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Universidade Nova
1.
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)
▼ A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics
Attracting foreign direct investments (FDI) is an important objective as it can stimulate the economic development of societies. German companies are among the largest investors in Portugal and contribute significantly to the country’s value creation. However, Portugal’s attractiveness as an investment location has been decreasing in recent years as new competitors have emerged in the global economy. This report analyzes FDI trends and determinants as well as Portugal’s relative strengths and weaknesses, identifies potential investment opportunities for German investors and makes practical suggestions to improve the country’s current investment promotion activities, focusing in particular on the automotive supplier industry.
Advisors/Committee Members: Cunha, Alexandre Dias da.
Subjects/Keywords: Foreign direct investment; Investment promotion
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APA (6th 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 (16th Edition):
Schink, Steffen. “Optimization of investment promotion tools for Portugal: Specific recommendations to attract investments from Germany.” 2014. Thesis, Universidade Nova. Accessed March 01, 2021.
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 (7th Edition):
Schink, Steffen. “Optimization of investment promotion tools for Portugal: Specific recommendations to attract investments from Germany.” 2014. Web. 01 Mar 2021.
Vancouver:
Schink S. Optimization of investment promotion tools for Portugal: Specific recommendations to attract investments from Germany. [Internet] [Thesis]. Universidade Nova; 2014. [cited 2021 Mar 01].
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
2.
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 (6th 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 (16th 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 March 01, 2021.
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 (7th Edition):
Persson, Atkeyelsh G M. “Foreign direct investments in large-scale agriculture: the policy environment and its implications in Ethiopia.” 2016. Web. 01 Mar 2021.
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 2021 Mar 01].
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
3.
Wangkheimayum, Seityavama Chanu.
Small savings and investment in Manipur; -.
Degree: Commerce, 2014, Manipur University
URL: http://shodhganga.inflibnet.ac.in/handle/10603/41141
Subjects/Keywords: Investment
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APA (6th 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 (16th Edition):
Wangkheimayum, Seityavama Chanu. “Small savings and investment in Manipur; -.” 2014. Thesis, Manipur University. Accessed March 01, 2021.
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 (7th Edition):
Wangkheimayum, Seityavama Chanu. “Small savings and investment in Manipur; -.” 2014. Web. 01 Mar 2021.
Vancouver:
Wangkheimayum SC. Small savings and investment in Manipur; -. [Internet] [Thesis]. Manipur University; 2014. [cited 2021 Mar 01].
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
Rochester Institute of Technology
4.
Dervisholli, Sytrime.
Opportunities to Foreign Investment in Kosovo : [presentation given on September 6, 2011].
Degree: Professional Studies (CMS), 2011, Rochester Institute of Technology
URL: https://scholarworks.rit.edu/theses/7034
► Aware of the importance of foreign investments for the economic development of Kosovo, the project identified the motivations and concerns of foreign investors for investing…
(more)
▼ Aware of the importance of foreign investments for the economic development of
Kosovo, the project identified the motivations and concerns of foreign investors for
investing in Kosovo and for exploring opportunities that Kosovo offers. In addition, this
project examined the process of privatization as one of the opportunities to attract foreign
investment and the role of Kosovo’s Diaspora in attracting foreign
investment.
Advisors/Committee Members: Bowen, Brian.
Subjects/Keywords: Foreign investment
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APA (6th Edition):
Dervisholli, S. (2011). Opportunities to Foreign Investment in Kosovo : [presentation given on September 6, 2011]. (Thesis). Rochester Institute of Technology. Retrieved from https://scholarworks.rit.edu/theses/7034
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Dervisholli, Sytrime. “Opportunities to Foreign Investment in Kosovo : [presentation given on September 6, 2011].” 2011. Thesis, Rochester Institute of Technology. Accessed March 01, 2021.
https://scholarworks.rit.edu/theses/7034.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Dervisholli, Sytrime. “Opportunities to Foreign Investment in Kosovo : [presentation given on September 6, 2011].” 2011. Web. 01 Mar 2021.
Vancouver:
Dervisholli S. Opportunities to Foreign Investment in Kosovo : [presentation given on September 6, 2011]. [Internet] [Thesis]. Rochester Institute of Technology; 2011. [cited 2021 Mar 01].
Available from: https://scholarworks.rit.edu/theses/7034.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Dervisholli S. Opportunities to Foreign Investment in Kosovo : [presentation given on September 6, 2011]. [Thesis]. Rochester Institute of Technology; 2011. Available from: https://scholarworks.rit.edu/theses/7034
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Manchester
5.
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 ·
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Manager
APA (6th 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 (16th 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 March 01, 2021.
http://www.manchester.ac.uk/escholar/uk-ac-man-scw:231237.
MLA Handbook (7th Edition):
Ajibo, Chikodili. “Analysis of Foreign Investment Protection Regimes in the
Petroleum Sector in Nigeria – 1995 - 2013: Options for
Reform.” 2014. Web. 01 Mar 2021.
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 2021 Mar 01].
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
Texas A&M University
6.
Alanis Hernandez, Emmanuel.
Two Essays in Corporate Finance.
Degree: PhD, Finance, 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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Manager
APA (6th Edition):
Alanis Hernandez, E. (2015). Two Essays in Corporate Finance. (Doctoral Dissertation). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/155471
Chicago Manual of Style (16th Edition):
Alanis Hernandez, Emmanuel. “Two Essays in Corporate Finance.” 2015. Doctoral Dissertation, Texas A&M University. Accessed March 01, 2021.
http://hdl.handle.net/1969.1/155471.
MLA Handbook (7th Edition):
Alanis Hernandez, Emmanuel. “Two Essays in Corporate Finance.” 2015. Web. 01 Mar 2021.
Vancouver:
Alanis Hernandez E. Two Essays in Corporate Finance. [Internet] [Doctoral dissertation]. Texas A&M University; 2015. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/1969.1/155471.
Council of Science Editors:
Alanis Hernandez E. Two Essays in Corporate Finance. [Doctoral Dissertation]. Texas A&M University; 2015. Available from: http://hdl.handle.net/1969.1/155471
Addis Ababa University
7.
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 (6th 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 (16th Edition):
ABEBE, ALEMU MELESE. “A THESIS SUBMITTED TO THE SCHOOL OF GRADUATE STUDIES OF ADDIS
.” 2012. Thesis, Addis Ababa University. Accessed March 01, 2021.
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 (7th Edition):
ABEBE, ALEMU MELESE. “A THESIS SUBMITTED TO THE SCHOOL OF GRADUATE STUDIES OF ADDIS
.” 2012. Web. 01 Mar 2021.
Vancouver:
ABEBE AM. A THESIS SUBMITTED TO THE SCHOOL OF GRADUATE STUDIES OF ADDIS
. [Internet] [Thesis]. Addis Ababa University; 2012. [cited 2021 Mar 01].
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
8.
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)
▼ 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 households and provide financial resources, increased household investments in education, entrepreneurship, and health. However, the second view states that remittances might have negative incentive effect which results in an increased in reservation wage and reduction in labor supply. The study examined the impact of remittances on household welfare, selectivity bias with regards to migration and remittances, and how households allocate the remittances they received from different sources.
Using the Ethiopian Urban Socio Economic Survey, descriptive and econometric methodologies are adopted. The main findings include: the amount of receipt from domestic and international sources increased during the study period, remittances are primarily used for consumption followed by expenditure for schooling. It is found that there is no selectivity bias with regards to migration and recipient of remittances. The result also confirmed that the predicted per capita annual expenditure of remittance recipient households is higher than households that do not receive remittance in both the including remittances and no remittance scenarios. Finally, panel data model is estimated and the result materializes the welfare improving impact of remittances on the welfare of recipient households.
Therefore, designing policies that increase the inflow and usage of remittances are vital. Policies include: improving the operation and service of financial institutions, providing incentives and training for remittance recipients will further increase the contribution of remittances to household’s welfare.
Advisors/Committee Members: Beyene Tadesse (PhD) (advisor).
Subjects/Keywords: Investment; Entrepreneurship
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APA ·
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Manager
APA (6th 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 (16th Edition):
Bizuayehu, Getachew. “Remittances and Household Welfare: Longitudinal Evidence from Urban Ethiopia
.” 2008. Thesis, Addis Ababa University. Accessed March 01, 2021.
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 (7th Edition):
Bizuayehu, Getachew. “Remittances and Household Welfare: Longitudinal Evidence from Urban Ethiopia
.” 2008. Web. 01 Mar 2021.
Vancouver:
Bizuayehu G. Remittances and Household Welfare: Longitudinal Evidence from Urban Ethiopia
. [Internet] [Thesis]. Addis Ababa University; 2008. [cited 2021 Mar 01].
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
9.
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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Manager
APA (6th 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 (16th 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 March 01, 2021.
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 (7th 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. 01 Mar 2021.
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 2021 Mar 01].
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
Université de Neuchâtel
10.
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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Manager
APA (6th 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 (16th Edition):
Moraru-Arfire, Andreea. “Three essays on financial analysts' performance.” 2016. Thesis, Université de Neuchâtel. Accessed March 01, 2021.
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 (7th Edition):
Moraru-Arfire, Andreea. “Three essays on financial analysts' performance.” 2016. Web. 01 Mar 2021.
Vancouver:
Moraru-Arfire A. Three essays on financial analysts' performance. [Internet] [Thesis]. Université de Neuchâtel; 2016. [cited 2021 Mar 01].
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
Harvard University
11.
Chen, Brian S.
Essays on Macroeconomic Expectations and Corporate Investment.
Degree: PhD, 2018, Harvard University
URL: http://nrs.harvard.edu/urn-3:HUL.InstRepos:41129145
► This dissertation studies how biased expectations and risk aversion affect the real economy. Collectively, these essays argue and present empirical evidence that the “animal spirits,”…
(more)
▼ This dissertation studies how biased expectations and risk aversion affect the real economy. Collectively, these essays argue and present empirical evidence that the “animal spirits,” in the form of biased expectations and risk aversion, affect the investment and hiring decisions of firms as well as the behavior of individuals.
In the first essay, I show that managers overweight observations of local economic conditions at firm headquarters (HQ) when forming their macroeconomic expectations. I find that HQ local economic conditions have excessive impacts on investment and employment growth, even at firm establishments far from HQ. Then, I show that HQ local conditions are overweighted in managers’ expectations. Worse HQ local conditions lead to more pessimistic sales forecasts and more negative macroeconomic sentiment. These findings support the notion that local economic conditions bias managers’ macroeconomic expectations and affect the real economic choices of firms.
In the second essay, I show that risk aversion amplifies business cycle downturns, by studying the risk exposure of CEOs and its effect on firm investment in times of high macroeconomic uncertainty. Exploiting exogenous variation in CEO equity ownership, I find that firms with larger CEO stakes decrease investment significantly more in periods of high uncertainty. I consider whether better shareholder alignment explains this finding, but do not find evidence supporting this explanation. Firms with high institutional ownership do not cut investment more in times of high uncertainty. In addition, firms with high CEO stakes decrease risk-taking in times of high uncertainty, and experience lower stock returns subsequent to periods of high uncertainty. These results support the management risk aversion explanation.
In the final essay, I show that local conditions overweighting occurs in other contexts too. First, I find that presidents of regional Federal Reserve Banks vote for more “hawkish” monetary policy if their city’s inflation rate is higher. I argue that this result is consistent with local conditions overweighting, and do not find evidence that this is driven by their preferences for monetary policy to be regionally optimal. Second, I show that households have a more pessimistic outlook on the national economy and future stock market returns if local economic conditions are worse.
Economics
Advisors/Committee Members: Scharfstein, David S. (advisor).
Subjects/Keywords: Expectations; Investment
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Manager
APA (6th Edition):
Chen, B. S. (2018). Essays on Macroeconomic Expectations and Corporate Investment. (Doctoral Dissertation). Harvard University. Retrieved from http://nrs.harvard.edu/urn-3:HUL.InstRepos:41129145
Chicago Manual of Style (16th Edition):
Chen, Brian S. “Essays on Macroeconomic Expectations and Corporate Investment.” 2018. Doctoral Dissertation, Harvard University. Accessed March 01, 2021.
http://nrs.harvard.edu/urn-3:HUL.InstRepos:41129145.
MLA Handbook (7th Edition):
Chen, Brian S. “Essays on Macroeconomic Expectations and Corporate Investment.” 2018. Web. 01 Mar 2021.
Vancouver:
Chen BS. Essays on Macroeconomic Expectations and Corporate Investment. [Internet] [Doctoral dissertation]. Harvard University; 2018. [cited 2021 Mar 01].
Available from: http://nrs.harvard.edu/urn-3:HUL.InstRepos:41129145.
Council of Science Editors:
Chen BS. Essays on Macroeconomic Expectations and Corporate Investment. [Doctoral Dissertation]. Harvard University; 2018. Available from: http://nrs.harvard.edu/urn-3:HUL.InstRepos:41129145
University of Cape Town
12.
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)
▼ 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 use of the BSE All Share Index (ALSI) logged returns covering the time period 2005 – 2017. In addition, four distinct tests are employed to test for the change in market efficiency over time: runs test, unit root test, serial correlations test and variance ratio test. The study found resounding evidence to conclude that the 2008 financial crisis and stock market automation had a significant positive effect on the efficiency of the BSE. In addition, the BSE went from being inefficient to weak-form efficient due to the policies implemented by the government of Botswana and financial regulators as a direct reaction to the 2008 financial crisis, plus the continuous improvement of the Automated Trading System (ATS). To the author’s knowledge, this study is the first of its kind to test the impact of the 2008 financial crisis and automation of the trading system on the weak-form market efficiency of the BSE. As a result, this study provides an original and unique testimony on the effects of the 2008 financial crisis and the ATS on the efficiency of the Botswana Stock Exchange. Moreover, it offers an updated position of the BSE’s efficiency status following the recent developments to ensure that relevant legislation and effective and efficient trading systems are in place.
Advisors/Committee Members: Pamburai, Hamutyinei Harvey (advisor).
Subjects/Keywords: Investment Management
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Manager
APA (6th 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 (16th 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 March 01, 2021.
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 (7th 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. 01 Mar 2021.
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 2021 Mar 01].
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
13.
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)
▼ 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. This study uses the Kalman filter technique, along with three variations of the rolling-window regression technique, to create clones which attempt to replicate the returns of various categories of hedge fund indices. These clones are created over several scenarios and are used to compare the ability of the Kalman filter and rolling-window regression techniques. The clones are constructed using South African specific asset class and
investment style factors. This study finds that the Kalman filter does not provide the expected improvement in replication ability over the rolling-window regression, for the hedge fund indices analysed. The competing techniques appear to each be better suited to replicating different hedge fund index strategies and may, therefore, be used in combination. While some of the hedge fund clones offer desirable risk characteristics, they offer lower mean returns and underperform their indices in most periods. As such, the hedge fund clones constructed in this study require further refinement and are not yet equipped for use in practice.
Advisors/Committee Members: Van Rensburg, Paul (advisor).
Subjects/Keywords: Investment Management
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APA ·
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Manager
APA (6th 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 (16th Edition):
Noakes, Michael A. “Factor-based replication of hedge funds using a state space model.” 2016. Thesis, University of Cape Town. Accessed March 01, 2021.
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 (7th Edition):
Noakes, Michael A. “Factor-based replication of hedge funds using a state space model.” 2016. Web. 01 Mar 2021.
Vancouver:
Noakes MA. Factor-based replication of hedge funds using a state space model. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2021 Mar 01].
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
14.
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 ·
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Manager
APA (6th 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 (16th Edition):
Stefan, Donovan. “The Inflation hedging properties of South African asset classes.” 2017. Thesis, University of Cape Town. Accessed March 01, 2021.
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 (7th Edition):
Stefan, Donovan. “The Inflation hedging properties of South African asset classes.” 2017. Web. 01 Mar 2021.
Vancouver:
Stefan D. The Inflation hedging properties of South African asset classes. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2021 Mar 01].
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
15.
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 ·
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Export
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Manager
APA (6th 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 (16th Edition):
Lockhart-Ross, Simon. “Cross-sectional and time-series momentum on the JSE.” 2016. Thesis, University of Cape Town. Accessed March 01, 2021.
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 (7th Edition):
Lockhart-Ross, Simon. “Cross-sectional and time-series momentum on the JSE.” 2016. Web. 01 Mar 2021.
Vancouver:
Lockhart-Ross S. Cross-sectional and time-series momentum on the JSE. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2021 Mar 01].
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
16.
Cata, Olwethu.
Trading statement releases and the subsequent price formation process : evidence from the JSE.
Degree: Image, Finance and Tax, 2015, University of Cape Town
URL: http://hdl.handle.net/11427/15475
► The relationship between unexpected earnings and security returns subsequent to earnings announcements is widely documented in international studies (e.g., Ball and Brown, 1968; Beaver, 1968;…
(more)
▼ The relationship between unexpected earnings and security returns subsequent to earnings announcements is widely documented in international studies (e.g., Ball and Brown, 1968; Beaver, 1968; Beaver, 1974; Foster, Olsen and Shevlin, 1984). However, much of this research has been conducted in developed stock markets, with only a handful of studies focused on the JSE (e.g., Knight, 1983; Kornik, 2005; Murie, 2014). By drawing lessons from prior international and local evidence, and for the first time on the JSE, an investigation is conducted focusing on the entire price formation process from trading statements releases to the announcements of actual earnings. Adopting the returns based unexpected earnings measures of Foster, Olsen and Shevlin (1984) and van Rensburg's (2002) two factor APT specification to account for systemic risk, this study finds trading statements to contain new and significant information as evidenced by the presence of significant abnormal returns on their publication date. In addition, and consistent with semi-strong form market efficiency, no relationship is found between the sign and magnitude of unexpected earnings and the cumulative abnormal returns in the period subsequent to trading statement releases and preceding earnings announcement. Examining returns in the post-trading statement release period, the study found no evidence of statistically significant abnormal returns drift for good and bad news portfolios classified according to the (-1, 0), (-1, 1) and (0, 1) unexpected earnings models and that classified according to the trading statement sign. Consistent with prior South African studies, the publication of earnings is found to be a noteworthy market event to which investors react. In addition, the sign and magnitude of the initial response to unexpected earnings was found to exhibit a significantly positive relationship with cumulative abnormal returns over the (2, 60) day period subsequent to earnings announcements, representing a stark violation of semi-strong form market efficiency. Furthermore, the negative relationship between CARs in the (-1, 1) day period surrounding earnings and the post-trading statement drift postulated by Das, Kim and Patro (2007) does not appear to apply on the JSE. Examining returns in the (2, 60) day post earnings announcement period, the study found evidence of predictable returns drift but that the magnitudes of the CARs were not statistically significant over this period.
Advisors/Committee Members: Van Rensburg, Paul (advisor).
Subjects/Keywords: Investment Management
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APA (6th Edition):
Cata, O. (2015). Trading statement releases and the subsequent price formation process : evidence from the JSE. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/15475
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Cata, Olwethu. “Trading statement releases and the subsequent price formation process : evidence from the JSE.” 2015. Thesis, University of Cape Town. Accessed March 01, 2021.
http://hdl.handle.net/11427/15475.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Cata, Olwethu. “Trading statement releases and the subsequent price formation process : evidence from the JSE.” 2015. Web. 01 Mar 2021.
Vancouver:
Cata O. Trading statement releases and the subsequent price formation process : evidence from the JSE. [Internet] [Thesis]. University of Cape Town; 2015. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/11427/15475.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Cata O. Trading statement releases and the subsequent price formation process : evidence from the JSE. [Thesis]. University of Cape Town; 2015. Available from: http://hdl.handle.net/11427/15475
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)
▼ 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 and modelled after the 'Turtle method' which was first popularized in the United States in the 1970s before the automation of trading models. Prior literature focused on the commodities and equity indices spectrum of futures contracts in North American and Asian markets while this report replicates the model and attempts to optimize it for use on the SAFEX. The objective of this research is to invigorate academic study of trading strategies in the South African market by employing what was a successful, albeit very simple, trend following strategy on a sparsely studied academic field in South Africa. The contrarian trading strategy comprises three systems that generate idiosyncratic entry and exit signals using Donchian Channel theory to identify a price breakout from an average true range (ATR) band in the attempt to profitably trade on a price trend. The three systems implemented include: The short term system (System 1) generating a 'long' position when an instrument price moves above the 20-day 'high' and exit when it moves below the 10-day 'low', and vice versa for short positions; the long term system (System 2) following the same logic with 55-day entries and 20-day exits, and a third system (Integrated system) integrating the short and long term systems. A 20-day average true range is used to determine position sizing, stop-losses and additional contract purchases when a price-trend is potentially identified, while fractional asset allocation theory is drawn upon to determine optimal capital allocation to position.
Advisors/Committee Members: Van Rensburg, Paul (advisor).
Subjects/Keywords: Investment Management
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Manager
APA (6th 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 (16th Edition):
Swart, Justin-Niall. “Testing a price breakout strategy using Donchian Channels.” 2016. Thesis, University of Cape Town. Accessed March 01, 2021.
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 (7th Edition):
Swart, Justin-Niall. “Testing a price breakout strategy using Donchian Channels.” 2016. Web. 01 Mar 2021.
Vancouver:
Swart J. Testing a price breakout strategy using Donchian Channels. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2021 Mar 01].
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.
Polden, Stuart John.
An investigation into higher and partial moment portfolio selection frameworks.
Degree: MCom, Finance and Tax, 2019, University of Cape Town
URL: http://hdl.handle.net/11427/30878
► This dissertation highlights the importance of considering higher moments and partial moments of the distribution when conducting portfolio optimisation and selection. This is due partly…
(more)
▼ This dissertation highlights the importance of considering higher moments and partial moments of the distribution when conducting portfolio optimisation and selection. This is due partly to the weaknesses of mean-variance optimisation, as discussed throughout the dissertation, and the appropriateness of considering higher moments to better meet the investors utility functions. This dissertation investigates the usage of two bi-objective optimisation frameworks, a Skewness/Semivariance framework previously suggested by Brito et al (2016), and a proposed upside and downside semivariance framework (referred to as Semivariance/Semivariance), developed from Cumova and Nawrocki’s (2014) general upper partial and lower partial moment framework. It solves the endogeneity issue present in the co-semivariance matrices, through the usage of a direct multi-search algorithm. The two frameworks were tested across multiple datasets, including one of pure stocks and one of asset classes, to test the ability to both allocate assets and select stocks. The performance was measured through nominal returns, statistical tests, Sharpe ratios, Sortino ratios, and Skewness/Semivariance ratios. The results reveal the Semivariance/Semivariance optimisation process to outperform the Skewness/Semivariance optimisation in the majority of the cases investigated. This suggests it may be a superior selection optimisation process. Furthermore, the Semivariance/Semivariance portfolios remain competitive with the benchmark portfolios selected in this dissertation, often outperforming them on an absolute return and ratio basis; however, this outperformance has not consistently proven to be statistically significant.
Advisors/Committee Members: Rajaratnam, Kanshukan (advisor).
Subjects/Keywords: Investment Management
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APA ·
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Manager
APA (6th Edition):
Polden, S. J. (2019). An investigation into higher and partial moment portfolio selection frameworks. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/30878
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Polden, Stuart John. “An investigation into higher and partial moment portfolio selection frameworks.” 2019. Thesis, University of Cape Town. Accessed March 01, 2021.
http://hdl.handle.net/11427/30878.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Polden, Stuart John. “An investigation into higher and partial moment portfolio selection frameworks.” 2019. Web. 01 Mar 2021.
Vancouver:
Polden SJ. An investigation into higher and partial moment portfolio selection frameworks. [Internet] [Thesis]. University of Cape Town; 2019. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/11427/30878.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Polden SJ. An investigation into higher and partial moment portfolio selection frameworks. [Thesis]. University of Cape Town; 2019. Available from: http://hdl.handle.net/11427/30878
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Cape Town
19.
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)
▼ 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 of different investor's preferences. These include an investor's age, risk aversion and required levels of returns. To do this, an analysis was done of prior research, so the most up to date mean-variance asset allocation model could be developed. Returns from 10 different indices, over different asset classes were gathered. The indices of importance were found to be: All Bond Index (ALBI), Inflation Linked All Maturities Index (ILB), Salient's Momentum Active Index Fund (MOME), Salient's Value Active Index Fund (VAL), South African Short Term Fixed Interest Index (STEFI) and South African Property Index (SAPY).
Advisors/Committee Members: Van Rensburg, Paul (advisor).
Subjects/Keywords: Investment Management
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APA ·
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Manager
APA (6th 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 (16th Edition):
Mahoney, Kevin. “Asset allocation in the South African environment.” 2014. Thesis, University of Cape Town. Accessed March 01, 2021.
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 (7th Edition):
Mahoney, Kevin. “Asset allocation in the South African environment.” 2014. Web. 01 Mar 2021.
Vancouver:
Mahoney K. Asset allocation in the South African environment. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2021 Mar 01].
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
20.
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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Record Details
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APA ·
Chicago ·
MLA ·
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CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th 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 (16th 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 March 01, 2021.
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 (7th Edition):
Baars, Monique. “The existence and behaviour of style anomalies in the global equity market : a univariate and multivariate analysis.” 2014. Web. 01 Mar 2021.
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 2021 Mar 01].
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
21.
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)
▼ 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 investor over the period 30 July 2015 to 20 December 2017. Cryptocurrencies are mostly still in their infancy, and reliable information regarding their usefulness as an asset class in a diversified portfolio is scarce to come by. This study adopts a quantitative research methodology which incorporates the following statistical methods: i) mean-semivariance optimisation; ii) Kendall Tau-b correlations; and, iii) autocorrelation function for serial correlations. The JSE All Bond Index is used as bond
investment proxy, a combination of the JSE Top 40, Resources Index and Financial-Industrials Index is used as an equity
investment proxy, and the LBMA Gold PM is used as a gold
investment proxy. The study found that all three cryptocurrencies under investigation yielded risk-return benefits for a diversified portfolio. The alternative cryptocurrencies (Ethereum and Litecoin) exhibited higher levels of downside risk (semideviation) than Bitcoin, but proportionately greater returns. Hence, the addition of these two cryptocurrencies to a portfolio that includes Bitcoin and traditional assets resulted in an expansion of the efficient frontier. Ethereum exhibited slightly lower correlations to Bitcoin than Litecoin, which is most likely attributed to its greater technological differences, but performed worse as a diversifier. All three cryptocurrencies yielded similar low to very low correlations to all traditional assets, including gold - representative of the potential diversification benefits. The autocorrelation function resulted in high positive serial correlations for all three cryptocurrencies, indicative of strong trending behaviour and high volatility.
Advisors/Committee Members: Rajaratnam, Kanshukan (advisor).
Subjects/Keywords: Investment Management
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APA ·
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Export
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Manager
APA (6th 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 (16th Edition):
Kibble, Alexander. “An investigation into the use of multiple cryptocurrencies in a diversified portfolio.” 2018. Thesis, University of Cape Town. Accessed March 01, 2021.
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 (7th Edition):
Kibble, Alexander. “An investigation into the use of multiple cryptocurrencies in a diversified portfolio.” 2018. Web. 01 Mar 2021.
Vancouver:
Kibble A. An investigation into the use of multiple cryptocurrencies in a diversified portfolio. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2021 Mar 01].
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
22.
Lumala, Arnold.
The long-run share price performance resulting from mergers & acquisitions in South Africa: a calendar-time approach.
Degree: MCom, Finance and Tax, 2019, University of Cape Town
URL: http://hdl.handle.net/11427/31468
► With increasing globalisation and the need to expand into new markets quickly and efficiently, South African firms are more than ever relying on mergers and…
(more)
▼ With increasing globalisation and the need to expand into new markets quickly and efficiently, South African firms are more than ever relying on mergers and acquisitions (M&A). It is therefore important to revisit the debate on whether M&A is a beneficial long-term corporate strategy for shareholders, especially given that little South African literature exists on this issue. This study addresses this question by examining both the short- and long-run share return performances resulting from 204 mergers and acquisitions (M&A) over the period 2003-2014, involving companies listed on the Johannesburg Stock Exchange (JSE) as acquirers. The measurement of long-run performance of M&A and other corporate events such as share buy backs and seasoned offerings remains contentious primarily due to concerns on the appropriate benchmarks for abnormal share return performance as a result of these events and the methodology used to measure long-run realized returns from these events. With regard to benchmarks, a combination of four return factors deemed appropriate for the South African equity market is used to benchmark the abnormal returns related to M&A activities. These factors are the JSE’s Financial & Industrials Index (JSE index code J213 or colloquially known as the Findi), the JSE’s Resources Index (JSE index code J210 or colloquially known as the Resi), and the size and book-to-market factors. Two methods have been widely used to determine the long-run share return performance from corporate events: The Buy-and-Hold Abnormal Return (BHAR) approach and the more statistically robust Calendar Time Portfolio (CTP) approach. Using these two approaches, this study finds that, in the long term, there are no statistically significant abnormal returns associated with merger and acquisition transactions for the sample of South African acquirers tested. The correlation of a number of key transaction attributes with long-run M&A related share return performance is also examined in this study. The following characteristics are thus tested: the method of payment (cash, equity or cash and equity), the listing status of acquisition targets (private, public or subsidiary), the target’s geographical location (cross-border or non-cross border, i.e. South African), the relatedness of the target’s industry to the acquirer’s (i.e. conglomerate versus horizontal M&A) and the percentage of the target acquired (50% or more and less than 50%). The results indicate that cash acquirers outperform both equity and cash and equity acquirers, acquirers of subsidiaries outperform acquirers of private or public targets, cross-border acquirers outperform non cross-border acquirers, conglomerate M&A underperform horizontal or related M&A and gaining control, i.e. acquiring 50% or more of the target results in slightly higher return than not gaining control. In addition, the short-run share return performance of M&A is examined to investigate whether investors’ short-run expectations from M&A announcements manifest in the long-run. The findings indicate…
Advisors/Committee Members: Toerien, Francois (advisor).
Subjects/Keywords: Investment Management
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APA ·
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MLA ·
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Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Lumala, A. (2019). The long-run share price performance resulting from mergers & acquisitions in South Africa: a calendar-time approach. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/31468
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Lumala, Arnold. “The long-run share price performance resulting from mergers & acquisitions in South Africa: a calendar-time approach.” 2019. Thesis, University of Cape Town. Accessed March 01, 2021.
http://hdl.handle.net/11427/31468.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Lumala, Arnold. “The long-run share price performance resulting from mergers & acquisitions in South Africa: a calendar-time approach.” 2019. Web. 01 Mar 2021.
Vancouver:
Lumala A. The long-run share price performance resulting from mergers & acquisitions in South Africa: a calendar-time approach. [Internet] [Thesis]. University of Cape Town; 2019. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/11427/31468.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Lumala A. The long-run share price performance resulting from mergers & acquisitions in South Africa: a calendar-time approach. [Thesis]. University of Cape Town; 2019. Available from: http://hdl.handle.net/11427/31468
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Cape Town
23.
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)
▼ 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 shown to have flaws as literature has shown that stock returns can exhibit non-linearity and involve complex relations beyond that of a linear nature (Hsieh, 1991; Sarantis, 2001; Shively, 2003). These findings present an opportunity to
investment practitioners who are better able to model these returns. This dissertation attempts to classify stocks on the S&P 700 index using a Classification and Regression Tree (CART) built during an in-sample period and then used for predicative purposes during an out-of-sample period deliberately comprising both a period of financial crisis and recovery. For these periods, various portfolios and performance measures are calculated in order to assess the models performance relative to the benchmark, the Standard and Poor (S&P) 700 index.
Advisors/Committee Members: Van Rensburg, Paul (advisor).
Subjects/Keywords: Investment Management
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APA ·
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Export
to Zotero / EndNote / Reference
Manager
APA (6th 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 (16th 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 March 01, 2021.
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 (7th Edition):
Pienaar, Neil Deon. “Using the classification and regression tree (CART) model for stock selection on the S&P 700.” 2016. Web. 01 Mar 2021.
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 2021 Mar 01].
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
24.
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 (6th 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 (16th Edition):
Eloff, F N. “Momentum trading strategy on the Johannesburg Stock Exchange.” 2014. Thesis, University of Cape Town. Accessed March 01, 2021.
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 (7th Edition):
Eloff, F N. “Momentum trading strategy on the Johannesburg Stock Exchange.” 2014. Web. 01 Mar 2021.
Vancouver:
Eloff FN. Momentum trading strategy on the Johannesburg Stock Exchange. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2021 Mar 01].
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 New South Wales
25.
Peiris, Dinusha.
The relationship between environmental social governance factors and US stock performance.
Degree: Banking & Finance, 2009, University of New South Wales
URL: http://handle.unsw.edu.au/1959.4/43729
;
https://unsworks.unsw.edu.au/fapi/datastream/unsworks:5251/SOURCE02?view=true
► Socially Responsible Investing (SRI) has experienced substantial growth over the last decade, although there is still a lack of consensus on whether this form of…
(more)
▼ Socially Responsible Investing (SRI) has experienced substantial growth over the last decade, although there is still a lack of consensus on whether this form of investing leads to competitive
investment returns. This paper considers the case for SRI by examining the relationship between a range of Environmental Social Governance (ESG) rating factors and financial performance of US listed companies. Previous research in this area has largely been at the portfolio level and focussed on return as a performance measure. This study makes an important contribution to the literature by utilising stock level data to consider the relationship between ESG ratings and not only stock return but also wider measures of financial performance, namely valuation and operating performance. Using a multifactor framework, this study provides evidence of a significant positive relationship between a range of ESG rating criteria and market to book value and return on assets measures, whilst a positive although inconsistent relationship between ratings and stock return is apparent. I argue that the relationship with valuation and operating performance is more clearly identified due to these measures being based on annual data, hence being consistent with rating data and also more stable than stock return (which is impacted by shorter term factors). In comparison to Brammer et al. (2006), the analysis shows that higher stakeholder ratings on the whole are more positively related to stock return. The results are broadly consistent with findings of Galema et al. (2008), although additionally highlight the significance of higher ratings for both valuation and operating performance and that employee conditions are more relevant than other stakeholder rating criteria.
Advisors/Committee Members: Evans, John, Actuarial Studies, Australian School of Business, UNSW.
Subjects/Keywords: Investment
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APA (6th Edition):
Peiris, D. (2009). The relationship between environmental social governance factors and US stock performance. (Masters Thesis). University of New South Wales. Retrieved from http://handle.unsw.edu.au/1959.4/43729 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:5251/SOURCE02?view=true
Chicago Manual of Style (16th Edition):
Peiris, Dinusha. “The relationship between environmental social governance factors and US stock performance.” 2009. Masters Thesis, University of New South Wales. Accessed March 01, 2021.
http://handle.unsw.edu.au/1959.4/43729 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:5251/SOURCE02?view=true.
MLA Handbook (7th Edition):
Peiris, Dinusha. “The relationship between environmental social governance factors and US stock performance.” 2009. Web. 01 Mar 2021.
Vancouver:
Peiris D. The relationship between environmental social governance factors and US stock performance. [Internet] [Masters thesis]. University of New South Wales; 2009. [cited 2021 Mar 01].
Available from: http://handle.unsw.edu.au/1959.4/43729 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:5251/SOURCE02?view=true.
Council of Science Editors:
Peiris D. The relationship between environmental social governance factors and US stock performance. [Masters Thesis]. University of New South Wales; 2009. Available from: http://handle.unsw.edu.au/1959.4/43729 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:5251/SOURCE02?view=true
University of Cape Town
26.
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)
▼ 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 the practice of shifting the investor's portfolio from risky asset holdings towards bonds and cash as the investor's target date gets closer. This view rests on the notion that equities tend to be less risky over the long horizon and that stock returns exhibit mean reversion overtime. The purpose of this dissertation is to find the optimal asset allocation over various
investment horizons; and investigate how the optimal asset allocation changes over the long
investment horizon. The study uses data from South Africa's financial market covering the period December 2001 to December 2014. The mean - variance framework generated the optimal asset allocation over 12
investment horizons. The study finds that, over 90 percent of the portfolio should be vested into fixed - income South African bonds, with little over 5 percent equities allocation, over longer
investment periods. In addition, the study found evidence of time diversification on the JSE all shares index and the presence of mean reversion properties for the all s hares index. With these conclusions, implications and recommendations are suggested
Advisors/Committee Members: Van Rensburg, Paul (advisor).
Subjects/Keywords: Investment Management
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APA ·
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Export
to Zotero / EndNote / Reference
Manager
APA (6th 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 (16th Edition):
Musilika, Oskar. “Long term portfolio construction.” 2016. Thesis, University of Cape Town. Accessed March 01, 2021.
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 (7th Edition):
Musilika, Oskar. “Long term portfolio construction.” 2016. Web. 01 Mar 2021.
Vancouver:
Musilika O. Long term portfolio construction. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2021 Mar 01].
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
Université de Sherbrooke
27.
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 ·
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APA (6th 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 (16th 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 March 01, 2021.
http://hdl.handle.net/11143/6096.
MLA Handbook (7th Edition):
Moisan-Poisson, Miguel. “Stratégie d'investissement guidé par les passifs et immunisation de portefeuille : une approche dynamique.” 2013. Web. 01 Mar 2021.
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 2021 Mar 01].
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
University of Zambia
28.
Kaputo, Collins Chileshe.
Macroeconomic Policy and Domestic Private investment: The case of Zambia, 1980-2008
.
Degree: 2012, University of Zambia
URL: http://hdl.handle.net/123456789/1060
► There has been a lot of emphasis in Zambia on FDI in the last two decades culminating in a steady increase in FDI flows from…
(more)
▼ There has been a lot of emphasis in Zambia on FDI in the last two decades culminating in a steady increase in FDI flows from about US200 million in 1990 to about US920 million in 2008. On the other hand, domestic private investment, as a percentage of GDP has generally been low and has shown downward trends for some periods during 1980-2008. It is clear that the government focus on attracting FDI has disadvantaged local investment as shown by the selective application of tax incentives to foreign investors while local investors are denied similar incentives. While FDI has a significant effect on economic growth and has the advantage of transferring technology to local entrepreneurs, it cannot guarantee sustainable economic development in isolation of domestic private investment.
Viewed against the background of growing evidence of a link between the growth of domestic enterprises and economic development, an inconsistent and downward trend in Zambia’s domestic private investment should be a matter of concern to policy makers. Thus, this study argues for the increased mobilization of domestic resources and support to domestic entrepreneurs as the sustainability of the country’s economic development and poverty reduction strategies hinge on the growth of local entrepreneurs.Several studies in developing countries emphasize the importance of macroeconomic policy in explaining variations in domestic private investment. They particularly identify fiscal, monetary and financial policy variables that include; real interest rates, output growth, public investment, bank credit to the private sector, inflation and real exchange rate. This study adopts this approach and examines the relationship between macroeconomic policy and domestic private investment in Zambia for the period 1980 to 2008 by means of a regression analysis based on Cointegration and Error Correction Modeling (ECM) techniques.
The econometric results provide support for the hypothesis that domestic private investment in Zambia, like other developing countries, is affected by key macroeconomic policy variables. It is clear from the findings of the study that real GDP growth, real exchange rate, real interest rates, inflation, public investment and credit availability to the private sector are some of the key macroeconomic factors that influence domestic private investment decisions in Zambia. The results also indicate that macroeconomic factors affect domestic private investment, both in the short-term and in the long-term. Public investment was found to have a greater impact on domestic private investment in the short-run, while real GDP growth, the inflation rate, bank credit to the private sector, the real exchange rate and the real interest rate had a greater impact in the long-run. Econometric results of the error correction mechanism (ECM) further reveal the existence of a short-run dynamic adjustment process and a long-run equilibrium relationship between these macroeconomic variables and domestic private investment. Any disequilibrium away from…
Subjects/Keywords: Macroeconomic Policy;
Investment – Private;
Investment – Domestic
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APA (6th Edition):
Kaputo, C. C. (2012). Macroeconomic Policy and Domestic Private investment: The case of Zambia, 1980-2008
. (Thesis). University of Zambia. Retrieved from http://hdl.handle.net/123456789/1060
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Kaputo, Collins Chileshe. “Macroeconomic Policy and Domestic Private investment: The case of Zambia, 1980-2008
.” 2012. Thesis, University of Zambia. Accessed March 01, 2021.
http://hdl.handle.net/123456789/1060.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Kaputo, Collins Chileshe. “Macroeconomic Policy and Domestic Private investment: The case of Zambia, 1980-2008
.” 2012. Web. 01 Mar 2021.
Vancouver:
Kaputo CC. Macroeconomic Policy and Domestic Private investment: The case of Zambia, 1980-2008
. [Internet] [Thesis]. University of Zambia; 2012. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/123456789/1060.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Kaputo CC. Macroeconomic Policy and Domestic Private investment: The case of Zambia, 1980-2008
. [Thesis]. University of Zambia; 2012. Available from: http://hdl.handle.net/123456789/1060
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Helsinki
29.
Pohjanpalo, Maria.
International Investments and Liability - the Environmental Aspect.
Degree: Faculty of Law, 2015, University of Helsinki
URL: http://hdl.handle.net/10138/152765
► This research investigates the interrelation of international investments and the environment. It is a study on fragmentation and how to potentially overcome it in practice…
(more)
▼ This research investigates the interrelation of international investments and the environment. It is a study on fragmentation and how to potentially overcome it in practice through what is called a spectrum approach, in the field of international investment law and international environmental law. In particular the focus is on foreign direct investments.
Three research questions are posed. First, why is there an increasing amount of investor-state disputes involving an environmental aspect? Second, is it possible to identify common elements, particular problems and specific rules regarding foreign direct investments which have an environmental aspect, from different sources of law, while also taking into account the element of liability? Finally, how could the risk of conflicts, disputes and any resulting liability be minimized?
After the introductory Part I, Part II focuses first on the detailed substance of the research topic, placing it then in the theoretical framework, followed by systemizing the growing and changing regulatory and quasi-regulatory framework of it. In Part III on implementation, relevant existing cases are examined. A practical implementation exercise of the identified rules and elements to a foreign investment in the forest sector is included, to investigate if and how the identified rules and elements would apply. Finally in Part IV discussion on future developments and concluding remarks on the findings are presented. The end product of the research is a compact and practical indicative checklist for states and investors that could serve as a tool in order to minimize as far as possible the risk of disputes and liability.
The study demonstrates that due to the fragmented nature of international law, in order to facilitate the functioning of the system there is not one, single solution available. This is particularly the case in relation to the third and final research question. Instead, actions by different actors, in different contexts, levels and temporal phases are required, while ensuring a sufficient dialogue and information flow between these actors.
Väitöskirjan aihe on kansainväliset sijoitukset ja vastuu ympäristönäkökulma. Väitöskirjatutkimuksessa käsitellään kansainvälisten investointien ja ympäristön välistä suhdetta. Tutkimuksessa tarkastellaan erityisesti kansainvälisen oikeuden fragmentaatiota eli erikoistumista ja sen vaikutusta suorien ulkomaisten sijoitusten ja ympäristökysymysten väliseen sääntelyyn. Tutkimus sijoittuu kansainvälisen investointioikeuden ja kansainvälisen ympäristöoikeuden leikkauspisteeseen.
Tutkimuskysymykset ovat: 1. Miksi tällä hetkellä on jopa lisääntyvässä määrin ympäristöön liittyviä investointiriitoja? 2. Mitä yhteisiä elementtejä, ongelmia ja sääntelyä aiheeseen sisältyy? 3. Kuinka riitoja ja niistä seuraavaa vastuuta pystyttäisiin minimoimaan?
Tutkimus jakaantuu neljään lukuun. Ensimmäinen luku sisältää työn johdannon, jonka jälkeen toisessa luvussa tutkimustyö sijoitetaan laajempaan teoreettiseen sekä eri sääntöjen muodostamaan…
Subjects/Keywords: international Investment Law; international Investment Law
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APA (6th Edition):
Pohjanpalo, M. (2015). International Investments and Liability - the Environmental Aspect. (Doctoral Dissertation). University of Helsinki. Retrieved from http://hdl.handle.net/10138/152765
Chicago Manual of Style (16th Edition):
Pohjanpalo, Maria. “International Investments and Liability - the Environmental Aspect.” 2015. Doctoral Dissertation, University of Helsinki. Accessed March 01, 2021.
http://hdl.handle.net/10138/152765.
MLA Handbook (7th Edition):
Pohjanpalo, Maria. “International Investments and Liability - the Environmental Aspect.” 2015. Web. 01 Mar 2021.
Vancouver:
Pohjanpalo M. International Investments and Liability - the Environmental Aspect. [Internet] [Doctoral dissertation]. University of Helsinki; 2015. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/10138/152765.
Council of Science Editors:
Pohjanpalo M. International Investments and Liability - the Environmental Aspect. [Doctoral Dissertation]. University of Helsinki; 2015. Available from: http://hdl.handle.net/10138/152765
Stellenbosch University
30.
Lotter, Rousseau.
The impact of equity analyst recommendations on market attention, price-consensus and the behaviour of other analysts.
Degree: PhD, Business Management, 2015, Stellenbosch University
URL: http://hdl.handle.net/10019.1/97986
► ENGLISH ABSTRACT: Analysts are valuation specialists who advise both institutional clients and non-professional investors on the choice and timing of security purchases and sales. The…
(more)
▼ ENGLISH ABSTRACT: Analysts are valuation specialists who advise both institutional clients and non-professional investors on the choice and timing of security purchases and sales. The analysts’ advice may have hugely beneficial or unfavourable outcomes for those who rely on them. This study investigated the possible influence of 901 local and international analysts’ recommendations that were issued from 1993 to 2011 on shares listed on the Johannesburg Stock Exchange (JSE).
The short-term impact of recommendations on prices and possible behavioural tendencies among analysts, including a reported inclination to issue overly-positive recommendations, were respectively investigated in the first two empirical chapters. Thirdly, the success rate of analysts to issue recommendations with an advised directional impact and possible herding behaviour among analysts were researched. The empirical chapters conclude with an investigation into changes in investor attention (as proxied by traded volumes) and price volatility around analysts’ recommendations. The efficient market hypothesis and the ‘differences of opinion’ theories were used as fundamental points of departure and interpretation. More than 37 000 recommendations, ranging from strong buy to strong sell, were used in an event-study methodology to analyse the market’s reaction to these recommendations. Advanced modelling techniques were implemented in Excel and VBA to analyse daily consensus opinions, positive- versus negative sentiment, analyst activity and reactions, the frequency of abnormal price reactions, abnormal price movements, abnormal traded volumes, and changes in price volatility surrounding recommendation revisions.
The study found that analyst recommendations were followed by an abnormal reaction in prices and that the magnitude of a recommendation’s change (e.g. a three-step change from strong sell to buy versus a one-step change hold to buy) had a greater impact than a recommendation’s absolute level. A portfolio strategy revealed the possible benefit of recommendations for investors. Analysts issued their opinions using different patterns within the five possible recommendation categories, and issued the same proportion of negative recommendations during periods of low business confidence and economic contraction than during growth- and economic upswing phases. Analysts who issued more recommendations in total were not more influential than less active analysts, and not all analysts were able to issue recommendations with a large advised directional abnormal impact. As expected, recommendations that had a large abnormal price impact generated some herding activity among the other analysts who covered the same share. Investor attention increased around the issuance of recommendation revisions, and price volatility increased after large recommendation upgrades. In support of market efficiency, investors seemed able to trade at new price levels and execute their trades with sufficient liquidity following recommendations. Results that infer differences…
Advisors/Committee Members: Smith, E. van der Merwe, Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Business Management..
Subjects/Keywords: Investment analysis; Portfolio management; Investment advisors
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APA ·
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MLA ·
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Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Lotter, R. (2015). The impact of equity analyst recommendations on market attention, price-consensus and the behaviour of other analysts. (Doctoral Dissertation). Stellenbosch University. Retrieved from http://hdl.handle.net/10019.1/97986
Chicago Manual of Style (16th Edition):
Lotter, Rousseau. “The impact of equity analyst recommendations on market attention, price-consensus and the behaviour of other analysts.” 2015. Doctoral Dissertation, Stellenbosch University. Accessed March 01, 2021.
http://hdl.handle.net/10019.1/97986.
MLA Handbook (7th Edition):
Lotter, Rousseau. “The impact of equity analyst recommendations on market attention, price-consensus and the behaviour of other analysts.” 2015. Web. 01 Mar 2021.
Vancouver:
Lotter R. The impact of equity analyst recommendations on market attention, price-consensus and the behaviour of other analysts. [Internet] [Doctoral dissertation]. Stellenbosch University; 2015. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/10019.1/97986.
Council of Science Editors:
Lotter R. The impact of equity analyst recommendations on market attention, price-consensus and the behaviour of other analysts. [Doctoral Dissertation]. Stellenbosch University; 2015. Available from: http://hdl.handle.net/10019.1/97986
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Open Access Theses and Dissertations