Saudi Cultural Missions Theses & Dissertations
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Item Restricted A Critical Evaluation of the Asymmetric Effects of Covid-19 on the Risk Betas of Essential and Non-Essential Sectors(University of Southampton, 2020) Alzughaibi, Faris; Leitch, MatthewAbstract The main aim of this research study is to critically evaluate the impact of the current health crisis on the betas (a measure of systematic risk) of companies listed on the London Stock Exchange in the United Kingdom. Specifically, the current study focuses on examining the underlying impact of the covid19 health crisis on the betas of companies grouped under two different categories including the non-essential services category and the essential services category. The current study also seeks to compare the impact of the current health crisis on the betas of non-essential and essential companies with the impact that the 2008 financial crisis had on the same companies. The current study relies on secondary research that deploys an event study approach in order to achieve the aim of the research study herein. Historical data on weekly adjusted closing prices of 26 stocks grouped equally under two categories (non-essential companies and essential companies) based on government guidelines, was collected and used to calculate the betas for four different periods including the period before covid19, during covid19, before the 2008 financial crisis and during the 2008 financial crisis. The FTSE All-Share Index was used as the market benchmark for purposes of calculating beta. The comparison of the results obtained from the data collected and the analysis conducted indicates that covid19 had a more profound impact on stock price returns and betas of the selected companies for this study compared to the impact that the 2008 financial crisis had on the same companies. In addition, the results indicate that the covid19 pandemic had a more significant impact on the betas of non-essential companies compared to essential companies. There are various explanations that have been presented in prior studies to explain the reasons for the profound impact of the covid19 pandemic. However, this study finds that the response actions and policies implemented by the government during covid19 provide the most compelling and satisfying explanation for the unprecedented covid19 impact on the stock market – both on the volatility (measured by beta) and stock market returns.17 0Item Restricted The Pricing of Interest Rate Risk: Evidence from U.S. REITs(University of Nottingmah, 2024-09-19) Alnasser, Abdulaziz Nasser; Vigier, AdrienThis study examines the pricing of interest-rate risk in U.S. REITs, which have gained increasing interest from investors and academic researchers in recent years. Using a two-factor Arbitrage Pricing Theory (APT) design, this current study was based on data collected over five years, including total returns for U.S. equity REITs, interest rate changes, and returns for relevant market indexes. Empirical results indicate that REITs are significantly negatively sensitive to interest rate fluctuations, which suggests that for investors, there should be a premium compensation against such risk. This paper stipulates the interest rate effect as an important factor that investors and policymakers cannot afford to neglect when making decisions and formulating their investment strategies.29 0