Dissertations / Theses on the topic 'Capital Assets'
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Yamaguchi, Rintaro. "Essays on Capital Assets and Sustainable Development." Kyoto University, 2011. http://hdl.handle.net/2433/142146.
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Chavada, Mehul (Mehul Meghji). "Analyzing capital expenditure in commercial real estate assets." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/103218.
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Thesis: S.M. in Real Estate Development, Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate, 2016.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 33-34).
The ability of Commercial Real Estate to provide strong current income returns has long been one of its benefits of inclusion into a long-term portfolio. Capital Expenditures can significantly hamper this income return of commercial properties and mislead the investors into making misguided decisions. However, there has long been an informational vacuum about capital expenditure and the current available literature can best be described as non-existent. This thesis focuses entirely on capital expenditure to understand the future implications of Capital Expenditure Spending, and to understand the co-relation between different property characteristics and capital expenditure. The thesis uses contingency tables to understand the behavior of commercial properties over a span of nine years. The goal was to understand if capital expenditure spends have an impact on future spends. If an investor invests high (low) capital expenditure in the present do they keep spending high (low) all throughout their hold periods or their spending changes over time. Secondly, regression analyses is used to better understand the relationship between different property characteristics and capital expenditures and this exercise helps build an intuition about capital expenditure spends. The contingency tables and regression analyses revealed distinguishing trends about capital expenditure and helped understand its behavior. It was revealed that investors currently spending high on capital expenditures are not necessarily successful in saving capital expenditure spends in the future. The regression analyses defined a positive correlation for capital expenditure with respect to age, sq. ft, NOI and market value and it defined a negative co-relation with respect to cap rate and location considering the property was located in the top six markets in the country.
by Mehul Chavada.
S.M. in Real Estate Development
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Eriksson, Cecilia, and Nikkilä Mi Tran. "Applicering av utvalda kapitalstruktursvariabler på den svenska marknaden : En kvantitativ studie på svenska börsnoterade företag." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-35516.
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The purpose of the study is to examine the application of selected variables from previous studies when applied to the capital structure of Swedish publicly traded companies. Five variables will be used to examine whether they have a similar effect on the capital structure of Swedish companies. The study is a quantitative research that is made up of data that was collected from two chosen line of businesses on the Swedish market, industrials and medicine. A large quantity of data was collected from 135 companies during the time period 2013-2017, the data was processed and converted before a regression analysis was performed. According to the regression analysis this study received the following result from the industrial line of business: the variable with the most explanatory effect regarding the capital structure was liquid assets, profitability, turnover assets, total assets (size) and tangible assets. In the medicine line of business the following variables had the most explanatory effects: liquid assets, total assets (size), turnover assets, tangible assets and profitability. The study shows the extent to which the variables are significant and what impact they have on debt in the Swedish market. The result was different between the industries, which is an interesting aspect to note that different variables were applied with different strengths in the industries depending on the company's financial position. Liquid assets were the variable that had the greatest connection to the degree of indebtedness in both industries in the Swedish market. The result regarding the variables used in this study had greater similarity in its applicability between the two industries in Sweden than the similarity to an earlier studyconducted in Romania with similar variables.
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Bushey-Miller, Becky A. "Assets, Strengths and Educational Pathways of First-generation Doctoral Students." Ohio University / OhioLINK, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=ohiou1466614502.
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Rajbansi, A. M. "Capital Allowances on a power generating plant." Diss., University of Pretoria, 2013. http://hdl.handle.net/2263/41571.
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South Africa emerged as a country that fought and overcame arduous oppression.. Following the democratic revolution of 1994, the new government regime embarked on an enormous electrification rollout with the mandate of ensuring all households in the country have access to electricity. This did not come without huge challenges and the electricity supply network was already under pressure. This led to load shedding and in turn impeded economic growth. Consequently South Africa requires significant investment in new electricity infrastructure. In order to ensure sustainable economic growth, the provision of reliable electricity is a critical strategic imperative. One of the objectives (according to the Electricity Regulation Act, No. 4 of 2006) is to facilitate investment in the electricity supply industry. To empower and encourage electricity producers, including foreign investors, to enter into the market, it is imperative to critically assess the current tax allowances available for the construction of power station assets within South Africa's domestic shores. In addition, the concept of load shedding is not limited to South Africa, but is a form of reducing demand on the energy generating system and is experienced internationally. To understand the tax incentives offered by international countries to reduce demand on the electricity supply network, will form part of this assessment. Benchmarking will be done on South Africa's domestic tax incentives offered to local electricity generators against international suppliers of electricity.Dissertation (MCom)--University of Pretoria, 2013.
lmchunu2014
Taxation
unrestricted
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Bosch, Thahir. "Management and auditing of bank assets and capital / T. Bosch." Thesis, North-West University, 2008. http://hdl.handle.net/10394/3628.
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As a result of the new regulatory prescripts for banks, known as the Basel II Capital Accord, there has been a heightened interest in the auditing process. We consider this issue with a particular emphasis on the auditing of reserves, assets and capital in both a random and non-random framework. The analysis relies on the stochastic dynamic modelling of banking items such as loans, shares, bonds, cash, reserves, Treasuries, outstanding debts, bank capital and government subsidies. In this regard, one of the main novelties of our contribution is the establishment of optimal bank reserves and a rate of depository consumption that is of importance during a (random) audit of the reserve requirements. Here the specific choice of a power utility function is made in order to obtain an analytic solution in a Levy process setting.
Furthermore, we provide explicit formulas for the shareholder default and regulator closure rules, for the case of a Poisson-distributed random audit. A property of these rules is that they define the standard for minimum capital adequacy in an implicit way. In addition, we solve an optimal auditing time problem for the Basel II capital adequacy requirement by making use of Levy process-based models. This result provides information about the optimal timing of an internal audit when the ambient value of the capital adequacy ratio (CAR) is taken into account and the bank is able to choose the time at which the audit takes place.
Finally, we discuss some of the economic issues arising from the analysis of the stochastic dynamic models of banking items and the optimization procedure related to the auditing process.Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2009.
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Park, In Kwon. "Essays on a City’s Assets: Agglomeration Economies and Legacy Capital." The Ohio State University, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=osu1269458854.
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Abduvaliyev, Davlatbek. "Organisation capital empirical construct in the UK : methodology, validity, value relevance and pricing." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/organisation-capital-empirical-construct-in-the-uk-methodology-validity-value-relevance-and-pricing(eb025e50-6ef5-4a14-9120-02e3592482a6).html.
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The existing literature proposes a broad spectrum of methodologies to measure firm's superior operating capabilities, referring to them under different names such as 'knowledge assets', 'intellectual capital', 'organisation capital', etc. Through the work reported in this thesis, I intend to contribute to the research field by exploring one specific measure of a firm's operating capabilities proposed by Lev, Radhakrishnan and Zhang (Abacus, 2009). These researchers empirically construct an organisation capital measure and argue it has predictive ability for future performance and is able to explain future abnormal stock returns in the USA. I extend their research to the UK. In doing so, I also critically discuss the organisation capital estimation process and propose potential improvements to the technique. I find evidence of its construct validity in the UK. I examine the organisation capital measure's predictive ability for future performance. The results suggest that this measure is positively associated with future sales growth in the UK. Additionally, the organisation capital measure seems to explain persistence of the operating income and sales of firms in the UK. Via value relevance tests, I obtain empirical evidence that the organisation capital measure is positively associated with equity market value in the UK. Moreover, it is positively associated with the earnings multiplier in value relevance tests. This finding is consistent with empirical evidence that the organisation capital measure is positively associated with one-year ahead earnings and positively affects earnings persistence in such an association in the UK. Finally, I fail to find evidence of the organisation capital measure's ability to explain future excess stock returns in the UK. This suggests that information on firm-specific operating capabilities captured by the organisation capital measure is recognised by the capital market participants and contemporaneously incorporated into stock prices. This result, however, contrasts with the Lev et al. (2009) findings in the USA that organisation capital is mispriced.
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Wasonga, Teresa A. "An analysis of the relationship between external assets, internal assets and academic achievement among urban students /." free to MU campus, to others for purchase, 2002. http://wwwlib.umi.com/cr/mo/fullcit?p3052229.
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Brown, Christopher J. "Factors that affect the successful commercialization of intellectual capital." Thesis, Curtin University, 2002. http://hdl.handle.net/20.500.11937/1933.
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This research has investigated factors that affect the successful commercialization of intellectual capital. The concept of social constructs of meaning for the interview participants provides the fundamental perspective of this research. The research was undertaken on the basis of a constructivist ontology, the epistemology was interpretivist, and a qualitative methodology was used. A constructivist ontology was selected due to the research aim to understand the perceptions of the interview participants. The interpretivist approach provided the framework to interpret meaning of the perceptions in the appropriate business context. The data collection methods included unstructured interviews of people holding key decision making positions within their organizations. The conceptual nature of intellectual capital and commercialization enabled the research to be viewed from a phenomenological perspective and aspects of grounded theory were applied in seeking meaning from interviewee perceptions to surface a theoretical model. The data analysis included coding of the interview transcripts utilizing NVivo qualitative research software and sorting the data into nodes. The nodes represented categories of information which became the foundations of the constructs. These nodes were examined for relationship and meaning until a theoretical model emerged from the data. The findings culminated in six (6) main constructs which were subsequently aggregated to form a composite model of factors which influence the commercialization process.In addition a further discovery was made in terms of an `Intellectual Capital Approach' model which enables a classification and hierarchical relationship of intellectual capital to be mapped as a starting point for problem solving and strategy formulation. The results of this research have immediate application to business in terms of informing management about identification of intellectual capital and to consider alternative scenarios for wealth creation by way of commercialization.
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Janse, Van Rensburg S. "Modelling of size-based portfolios using a mixture of normal distributions." Thesis, Nelson Mandela Metropolitan University, 2009. http://hdl.handle.net/10948/985.
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From option pricing using the Black and Scholes model, to determining the signi cance of regression coe cients in a capital asset pricing model (CAPM), the assumption of normality was pervasive throughout the eld of nance. This was despite evidence that nancial returns were non-normal, skewed and heavy- tailed. In addition to non-normality, there remained questions about the e ect of rm size on returns. Studies examining these di erences were limited to ex- amining the mean return, with respect to an asset pricing model, and did not consider higher moments. Janse van Rensburg, Sharp and Friskin (in press) attempted to address both the problem of non-normality and size simultaneously. They (Janse van Rens- burg et al in press) tted a mixture of two normal distributions, with common mean but di erent variances, to a small capitalisation portfolio and a large cap- italisation portfolio. Comparison of the mixture distributions yielded valuable insight into the di erences between the small and large capitalisation portfolios' risk. Janse van Rensburg et al (in press), however, identi ed several shortcom- ings within their work. These included data problems, such as survivorship bias and the exclusion of dividends, and the questionable use of standard statistical tests in the presence of non-normality. This study sought to correct the problems noted in the paper by Janse van Rensburg et al (in press) and to expand upon their research. To this end survivorship bias was eliminated and an e ective dividend was included into the return calculations. Weekly data were used, rather than the monthly data of Janse van Rensburg et al (in press). More portfolios, over shorter holding periods, were considered. This allowed the authors to test whether Janse van Rensburg et al's (in press) ndings remained valid under conditions di erent to their original study. Inference was also based on bootstrapped statistics, in order to circumvent problems associated with non-normality. Additionally, several di erent speci cations of the normal mixture distribution were considered, as opposed to only the two-component scale mixture. In the following, Chapter 2 provided a literature review of previous studies on return distributions and size e ects. The data, data preparation and portfolio formation were discussed in Chapter 3. Chapter 4 gave an overview of the statistical methods and tests used throughout the study. The empirical results of these tests, prior to risk adjustment, were presented in Chapter 5. The impact of risk adjustment on the distribution of returns was documented in Chapter 6. The study ended, Chapter 7, with a summary of the results and suggestions for future research.
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Luo, Dan, and 罗丹. "Two essays on asset pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48199357.
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This thesis centers around the pricing and risk-return tradeoff of credit and equity derivatives.
The first essay studies the pricing in the CDS Index (CDX) tranche market, and whether these instruments
have been reasonably priced and integrated within the financial market generally, both
before and during the financial crisis. We first design a procedure to value CDO tranches using
an intensity-based model which falls into the affine model class. The CDX tranche spreads are
efficiently explained by a three-factor version of this model, before and during the crisis period.
We then construct tradable CDX tranche portfolios, representing the three default intensity factors.
These portfolios capture the same exposure as the S&P 500 index optionmarket, to a market
crash. We regress these CDX factors against the underlying index, the volatility factor, and the
smirk factor, extracted from the index option returns, and against the Fama-French market, size
and book-to-market factors. We finally argue that the CDX spreads are integrated in the financial
market, and their issuers have not made excess returns.
The second essay explores the specifications of jumps for modeling stock price dynamics and
cross-sectional option prices. We exploit a long sample of about 16 years of S&P500 returns
and option prices for model estimation. We explicitly impose the time-series consistency when
jointly fitting the return and option series. We specify a separate jump intensity process which
affords a distinct source of uncertainty and persistence level from the volatility process. Our
overall conclusion is that simultaneous jumps in return and volatility are helpful in fitting the
return, volatility and jump intensity time series, while time-varying jump intensities improve the
cross-section fit of the option prices. In the formulation with time-varying jump intensity, both
the mean jump size and standard deviation of jump size premia are strengthened. Our MCMC
approach to estimate the models is appropriate, because it has been found to be powerful by
other authors, and it is suitable for dealing with jumps. To the best of our knowledge, our study
provides the the most comprehensive application of the MCMC technique to option pricing in
affine jump-diffusion models.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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Sekeris, Evangelos. "Information and learning in asset pricing." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1320955391&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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ALBUQUERQUE, NELSON RODRIGUES DE. "VALUATION OF INTANGIBLE ASSETS USING COMPUTATIONAL INTELLIGENCE: APPLICATION AT HUMAN CAPITAL." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2011. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=21555@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE EXCELENCIA ACADEMICA
Esta tese apresenta uma nova metodologia para valoração dinâmica do Capital Intelectual, aplicada ao Capital Humano. Trata-se de oferecer, ao tomador de decisão, uma ferramenta capaz de calcular e comparar o retorno do investimento em ativos intangíveis, como ocorre com outros ativos tangíveis. Através da metodologia proposta, denominada KVA-ACHE, é possível estimar a quantidade potencial de conhecimento humano, utilizado na geração do resultado financeiro da empresa. Essa metodologia também permite medir variações de desempenho nos processos-chave que compõem a cadeia de valor da empresa e o impacto do investimento em educação em um determinado processo. O método KVA-ACHE é composto de cinco módulos, que são executados em três fases. Na primeira fase se avalia a empresa de forma agregada, segundo seu modelo estratégico e, na segunda fase, avalia-se a quantidade de conhecimento potencial e disponível, associado a cada processo-chave. A terceira fase é aplicado o método KVA e obtido o indicador de desempenho ROI. Ao final da sua aplicação, essa metodologia permite: identificar os processos que estão drenando resultado da empresa, através da observação de indicador financeiro adaptado, como o ROIK (Return on Investment on Knowledg), identificar a necessidade individualizada de treinamento para se atingir o máximo de desempenho em um determinado processochave; analisar o impacto percebido em termos percentuais do investimento em educação, realizado em determinado processo-chave; e, finalmente, dar uma visão sobre os recursos de conhecimentos e habilidades disponíveis na equipe de colaboradores, os quais poderão ser aproveitados na avaliação de novos negócios e desafios para empresa. A principal inovação dessa metodologia está no fato de se utilizar a Teoria dos Conjuntos Fuzzy e de Sistemas de Inferência Fuzzy - SIF para transformar conceitos relacionados à disponibilidade e ao uso de conhecimento humano em valores que, dessa forma, permitem a comparação de ativos intangíveis com ativos tangíveis.
This thesis presents a new methodology for dynamic valuation of Intellectual Capital, applied to the Human Capital. It offers, to the decision-maker, a computational tool able to quote and compare the return on investment in intangible assets, as with tangible assets. Through the proposed methodology, called KVAACHE, it is possible to estimate the potential amount of human knowledge, used in generating the company’s financial results. This approach also allows the measurement of variations in performance in the key processes that make up the value chain of the company and the impact of investment in education in a given process. The method KVA-ACHE is composed of five modules, which are executed in three phases. The first phase evaluates the company on an aggregate basis, according to its strategic model, and, in the second phase, the amount of potential and available knowledge, associated with each key process, is evaluated. The third phase applies KVA method. This methodology allows: the identification of the processes that are draining the company’s income by looking at the adapted financial indicators, such as ROIK (Return on Investment on Knowledge); the individualized need for training to achieve maximum performance in a particular key process; the analysis of the impact noticed in terms of percentage of the investment in education, held in a certain key process; and finally, an insight into the resources of knowledge and skills available in the team of collaborators, which may be used in the assessment of new challenges and business to the enterprise. The main innovation of this methodology lies in the use of Fuzzy Set Theory and Fuzzy Inference Systems - FIS to transform concepts related to the availability and use of human knowledge into values, and thus allow the comparison of intangible assets with tangible assets.
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Moeng, Ramoabi Richard. "An effective physical assets management strategy for the South African manufacturing industry." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1020631.
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Organisations are spending a large sum of capital by investing on physical assets in order to improve productivity and gain competitive advantage. It has become imperative that business leadership turn their attention to the development, implementation and sustenance of physical assets management strategies in order to eliminate operational and reliability risk.
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Karjalainen, P. (Pasi). "Valuation of intangible assets in different financial environments." Doctoral thesis, University of Oulu, 2007. http://urn.fi/urn:isbn:9789514284403.
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Abstract
The purpose of this dissertation is to investigate the valuation of intangible assets in different financial environments. Value relevance of intangible investments has been largely recognized by indicating their close relatedness on future operating performance and valuation of firms. The financial environment of the country (market- or bank-based) is also found to be an important determinant of the economic performance of the firm. This thesis combines these two important issues by examining how a country's financial system affect the firm's investments and valuation of intangible assets.
The study consists of four essays and an introductory section. Essay I investigates the firm's investments in human capital in different legal- and financial environments. The results of this study indicate that human capital asset constitutes an essential part of the market value of firms in all our sample countries. The results also suggest that firms make investments in human capital to increase their innovation capabilities and to improve their future benefits.
Essay II investigates the firm's investments in R&D capital in different financial systems. The common result concerning both financial system is that the estimated R&D capital constitutes a great part of the firm's unrecorded goodwill. The main finding of the study is that the effects of the firm's past profitability and growth on its estimated R&D capital are stronger in bank-based than market-based financial systems. This result emphasizes the role of bank-based financing over market-based financing in the efficiency of resource allocation to R&D investments.
Essay III investigates the stock market's response to the firm's R&D investments in different financial systems by taking account of lead-lag structure between the firm's R&D investments and its market value. The main result of the study is that the stock markets' response to current R&D investments varies between different financial systems with regards to the point in time against which the stock market response is examined. This study suggests that information disclosure policies, level of stock-market expectations and attitude towards risk are the most important potential factors that explain the valuation differences of R&D between market- and bank-based financial systems.
Essay IV investigates the effect's of a country's financial system on current R&D investments and the future profitability of the firm. The main results of this study can be summarized as follows: the firm's current R&D investments are more strongly associated with the level of future firm profitability in bank-based than market-based financial system whereas current R&D investments are more strongly associated with the uncertainty of future firm profitability in market-based than bank-based financial system. The findings of this study suggest that differences in the valuation of R&D between market-based and bank-based financial systems mainly depends on the information asymmetry between the firm and its investors.
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Kam, Wai-hung Simon. "Capital asset pricing model : is it relevant in Hong Kong /." [Hong Kong : University of Hong Kong], 1993. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13570456.
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Maug, Ernst Georg. "Capital structure and organizational form : alternative mechanisms of corporate control." Thesis, University of London, 1993. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=013025556&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Brown, Christopher J. "Factors that affect the successful commercialization of intellectual capital." Curtin University of Technology, Graduate School of Business, 2002. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=13633.
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This research has investigated factors that affect the successful commercialization of intellectual capital. The concept of social constructs of meaning for the interview participants provides the fundamental perspective of this research. The research was undertaken on the basis of a constructivist ontology, the epistemology was interpretivist, and a qualitative methodology was used. A constructivist ontology was selected due to the research aim to understand the perceptions of the interview participants. The interpretivist approach provided the framework to interpret meaning of the perceptions in the appropriate business context. The data collection methods included unstructured interviews of people holding key decision making positions within their organizations. The conceptual nature of intellectual capital and commercialization enabled the research to be viewed from a phenomenological perspective and aspects of grounded theory were applied in seeking meaning from interviewee perceptions to surface a theoretical model. The data analysis included coding of the interview transcripts utilizing NVivo qualitative research software and sorting the data into nodes. The nodes represented categories of information which became the foundations of the constructs. These nodes were examined for relationship and meaning until a theoretical model emerged from the data. The findings culminated in six (6) main constructs which were subsequently aggregated to form a composite model of factors which influence the commercialization process.In addition a further discovery was made in terms of an `Intellectual Capital Approach' model which enables a classification and hierarchical relationship of intellectual capital to be mapped as a starting point for problem solving and strategy formulation. The results of this research have immediate application to business in terms of informing management about identification of intellectual capital and to consider alternative scenarios for wealth creation by way of commercialization.
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Oliveira, Edineide Maria de. "A RELAÇÃO ENTRE CAPITAL HUMANO E CAPITAL PSICOLÓGICO." Universidade Metodista de São Paulo, 2011. http://tede.metodista.br/jspui/handle/tede/11.
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Previous issue date: 2011-10-06Intangible assets received special attention from scholars in recent years in the organization context of human resource management, since theoretical proposals were developed to understand (them) and measure them. Anchored in this line of research are human capital and psychological capital. While human capital is what workers can do, the psychological capital consists of a positive mental state made up of self-efficacy, hope, optimism and resilience. The overall purpose of his study was to analyze the relationship between human capital and psychological capital. It s about a quantitative study which involved 60 workers, students of the last period of Business Administration, with a average age of 23.85 years, mostly female, single and employed. Data for the study were collected in classrooms of a private university found in the Greater ABC area , through a self-administered instrument containing an interval measure of psychological capital with 12 items, validated for Brazil, and a measure of capital human with six questions,with two to measure the experience range and four to probe education. An eletronic database was design which was submitted to descriptive analysis and correlation (Pearson s) by means of SPSS 19.0 The results revealed that participants held a human capital represented by average 4.38 years work experience and that the majority (75%) had revealed to have a maximum of five years in this topic (regard). Regarding the dimension extent of education of human capital, the majority (96.70%) had not completed any graduate course, spent between 11 and 20 years to the studies(y) (81.60%), didin t exchange shift studies (93%), while 86.70% (is) already included in their academic curriculum complementary activities in the Educational Plan of Business Administration Course attended, and 73.30% had between one and three internships. The analysis poit out a median score of psychological capital, 9 accentuated strengthened by the difficulty of the participants to recognize that they are in a phase of success at work and could see the bright side of things on the job. Investigating the relationship between human capital and psychological capital significant correlations were not found. Given these results, it s presumable that the study s participants, for the reason of being predominantly young workers who have not yet completed an undergraduate degree, although in its way of life more than 10 years devoted to studies and worked for about five years on average still do not recognize themselves, in the presence of a consistent human capital psychological. The lack of relationship observed between the two intangibles advocated by theorists as important to ensure that employees can contribute to the company in pursuit of their goals seems to reveal that more studies are still needed and developing theory to support not only the assumptions about asset intangible as well as to identify the relationship of dependence that may exist between the categories of human capital and psychological.
Os ativos intangíveis receberam atenção especial de estudiosos nos últimos anos, no contexto organizacional de gestão de pessoas, visto que foram desenvolvidas propostas teóricas para compreendê-los e mensurá-los. Ancorados nesta linha de investigação, encontram-se o capital humano e o capital psicológico. Enquanto o capital humano representa o que os trabalhadores sabem fazer, o capital psicológico compreende um estado mental positivo composto por autoeficácia, esperança, otimismo e resiliência. Este estudo teve, como objetivo geral, analisar as relações entre capital humano e capital psicológico. Tratou-se de um estudo quantitativo do qual participaram 60 trabalhadores, estudantes do último período do Curso de Administração, com idade média de 23,85 anos, sendo a maioria do sexo feminino, solteira e empregada. Os dados para o estudo foram coletados em salas de aula de uma universidade particular, situada na Região do Grande ABC, por meio de um instrumento auto aplicável, contendo uma medida intervalar de capital psicológico com 12 itens, validada para o Brasil, e uma de capital humano com seis questões, sendo duas para medir a dimensão experiência e quatro para aferir educação. Foi criado um banco eletrônico, o qual foi submetido a análises descritivas e de correlação (r de Pearson) por meio do SPSS, versão 19.0. Os resultados revelaram que os participantes detinham um capital humano representado por 4,38 anos médios de experiência de trabalho , e que a maioria (75%) havia revelado possuir no máximo cinco anos neste quesito. Quanto à dimensão educação do capital humano, a maioria (96,70%) não havia concluído nenhum curso de graduação, se dedicou entre 11 a 20 anos aos estudos (81,60%), não realizou intercâmbios de estudos (93%), enquanto 86,70% já incluíram, em seu currículo acadêmico, atividades complementares previstas no Plano Pedagógico do Curso de Administração que cursavam, bem como 73,30% realizaram entre um a três estágios curriculares. As análises indicaram um escore mediano de capital psicológico, acentuado pela dificuldade dos participantes para reconhecerem que estavam em uma fase de sucesso no trabalho e de conseguirem enxergar o lado brilhante das coisas relativas ao trabalho. Ao se investigar as relações entre o capital humano e capital psicológico não foram encontradas correlações significativas. Diante de tais resultados, pareceu provável que os participantes do estudo, por serem predominantemente jovens trabalhadores que ainda não concluíram um curso de graduação, embora tivessem em seu percurso de vida mais de 10 anos dedicados aos estudos e trabalhado por volta de cinco anos em média, ainda não reconheciam, em si, a presença de um consistente capital humano nem psicológico. A ausência de relação observada entre os dois ativos intangíveis preconizados por teóricos como importantes, para que o trabalhador pudesse contribuir com a empresa no alcance de suas metas, pareceu revelar que ainda eram necessários mais estudos e desenvolvimento de teorização, para sustentar não somente as hipóteses acerca de ativos intangíveis, como também permitir identificar a relação de dependência que pudesse existir entre as categorias de capital humano e psicológico.
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Hadjieftychiou, Aristarchos. "The CAPM approach to materiality." Thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-12172008-063723/.
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Donohue, Sean, and Lina M. Downing. "Capital budgeting: do private sector methods of budgeting for capital assets have applicability to the Department of Defense." Monterey, California. Naval Postgraduate School, 2005. http://hdl.handle.net/10945/9975.
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MBA Professional ReportThe purpose of this MBA Project is to identify the capital budgeting methods of both the private sector and the Department of Defense. Additionally, the purpose is to evaluate the strengths and weaknesses of each capital budgeting method and conduct a comparison. The intent is to identify those capital budgeting practices that are used in the private sector, some of which have been implemented in other public sector organizations, which may have merit for implementation in the Federal sector and possibly the Department of Defense. Finally, a set of conclusions and recommendations on how to implement best practices of capital budgeting for the Federal Sector will be presented.
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Lee, Kuan-Hui. "Liquidity risk and asset pricing." Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1155146069.
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Li, Ya. "An empirical analysis of factor seasonalities." HKBU Institutional Repository, 2017. https://repository.hkbu.edu.hk/etd_oa/421.
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I establish the existence of seasonality in 42 popular risk factors in the asset pricing literature. I document extensive empirical evidence for the Keloharju et al. (2016) hypothesis that seasonalities in individual asset returns stem from their exposures to risk factors. It is the seasonal patterns in risk factors that lead to the seasonalities in individual asset portfolios. The empirical findings show that seasonalities are widely present among individual asset portfolios. However, both the all-factor model and the Fama-French (2014) five-factor model demonstrate that these patterns greatly disappear after I eliminate their exposures to the corresponding risk factors. Overall, 76.17% of the returns on 235 test equal-weighted portfolios I examine contain seasonality. My key finding is that 48.68% of equal-weighted portfolio returns with seasonalities no longer contain seasonality after I control for their exposures to all risk factors. Only 52.08% of the equal-weighted portfolio Fama-French five-factor model residual obtain substantial seasonal patterns in the Wald test. Regarding to seasonalities in risk factors, specific seasonal patterns include the January effect, higher returns during February, March, and July, and autocorrelations at irregular lags. The Wald test, a stable seasonality test, the Kruskal-Wallis chi-square test, a combined seasonality test, Fisher's Kappa test, and Bartlett's Kolmogorov-Smirnov test are used to identify the seasonal patterns in individual risk factors. Fama-French SMB (the size factor) and HML (the value factor) in the three-factor model, Fama-French RMW (the operating profitability factor) in the five-factor model, earnings/price, cash flow/price, momentum, short-term reversal, long-term reversal, daily variance, daily residual variance, growth rate of industrial production (value-weighted), term premium (equal-weighted and value-weighted), and profitability display robust seasonalities. Therefore, the first part of the research confirms that risk factors possess substantial seasonal patterns.
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Suh, Daniel. "Stock returns, risk factor loadings, and model predictions a test of the CAPM and the Fama-French 3-factor model /." Morgantown, W. Va. : [West Virginia University Libraries], 2009. http://hdl.handle.net/10450/10744.
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Thesis (Ph. D.)--West Virginia University, 2009.Title from document title page. Document formatted into pages; contains x, 146 p. : col. ill. Includes abstract. Includes bibliographical references.
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Emeny, Matthew. "The book-to-market effect and the behaviour of stock returns in the Australian equity market." Title page, contents and abstract only, 1998. http://web4.library.adelaide.edu.au/theses/09ECM/09ecme533.pdf.
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"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-reaction. An alternative explanation IS offered, relying on the dynamic behavior of firms and the process by which investors value the stocks of these firms.
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Laurente, García María Marisol, and Villalobos Leyla del Milagro Saldaña. "Controversia del CAPM con relación al riesgo y rentabilidad de activos financieros frente a otros modelos alternativos y derivados." Bachelor's thesis, Universidad Peruana de Ciencias Aplicadas (UPC), 2019. http://hdl.handle.net/10757/628015.
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El presente trabajo tiene como objetivo analizar el uso y aplicación del modelo de valoración de activos de capital, CAPM, como herramienta de planificación y evaluación financiera, comparándolo con otros modelos alternativos.
El CAPM propone una relación entre el riesgo y rendimiento de un activo. El riesgo está representado por el coeficiente beta, que mide la sensibilidad del instrumento financiero en relación con el riesgo sistemático, ya sea en un portafolio de activos o en la valoración de una empresa.
Debido a que existen críticas sobre la validez del CAPM, en este estudio se busca conocer la efectividad que tiene el uso y la aplicación del modelo. Para ello, se han buscado evidencias empíricas, en diferentes países, y sectores económicos en las que se compara el CAPM con otros modelos alternativos, tales como el APT o el de Tres Factores Fama y French que, según la investigación realizada, serían los más utilizados.
Los resultados de esta investigación muestran que el CAPM no ofrece necesariamente resultados positivos significativos en los estudios revisados. Sin embargo, ello no quiere decir que el CAPM no sea un modelo suficiente para predecir la relación riesgo – rentabilidad en los casos en los que se aplica.
Se concluye por ello que, a pesar de que existen modelos alternativos tratando de superar las limitaciones del CAPM, hoy en día este modelo sigue siendo el más utilizado fundamentalmente por su sencillez y por su capacidad de explicar y predecir, de manera suficiente, en la mayoría de las aplicaciones generales.The objective of this paper is to analyze the use and application of the capital asset pricing model, CAPM, as a planning and financial evaluation tool and to compare it with other alternative models. The CAPM propose a relationship between the risk and return of an asset. The risk is represented by coefficient called beta, which measures the sensitivity of the financial asset in relation to it´s systematic risk, either in a portfolio or in the valuation of a company. Given that there are controversies about the validity of the CAPM, the study is gad is to understand the effectiveness of the use and application of the model. In order to do that, evidence, in different countries and economic sectors, is presented in which the CAPM is compared with other alternative models, such as the APT or the Fama and French Three Factor, according to this investigation would be the most used. The results of this investigation shown that, the CAPM, even though it is not able to offer significant positives results in the studies reviewed. However, it is not a sufficient model for predictins the risk - return relationship in the cases where it applies. It is concluded for that, although there are alternatives models trying to overcome the limitations of the CAPM, this model is nowadays the most used yet, fundamentally because of its simplicity and its ability to explain and predict, in a sufficient fashion, in most of the general applications.
Trabajo de Suficiencia Profesional
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LEGGETT, DAVID NEAL. "INCOME TAXES AND CAPITAL ASSET PRICING THEORY: SOME EMPIRICAL EVIDENCE." Diss., The University of Arizona, 1985. http://hdl.handle.net/10150/187910.
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Capital asset pricing theory assumes a no-tax, after-tax efficiency equivalence; ie., that the efficient information produced in a no-tax analysis is equivalent to that which is produced in an after-tax analysis. However, if the effect of income taxes is not systematic throughout the market, the useful application of the theory may be impaired by this assumption. This research seeks to determine the effect of income tax imposition on the risk-return expectations or individual investors. If the effect of income tax imposition is to produce non-homogeneous after-tax investor risk-return expectations, then the efficiency equivalence hypothesis must be rejected. This efficiency equivalency hypothesis is evaluated by testing two alternative hypotheses, (1) the systematic riskiness of any individual security, both with and without adjustment for the imposition of income tax, is equivalent, and (2) the no-tax and after-tax expected risk-return rank order of each individual security is the same. An after-tax capital asset pricing model is derived. This model is based upon the premise that the current income tax laws, which require investors to share with the taxing government the uncertain returns from risky assets, allow investors to reduce the riskiness of those returns. The returns on investment assets are derived from both capital gains and from ordinary income distributions. However, the tax treatment of capital gains (losses) and ordinary income (dividends/interest) is not the same. This results in an unsystematic effect on the risks and returns of investments, thus, the income tax effect is not likely to be homogeneous as an efficiency equivalence hypothesis would imply. The analysis focuses on the expected risk-return equivalencies for 465 firms, using ex-post data over a 10 year period. The findings of this study imply that income tax effects on the market are not homogeneous. Income tax differentials are apparent in both the observed beta terms and the risk-return rank-ordering of the securities.
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Lee, Gyumin. "Identification of Organization-Centric Intangible Capital in the Hospitality Industry." Diss., Virginia Tech, 2011. http://hdl.handle.net/10919/77125.
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The pertinent investment in intangible assets is expected to lead to a firm's higher productivity and competitiveness. This study suggests that a restaurant firm should identify core intangible assets for its business, manage them systematically, and measure their value contribution. The essential thrust is to identify key intangible value resources and establish their measurement, which then helps measure the financial contribution of each intangible asset and make an investment decision on it. Thus, this study was purported to identify key organization-centric intangible value assets in the context of the casual dining restaurant industry, develop their measurement, and examine their contribution on a firm's market value. Findings will help improve understanding of what intangible assets are critical and apply the concept to a strategic and operational management.
Based on an in-depth literature review covering a wide range of areas, the following six of the most widely agreed upon domains of organizational capital were identified: innovation capital, organizational process capital, organizational culture capital, organizational learning capital, information system capital, and intellectual property capital. This structure of the six most important domains of organizational capital was verified through subsequent interviews with five experts, the pilot test with ten experts, and three rounds of the Delphi survey.
Seventeen sub-dimensions were identified through the literature review, interviews, the pilot test, and the Delphi study with professionals. This industry-specific categorical system helps a firm identify and manage various types of intangible resources more precisely and efficiently. Furthermore, it can enable restaurant management to clearly understand how to cope with different types of intangible resources and how to gather, create, use, share, and develop them more appropriately. The findings can be grouped into the following conclusions.
Seventy measurement indicators were developed to measure a firm's organizational capitals. Unlike using subjective perceptual measurement scales, the measured values using the objective measurement scales are consistent regardless of time or people. Therefore, the financial value (or contribution) of each of the six organizational capitals can be estimated more precisely along with the data of firms' market value.Ph. D.
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Tiseker, Nisar. "Knowledge assets in the supply chain." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/80328.
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Thesis (MPhil)--Stellenbosch University, 2013.ENGLISH ABSTRACT: In the global economy we are witness to the outcomes of supply chains in all of our diverse demand-driven purchasing decisions, be it fast moving consumer goods, electronic equipment or even automobiles. A great deal of exposure relating to the topic of supply chain is based on talk about supply chains and how they are delivering enormous value to companies such as General Electric, Dell and Wal-Mart. But what does all of this really mean? How can an even further exploitation of supply chains be used to gain competitive advantage over ever advancing competitors? Average is no longer sufficient to stay ahead of the pack in the demand vs. supply rat-race. Companies have to find and exploit unique characteristics in order to achieve true differentiation over companies competing in similar environments and sharing a common customer base. The exploitation of the capabilities of Supply Chain Management requires a theoretical and conceptual understanding of their underlying business processes as well as capabilities. It requires the fostering of an understanding of Business Process Reengineering via segmentation and analysis of the overall supply chain into the various basic components. The identification and evaluation of the associated measures and metrics within in the supply chain provides insight of how embedded knowledge is created and utilised in day-to-day operations, in order to ultimately deliver not only business value but a unique value proposition for the distinct market sectors. The scrutiny of the lubricants supply chain is used to gain an understanding of an application of supply chain principles in the oil and gas industry in South Africa, detailing the intrinsic business processes as well as their inherent measures and metrics. Particular attention is paid to the underlying measures and metrics developed and how they are utilised to enhance inherent decision making capability. Subsequent to the analysis of the lubricants supply chain, an exploration of core competencies is used to illustrate how the lubricants supply chain can be differentiated from competitors. These core competencies ultimately allows for greater competitive advantage, leapfrog of competitors and staying ahead of the pack. The final outcome of the thesis is to develop a framework using Boisot’s information space pertaining to codification and abstraction in order to map the processes required to plan, implement and review a generic lubricants supply chain.
AFRIKAANSE OPSOMMING: In die globale ekonomie is ons getuie aan die uitkomste van voorsieningskanale in al ons diverse vraag-gedrewe aankope besluite, insluitend vinnig bewegende verbruikersgoedere, elektroniese toerusting of selfs motors. Daar is baie van blootstelling met betrekking tot die onderwerp van voorsieningskanale gebaseer op praat oor voorsieningskanale en hoe hul besig is om groot waarde aan maatskappye soos General Electric, Dell en Wal-Mart te lewer. Maar wat beteken dit alles nou eintlik? Hoe kan selfs 'n verdere ontginning van die aanbod van voorsieningskanale gebruik word om mededingende voordeel te verkry oor ons bevorderinge kompetisie? Middelmatigheid is nie meer voldoend om voor die pak te bly nie in die vraag vs. aanbod reis. Maatskappye moet unieke eienskappe vind en benut om ware differensiasie te bereik oor maatskappye meeding in' n soortgelyke omgewing en die deel van 'n gemeenskaplike kliënte basis. Die uitbuiting van die vermoëns van Voorsieningskanaal Bestuur vereis 'n teoretiese en konseptuele begrip van hulle onderliggende besigheids prosesse asook vermoëns. Dit vereis dat die bevordering van 'n begrip van Besigheidsprosesse Heringinering via segmentering en analise van die totale voorsieningskanale in verskillende basiese komponente. Die identifisering en evaluering van die gepaardgaande maatreëls en statistieke binne in die voorsieningskanaal bied insig van hoe vasgelegde kennis geskep is en benut word in dag-tot-dag bedrywighede, ten einde te maak om uiteindelik nie net maatskappy se waarde, maar 'n unieke waarde proposisie te lewer vir die verskillende mark sektore. Die toetsing van die smeermiddels voorsieningskanaal word gebruik om 'n begrip van 'n aansoek van voorsieningskanaal beginsels in die olie en gas industrie in Suid-Afrika te verkry, met besonderhede oor die intrinsieke besigheid prosesse, sowel as hul inherente maatreëls en statistieke. Besondere aandag word geskenk aan die onderliggende maatreëls en statistieke ontwikkel en hul aanwending om inherente vermoë besluitneming te verbeter. Na afloop van die analise van die smeermiddels voorsieningskanaal, word 'n verkenning van kern vaardighede gebruik om te illustreer hoe die smeermiddels voorsieningskanaal kan onderskei word van die kompetisie. Dit kan uiteindelik kernvaardighede vir 'n groter mededingende voordeel lewer, die haasje van mededingers en die pak aanloop. Die finale uitkoms van die tesis is om 'n raamwerk te ontwikkel met behulp van Boisot se inligting spasie met betrekking tot codificasie en abstraksie om die prosesse wat nodig is vir die beplaning, implementering en hersiening van' n generiese smeermiddels voorsieningskanaal te skep.
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Durell, Karen Lynne. "Corporations and intellectual assets : a case of being blinded by the economic value." Thesis, McGill University, 2004. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=82659.
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Corporations appear to be mesmerized by the revenue value of intellectual assets to the exclusion of other attributes thereof. Moreover, empirical evidence suggests that corporate lawyers share this perception, primarily conceptualizing of intellectual assets as a means of generating corporate wealth. This over-promotion of revenue value has wide ranging effects. Specifically, this example of willful blindness on the part of corporations and corporate lawyers is a potential stumbling block for the appropriate utilization of corporate intellectual assets as well as the development of intellectual property regimes and academic discourse. These negative effects stem directly from the misguided corporate perception of intellectual assets as primarily revenue value.
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Hamada, Mahmoud Actuarial Studies Australian School of Business UNSW. "Dynamic portfolio optimization & asset pricing : Martingale methods and probability distortion functions." Awarded by:University of New South Wales. School of Actuarial Studies, 2001. http://handle.unsw.edu.au/1959.4/18232.
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This dissertation consist of three contributions to financial and insurance mathematics. The first part considers numerical methods for dynamic portfolio optimisation in the expected utility model. The aim is to compare the risk-neutral computational approach (RNCA) also known as the martingale approach to stochastic dynamic programming (SDP) in a discrete-time setting. The main idea of the RNCA is to use the completeness and the arbitrage free properties of the market to compute the optimal consumption rules and then determine the trading strategy that finance this optimal consumption. In contrast, SDP solves for the optimal consumption and investment rules simultaneously using backward recursion and the principle of optimality. The setting that we consider is a discrete time and state space lattice. We provide some new theoretical results relating to the Hyperbolic Absolute Risk Aversion class of utility functions as well as propose a straightforward implementation of RNCA in binomial and trinomial lattices. Moreover, instead of discretizing the Hamilton-Jacobi-Bellman equation with possibly more than one state variable, we use symbolic algorithms to implement stochastic dynamic programming. This new approach provides a simpler numerical procedure for computing optimal consumption-investment policies. A comparison of the RNCA with SDP demonstrates the superiority of the RNCA in terms of computation. The second part considers the pricing of contingent claims using an approach developed and applied in applied in insurance. This approach utilize probability distortion functions as the dual of the utility functions used in financial theory. The main idea of the dual theory is to distort the subjective probabilities rather than outcomes to express the investor????????s risk aversion. In the first part, the RNCA for asset allocation uses the same principle as risk-neutral valuation for derivative pricing. The idea of the second part of this research is to show that the risk-neutral valuation can be recovered from the probability distortion function approach, thereby establishing consistency between the insurance and the financial approaches. We prove that pricing contingent claims under the real world probability measure using an appropriate distortion operator produces arbitrage-free prices when the underlying asset prices are log-normal. We investigate cases when the insurance-based approach fails to produce arbitrage-free prices and determine the appropriate distortion operator under more general assumptions than those used in Black-Scholes option pricing. In the third part we introduce dynamic portfolio optimisation with risk measures based on probability distortion function and provide a formal treatment of this class of risk measures. We employ the RNCA to study the consumption-investment problem in discrete time with preferences consistent with Yaari????????s dual (non-expected utility) theory of choice. As an application, we first consider risk measures based on the Proportional Hazard Transform that treats the upside and downside of the risk differently and secondly a risk measure based on the standard Normal cumulative distribution function. When the objective is to maximise a dual utility of wealth, and the underlying security returns are normal, the efficient frontier is found to be the same as in the mean-variance portfolio problem for an equivalent risk tolerance. When the objective is to maximise a dual utility of consumption, then ????????plunging???????????? behaviour occurs ( investing everything is the risky asset). Other properties of the optimal consumption-investment policies in the dual theory are also investigated and discussed.
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Zhang, Qianwen. "What kind of asset pricing model works in emerging markets? a case study for the Chinese stock markets /." online access from Digital Dissertation Consortium, 2007. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?MR26886.
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Zhao, Huimin, and 趙慧敏. "Two essays on asset pricing and options market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B41508397.
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Lin, Chien-Hsiu. "Asset pricing in the Asian emerging markets." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1432786771&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Zhao, Huimin. "Two essays on asset pricing and options market." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B41508397.
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Farnsworth, Heber K. "Evaluating stochastic discount factors from term structure models /." Thesis, Connect to this title online; UW restricted, 1997. http://hdl.handle.net/1773/8786.
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Tam, Kwok-Leung Yves. "Pricing risk for nonnormal processes and conditional higher-order moments /." free to MU campus, to others for purchase, 1997. http://wwwlib.umi.com/cr/mo/fullcit?p9842570.
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Zhou, Yi. "Leverage, asset pricing and its implications." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1692099801&sid=19&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Peleg, Ehud. "Three essays on asset pricing, portfolio choice and behavioral finance." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1722324081&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Lam, Kenneth. "Is the Fama-French three-factor model better than the CAPM? /." Burnaby B.C. : Simon Fraser University, 2005. http://ir.lib.sfu.ca/handle/1892/2094.
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Sakouvogui, Kekoura. "Robust Capital Asset Pricing Model Estimation through Cross-Validation." Thesis, North Dakota State University, 2018. https://hdl.handle.net/10365/29019.
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Limitations of Capital Asset Pricing Model (CAPM) continue to present inconsistent empirical results despite its rm mathematical foundations provided in recent studies. In this thesis, we examine how estimation errors of the CAPM could be minimized using the cross-validation technique, a concept that is widely applied in machine learning (CV-CAPM). We apply our approach to test the assumption of CAPM as a well-diversified portfolio model with data from S&P500 and Dow Jones Industrial Average (DJIA). Our results from the CV-CAPM validate that both S&P500 and DJIA are well-diversified market indices with statistically insignificant variation in unsystematic risks during and after the 2007 financial crisis. Furthermore, the CV-CAPM provides the smallest root mean square errors and mean absolute deviations compared to the traditional CAPM.
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Davies, Philip R. "Empirical tests of asset pricing models." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1184592627.
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Lin, Sandy. "The effect of the capital gains tax on donations of cash and appreciated assets." CONNECT TO ELECTRONIC THESIS, 2006. http://hdl.handle.net/1961/3606.
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Roush, John R. "Educational Assets, Resources, Barriers and Social Capital in a Semi-Isolated Community of Appalachia." Ohio University / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=ohiou1375284713.
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Mokoena, Khethang. "Splitting of investing activities between replacement and expansion of fixed assets." Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/50101.
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Thesis (MBA)-- Stellenbosch University, 2004.ENGLISH ABSTRACT: The traditional cash flow statement consists of cash from operating activities, cash to investing activities and cash from/to financing activities. In essence, literature showed that, if cash from operating activities would be negative for two successive years, such listed industrial company may be classified as fmancially inflexible, resulting in a take-over by another company, a forced rights-issue or even a delisting/bankruptcy. The traditional cash from operating activities will be classified as EBIT - interest - taxation + depreciation and +/- non-cash items +/- changes in working capital. To enable capital-intensive companies to be classified as financially flexible or inflexible, it was found necessary to identify replacement investment activities as opposed to expansion investment activities.
AFRIKAANSE OPSOMMING: Die tradisionele kontantvloeistaat bestaan uit kontant uit bedryfsaktiwiteite, kontant aan investeringsaktiwiteite en kontant van/aan finansieringsaktiwiteite. In essensie het die literatuur aangedui dat, as kontant uit bedryfsaktiwiteite van twee agtereenvolgende jare negatief is, sodanige genoteerde industriële maatskappy as finansieel onbuigsaam geklassifiseer kan word en wat kan uitloop op 'n oorname deur 'n ander maatskappy, 'n geforseerde regte-uitgifte of selfs 'n denotering/bankrotskap. Die tradisionele kontant uit bedryfsaktiwiteite sal geklassifiseer word as bedryfswins - rente - belasting + depresiasie en +/- nie-kontantitems +/- veranderinge in bedryfskapitaal. Om kapitaal-intensiewe maatskappye in staat te stel om geklassifiseer te word as finansieel buigsaam of onbuigsaam, is daar bevind dat vervangende investeringsaktiwiteite onderskei moet word van uitbreidings investeringsaktiwiteite.
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Dani, Mercedesz, and Johanna Sterner. "Management & Valuation of Intangible Assets in Swedish Holding Companies : An integrative model on how Swedish holding companies assess, evaluate and manage their intangible assets to maintain old and create new knowledge within their subsidiaries." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-36557.
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Background: Companies operate in a dynamic and challenging business environment with a constant battle to become and stay competitive and achieve sustainable growth. The business environment has transformed rapidly in the past decade due to major globalization and internationalization processes, which have created a demand for mapping and understanding business value and core competences. Parting from the traditional, the focus within companies and research is shifting from tangible assets to human capital, such as knowledge, as the primary competitive resource. Knowledge is a concept that is both complex and volatile. Knowledge emerges and develops through processes of each individual and also from individuals merging together into groups – making it hard to manage. Sadly, without proper management of such resources and processes, it is competitive advantage cannot be exerted. Nowadays, most companies can be identified as knowledge intensive firms, where competitive advantage is related to the ability to create and apply new knowledge through mergers and acquisitions. For about 3 decades, researchers, governments and companies have been trying to develop methods to evaluate and measure intangible assets, but there is a lack of research on how it is done in reality. Purpose: The purpose of the study is to investigate Swedish holding companies’ approach to working with intangible assets, primarily knowledge; investigating the way it is leveraged and used in the holding structure to create knowledge as a competitive resource across the entire corporation. Method: A qualitative research is used with a sample of 10 Swedish holding companies varying in size, structure and sector in order to test a proposed integrative model formulated on theory. Purposive sampling is used for participant selection based on personal networks. Conclusion: Firstly, we found that the majority of the Swedish holding companies do not have a method for evaluating intangible assets in general. In the event of mergers and acquisitions, on the other hand, human capital is emphasized as a main factor for decision making. From the managerial point of view, there is an elevating need for developing a systematic approach to assess human capital when acquiring new subsidiaries, primarily in order to understand the value and context of knowledge. Secondly, Swedish holding companies have internal structures and work-approaches to identify key persons within the newly acquired subsidiaries and transfer their knowledge to the mother company. Furthermore, they try to maintain and create knowledge by investing on education and leadership, but in general, knowledge management is done subconsciously. Therefore, the general finding of this research is that the concept of knowledge management is in the beginning of its lifetime and there is a clear need to put more managerial emphasis on restructuring processes.
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Manning, Paul. "Social capital processes : an owner-manager perspective." Thesis, Royal Holloway, University of London, 2012. http://repository.royalholloway.ac.uk/items/da49555d-5f42-d3f5-3b65-0ce3d00dd6cc/9/.
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This thesis investigates the management of social capital processes as they are accomplished-understood, experienced and shaped-by owner-managers. The aim of the thesis is to develop a deeper understanding of the management of social capital processes, to achieve a greater congruence between real-life perspectives and experiences and social capital literature. The thesis argues that social capital is situational, and in the economic situation the theory has been bounded by rational choice framing assumptions. The research problem is that claims for the universality of the economic way of looking at life, and for looking at social capital processes are over-stated. Predicated on this insight the research investigates economic notions of rationality, and low and non-rationality, as well as their inter-dependence in the management of social capital processes. The research follows a qualitative approach for data collection, with flexible pre-coding to guide the research where to look, while retaining an inductive openness to emergent data. The research population is drawn from SME owner-managers in the service and retail sectors, who were researched over two years using semi-structured interviews, observation, and by researcher participant observation. The thesis presents a number of contributions to knowledge. First, the thesis offers an in-depth, single source review explicating the meaning of the economic form of social capital, with reference to its intellectual antecedents, conceptual debates and key theoretical authors. The second (emergent research) contribution is to identify the significance of ethics and autodidactic reading for managing social capital processes. The third (theoretical) contribution argues for an expanded social capital perspective, beyond the prevailing and over-confident rational framing assumptions, and also for a new holistic ontological understanding. The fourth contribution is to identify a number of generic processes which can guide the management of social capital processes.
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Kam, Wai-hung Simon, and 甘偉雄. "Capital asset pricing model: is it relevant in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B31265686.
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Majerbi, Basma. "Essays in international asset pricing and foreign exchange risk." Thesis, McGill University, 2003. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=84526.
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The purpose of this thesis is to provide new evidence on the pricing of foreign exchange risk in the stock market by testing international asset pricing models (IAPMs) under varying market structures and different exchange rate measures. It is composed of three essays. In the first essay, I test unconditional asset pricing models with exchange risk using country, portfolio and firm level data from nine emerging markets (EMs). It is shown that unlike the case for developed markets where unconditional tests often fail to detect a significant exchange risk premium in stock returns, exchange risk is unconditionally priced in EMs. However, when local market risk is introduced in the model to take into account potential segmentation effects, exchange risk premia are totally subsumed by local risk premia for most countries especially at the firm level. The second essay examines the significance of exchange risk in conditional IAPMs using multivariate GARCH-in-Mean specification and time varying prices of risk. The model tested assumes partial integration and uses real exchange rates to account for both inflation risk and nominal exchange risk. The main empirical results support the hypothesis of significant exchange risk premia in EMs equity returns even after accounting for local market risk. The exchange risk premia are also economically significant as they represent on average 18 percent of total premium, and may reach up to 45 percent of total premium for some countries over sub-periods. In the third essay, I test for the pricing of exchange risk in stock returns using globally diversified sector portfolios. The purpose of this test is to examine the effect of cross-currency diversification on the global price of foreign exchange risk. Since there is no previous evidence on this issue, I use data on the G7 countries and EMs. The results suggest that the effects of exchange risk may be less significant in pricing global assets such as global s