BSSF Research Projects (2018)
Permanent URI for this collection
Browse
Browsing BSSF Research Projects (2018) by Subject "Finance"
Now showing 1 - 3 of 3
Results Per Page
Sort Options
- ItemEmpirical analysis of the value and growth investment styles in an African frontier market.(Strathmore University, 2018) Mumbo, James DennisThe choice of a stock is a headache for all equity investors worldwide ranging from well developed markets to developing markets. This study embarks on testing the Growth and Value investment styles in an African frontier market namely the Nairobi securities exchange and discovers is that the Value investment style does overall outperform the Growth investment style on the basis of portfolio return and Sharpe however there are instances when the Growth investment style does outperform the Growth investment style in the case of this study the results of 2007 are evidence.
- ItemModeling temperature dynamics and pricing temperature derivatives: an investigative Kenyan example(Strathmore University, 2018) Maina, Francis KaranjaThe following research project will propose a mean-reverting stochastic process for modelling the daily average temperature in the Kenyan context. The proposed modelling framework will then be used to price a weather derivatives instrument. First, a general description of weather derivatives is provided along with their applicability in the market. Different models postulated in modeling the dynamics of temperature are then outlined. The Alaton model is then highlighted; a model that prescribes an Ornstein – Uhlenbeck process for the modeling of temperature. The methodology is then outlined as well as a description of the calibration of the model. Thereafter, the aforementioned model dynamics are used in pricing a CDD call option.
- ItemProspect theory: evidence of over-reaction in investor decision making at the Nairobi stock exchange(Strathmore University, 2018) Kimani, Mark ChristianOverreaction is a common investor problem that heavily occurs due to irrationality on the part of the investor. According to Kahneman and Tversky, investors tend to be risk seeking in losses and risk averse in gains, a realization that led to the genesis of the Prospect Theory. Moreover, studies have identified that the Efficient Market Hypothesis is not a perfect tool in determining investor reaction. Therefore this study purposed to analyze the existence of overreaction in the Nairobi Securities Exchange through use of a model Swallow {1998) that analyzes stock abnormal returns, checks for their persistency and also examines if they are driven by overreaction. According to the findings, the market was deemed to be in the weak form of efficiency hence abnormal returns being experienced were persistent. Further, overreaction was observed in losses and not in gains, hence affirming the findings of the Prospect Theory. Overall, in comparison to the Portuguese market, similar findings were obtained hence leading to the conclusion that behavioral biases do play a role in investor decision making and it is imperative for investors to be well educated before investing and to take up effective hedging strategies to mitigate against the negative effects of stock losses