https://www.um.edu.mt/library/oar/handle/123456789/83093 2026-04-10T15:53:17Z https://www.um.edu.mt/library/oar/handle/123456789/84734 Title: Volatility forecasting model : a risk reduction tool for asset managers Abstract: An essential element of an investment is its performance. However, understanding volatility is critical when evaluating a future investment. This paper utilizes a regression model aiming to forecast volatility for the S&P 500 Index. It examines the relationship between the Volatility Index, Price-to-Earnings multiple and Asset Class correlations. This paper also evaluates these explanatory variables individually for market forecasting purposes. It also proves that higher volatility corresponds to a higher probability of declining market, while lower volatility corresponds to a higher probability of a rising market. The Parsimonious regression model identifies these three variables as essential predictors to forecast volatility. The results proved to be highly statistically significant and obtained 59.2% level of confidence, which means that 59.2% of the values are correctly predicted in our model. Furthermore, this paper establishes the respective practical explanations for the outcomes provided. Description: B.Sc. (Hons)(Melit.) 2021-01-01T00:00:00Z https://www.um.edu.mt/library/oar/handle/123456789/84714 Title: Stock price forecasting and trading strategy implementation : a fundamental analysis approach using hierarchical bayesian models and univariate time-series models Abstract: The equity valuation model proposed by Ohlson (1995) seeks to use quarterly data from public companies’ financial statements in order to give adequate confidence intervals for forecasted stock prices. This model does so by applying a time-series regression model, using the company’s book value per share and expected abnormal earnings per share for the following four quarters as inputs, with the company’s stock price serving as this model’s output. By making use of analysts’ forecasted earnings, Ying et al. (2005) apply a Hierarchical Bayesian approach to the Ohlson model, showing that this method improves upon the classical Frequentist approach. In this dissertation, we apply a simplified version of the Hierarchical Bayesian model proposed by Ying et al. (2005) to the constituent companies of the S&P 100 index. Instead of using analysts’ forecasted earnings, we make use of univariate seasonal ARIMA models, whose specifications are decided through the use of Genetic Algorithms, thus building on the works of Lai and Li (2006). The book value per share is also estimated in a similar fashion. A combination of yield curve functions and linear regressions are also used to determine estimates for the risk-free rate, as described in Svensson (1995) and Dominguez and Novales (2002), respectively. In this regard, we propose a self-sufficient equity valuation model that does not make use of analysts’ consensus estimates. Following the implementation of our model to the constituent companies of the S&P 100 index, we explore the viability of creating a trading strategy that manages to consistently beat the market. This is done by backtesting our proposed trading strategy using a 36-month validation dataset, subsequently comparing the results to a simple buy-and-hold approach of the S&P 100 index. Our conclusions present a trading strategy with an average annual return of 23.23%, an alpha of 11.28%, a beta of 1.33, and an R-Squared of 0.79. Given such exceptional results, the validity of the Efficient Market Hypothesis comes into question. Description: B.Sc. (Hons)(Melit.) 2021-01-01T00:00:00Z https://www.um.edu.mt/library/oar/handle/123456789/84671 Title: An analysis of financial literacy amongst non-banking students in Malta Abstract: The aim of this research was to study financial literacy in Malta amongst non-banking students on the factors of financial knowledge, financial behaviour, financial attitude. These factors would help to achieve better understanding of financial literacy. In identifying the level of financial literacy amongst students, would help in developing further schemes to increase the level of financial literacy. A questionnaire was distributed online through the means of social media, to address the research question. Participants of the questionnaire comprised of 112. These participants answered different questions regarding financial knowledge, behaviour, and attitude. Even questions on pension, as this is of almost important due to long-term planning. The study revealed that there was no statistical significance between gender and financial knowledge, behaviour, and attitude. Additionally, there was no statistical significance between parents’ level of education and financial knowledge, behaviour, and attitude. Financial knowledge, questions were the least known as per the whole average. Most of the students did not know how the pension system work, compounding interest and that government is not always safe. The students would be careful of what they spend their money on, however, they would think of the day and let tomorrow take care of itself. At the same time, the participants would pay their bills on time and try to not spend more than their income. Description: B.Com. (Hons)(Melit.) 2021-01-01T00:00:00Z https://www.um.edu.mt/library/oar/handle/123456789/84667 Title: An evaluation of the access to finance of small and medium enterprises in Malta Abstract: Small and Medium Enterprises (SMEs) are acknowledged globally for their crucial contribution to the economy. The Maltese economy is also heavily reliant on SMEs. Although SMEs are renowned for their significant role, access to finance has presented several issues to SMEs throughout the years. Thus, the main aim of this study is to identify whether access to finance is a challenge for SMEs in Malta and, if so, understand the main reasons behind this. This study relies on two distinct but complementary methodologies. The first is a qualitative one and relies on primary information obtained through semi-structured interviews carried out with local banks, the Malta Chamber of SMEs and Malta Enterprise. The second is a qualitative approach and involves the use of secondary data available from the Survey on the Access to Finance of Enterprises (SAFE), a standardised questionnaire conducted among several European countries. The findings suggest that external financing, bank financing in particular, is extremely important to local SMEs. However, SMEs do encounter several constraints when trying to access their required financing, mainly owing to the fact that financial institutions are heavily regulated with regards to lending. This has, in turn, made access to finance more expensive for SMEs as well as more difficult. On the grounds of the findings obtained, this study has identified that access to finance is indeed a challenge for SMEs in Malta. Description: B.Com. (Hons)(Melit.) 2021-01-01T00:00:00Z