. The second essay examines some properties of market index returns and how their specification affects the security measure of systematic risk. It also demonstrates that the estimate of the systematic risk depends on both the choice of an index and the length of the differencing interval used to measure the returns. Finally, the third essay which tests adjustment procedures for this 'lq intervalling effect on the systematic risk reveals that the inferred asymptotic beta procedure is useful for a one day differencing interval and for a value weighted market index only. The last two essays are theoretical essays on the subject of option pricing. The first one presents simple models in both discrete and continuous time for valuing options on assets whose returns follow an additive process rather than a multiplicative process, as it is assumed, for example, in Cox, Ross and Rubinstein's model. As to the second essay, it demonstrates that a two-state option process can be the starting point of the derivation of any option pricing model. To derive an option pricing model, one needs to define the distribution function of the underlying asset price, and then to represent it with a binomial process with the same mean and variance.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available