subject:(investment)

University of Cape Town

1. Mitton Barend, Cornelius. The performance of equity collective investment schemes in post-liberalised South Africa.

Degree: MBA, Research of GSB, 2017, University of Cape Town

URL: http://hdl.handle.net/11427/25647

► Purpose of the study: Based on Jensen's paper on the performance of mutual funds, utilising models based on the efficient market hypothesis and the capital… (more)

▼ Purpose of the study: Based on Jensen's paper on the performance of mutual funds, utilising models based on the efficient market hypothesis and the capital asset pricing model, the main objective of this research report is to empirically evaluate the performance of South African domestic equity collective investment schemes over the period 1995-2016. Methodology design and approach – This is a deductive, empirical, quantitative study on the performance of individual South African domestic equity collective investment schemes. The study evaluates performance using nominal returns, Treynor ratios, Sharpe ratios and Jensen's alpha. Jensen's alpha is calculated utilising ordinary least squares regression analysis, to ensure robustness the Newey-West method of correcting standard errors is applied. The Johannesburg Stock Exchange All Share Index is used as a market portfolio proxy to compare the funds to. Empirical results: The empirical findings conclude that the average South African domestic equity collective investment scheme underperforms the market index. These findings are in accordance with other studies on collective investment schemes internationally. Practical implications: The results of this research report allow investors to make informed decisions when investing in equity collective investment schemes in South Africa. It also adds to the ongoing debate on active versus passive investment management. It is also useful to compare the findings of this study to that of other local and international studies on the performance of collective investment funds over different periods. Originality and value of research: Many previous studies on the performance of collective investment schemes have been performed in developed markets especially the United States, but only a few has been done on emerging markets. This study contributes to the literature on South African and emerging market collective investment schemes. The findings of the research report enhance the current literature and debate on active versus passive investment management in a South African and emerging market context. Advisors/Committee Members: Gossel, Sean J.

Subjects/Keywords: Investment Management; collective investment scheme

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APA (6^th Edition):

Mitton Barend, C. (2017). The performance of equity collective investment schemes in post-liberalised South Africa. (Masters Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/25647

Chicago Manual of Style (16^th Edition):

Mitton Barend, Cornelius. “The performance of equity collective investment schemes in post-liberalised South Africa.” 2017. Masters Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/25647.

MLA Handbook (7^th Edition):

Mitton Barend, Cornelius. “The performance of equity collective investment schemes in post-liberalised South Africa.” 2017. Web. 21 Jul 2019.

Vancouver:

Mitton Barend C. The performance of equity collective investment schemes in post-liberalised South Africa. [Internet] [Masters thesis]. University of Cape Town; 2017. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/25647.

Council of Science Editors:

Mitton Barend C. The performance of equity collective investment schemes in post-liberalised South Africa. [Masters Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/25647

University of Exeter

2. Cox, Paul. Institutional investment and responsible investing.

Degree: PhD, 2009, University of Exeter

URL: http://hdl.handle.net/10036/98368

► The four refereed journal articles and one government research report that form the core of this submission for a PhD represent my work in the… (more)

Subjects/Keywords: 658; responsible investment : institutional investment

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APA (6^th Edition):

Cox, P. (2009). Institutional investment and responsible investing. (Doctoral Dissertation). University of Exeter. Retrieved from http://hdl.handle.net/10036/98368

Chicago Manual of Style (16^th Edition):

Cox, Paul. “Institutional investment and responsible investing.” 2009. Doctoral Dissertation, University of Exeter. Accessed July 21, 2019. http://hdl.handle.net/10036/98368.

MLA Handbook (7^th Edition):

Cox, Paul. “Institutional investment and responsible investing.” 2009. Web. 21 Jul 2019.

Vancouver:

Cox P. Institutional investment and responsible investing. [Internet] [Doctoral dissertation]. University of Exeter; 2009. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/10036/98368.

Council of Science Editors:

Cox P. Institutional investment and responsible investing. [Doctoral Dissertation]. University of Exeter; 2009. Available from: http://hdl.handle.net/10036/98368

Universidade Nova

3. Schink, Steffen. Optimization of investment promotion tools for Portugal: Specific recommendations to attract investments from Germany.

Degree: 2014, Universidade Nova

URL: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/11809

►

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business… (more)

Subjects/Keywords: Foreign direct investment; Investment promotion

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APA (6^th Edition):

Schink, S. (2014). Optimization of investment promotion tools for Portugal: Specific recommendations to attract investments from Germany. (Thesis). Universidade Nova. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/11809

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Schink, Steffen. “Optimization of investment promotion tools for Portugal: Specific recommendations to attract investments from Germany.” 2014. Thesis, Universidade Nova. Accessed July 21, 2019. http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/11809.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Schink, Steffen. “Optimization of investment promotion tools for Portugal: Specific recommendations to attract investments from Germany.” 2014. Web. 21 Jul 2019.

Vancouver:

Schink S. Optimization of investment promotion tools for Portugal: Specific recommendations to attract investments from Germany. [Internet] [Thesis]. Universidade Nova; 2014. [cited 2019 Jul 21]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/11809.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Schink S. Optimization of investment promotion tools for Portugal: Specific recommendations to attract investments from Germany. [Thesis]. Universidade Nova; 2014. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/11809

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

4. Persson, Atkeyelsh G M. Foreign direct investments in large-scale agriculture: the policy environment and its implications in Ethiopia.

Degree: Image, School of Architecture, Planning and Geomatics, 2016, University of Cape Town

URL: http://hdl.handle.net/11427/23416

► In most African states, arable land and other natural resources play a pivotal role for economic growth and development. Ethiopia is one of those countries… (more)

▼ In most African states, arable land and other natural resources play a pivotal role for economic growth and development. Ethiopia is one of those countries where agriculture is the backbone of the economy. Since the time of Emperor Haile Selassie I, Ethiopia has been attempting to advance the transformation of its agricultural sector by moving away from small-scale subsistence farming to large-scale commercial farming. It thus encouraged Foreign Direct Investment (FDI) in largescale agriculture. However, the military government that took power in 1974 reversed this. The current government of Ethiopia seized power from the military regime in 1991. Today the government once again advocates FDI in large-scale agriculture. This has led to an influx of foreign investors, especially in Gambella and Benshanguel-Gumuz Regional States. Various scholars, however, criticize the manner in which these investments have been taking place, arguing that the investments are neither pro-poor nor sustainable. Against this backdrop this research seeks to examine current policies, the patterns of investment they promote, and how these affect land-based resources and the wellbeing of communities. The study intends to provide information that may help improve the performance of FDI in terms of their sensitivity to poverty alleviation and sustainability. It also aims to boost current knowledge on FDI in agriculture in Ethiopia. The study was conducted using multiple data collection methods, including documentation, interviews, focus group discussions with the affected communities and direct observations in the case study areas. The results are analysed using pro-poor and sustainability frameworks for FDI in large-scale agriculture, along with findings of empirical studies on national FDI policies and practices in various parts of the globe. The analyses reveal that the Ethiopian investment policy's support to FDI in large-scale agriculture is inadequate. It focuses on giving incentives to attract FDI rather than ensuring the availability of quality institutions and sufficient infrastructure, which are vital for facilitating the operation and productivity of FDIs. Furthermore, the absence of community participation in the decision-making process for the agricultural investment projects in the case study areas portends significant negative implications for the wellbeing of local communities and the sustainability of the natural environment. The study recommends further research to investigate the economic viability of alternative land-based investments, such as eco-tourism, which is shown to be environmentally sustainable and can be shaped to be pro-poor. Also recommended is additional research into good practices for large-scale agricultural investments, that can be adapted to Ethiopian conditions, should the government opt to continue promoting FDI. Advisors/Committee Members: Whittal, Jennifer (advisor), Ramutsindela, Maano (advisor).

Subjects/Keywords: Foreign Direct Investment; sustainable investment

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APA (6^th Edition):

Persson, A. G. M. (2016). Foreign direct investments in large-scale agriculture: the policy environment and its implications in Ethiopia. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/23416

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Persson, Atkeyelsh G M. “Foreign direct investments in large-scale agriculture: the policy environment and its implications in Ethiopia.” 2016. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/23416.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Persson, Atkeyelsh G M. “Foreign direct investments in large-scale agriculture: the policy environment and its implications in Ethiopia.” 2016. Web. 21 Jul 2019.

Vancouver:

Persson AGM. Foreign direct investments in large-scale agriculture: the policy environment and its implications in Ethiopia. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/23416.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Persson AGM. Foreign direct investments in large-scale agriculture: the policy environment and its implications in Ethiopia. [Thesis]. University of Cape Town; 2016. Available from: http://hdl.handle.net/11427/23416

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

5. Wangkheimayum, Seityavama Chanu. Small savings and investment in Manipur; -.

Degree: Commerce, 2014, Manipur University

URL: http://shodhganga.inflibnet.ac.in/handle/10603/41141

None

Bibliography p.247 - 257

Advisors/Committee Members: Rajmani Singha, A.

Subjects/Keywords: Investment

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APA (6^th Edition):

Wangkheimayum, S. C. (2014). Small savings and investment in Manipur; -. (Thesis). Manipur University. Retrieved from http://shodhganga.inflibnet.ac.in/handle/10603/41141

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Wangkheimayum, Seityavama Chanu. “Small savings and investment in Manipur; -.” 2014. Thesis, Manipur University. Accessed July 21, 2019. http://shodhganga.inflibnet.ac.in/handle/10603/41141.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Wangkheimayum, Seityavama Chanu. “Small savings and investment in Manipur; -.” 2014. Web. 21 Jul 2019.

Vancouver:

Wangkheimayum SC. Small savings and investment in Manipur; -. [Internet] [Thesis]. Manipur University; 2014. [cited 2019 Jul 21]. Available from: http://shodhganga.inflibnet.ac.in/handle/10603/41141.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wangkheimayum SC. Small savings and investment in Manipur; -. [Thesis]. Manipur University; 2014. Available from: http://shodhganga.inflibnet.ac.in/handle/10603/41141

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

6. Thomas, Vinu. A portfolio based assessment of the efficiency of the Johannesburg Stock Exchange.

Degree: MBA, Research of GSB, 2017, University of Cape Town

URL: http://hdl.handle.net/11427/25472

► This paper aims to test the efficiency, more specifically semi-strong form efficiency, of the Johannesburg Stock Exchange (JSE) by conducting a portfolio study. Unlike event… (more)

▼ This paper aims to test the efficiency, more specifically semi-strong form efficiency, of the Johannesburg Stock Exchange (JSE) by conducting a portfolio study. Unlike event studies, which aim to assess whether abnormal returns can be attained by employing investment strategies that target specific events, the portfolio study aims to understand whether specific firm characteristics or strategies can be utilised to create portfolios of shares that generate abnormal returns relative to the market. Market efficiency in the semi-strong form assumes that all public information is synthesised and processed efficiently, and as a result, it will not be possible to obtain abnormal returns by pursuing investment strategies that make use of publicly available information. Four common firm specific characteristics namely: the price to book value (P/BV) ratio; the price to earnings (P/E) ratio; the market capitalisation; and the share price momentum were used as the defining strategies with which portfolios were created. In addition to this, random portfolios were also created in line with random walk theory. Jensen's alpha was computed to determine whether abnormal returns were possible between 2000 and 2016, and the relative portfolio performance was determined using the Sharpe and Treynor ratios. The results demonstrate that an investment strategy consisting of shares with high price momentum outperformed the market during the time period by generating significant abnormal returns. In addition to this, it was found that portfolios consisting of shares with the largest market capitalisation were able to generate significant abnormal returns over the entire period and outperform the market. These results provide evidence that firm specific characteristics as well as past share prices can be used to predict future returns and generate abnormal returns, thus providing evidence against semi-strong and weak form efficiency of the JSE. Advisors/Committee Members: Gossel, Sean J.

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Thomas, V. (2017). A portfolio based assessment of the efficiency of the Johannesburg Stock Exchange. (Masters Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/25472

Chicago Manual of Style (16^th Edition):

Thomas, Vinu. “A portfolio based assessment of the efficiency of the Johannesburg Stock Exchange.” 2017. Masters Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/25472.

MLA Handbook (7^th Edition):

Thomas, Vinu. “A portfolio based assessment of the efficiency of the Johannesburg Stock Exchange.” 2017. Web. 21 Jul 2019.

Vancouver:

Thomas V. A portfolio based assessment of the efficiency of the Johannesburg Stock Exchange. [Internet] [Masters thesis]. University of Cape Town; 2017. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/25472.

Council of Science Editors:

Thomas V. A portfolio based assessment of the efficiency of the Johannesburg Stock Exchange. [Masters Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/25472

Texas A&M University

7. Alanis Hernandez, Emmanuel. Two Essays in Corporate Finance.

Degree: 2015, Texas A&M University

URL: http://hdl.handle.net/1969.1/155471

► In this dissertation, we answer two research question in corporate finance. In the first essay, ?A New Benchmark: Relative Performance Evaluation with Total Returns?, we… (more)

▼ In this dissertation, we answer two research question in corporate finance. In the first essay, ?A New Benchmark: Relative Performance Evaluation with Total Returns?, we revisit the question of relative performance evaluation (RPE) in executive compensation. While previous literature has commonly rejected the use of RPE when using equity returns as performance measure, we argue that the total return of the firm is a preferable metric in RPE regressions since the exogenous common shocks analyzed in extant theory occur at the asset level. Further, it is plausible that executives are concerned about the total value of the firm since shareholders bear most of the brunt of the agency cost of other stakeholders and executives can hold nontrivial amounts of debt{like instruments. We find strong evidence in support of RPE in the compensation of top executives. In addition, we cannot reject that the magnitude of RPE used in the average contract is optimal. Overall, this essay contributes to the ongoing debate about the efficiency of executive pay. In the second essay, ?Shareholder Bargaining Power, Debt Overhang, and Investment?, we analyze how shareholder bargaining power affects the underinvestment problem caused by debt overhang. Using a dynamic model of strategic bargaining between equity and debt holders following default, we relate firm-specific characteristics, such as the shareholder and bondholder ownership concentration, to debt overhang and investment. Consistent with our predictions, we find expected liquidation values and bondholder ownership concentration enhance the underinvestment effect of debt overhang, while shareholder ownership concentration mitigates it. Our results highlight how shareholder bargaining power in default can affect the underinvestment problem caused by debt overhang. In the second essay, "Shareholder Bargaining Power, Debt Overhang, and Investment", we analyze how shareholder bargaining power affects the underinvestment problem caused by debt overhang. Using a dynamic model of strategic bargaining between equity and debt holders following default, we relate firm-specific characteristics, such as the shareholder and bondholder ownership concentration, to debt overhang and investment. Consistent with our predictions, we find expected liquidation values and bondholder ownership concentration enhance the underinvestment effect of debt overhang, while shareholder ownership concentration mitigates it. Our results highlight how shareholder bargaining power in default can affect the underinvestment problem caused by debt overhang. Advisors/Committee Members: Johnson, Shane A (advisor), Boone, Audra (committee member), Kim, Hwagyun (committee member), Tse, Senyo (committee member).

Subjects/Keywords: Compensation; Investment

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APA (6^th Edition):

Alanis Hernandez, E. (2015). Two Essays in Corporate Finance. (Thesis). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/155471

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Alanis Hernandez, Emmanuel. “Two Essays in Corporate Finance.” 2015. Thesis, Texas A&M University. Accessed July 21, 2019. http://hdl.handle.net/1969.1/155471.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Alanis Hernandez, Emmanuel. “Two Essays in Corporate Finance.” 2015. Web. 21 Jul 2019.

Vancouver:

Alanis Hernandez E. Two Essays in Corporate Finance. [Internet] [Thesis]. Texas A&M University; 2015. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/1969.1/155471.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Alanis Hernandez E. Two Essays in Corporate Finance. [Thesis]. Texas A&M University; 2015. Available from: http://hdl.handle.net/1969.1/155471

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Addis Ababa University

8. ABEBE, ALEMU MELESE. A THESIS SUBMITTED TO THE SCHOOL OF GRADUATE STUDIES OF ADDIS .

Degree: 2012, Addis Ababa University

URL: http://etd.aau.edu.et/dspace/handle/123456789/3572

► Ethiopian has had long-standing bilateral relations with the Arabian Peninsula dating back to ancient Axumite kingdom. The relations were manifested in terms of religion, economic,… (more)

▼ Ethiopian has had long-standing bilateral relations with the Arabian Peninsula dating back to ancient Axumite kingdom. The relations were manifested in terms of religion, economic, and political aspects. In all of these contacts, the interaction has had both challenges and opportunities. For instance, starting from 1932 (after the formation of Saudi Arabia, taking much of Arabian Peninsula) until 1991, there were no active relations between Ethiopia and Saudi Arabia. However, 1991 was the turning point in the relation between the two countries. In these years, economic interactions took more importance though political and religious contacts still have significance. This research thesis looks into post-1991 Ethiopia and Saudi Arabian economic relations: taking agricultural investment and trade as the main focus. It aims to understand the challenges and opportunities that these agricultural investment and trade bring to Ethiopia when the country conducts its economic relation with Saudi Arabia. The study argues that Saudi Arabia has strategic, religious and economic interest towards Ethiopia. But due to political development in Ethiopia after 1991, economical interests prevailed over other interests. In view of this, the objective of this thesis is to provide empirical evidences regarding the advantages and disadvantages of agricultural investment and the types of export and import items that Ethiopia and Saudi Arabia are trading with each other. The thesis indicates that trade relations and Saudi investment in agricultural sector are increasing tremendously in recent years. To study these issues, the thesis has used qualitative research methodology. In chapter two and three, available literatures were reviewed to discus about historical relations of the two countries. Concerning advantages and disadvantages of the agricultural investment, unstructured interview were conducted with workers of Saudi Star Agricultural Company, residents in Gambella, and pertinent officials in agricultural areas. This study tries to answer research questions: Why has Saudis economic interest increased after 1991 in Ethiopia? What are different factors for trade imbalance which is usually in favor of Saudi Arabia? What are the roles of Saudi agricultural investment for the food security in Ethiopia? The findings from data analysis showed that the economic relationships between the two countries are in favor of Saudi Arabia in agricultural investment and trade. With regard to agricultural investment, Saudi investments in this sector do not solve food insecurity in Ethiopia; it is merely for export to the Saudi market. Also, available data show that Ethiopia imports more commodities from Saudi Arabia than it exports. Advisors/Committee Members: Asnake Kefale (advisor).

Subjects/Keywords: AGRICULTURAL; INVESTMENT

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APA (6^th Edition):

ABEBE, A. M. (2012). A THESIS SUBMITTED TO THE SCHOOL OF GRADUATE STUDIES OF ADDIS . (Thesis). Addis Ababa University. Retrieved from http://etd.aau.edu.et/dspace/handle/123456789/3572

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

ABEBE, ALEMU MELESE. “A THESIS SUBMITTED TO THE SCHOOL OF GRADUATE STUDIES OF ADDIS .” 2012. Thesis, Addis Ababa University. Accessed July 21, 2019. http://etd.aau.edu.et/dspace/handle/123456789/3572.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

ABEBE, ALEMU MELESE. “A THESIS SUBMITTED TO THE SCHOOL OF GRADUATE STUDIES OF ADDIS .” 2012. Web. 21 Jul 2019.

Vancouver:

ABEBE AM. A THESIS SUBMITTED TO THE SCHOOL OF GRADUATE STUDIES OF ADDIS . [Internet] [Thesis]. Addis Ababa University; 2012. [cited 2019 Jul 21]. Available from: http://etd.aau.edu.et/dspace/handle/123456789/3572.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

ABEBE AM. A THESIS SUBMITTED TO THE SCHOOL OF GRADUATE STUDIES OF ADDIS . [Thesis]. Addis Ababa University; 2012. Available from: http://etd.aau.edu.et/dspace/handle/123456789/3572

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Addis Ababa University

9. Bizuayehu, Getachew. Remittances and Household Welfare: Longitudinal Evidence from Urban Ethiopia .

Degree: 2008, Addis Ababa University

URL: http://etd.aau.edu.et/dspace/handle/123456789/5088

► Two views are raised on the impact of remittances at the household level. The first view contends that remittances directly augment the income of recipient… (more)

Subjects/Keywords: Investment; Entrepreneurship

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APA (6^th Edition):

Bizuayehu, G. (2008). Remittances and Household Welfare: Longitudinal Evidence from Urban Ethiopia . (Thesis). Addis Ababa University. Retrieved from http://etd.aau.edu.et/dspace/handle/123456789/5088

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Bizuayehu, Getachew. “Remittances and Household Welfare: Longitudinal Evidence from Urban Ethiopia .” 2008. Thesis, Addis Ababa University. Accessed July 21, 2019. http://etd.aau.edu.et/dspace/handle/123456789/5088.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Bizuayehu, Getachew. “Remittances and Household Welfare: Longitudinal Evidence from Urban Ethiopia .” 2008. Web. 21 Jul 2019.

Vancouver:

Bizuayehu G. Remittances and Household Welfare: Longitudinal Evidence from Urban Ethiopia . [Internet] [Thesis]. Addis Ababa University; 2008. [cited 2019 Jul 21]. Available from: http://etd.aau.edu.et/dspace/handle/123456789/5088.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bizuayehu G. Remittances and Household Welfare: Longitudinal Evidence from Urban Ethiopia . [Thesis]. Addis Ababa University; 2008. Available from: http://etd.aau.edu.et/dspace/handle/123456789/5088

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Addis Ababa University

10. Shiferaw, Negash. Assessment of Foreign Direct Investment effectiveness in Development and its challenges and Prospects: the case of special Zone of Oromia .

Degree: 2014, Addis Ababa University

URL: http://etd.aau.edu.et/dspace/handle/123456789/5114

► Foreign Direct Investment (FDI) plays an important role as an engine of employment, technological development, productivity enhancement, economic intensification, and more importantly, as an instrument… (more)

▼ Foreign Direct Investment (FDI) plays an important role as an engine of employment, technological development, productivity enhancement, economic intensification, and more importantly, as an instrument of technology transfer, specially from developed to developing countries. The Government of Ethiopia having realized the inadequacy of the domestic capital and low national saving, opened several economic sectors to foreign investors. The government has also issued several investment incentives, including tax holidays, duty free import of capital goods and export tax exemption to encourage foreign investment. The very essence of this research is assessing the contributions of FDI to the development of SZO in terms of local employement creation, generation of revenue, transfer of technology, linkage with domestic firms in boosting local productivity.It assessed the effectiveness of FDI in the development of SZO and at the same time challenges that hinder the effectiveness of FDI were also identified.SZO is one of the investment potentioal zone found at the very vicinity of Addis Ababa. This study employed mixed research method where both qualitative and quantitave data were used in the assessment.Questionnaires and interview were the main instruments used to gather first hand information from experts, FDI owners and key officials of zonal investment offices and regional investment Commission.The sampling methods used were both probability and non probability sampling. Purposive sampling was used to select experts with better knowledge and information from different sectoral offices. FDI owners were selected randomly from 53 FDIs operating in different sectors. The study sample includes 60 experts from different offices, 18 FDI owners and two officials.Totaly 80 respondents were involved in this study. The result of this study indicated that the contribution of FDI to the development of SZO has been constrained by various challenges of infrastructure, institutional buearucracy, and other organizational and human elements.Therefore it requires an effective mitigation of those challenges and impediments enhancing basic infrastructure provision, training and developing skilled manpower,institutional reforms,enforcement of technology transfer and timely implementation of projects, regular environmental auditing as well as a continous follow up or monitoring for effective implementation of FDI projects to exploite all the benefits of FDI. Advisors/Committee Members: Teferi Reggassa(Asst.Prof.) (advisor).

Subjects/Keywords: Investment; Oromia

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APA (6^th Edition):

Shiferaw, N. (2014). Assessment of Foreign Direct Investment effectiveness in Development and its challenges and Prospects: the case of special Zone of Oromia . (Thesis). Addis Ababa University. Retrieved from http://etd.aau.edu.et/dspace/handle/123456789/5114

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Shiferaw, Negash. “Assessment of Foreign Direct Investment effectiveness in Development and its challenges and Prospects: the case of special Zone of Oromia .” 2014. Thesis, Addis Ababa University. Accessed July 21, 2019. http://etd.aau.edu.et/dspace/handle/123456789/5114.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Shiferaw, Negash. “Assessment of Foreign Direct Investment effectiveness in Development and its challenges and Prospects: the case of special Zone of Oromia .” 2014. Web. 21 Jul 2019.

Vancouver:

Shiferaw N. Assessment of Foreign Direct Investment effectiveness in Development and its challenges and Prospects: the case of special Zone of Oromia . [Internet] [Thesis]. Addis Ababa University; 2014. [cited 2019 Jul 21]. Available from: http://etd.aau.edu.et/dspace/handle/123456789/5114.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Shiferaw N. Assessment of Foreign Direct Investment effectiveness in Development and its challenges and Prospects: the case of special Zone of Oromia . [Thesis]. Addis Ababa University; 2014. Available from: http://etd.aau.edu.et/dspace/handle/123456789/5114

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Penn State University

11. Fricke, Eric. Essays in Corporate Finance.

Degree: PhD, Business Administration, 2008, Penn State University

URL: https://etda.libraries.psu.edu/catalog/8711

► Stock returns are a significant predictor of future capital investment growth and even predict investment growth better than Tobin’s q. Since the capital investment decision… (more)

Subjects/Keywords: capital investment

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APA (6^th Edition):

Fricke, E. (2008). Essays in Corporate Finance. (Doctoral Dissertation). Penn State University. Retrieved from https://etda.libraries.psu.edu/catalog/8711

Chicago Manual of Style (16^th Edition):

Fricke, Eric. “Essays in Corporate Finance.” 2008. Doctoral Dissertation, Penn State University. Accessed July 21, 2019. https://etda.libraries.psu.edu/catalog/8711.

MLA Handbook (7^th Edition):

Fricke, Eric. “Essays in Corporate Finance.” 2008. Web. 21 Jul 2019.

Vancouver:

Fricke E. Essays in Corporate Finance. [Internet] [Doctoral dissertation]. Penn State University; 2008. [cited 2019 Jul 21]. Available from: https://etda.libraries.psu.edu/catalog/8711.

Council of Science Editors:

Fricke E. Essays in Corporate Finance. [Doctoral Dissertation]. Penn State University; 2008. Available from: https://etda.libraries.psu.edu/catalog/8711

University of Manchester

12. Ajibo, Chikodili. Analysis of Foreign Investment Protection Regimes in the Petroleum Sector in Nigeria – 1995 - 2013: Options for Reform.

Degree: 2014, University of Manchester

URL: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:231237

► This thesis examines the current regulatory frameworks for foreign investment protection and reforms thereto in the petroleum sector in Nigeria. The analysis is conducted from… (more)

▼ This thesis examines the current regulatory frameworks for foreign investment protection and reforms thereto in the petroleum sector in Nigeria. The analysis is conducted from international law perspective. Thus, the current regimes of IIAs reflected in both the substantive and procedural terms are bedevilled by unbalanced framework in the allocation of rights and duties to the contracting parties. Strictly speaking, the parties do not set out from the outset to draft an unbalanced terms of IIAs. However, the preponderant inflow of investment from the developed to developing countries almost always make the latter bear the brunt of any unbalanced prescription of the terms of the IIAs. Thus, the definitions of such substantive terms as investment, fair and equitable treatment, umbrella clause, and regulatory expropriation constitute a significant cause of concerns for economic imperatives of the capital importing countries. Similarly, the incessant lack of consideration for the regulatory and economic interest of the host state in the arbitral awards is creating concern among the capital importing countries. Consequently, a re-appraisal of existing regimes becomes necessary both in the substantive definition and the arbitral construction of these substantive terms to ensure a balance of interests in international economic relation. These substantive and procedural terms do not operate in vacuum but apply to host state like Nigeria together with other local investment regulatory rules. Although various studies establish different challenges to foreign investment in Nigeria such as, inter alia, lack of harmonised investment regimes and complicated registration procedures, one issue that is evidently less considered is the institutional influence in the implementation of investment regulation. Thus, institutional factors are the heart of Nigeria investment challenges. These institutional factors mirrors itself in poor human and social capital ratio needed for enhanced service delivery. Thus, for any meaning headway to be made in strengthening the inflow of foreign capital to Nigeria economy, tackling of other challenges is incomplete until human capital development is aligned with social capital development.

Subjects/Keywords: Investment Law

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APA (6^th Edition):

Ajibo, C. (2014). Analysis of Foreign Investment Protection Regimes in the Petroleum Sector in Nigeria – 1995 - 2013: Options for Reform. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:231237

Chicago Manual of Style (16^th Edition):

Ajibo, Chikodili. “Analysis of Foreign Investment Protection Regimes in the Petroleum Sector in Nigeria – 1995 - 2013: Options for Reform.” 2014. Doctoral Dissertation, University of Manchester. Accessed July 21, 2019. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:231237.

MLA Handbook (7^th Edition):

Ajibo, Chikodili. “Analysis of Foreign Investment Protection Regimes in the Petroleum Sector in Nigeria – 1995 - 2013: Options for Reform.” 2014. Web. 21 Jul 2019.

Vancouver:

Ajibo C. Analysis of Foreign Investment Protection Regimes in the Petroleum Sector in Nigeria – 1995 - 2013: Options for Reform. [Internet] [Doctoral dissertation]. University of Manchester; 2014. [cited 2019 Jul 21]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:231237.

Council of Science Editors:

Ajibo C. Analysis of Foreign Investment Protection Regimes in the Petroleum Sector in Nigeria – 1995 - 2013: Options for Reform. [Doctoral Dissertation]. University of Manchester; 2014. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:231237

Université de Sherbrooke

13. Moisan-Poisson, Miguel. Stratégie d'investissement guidé par les passifs et immunisation de portefeuille : une approche dynamique .

Degree: 2013, Université de Sherbrooke

URL: http://hdl.handle.net/11143/6096

► In a previous MITACS project in collaboration with Addenda Capital, two basic liability matching strategies have been investigated: cash flow matching and moment matching. These… (more)

▼ In a previous MITACS project in collaboration with Addenda Capital, two basic liability matching strategies have been investigated: cash flow matching and moment matching. These strategies performed well under a wide variety of tests including historical backtesting. A potential shortcoming for both of these methods is that the optimization process is done only once at the beginning of the investment horizon and uses deterministic moment matching constraints to immunize the portfolio against interest rate movements. Though the portfolio subsequently need to be frquently rebalanced, this static optimization does not take into account the relatively high rebalancing costs it involves. The main objective of this present project is to further enhance the moment matching method by implementing and testing a stochastic dynamic optimization and by comparing its efficiency with the static one. Our dynamic optimization problem is to minimize the portfolio cost and its expected rebalancing costs one month ahead over a set of interest rate scenarios by the use of stochastic moment matching constraints. Our backtesting results show some improvements with the 6 moments matching strategy as the dynamic optimization slightly shrinks the difference in asset-liability gap between scenarios compared with the static optimization. However, after analyzing the realized periodic rebalancing costs each month (a constant bid-ask spread has been assigned to each asset's position change in the optimal portfolio), the immunization improvements are mitigated by substantialy higher costs. We also noticed, in the case of the duration/convexity matching strategy, that the dynamic optimization is not that much more efficient than the static method. Thus, these results confirm that the 6 moments matching technique is still more efficient with both the static and stochastic dynamic optimization. Our extensive dynamic analysis of transaction costs through backtesting showed that from an efficiency to cost ratio and an efficiency to simplicity ratio, the static 6 moments matching method seems so far to be a more practical solution for liability matching. Advisors/Committee Members: Bélanger, Alain (advisor).

Subjects/Keywords: MITACS; Investment

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APA (6^th Edition):

Moisan-Poisson, M. (2013). Stratégie d'investissement guidé par les passifs et immunisation de portefeuille : une approche dynamique . (Masters Thesis). Université de Sherbrooke. Retrieved from http://hdl.handle.net/11143/6096

Chicago Manual of Style (16^th Edition):

Moisan-Poisson, Miguel. “Stratégie d'investissement guidé par les passifs et immunisation de portefeuille : une approche dynamique .” 2013. Masters Thesis, Université de Sherbrooke. Accessed July 21, 2019. http://hdl.handle.net/11143/6096.

MLA Handbook (7^th Edition):

Moisan-Poisson, Miguel. “Stratégie d'investissement guidé par les passifs et immunisation de portefeuille : une approche dynamique .” 2013. Web. 21 Jul 2019.

Vancouver:

Moisan-Poisson M. Stratégie d'investissement guidé par les passifs et immunisation de portefeuille : une approche dynamique . [Internet] [Masters thesis]. Université de Sherbrooke; 2013. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11143/6096.

Council of Science Editors:

Moisan-Poisson M. Stratégie d'investissement guidé par les passifs et immunisation de portefeuille : une approche dynamique . [Masters Thesis]. Université de Sherbrooke; 2013. Available from: http://hdl.handle.net/11143/6096

Université de Neuchâtel

14. Moraru-Arfire, Andreea. Three essays on financial analysts' performance.

Degree: 2016, Université de Neuchâtel

URL: http://doc.rero.ch/record/259370

► This dissertation is composed of three chapters. The first chapter explores the importance of previously identified factors in explaining the variation in analysts’ earnings forecast… (more)

▼ This dissertation is composed of three chapters. The first chapter explores the importance of previously identified factors in explaining the variation in analysts’ earnings forecast error. As earnings forecasts are the main input in determining price targets and consequently stock recommendations, much of the process through which analysts process their input remains in a so-called “black box”. This study attempts to shed light on these inputs. First, it reveals that forecast errors are stable over time, and analysts do not efficiently integrate past information in their forecasts. Second, analysts do not factor in expectations related to the macroeconomic conditions for the underlying forecast horizon. Analysts overreact (underreact) to positive (negative) macroeconomic expectations on both GDP and consumer sentiment index. Third, this study decomposes analysts’ forecast errors variance by observable characteristics and fixed effects. Importantly, the analysis shows that there is an unobserved, time-invariant component related to the firm-analyst dimension that explains much of the variance in the forecast errors. This component is not yet captured by the existing observable characteristics which, at date, have a trifling effect on their own in explaining the variation in analysts’ forecast error. In the second chapter, I investigate the role of financial reporting frequency in analysts’ earnings forecasts. I addresses two questions. First, does mandatory quarterly reporting benefit financial analysts in decreasing their earnings forecast error and dispersion? Second, to what extent common accounting standards increase the convergence of analysts’ information set for firms with different reporting frequencies? I find little support to the claim that regulation forcing firms to issue more frequent financial information benefits financial analysts. Compared to a control sample of semiannual reporting firms in the European market, analysts issuing earnings forecasts for firms with mandatory quarterly frequency experience higher forecast error and dispersion. When firms are mandated to report not only on a quarterly frequency, but also under International Financial Reporting Standards (IFRS), analysts’ both forecast error and dispersion decrease. However, while IFRS does benefit analysts by increasing the quality of their information set in absolute terms, they do not wipe out the relative noise associated with mandatory quarterly statements. The third chapter focuses on how financial analysts adapt to the passage of regulations aiming at limiting conflicts of interest in the investment banking industry. This last chapter investigates analysts’ price targets and recommendations, and unravels a new form of conflicts of interest. Specifically, it investigates whether affiliated brokers issue unfavourable ratings on their clients’ competitors in the product market (rivals). The findings document an important gap between ratings for affiliated and rival firms. Specifically, brokers issue persistently higher ratings… Advisors/Committee Members: Michel (Dir.).

Subjects/Keywords: investment banking

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APA (6^th Edition):

Moraru-Arfire, A. (2016). Three essays on financial analysts' performance. (Thesis). Université de Neuchâtel. Retrieved from http://doc.rero.ch/record/259370

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Moraru-Arfire, Andreea. “Three essays on financial analysts' performance.” 2016. Thesis, Université de Neuchâtel. Accessed July 21, 2019. http://doc.rero.ch/record/259370.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Moraru-Arfire, Andreea. “Three essays on financial analysts' performance.” 2016. Web. 21 Jul 2019.

Vancouver:

Moraru-Arfire A. Three essays on financial analysts' performance. [Internet] [Thesis]. Université de Neuchâtel; 2016. [cited 2019 Jul 21]. Available from: http://doc.rero.ch/record/259370.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Moraru-Arfire A. Three essays on financial analysts' performance. [Thesis]. Université de Neuchâtel; 2016. Available from: http://doc.rero.ch/record/259370

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

15. Noakes, Michael A. Factor-based replication of hedge funds using a state space model.

Degree: Image, Finance and Tax, 2016, University of Cape Town

URL: http://hdl.handle.net/11427/21753

► It has been suggested that the Kalman filter technique may be used to improve the quality of hedge fund replication, compared to existing replication techniques.… (more)

Subjects/Keywords: Investment Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Noakes, M. A. (2016). Factor-based replication of hedge funds using a state space model. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/21753

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Noakes, Michael A. “Factor-based replication of hedge funds using a state space model.” 2016. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/21753.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Noakes, Michael A. “Factor-based replication of hedge funds using a state space model.” 2016. Web. 21 Jul 2019.

Vancouver:

Noakes MA. Factor-based replication of hedge funds using a state space model. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/21753.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Noakes MA. Factor-based replication of hedge funds using a state space model. [Thesis]. University of Cape Town; 2016. Available from: http://hdl.handle.net/11427/21753

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

16. Eloff, F N. Momentum trading strategy on the Johannesburg Stock Exchange.

Degree: Image, Finance and Tax, 2014, University of Cape Town

URL: http://hdl.handle.net/11427/8557

► This research report documents an example of evidence of investor overreaction in the marketplace, with overreaction to short-term information found to be exploitable via price… (more)

▼ This research report documents an example of evidence of investor overreaction in the marketplace, with overreaction to short-term information found to be exploitable via price corrections in order to generate market-beating returns. An efficient market should render any consistent abnormal returns unattainable. Hence any technical analysis allowing an investor to obtain such returns would indicate a degree of market inefficiency. Three signal generation strategies are employed to test for momentum and price corrections in the market, namely using a stock's price and moving average, ranking stocks based on prior returns, and allocating stocks as overbought and oversold. The strategies are employed on data comprising the top 60 stocks on the JSE as at August 2012. The period tested runs from January 1998 to August 2012. Signal generation by means of price and moving average encompasses trade signals being generated by a stock's price moving above or below a variable moving average. Returns to this strategy tend to be maximized when employing a short-term (20-day) moving average, with an annualised above market return of 14,9 achievable. Using the returns of a stock in an immediately preceding formation period as a ranking criterion to classify stocks into a portfolio is found to be a superior method to generate trading signals. A portfolio of the best performing stocks in a preceding period ("the winner portfolio") is found to be able to outperform the market. Given a minimum formation period of 50 days, price continuation is achieved after holding the portfolio for at least 30 days, with annualized market excess returns greater than 10 achieved at longer formation and holding periods. A portfolio of the worst performing stocks in the same period ("the loser portfolio") is able to outperform the winner portfolio, and is capable of achieving returns of 20 in excess of the market, given a formation period as low as 10 days, while closing the investment position after no more than 10 days. Advisors/Committee Members: Van Rensburg, Paul (advisor).

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Eloff, F. N. (2014). Momentum trading strategy on the Johannesburg Stock Exchange. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/8557

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Eloff, F N. “Momentum trading strategy on the Johannesburg Stock Exchange.” 2014. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/8557.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Eloff, F N. “Momentum trading strategy on the Johannesburg Stock Exchange.” 2014. Web. 21 Jul 2019.

Vancouver:

Eloff FN. Momentum trading strategy on the Johannesburg Stock Exchange. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/8557.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Eloff FN. Momentum trading strategy on the Johannesburg Stock Exchange. [Thesis]. University of Cape Town; 2014. Available from: http://hdl.handle.net/11427/8557

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

17. Swart, Justin-Niall. Testing a price breakout strategy using Donchian Channels.

Degree: Image, Finance and Tax, 2016, University of Cape Town

URL: http://hdl.handle.net/11427/21754

► This research report implements and tests the effectiveness of a trend following trading strategy on the South African Futures Exchange (SAFEX) through utilising Donchian Channels… (more)

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Swart, J. (2016). Testing a price breakout strategy using Donchian Channels. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/21754

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Swart, Justin-Niall. “Testing a price breakout strategy using Donchian Channels.” 2016. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/21754.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Swart, Justin-Niall. “Testing a price breakout strategy using Donchian Channels.” 2016. Web. 21 Jul 2019.

Vancouver:

Swart J. Testing a price breakout strategy using Donchian Channels. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/21754.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Swart J. Testing a price breakout strategy using Donchian Channels. [Thesis]. University of Cape Town; 2016. Available from: http://hdl.handle.net/11427/21754

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

18. Mahoney, Kevin. Asset allocation in the South African environment.

Degree: Image, Finance and Tax, 2014, University of Cape Town

URL: http://hdl.handle.net/11427/8552

► The aim of this paper is to find solutions to the asset allocation problem in the South African environment. These solutions look at a variety… (more)

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Mahoney, K. (2014). Asset allocation in the South African environment. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/8552

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Mahoney, Kevin. “Asset allocation in the South African environment.” 2014. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/8552.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Mahoney, Kevin. “Asset allocation in the South African environment.” 2014. Web. 21 Jul 2019.

Vancouver:

Mahoney K. Asset allocation in the South African environment. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/8552.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mahoney K. Asset allocation in the South African environment. [Thesis]. University of Cape Town; 2014. Available from: http://hdl.handle.net/11427/8552

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

19. Stefan, Donovan. The Inflation hedging properties of South African asset classes.

Degree: Image, Finance and Tax, 2017, University of Cape Town

URL: http://hdl.handle.net/11427/25539

► Inflation poses a serious threat to the purchasing power of assets over time. This study examines the short and long-term inflation hedging capabilities of South… (more)

▼ Inflation poses a serious threat to the purchasing power of assets over time. This study examines the short and long-term inflation hedging capabilities of South African equities, bonds, listed property and cash - and compares them to foreign substitutes. The aim of this study is to investigate the inflation hedging capabilities of four primary asset classes in both domestic and foreign contexts: equities, bonds, listed real estate and cash. More specifically, this study evaluates how well each asset class performs with respect to South African inflation, and through a comparative analysis of the results, identifies which asset class may be regarded as the superior inflation hedge. Moreover, the inflation hedging capabilities of domestic assets are compared to foreign asset classes in an attempt to provide investors with valuable insights as to whether domestic and/or foreign asset classes offer better protection against the harmful effects of inflation. Finally, the study demonstrates how well these asset classes perform with respect to inflation over short and long-run horizons. The data used in this study comprises total return indices which portray a more accurate picture of an investor's return. The period 1999-2015 forms the range within which data for all domestic and foreign asset classes are available, and thus constitutes the sample period used in this study's comparative analysis. Excluding domestic bonds on the basis of data availability, the comparative analysis of domestic asset classes, dates back to 1965. This study makes use of the following tests: Pearson correlations, Augmented Dickey-Fuller, Phillips-Perron, Granger causality, OLS regression, VAR and Impulse Response Functions, and Cointegration. This study finds evidence in support of a negative contemporaneous and lagged relationship between domestic and foreign equities, and South African inflation in the short-run (also widely recognised as the "inverted Fisher effect"). Domestic bonds, property and cash were found to provide a partial inflation hedge in the short-run. Cash was found to exhibit the strongest hedging properties. On the other hand, foreign bonds, property and cash were found to be anti-inflation hedges with contemporaneous and lagged inflation. However, although foreign asset classes do not offer protection against contemporaneously or lagged inflation, they do provide a leading return prior to inflation manifesting. Consequently, if profits are taken early enough it can provide investors with an inflation hedge. This is important for local investors to be aware of when deciding to invest in foreign asset classes with the goal of hedging against inflation. Utilising the Engle- Granger Cointegration test, the findings of this study suggest that both domestic and foreign asset classes do not display a long-term relationship with inflation. This suggests that both domestic and foreign asset classes are anti-inflation hedges, since neither covary positively with inflation in the long-run. One major implication of these findings is… Advisors/Committee Members: Van Rensburg, Paul (advisor).

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Stefan, D. (2017). The Inflation hedging properties of South African asset classes. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/25539

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Stefan, Donovan. “The Inflation hedging properties of South African asset classes.” 2017. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/25539.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Stefan, Donovan. “The Inflation hedging properties of South African asset classes.” 2017. Web. 21 Jul 2019.

Vancouver:

Stefan D. The Inflation hedging properties of South African asset classes. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/25539.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Stefan D. The Inflation hedging properties of South African asset classes. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/25539

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

20. Lockhart-Ross, Simon. Cross-sectional and time-series momentum on the JSE.

Degree: Image, Finance and Tax, 2016, University of Cape Town

URL: http://hdl.handle.net/11427/20816

► This research report documents multiple accounts of past return-based momentum strategies employed on South African-listed equities over the period 2002.02-2015.05. Two cross-sectional momentum approaches-strategies that… (more)

▼ This research report documents multiple accounts of past return-based momentum strategies employed on South African-listed equities over the period 2002.02-2015.05. Two cross-sectional momentum approaches-strategies that go long (short) in assets with relative formation period out performance (underperformance) of peer stocks to make the winner (loser) portfolio-and four time-series approaches-strategies that go long (short) in assets with formation period outperformance (underperformance) of a hurdle rate to make the winner (loser) portfolio-are employed in this report. This report finds that both the top decile winner portfolio and top half winner portfolio long-only cross-sectional momentum strategies outperform the benchmark. The 12-month formation period top decile winner achieves the highest long-only excess return of 30.21% per annum, whilst all the loser cross-sectional portfolios constitute a return-reducing funding portfolio when conducting a n investment-neutral winner minus loser approach. Short-term zero investment exposure cross-sectional momentum strategies earn strong negative returns, thus presenting contrarian investment opportunities The two exposure-neutral winner minus loser time-series strategies exhibit similar results to the corresponding cross-sectional strategies, however the variable exposure strategies earn positive returns for every formation period-the 12-month formation period strategy being the best earner (25.92% p.a.). These variable exposure strategies earn time-varying returns from the market due to their non-zero net long market exposure as well as some residual return. This premium is left uncaptured by all investment-neutral app roaches and is a strong cause of the lack of skewness of the variable exposure strategies' returns. All of the examined exposure-neutral strategies exhibit significant leftward skewness due to two incidences of extreme and sustained drawdowns. Both incidences occur as a result of the momentum strategy holding market beta exposure of the opposite sign to the market's drastic turn ; the first: positive exposure and market downturn, the second : negative exposure and positive upturn. These drawdowns are reduced when employing strategies of a more intermediate-term formation period such as the 12-month formation strategy. This report's findings confirm the existence of cross-sectional and time-series momentum in South African-listed equities, as well as the case of equity momentum crashing. Further, it provides evidence for both explained and unexplained variations between the two types of momentum trading, with possibilities for further profitability when combining the two. Advisors/Committee Members: Van Rensburg, Paul (advisor).

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Lockhart-Ross, S. (2016). Cross-sectional and time-series momentum on the JSE. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/20816

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Lockhart-Ross, Simon. “Cross-sectional and time-series momentum on the JSE.” 2016. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/20816.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Lockhart-Ross, Simon. “Cross-sectional and time-series momentum on the JSE.” 2016. Web. 21 Jul 2019.

Vancouver:

Lockhart-Ross S. Cross-sectional and time-series momentum on the JSE. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/20816.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lockhart-Ross S. Cross-sectional and time-series momentum on the JSE. [Thesis]. University of Cape Town; 2016. Available from: http://hdl.handle.net/11427/20816

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

21. Mate, Janet. An investigation of empirical properties of South African bonds.

Degree: Image, Finance and Tax, 2017, University of Cape Town

URL: http://hdl.handle.net/11427/25464

► This study investigates empirical properties of South African bonds over the period 2000 to 2016. In particular, it investigates i) mean reversion in bond returns;… (more)

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Mate, J. (2017). An investigation of empirical properties of South African bonds. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/25464

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Mate, Janet. “An investigation of empirical properties of South African bonds.” 2017. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/25464.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Mate, Janet. “An investigation of empirical properties of South African bonds.” 2017. Web. 21 Jul 2019.

Vancouver:

Mate J. An investigation of empirical properties of South African bonds. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/25464.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mate J. An investigation of empirical properties of South African bonds. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/25464

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

22. Pienaar, Neil Deon. Using the classification and regression tree (CART) model for stock selection on the S&P 700.

Degree: Image, Finance and Tax, 2016, University of Cape Town

URL: http://hdl.handle.net/11427/20728

► Traditionally, investment practitioners and academics alike have used stock fundamentals and a linear framework in order to predict future stock performance. This approach has been… (more)

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Pienaar, N. D. (2016). Using the classification and regression tree (CART) model for stock selection on the S&P 700. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/20728

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Pienaar, Neil Deon. “Using the classification and regression tree (CART) model for stock selection on the S&P 700.” 2016. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/20728.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Pienaar, Neil Deon. “Using the classification and regression tree (CART) model for stock selection on the S&P 700.” 2016. Web. 21 Jul 2019.

Vancouver:

Pienaar ND. Using the classification and regression tree (CART) model for stock selection on the S&P 700. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/20728.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Pienaar ND. Using the classification and regression tree (CART) model for stock selection on the S&P 700. [Thesis]. University of Cape Town; 2016. Available from: http://hdl.handle.net/11427/20728

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

23. Baars, Monique. The existence and behaviour of style anomalies in the global equity market : a univariate and multivariate analysis.

Degree: Image, Finance and Tax, 2014, University of Cape Town

URL: http://hdl.handle.net/11427/13081

► Style anomalies comprise patterns and relationships found in the cross-section of stock returns data, which contradict the existing asset-pricing models. They have proven to be… (more)

▼ Style anomalies comprise patterns and relationships found in the cross-section of stock returns data, which contradict the existing asset-pricing models. They have proven to be reasonably effective at explaining the return-genera ting process of ordinary shares, and have bro ad uses within modern finance. Empirically, style anomalies are found to have statistically significant rewards in individual markets and s mall market groupings, and are found to be significant at a sector level on a global scale, but have not been tested at a firm level on a global scale. The aim of this study is to explain the cross-section of returns of the 1468 largest global firms by market capitalisation. The worldwide study considers stocks from 53 different countries and 112 industries, and investigates the end of month return forecasting power of 44 different firm-specific attributes over the period August 2003 to August 2013. A univariate analysis is performed through a cross-sectional regression of the forward stock re turns on the firm-specific attributes in a similar method to Fama and MacBeth (1973). A ‘Full Data’ regression is also conducted, and results are presented both before and after a beta-adjustment for market risk. Following this, a multivariate analysis is conducted and a forward stepwise procedure is used to construct a multi-factor model. According to the results of this study, style anomalies exist and have a statistically significant reward at a firm level on a global scale. In a univariate setting there are 25 firm-specific style factors that have a significant return payoff at a 5% level of significance. The specific style groups containing significant firm-specific attributes are the Value, Growth, Momentum, Size and Liquidity, Leverage, and Emerging Market groupings. Ten attributes within these style groupings are found to be robust as they are highly significant both before and after beta-adjustment, and within both a univariate and multivariate setting, namely: EBITDA to Share Price (EBP), Emerging Market (EM), CAPEX to Sales (CXS), Sales to Total Assets (STA), Payout Ratio (PR), 24-month growth in Turnover by Volume (TVO24), Sales to Share Price (SP), 6-month growth in Earnings (E6), 1-month prior return (MOM1), and 3-month prior return (MOM3). This confirms that style effects exist both independently, in a univariate setting, and in a multi-factor model. The results of this study show that the Value and Emerging Market styles have the highest cumulative payoffs over the 10-year period, and the evidence of strong correlation between attributes within specific styles gives further validation to the traditional style groupings. The behaviour of, and relationships between the firm-specific style factors give great insight into the payoffs to investing in different style factors over time, and are key to the construction of a multi-factor model. The fifteen firm-specific style factors that are significant in a multivariate setting form the core of a multi-factor style model, which can potentially be used to… Advisors/Committee Members: Van Rensburg, Paul (advisor).

Subjects/Keywords: Investment Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Baars, M. (2014). The existence and behaviour of style anomalies in the global equity market : a univariate and multivariate analysis. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/13081

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Baars, Monique. “The existence and behaviour of style anomalies in the global equity market : a univariate and multivariate analysis.” 2014. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/13081.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Baars, Monique. “The existence and behaviour of style anomalies in the global equity market : a univariate and multivariate analysis.” 2014. Web. 21 Jul 2019.

Vancouver:

Baars M. The existence and behaviour of style anomalies in the global equity market : a univariate and multivariate analysis. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/13081.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Baars M. The existence and behaviour of style anomalies in the global equity market : a univariate and multivariate analysis. [Thesis]. University of Cape Town; 2014. Available from: http://hdl.handle.net/11427/13081

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

24. Goussard, Heleen. The relationship between various risk factors and the cost of equity premium implied by analysts' forecasts on the New York Stock Exchange.

Degree: Image, Finance and Tax, 2018, University of Cape Town

URL: http://hdl.handle.net/11427/27961

► The cost of equity is used extensively for capital allocation decisions, and the various methods used to estimate it often result in materially different outcomes.… (more)

▼ The cost of equity is used extensively for capital allocation decisions, and the various methods used to estimate it often result in materially different outcomes. A model of the impact of known risk factors on the implied cost of equity used by equity analysts, who are seen as informed market participants, could be a guideline and sense check for other professionals estimating cost of equity for capital allocation decisions. This study, an implementation of Arbitrage Pricing Theory, attempts to create a parsimonious model of factors that are associated with the implied cost of equity premium utilised by equity analysts on the New York Stock Exchange ("NYSE"). After limiting the sample to NYSE-listed companies that were primarily exposed to US macro-economic conditions and were likely to be valued overwhelmingly on a going-concern basis, the test sample consisted of 5,343 company quarters covering the period 2006 to 2015. In the first part of the methodology, sixteen factors identified from previous literature as possibly influencing the cost of equity were tested for their association with the implied equity risk premium, as calculated from analysts' two-year earnings forecasts and target share prices using the Easton-method. Only those factors that were statistically significantly associated with the implied cost of equity were retained for the second part of the methodology, in which mixed effects modelling and optimisation using the Akaike information criterion was used to find a parsimonious model linking the statistically most significant factors to the implied cost of equity. The final model could explain 40% of the variation in implied risk premium by the fixed effects (specified variables), and 62% when the random effects (observable effects of unspecified variables) were included. The study found that the risk free rate was most strongly (and negatively) associated with the size of the implied equity risk premium. Other factors that are statistically significantly associated with the implied equity risk premium are the two-year beta (+), the profitability dummy variable (-), return on equity (-), two-year share price volatility (+), long-term growth (+), Market momentum (+), and the debt to equity ratio (+). It was further found that not all factors which have historically been shown to influence returns are significantly associated with implied cost of equity estimates, which is contrary to expectations in a fully efficient market, where the only difference in the two would result from the information that changes cash flow expectations or the risk profile of the cash flows. This study contributes to the current body of literature on cost of equity in the following ways: • To the author's knowledge, this study combines a far wider array of factors of all types than any of the previous studies on the topic, and uses target prices rather than market prices to calculate the implied cost of equity premium. • The study uses the adaptive and recursive option valuation model to eliminate companies for which the… Advisors/Committee Members: Toerien, Francois (advisor).

Subjects/Keywords: Investment Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Goussard, H. (2018). The relationship between various risk factors and the cost of equity premium implied by analysts' forecasts on the New York Stock Exchange. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/27961

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Goussard, Heleen. “The relationship between various risk factors and the cost of equity premium implied by analysts' forecasts on the New York Stock Exchange.” 2018. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/27961.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Goussard, Heleen. “The relationship between various risk factors and the cost of equity premium implied by analysts' forecasts on the New York Stock Exchange.” 2018. Web. 21 Jul 2019.

Vancouver:

Goussard H. The relationship between various risk factors and the cost of equity premium implied by analysts' forecasts on the New York Stock Exchange. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/27961.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Goussard H. The relationship between various risk factors and the cost of equity premium implied by analysts' forecasts on the New York Stock Exchange. [Thesis]. University of Cape Town; 2018. Available from: http://hdl.handle.net/11427/27961

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

25. Kibble, Alexander. An investigation into the use of multiple cryptocurrencies in a diversified portfolio.

Degree: MCom, Finance and Tax, 2018, University of Cape Town

URL: http://hdl.handle.net/11427/29371

► This study investigates the possible diversification benefits of multiple cryptocurrencies (Bitcoin, Ethereum and Litecoin) in a diversified portfolio from the perspective of a South African… (more)

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Kibble, A. (2018). An investigation into the use of multiple cryptocurrencies in a diversified portfolio. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/29371

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Kibble, Alexander. “An investigation into the use of multiple cryptocurrencies in a diversified portfolio.” 2018. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/29371.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Kibble, Alexander. “An investigation into the use of multiple cryptocurrencies in a diversified portfolio.” 2018. Web. 21 Jul 2019.

Vancouver:

Kibble A. An investigation into the use of multiple cryptocurrencies in a diversified portfolio. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/29371.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kibble A. An investigation into the use of multiple cryptocurrencies in a diversified portfolio. [Thesis]. University of Cape Town; 2018. Available from: http://hdl.handle.net/11427/29371

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

26. Mills, Bradley. Portfolio diversification utilising rolling economic drawdown constraints and risk factor analysis.

Degree: MCom, Finance and Tax, 2018, University of Cape Town

URL: http://hdl.handle.net/11427/29201

► This study investigates a new asset allocation technique termed Factor Adjusted Rolling Economic Drawdown (FAREDD), whereby resources are allocated to different assets by way of… (more)

▼ This study investigates a new asset allocation technique termed Factor Adjusted Rolling Economic Drawdown (FAREDD), whereby resources are allocated to different assets by way of integrating Principle Component Analysis (PCA) with existing Rolling Economic Drawdown Methods (REDD). The primary purpose of this model is to create a portfolio with low drawdown levels, that can withstand turbulent market periods thus protecting portfolio value through providing stronger diversification benefits while still seeking to maximise risk adjusted and overall return. This will have strong implications for investors as it could provide an additional method and tool to be considered during the asset allocation decision stage if they have a strong drawdown aversion. The concept of FAREDD is developed in this study within a South African context and compares this method with several traditional allocation methods including mean-variance optimised models, risk parity as well as traditional rolling economic drawdown models. So far, at the point of writing this study, the author has been unable to find any previous studies documenting this type of application of PCA to REDD. In addition to this, all previous studies that has investigated rolling economic drawdown has been conducted exclusively on the United States of America. The literature finds that REDD provides a viable and superior alternative to traditional asset allocation in the long run. Thus, as part of this study, a second objective is to investigate whether REDD models provide sufficient protection and superior returns in a developing economy with a significantly lower number of available liquid assets and higher volatility due to increased political, economic and business risk, when compared to alternative more traditional allocation techniques. The key findings of this study are that the FAREDD model does outperform the traditional REDD model that it is compared to for the period and it also meets the objective of providing low drawdowns and volatility while achieving strong risk-adjusted returns. However, the model does not provide the strongest drawdown protection of all portfolios tested. The FAREDD model is surpassed by the minimum-variance portfolio in this regard but from a risk adjusted basis and an overall return perspective it far outperforms the minimum-variance portfolio. Therefore, the performance of the FAREDD model is mixed and its optimality would need to be assessed relative to an investor’s risk appetite and risk-return trade-off. In addition to this, the paper finds that the performance of traditional REDD models in the South African context are mixed when compared to traditional asset allocation techniques thereby indicating that REDD models may not be superior in the South African market place at all times. However, they can provide relevant and potential asset allocation alternatives for mangers to consider. Advisors/Committee Members: Rajaratnam, Kanshukan (advisor).

Subjects/Keywords: Investment Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Mills, B. (2018). Portfolio diversification utilising rolling economic drawdown constraints and risk factor analysis. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/29201

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Mills, Bradley. “Portfolio diversification utilising rolling economic drawdown constraints and risk factor analysis.” 2018. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/29201.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Mills, Bradley. “Portfolio diversification utilising rolling economic drawdown constraints and risk factor analysis.” 2018. Web. 21 Jul 2019.

Vancouver:

Mills B. Portfolio diversification utilising rolling economic drawdown constraints and risk factor analysis. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/29201.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mills B. Portfolio diversification utilising rolling economic drawdown constraints and risk factor analysis. [Thesis]. University of Cape Town; 2018. Available from: http://hdl.handle.net/11427/29201

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

27. Pardoe, Liam. South African General Equity Unit Trust Funds:Fund Performance and Characteristics.

Degree: MCom, Finance and Tax, 2018, University of Cape Town

URL: http://hdl.handle.net/11427/29222

► We evaluate performance of general equity unit trust funds in South Africa during the period 2010 to 2017 and identify, if any, characteristics of these… (more)

Subjects/Keywords: Investment Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Pardoe, L. (2018). South African General Equity Unit Trust Funds:Fund Performance and Characteristics. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/29222

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Pardoe, Liam. “South African General Equity Unit Trust Funds:Fund Performance and Characteristics.” 2018. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/29222.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Pardoe, Liam. “South African General Equity Unit Trust Funds:Fund Performance and Characteristics.” 2018. Web. 21 Jul 2019.

Vancouver:

Pardoe L. South African General Equity Unit Trust Funds:Fund Performance and Characteristics. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/29222.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Pardoe L. South African General Equity Unit Trust Funds:Fund Performance and Characteristics. [Thesis]. University of Cape Town; 2018. Available from: http://hdl.handle.net/11427/29222

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

28. Ambalal, Ritesh Girishkumar. An Investigation of the Impact of the 2008 Financial Crisis and Stock Market Automation on Market Efficiency: A Case for the Botswana Stock Exchange.

Degree: MCom, Finance and Tax, 2018, University of Cape Town

URL: http://hdl.handle.net/11427/29251

► This study investigates the effects of the 2008 financial crisis and stock market automation on the efficiency of the Botswana Stock Exchange (BSE). It makes… (more)

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Ambalal, R. G. (2018). An Investigation of the Impact of the 2008 Financial Crisis and Stock Market Automation on Market Efficiency: A Case for the Botswana Stock Exchange. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/29251

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Ambalal, Ritesh Girishkumar. “An Investigation of the Impact of the 2008 Financial Crisis and Stock Market Automation on Market Efficiency: A Case for the Botswana Stock Exchange.” 2018. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/29251.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Ambalal, Ritesh Girishkumar. “An Investigation of the Impact of the 2008 Financial Crisis and Stock Market Automation on Market Efficiency: A Case for the Botswana Stock Exchange.” 2018. Web. 21 Jul 2019.

Vancouver:

Ambalal RG. An Investigation of the Impact of the 2008 Financial Crisis and Stock Market Automation on Market Efficiency: A Case for the Botswana Stock Exchange. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/29251.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ambalal RG. An Investigation of the Impact of the 2008 Financial Crisis and Stock Market Automation on Market Efficiency: A Case for the Botswana Stock Exchange. [Thesis]. University of Cape Town; 2018. Available from: http://hdl.handle.net/11427/29251

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

29. Musilika, Oskar. Long term portfolio construction.

Degree: Image, Finance and Tax, 2016, University of Cape Town

URL: http://hdl.handle.net/11427/20977

► Financial analyst commonly advice individual investors with a long investment horizon to invest in portfolios comprised more of equities. This advice is usually coupled with… (more)

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Musilika, O. (2016). Long term portfolio construction. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/20977

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Musilika, Oskar. “Long term portfolio construction.” 2016. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/20977.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Musilika, Oskar. “Long term portfolio construction.” 2016. Web. 21 Jul 2019.

Vancouver:

Musilika O. Long term portfolio construction. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/20977.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Musilika O. Long term portfolio construction. [Thesis]. University of Cape Town; 2016. Available from: http://hdl.handle.net/11427/20977

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

30. Panday, Akshay Kumar. Time diversification and holding periods on the Johannesburg Stock Exchange.

Degree: Image, Finance and Tax, 2017, University of Cape Town

URL: http://hdl.handle.net/11427/25434

► This dissertation investigates the existence of time diversification on the Johannesburg Stock Exchange (JSE), with the goal of providing investor guidance toward their optimal investment… (more)

▼ This dissertation investigates the existence of time diversification on the Johannesburg Stock Exchange (JSE), with the goal of providing investor guidance toward their optimal investment horizon on the JSE Focusing on the Random Walk and Mean Reversion Models, a variety of tests were employed to identify serial correlation within the JSE logarithmic total returns. By assessing the possibility of mean reversion or trending behavior in returns, this study aims to determine if short-term variance (as a risk measure) calculation intervals accurately describe the long-term risk on the JSE when scaled. Additionally, the skewness of the logarithmic and arithmetic return distributions on the JSE, as the return interval lengthens, was investigated. The focus was on a composite JSE All Share Index (ALSI) resulting from the merger of the FTSE/JSE All Share Total Return Index (J203T), the JSE Actuaries Index (adjusted for dividends (AJ203)) and early JSE total return data (Firer & McLeod, 1999). The JSE All Bond Index (ALBI) was used in this study as an alternate asset class to JSE Equities. The dataset is comprised of 117 years (01/01/1900 to 31/12/2016) of ALSI and 18 years (31/12/1998 to 31/12/2016) of ALBI price and return series. The frequency of returns analyzed range from monthly to twenty-year total returns. The dataset was further analyzed, into a period before and after 1987 to observe the long and short-term serial correlation dynamics of the JSE, and to investigate how these change over time. This breakpoint (1987) was chosen due to the belief that structural change occurred on the JSE after 1986. Data analysis included; descriptive statistics and tests for normality, the Augmented Dickey Fuller and Phillips-Perron tests for stationarity, the Autocorrelation Function tests for serial correlation, the Quandt-Andrews and Bai-Perron tests for structural breaks, the Variance Ratio Test, and the Runs Test. These parametric and nonparametric methods were performed on both the nominal and real total returns of the ALSI and ALBI. This investigation uncovered significant short-term trending behavior in the ALSI returns, combined with evidence of medium-term mean reversion in this indexes returns. A lack of mean reversion and limited evidence of trending behavior in the ALBI returns were uncovered. ALSI returns have rejected the Random Walk Model over the short and medium-term, while ALBI returns have for the most part, failed to significantly reject the Random Walk Model. The short-term trending behavior in ALSI returns was observed at the monthly, quarterly and semi-annual return frequencies. This behavior suggests that if variances (as risk measures) calculated over these shorter trending periods, are scaled to represent the risk of longer periods, they will underestimate the true period risk on the JSE. Furthermore, the implications of the mean reversion evidence in three yearly returns, suggest that if the variances (as risk measures) are calculated over these three-year periods, and were to be scaled to represent the… Advisors/Committee Members: Van Rensburg, Paul (advisor).

Subjects/Keywords: Investment Management

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APA (6^th Edition):

Panday, A. K. (2017). Time diversification and holding periods on the Johannesburg Stock Exchange. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/25434

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Panday, Akshay Kumar. “Time diversification and holding periods on the Johannesburg Stock Exchange.” 2017. Thesis, University of Cape Town. Accessed July 21, 2019. http://hdl.handle.net/11427/25434.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Panday, Akshay Kumar. “Time diversification and holding periods on the Johannesburg Stock Exchange.” 2017. Web. 21 Jul 2019.

Vancouver:

Panday AK. Time diversification and holding periods on the Johannesburg Stock Exchange. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Jul 21]. Available from: http://hdl.handle.net/11427/25434.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Panday AK. Time diversification and holding periods on the Johannesburg Stock Exchange. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/25434

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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