Dissertations / Theses on the topic 'Commonality in Asset Growth'

The relations between monetary policies, asset prices, and economic growth are important and fundamental questions in macroeconomics. To address these issues, several empirical works have been conducted to investigate these relations. However, few of them have documented whether these relations differ across regimes. In this context, the general motivation of this thesis is to use dependent regime models to examine these relations for the Canadian case. Chapter one empirically analyzes the interest rate behaviour of the Canadian monetary authorities by taking into account the asymmetry in the loss function. We employ a switching regime framework using two estimation strategies: First, we follow Caner and Hansen (2004) Threshold approach. Under this procedure we estimate the threshold values, using the Taylor empirical rules. Second, we estimate the asymmetric policy reaction function following Favero and Rovelli’s (2003) approach. The results reveal that the monetary authorities showed asymmetric preferences and that its reaction function can be better modeled with a nonlinear model. The main contribution of this chapter is to successfully interpret the parameters associated with the Bank of Canada preferences, something that Rodriguez (2008) could not do. Chapter two tries to estimate the interest rate behaviour of the Canadian monetary authorities by expanding the arguments of the loss function for fluctuations in asset prices. Using the same methodology as in the first chapter, our findings suggest that the augmented nonlinear reaction function is a good fit for the data and gives new relevant insights into the influence of asset prices on Canadian monetary policy. These findings about the role of asset prices in the reaction function of the Bank of Canada provide relevant insights regarding the opportunities and limitations of incorporating financial indicators in monetary policy decision making. They also provide financial market participants, such as analysts, bankers and traders, with a better understanding of the impact of stock market index prices on Bank of Canada policy. Stock market stabilization plays a larger role in the interest rate decisions of the Bank of Canada than it is willing to admit. Chapter three provides new evidence on the relation between inflation, relative price variability and economic growth to a panel of Canadian provinces over the period 1981-2008. We use the Bick and Nautz (2008) modified version of Hansen’s (1999) Panel Threshold Model. The evidence strongly supports the view that the relationship between inflation and economic growth is nonlinear. Further investigation suggests that relative price variability is one of the important channels through which inflation affects economic performance in Canadian provinces. When taking into account the cross-section dependence, we find that the critical threshold value slightly changes. It is desirable to keep the inflation rate in a moderate inflation regime because it may be helpful for the achievement of sustainable economic growth. The results seem to indicate that inflation that is too high or too low may have detrimental effects on economic growth.

Le risque systémique est un risque qui peut mettre en danger la survie du système financier. En effet, le risque systémique désigne la propagation d’un risque de défaillance bancaire unique aux autres banques. Quels sont les mesures et les déterminants du risque systémique ? Ainsi pourrait-être résumée la question transversale qui anime les recherches présentées dans cette thèse. Un premier chapitre dresse un état des lieux des différentes mesures du risque systémique, en identifie les points communs et les différences et précise l’intérêt de chaque mesure. La question abordée est celle de la corrélation entre les résultats des stress tests et les différentes mesures du risque systémique. Un second chapitre étudie la notion d’« Asset Commonality » comme une nouvelle mesure de risque systémique. Le troisième chapitre examine le lien entre les différentes mesures du risque systémique et la responsabilité sociétale des entreprises. Les résultats empiriques révèlent que -1- les résultats des stress tests devraient être complétés par une évaluation des mesures du risque systémique, -2- l’« Asset Commonality » pourrait être considéré comme un outil complémentaire pour évaluer le risque systémique, -3- la responsabilité sociale des institutions financières est importante afin de réduire le risque systémique
Systemic risk is a risk that can compromise the survival of the financial system. Systemic risk refers to the spread of a single bank failure to other banks. What are the measures and determinants of systemic risk? This thesis proposes an investigation of this transversal question through three chapters. The first chapter gives an overview of the various measures of systemic risk, identifies commonalities and differences and specifies the interest of each measure. The issue is the correlation between the stress test results and the various measures of systemic risk. The second chapter studies the concept of Asset Commonality as a new measure of systemic risk. The third chapter examines the relationship between different measures of systemic risk and corporate social responsibility. The empirical results show that -1- the stress test results should be supplemented by an evaluation of the systemic risk measures, -2- Asset Commonality could be considered as a complementary tool to assess the systemic risk, -3- the corporate social responsibility of financial institutions is important in order to reduce systemic risk

Drawing upon economic development under uncertainty, this thesis investigates some channels of nations' prosperity in three different but related topics. First, in chapter 2, panel data for 130 countries from 1981 to 2009 are employed to scrutinize the impact of multiple forms of human capital and energy consumption on per capita GDP growth. With the application of an expanded neoclassical growth model, the individual effects of primary, secondary and tertiary education enrolment ratios as well as average years of schooling is studied. In addition, the effect of health variables (such as life expectancy and the infant mortality rate) on GDP per capita growth is examined. The education and health variables have a significant effect on economic growth with the secondary enrolment ratio being the most effective. Energy has long been argued as an essential factor for the development of the economy and it should be in line with other production factors of neoclassical economics, capital (K) and labour (L). Energy consumption is found to support higher growth. Exploring the differential effect for the developed and oil-exporting countries, the education variables are found to have no differential impact in the oil exporting countries nor the developed countries, however, health human capital affects the growth of the developed countries differently. Energy consumption per capita has a significant positive effect in both types of countries. Second, crude oil price behaviour has become more volatile since 1973 which has a significant impact on major macroeconomic variables such as GDP, inflation and productivity. Studies considering the effects of oil price changes on decisions at the firm level are comparatively few. Oil price volatility represents a source of uncertainty affecting the cost of an important input, oil, which creates uncertainty regarding firm profitability, valuations and investment decisions. Chapter 3 builds on related strands in the literature that focus on investment decisions by firms. Investment theory is combined with modern econometric approaches to examine the effects of industry uncertainty and market instability on total investment expenditures in the UK firms. Generalized method of moments estimation techniques are applied to a panel data set that covers 2694 non-financial firms and 416 financial firms from Worldscope DataStream over the period 1986-2011. Tobin’s Q theory which connects investment to the ratio Q is applied to estimate the investment model that is augmented with measures for both macroeconomic and industry specific uncertainty; specifically this is done by including stock market and oil price volatility in the model. Stock price uncertainty seems to be positively related to investment among the companies in both samples. On the other hand, empirical results are presented to show that there is a U shaped relationship between oil price volatility and firm investment. The results should be useful to decision makers, investors, managers and policy makers who need to make investment decisions in an uncertain world. Third, recent empirical research has found evidence of a relationship between changes in oil price and stock prices. Most published papers investigate the relationship between oil price movements and stock prices using either economy-wide measures of stock prices or industry sector measures of stock prices. The aim of Chapter 4 is to scrutinize the responses of some of the UK transportation, travel and leisure, and oil and gas firms to oil price changes. Fama-French-Carhart's (1997) four-factor asset pricing model is augmented with the oil price risk factor to study the association of oil and stock prices of 25 firms over the period from January 1998 to December 2012. The extent of the exposure of UK transportation and travel and leisure firms is generally negative but it is particularly significant for a number of firms including delivery services, travel and tourism, and airlines. Oil price risk exposures of UK oil and gas companies are generally positive and significant. With the aid of asymmetric and scaled specifications, some firms show strong evidence of asymmetry in the reaction of stock returns to changes in the price of oil comprising travel and tourism, airlines, and integrated oil and gas. Moreover, the results document that oil price risk exposures vary over time. In particular, the global recession of 2008 has significantly contributed to the oil price risk exposure of travel and tourism and integrated oil and gas firms. These results should be of interest to financial analysts, corporate executives, regulators and policy makers.

This thesis examines the roles of stock illiquidity and short-sale constraints in explaining the asset growth effect. The puzzling negative relation between growth in firm-level assets and expected stock returns has received increasing attention in the literature. The first empirical chapter explores how variations in stock illiquidity and liquidity risk affect the negative asset growth-return relation. I find that the total asset growth effect appears to subsume other asset growth and investment effects. Moreover, the asset growth effect is concentrated among illiquid stocks. The return spreads between low- and high-growth portfolios declined after controlling for their exposure to liquidity risk. The second chapter examines how high short-sale constraints interact with the asset growth effect, particularly the exploitability of the short- side of the effect. My results indicate that profits from taking short positions in high-growth stocks are limited among highly short-sale constrained stocks. I document an abnormal return asymmetry between the long side and short side of the asset growth effect, which is more pronounced when there is a strong demand to sell short and a limited supply of shares to borrow. In the third chapter, I employ both short-sale constraints and stock illiquidity in explaining the asset growth effect. I find the NASDAQ market has a stronger effect than the NYSE/AMEX markets. The significant negative returns of high-asset growth stocks rely heavily on short-sale constrained stocks. The strong positive returns earned by low- asset growth stocks concentrate on illiquid stocks. After controlling for both short-sale constraints and stock illiquidity, total asset growth rate cannot predict stock returns independently.

I show that risk sources such as unexpected demographic changes or shocks to the agent's subjective time preferences may have stronger implications and be of greater importance for asset pricing than risk in the (aggregate) consumption growth process. In the first chapter, I discuss stochastic changes to time preferences. Shocks to the agent's subjective time discounting of future utility cause stochastic changes in asset prices and the agent's value function. Independent of the consumption growth process, shocks to time discounting imply a covariation between asset returns and the marginal utility process, and the equity premium is non-zero. My model can generate both a reasonably low level and volatility in the risk-free real interest rate and a high stock price volatility and equity premium. If time discounting follows a process with mean- reversion, then the interest rate process is mean-reverting and stock returns are (at long horizons) negatively auto-correlated. In the second chapter, I analyze the asset pricing implications of birth and death rate shocks in an overlapping generations model. The interest rate and the equity premium are time varying and under certain conditions the interest rate is lower and the equity premium is higher during periods characterized by a high birth rate and low mortality than in times of a low birth rate and high mortality. Demographic changes may explain substantial parts of the time variation in the real interest rate and the equity premium. Demographic uncertainty implies a large unconditional variation in asset returns and leads to stochastic changes in the conditional volatility of stock returns. In the last chapter, I illustrate how shocks to the death rate may affect expected asset returns in the cross-section. An agent demands more of an asset with higher (lower) payoff in states of the world when he expects to live longer (shorter) and marginal utility is high (low) than an asset with the opposite payoff schedule. In equilibrium, the first asset pays a lower expected return than the latter. Empirical evidence supports the model. Out-of-sample evidence suggests that a strategy, which loads on uncertainty in the death rate, pays a positive unexplained return according to traditional market models.

Aquesta tesi pretén descobrir, de manera empírica, nous aspectes de la secció transversal dels rendiments del capital i oferir explicacions teòriques i empíriques de les seves conclusions principals. La tesi documenta nous predictors de preus i altres factors relacionats amb els nivells d’incertesa i d’imprecisió de la informació continguda en diferents mesures del risc. Al primer capítol, s’estudia si la volatilitat de la sèrie temporal del book-to-market (BM), anomenada incertesa de valor (value uncertainty, UNC) és valorada en la secció transversal dels rendiments del capital. Un factor ponderat per valor i ajustat per mida amb una posició llarga (curta) en accions d’alta (baixa) incertesa genera un alfa anualitzat del 6-8%. Aquesta prima d’incertesa de valor es veu impulsada pels resultats extraordinaris de les empreses d’UNC alta i no s’explica pels factors de risc establerts o per les característiques de l’empresa, com la dinàmica dels beneficis i dels preus, la inversió, la rendibilitat o el propi BM. A nivell agregat, la UNC està correlacionada amb els fonaments macroeconòmics i prediu els rendiments futurs del mercat, així com la seva volatilitat. En aquest capítol, també es dona una explicació racional per a la fixació del preu dels actius de la prima d’UNC no coberta. El segon capítol és una ampliació del primer i examina el poder predictiu de la incertesa de la rendibilitat (uncertainty of profitability, UP) en la secció transversal dels rendiments del capital. Una estratègia de cartera amb una posició llarga en accions d’alta volatilitat i curta en accions baixa volatilitat genera una taxa de rendiment brut anual (ajustada al risc) del 8% (10%). Les accions d’UP alta tindrien rendiments més alts en temps de més rendibilitat i menys volatilitat de mercat, i més inflació esperada, cosa que justificaria la prima documentada. Les empreses amb més incertesa sobre el creixement dels seus actius (uncertainty of asset growth, UAG) superarien aquelles amb menys incertesa sobre aquest creixement en un 7% (12%) en rendiment brut (ajustat al risc) de risc excessiu. Aquests resultats mostren la importància de la volatilitat dels factors de risc en les decisions d’inversió. Al tercer capítol, s’estudia l’impacte que té la imprecisió en l’expectativa de guanys de la direcció (management earnings guidance, IMP) sobre els rendiments del capital. L’evidència empírica revela que una IMP alta (un interval més gran en els ingressos previstos) s’associa a uns rendiments subsegüents més baixos de les accions. S’ofereixen dues explicacions complementàries per explicar aquests baixos rendiments. Primera, en un mercat que presenta limitacions a la venda en descobert i disparitat d’opinions sobre les estimacions de beneficis, una IMP alta desanima els inversors pessimistes, mentre que els optimistes creuen en el gran salt de rang i prenen posicions llargues basant-se en aquestes creences, cosa que provoca sobrevaloracions de les accions i, en darrera instància, rendibilitats més baixes. Segona, una IMP alta pot reflectir una genuïna incertesa pel que fa als guanys futurs, i això pot atreure els inversors en valor o de loteria. Les conclusions són sòlides, a nivell d’anàlisi de la cartera i de les accions, per al mesurament de la imprecisió i per a diferents models de fixació de preus dels actius.
Esta tesis pretende descubrir, de forma empírica, nuevos aspectos de la sección transversal de los rendimientos del capital y proporcionar explicaciones teóricas y empíricas de sus principales conclusiones. La tesis documenta nuevos indicadores de precios y otros factores relacionados con los niveles de incertidumbre y de imprecisión de la información contenida en distintas medidas del riesgo. En el primer capítulo, se investiga si la volatilidad de la serie temporal del book-to-market (BM), denominada incertidumbre de valor (value uncertainty, UNC) es estimada en la sección transversal de los rendimientos del capital. Un factor ponderado por valor y ajustado por tamaño con una posición larga (corta) en acciones de alta (baja) incertidumbre genera un alfa anualizado del 6-8%. Esta prima de incertidumbre de valor es impulsada por los resultados extraordinarios de las empresas de alta UNC y no se explica por los factores de riesgo establecidos o por las características de la empresa, como la tendencia de los beneficios y los precios, la inversión, la rentabilidad o el propio BM. A nivel agregado, la UNC está correlacionada con los fundamentos macroeconómicos y predice los rendimientos futuros del mercado, así como la volatilidad del mercado. En este capítulo, también se proporciona una explicación racional para la fijación del precio de los activos de la prima de UNC no cubierta. El segundo capítulo es una ampliación del primero y examina el poder predictivo de la incertidumbre de rentabilidad (uncertainty of profitability, UP) en la sección transversal de los rendimientos del capital. Una estrategia de cartera con una posición larga en acciones de alta volatilidad y corta en acciones baja volatilidad genera una tasa de rendimiento bruto anual (ajustada al riesgo) del 8% (10%). Las acciones de alta UP tendrían mayores rendimientos en tiempos de mayor rentabilidad de mercado, menor volatilidad de mercado y mayor inflación esperada que justifica la prima documentada. Las empresas con mayor incertidumbre sobre el crecimiento de sus activos (uncertainty of asset growth, UAG) superarían a aquellas con menor incertidumbre sobre el crecimiento de sus activos en un 7% (12%) en rendimiento bruto (ajustado al riesgo) de riesgo excesivo. Estos resultados muestran la importancia de la volatilidad de los factores de riesgo en las decisiones de inversión. En el tercer capítulo, se estudia el impacto que tiene la imprecisión en las expectativas de ganancias de la dirección (management earnings guidance, IMP) sobre los rendimientos del capital. La evidencia empírica revela que unas altas IMP (un mayor intervalo en los ingresos previstos) se asocian a unos rendimientos más bajos de las acciones. Se proporcionan dos explicaciones complementarias para explicar estos bajos rendimientos. Primero, en un mercado que presenta limitaciones a la venta a corto y disparidad de opiniones sobre las estimaciones de beneficios, unas altas IMP desaniman a los inversores pesimistas, mientras que los más optimistas creen en el gran salto de rango y toman posiciones largas en base a estas creencias, lo cual ocasiona sobrevaloraciones de las acciones y, en consecuencia, rentabilidades más bajas. Segundo, unas altas IMP pueden reflejar una verdadera incertidumbre con respecto a las ganancias futuras, y ello puede atraer a los inversores en valor o de lotería. Las conclusiones son sólidas, a nivel de análisis de la cartera y de los valores, para la medición de la imprecisión y para diferentes modelos de fijación de precios de los activos.
This dissertation aims at empirically uncovering new aspects of the cross-section of equity returns and providing theoretical-backed and empirical explanations of the main findings. The dissertation documents novel pricing predictors and factors related to the uncertainty and imprecision levels of the information content embedded in different risk measures. The first chapter investigates whether the time-series volatility of book-to-market (BM), called value uncertainty (UNC), is priced in the cross-section of equity returns. A size-adjusted value-weighted factor with a long (short) position in high-UNC (low-UNC) stocks generates an annualized alpha of 6-8%. This value uncertainty premium is driven by outperformance of high-UNC firms and is not explained by established risk factors or firm characteristics, such as price and earnings momentum, investment, profitability, or BM itself. At the aggregate level, UNC is correlated with macroeconomic fundamentals and predicts future market returns and market volatility. The chapter also provides a rational asset-pricing explanation of the uncovered UNC premium. The second chapter extends the first chapter and examines the predictive power of the uncertainty of profitability (UP) on the cross-section of equity returns. A portfolio strategy that goes long in the high-UP decile portfolio and short in the low-UP decile portfolio generates an annual excess raw (risk-adjusted) return of 8% (10%). High-UP stocks would have higher returns during times of higher market-wide profitability, lower market volatility, and higher expected inflation justifying the documented premium. Moreover, firms with high uncertainty surrounding their asset growth (UAG) would outperform those with low asset growth uncertainty by 7% (12%) in terms of excess raw (risk-adjusted) return. Results shed light on the importance of the volatility of risk factors in investment decisions. The third chapter examines the impact that imprecision in management earnings guidance (IMP) has on equity returns. Empirical evidence reveals that high IMP (wider interval in the forecasted earnings) is associated with lower subsequent stock returns. Two complementary explanations are provided to explain the low returns. First, in a market that exhibits short-selling constraints and diversion of opinion regarding earnings estimates, high IMP discourages pessimistic investors while optimists believe in the high bound of the range and take long positions based on these beliefs, leading to stocks' overpricing and hence to lower subsequent returns. Second, high IMP may reflect genuine uncertainty regarding future earnings appealing to growth and lottery investors. Findings are robust at the portfolio and stock level of analysis, to the measurement of imprecision, and to different asset pricing models.

Formal savings accounts can be an effective device for households to accumulate assets over time and thus have more funds available to better afford an expensive one-time payment, in the form of either addressing an economic shock or paying for an important life event. I explore this relationship using a field experiment in rural Malawi conducted from 2008-2010, and find that adoption of a formal savings account has no effect on the frequency of economic shocks that a household experiences, nor does it affect how households respond to shocks. However, I find that account adoption does significantly increase the frequency of a household’s expenditures on the life event of payment of secondary school fees. These findings indicate that, given enough time, adoption of a formal savings account allows a household to better accumulate its excess income, and therefore better afford expenditures that involve a decision by the household, as economic shocks tend to be exogenous and payments surrounding life events endogenous. These results support the effectiveness of a policy that extends formal financial services to rural, poor populations who may not have access to such services, as households can use excess funds to finance important life events that help future generations to escape a poverty trap.

Thesis (MSc (Mathematics))--Stellenbosch University, 2008.
In the Benchmark Approach to Finance, it has been shown that by taking the Growth Optimal Portfolio as numéraire, a candidate for a pricing derivatives formula under the real world probability can be given. This result allows us to price in an incomplete financial market model. The result comes from two different approaches. In the first approach we use the supermartingale property of portfolios in units of the benchmark portfolio which leads to the fact that an equivalent measure is not needed. In the second approach the numéraire property of the Growth Optimal Portfolio is used. The numéraire portfolio defines an equivalent martingale measure and by change of measure using the Radon-Nikodým derivative, a real world pricing formula is derived which is the same as the one given by the first approach stated above.

This paper investigates several possible reasons for the exceptional period of growth in the nineties in the US.. These years can be characterised as a case of an expansionary fiscal consolidation as strong growth and structural surpluses were observed. Five different channels, the literature suggests for relationships between government spending and consumption are investigated. There are hints that the economy did not work in a Keynesian way but there is no proof of the existence of a Non-Keynesian effect. Expectational effects could not be separated empirically from asset wealth. Whereas standard consumption estimations failed, a model adding a factor containing asset wealth and expectations was finally able to explain consumption from 1996 onwards. This has important implications for policy. Moreover, compositional effects were found to be important. The two main findings of the paper, namely an asset wealth/expectations effect and compositional effects support the interpretation of a positive link between public savings, asset values and growth. (author's abstract)
Series: Department of Economics Working Paper Series

Thesis (M.C.P.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2006.
Includes bibliographical references (p. 93-95).
As private non-profit, locally based organizations, community development financial institutions (CDFIs) are increasingly important supporters of community development policies and programs designed to alleviate poverty. In the face of declining federal funds and political support for social programs, deregulation in banking, and capital market failure, CDFIs provide a range of financial services that encourage economic self-sufficiency and wealth in low-income communities. In order to expand their impact, some CDFIs have increased their assets to serve more customers and offer more products and services. This thesis seeks to answer the question: which factors and practices do large CDFIs employ to increase their total assets that other small CDFIs do not? This thesis uses two research methodologies: web surveys and case study interviews. Surveys of low-income credit unions (LICUs) and community development loan funds (CDLFs) indicate that large CDFIs grow through geographic expansion, customer and product diversification, more debt and equity funding sources, and a focus on fundraising.
(cont.) Two case studies of prominent CDFIs-Opportunities Credit Union in Burlington, VT and The Reinvestment Fund in Philadelphia, PA-reveal how leadership and creative partnerships drive change that results in organizational scale and asset growth. The thesis concludes with recommendations for CDFIs, investors, and policymakers that are interested in supporting the growth of individual CDFIs and CDFIs as an industry.
by James Stevens.
M.C.P.

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This research aimed to examine the relationship between the asset growth and stock returns in the Brazilian stock market. Initially, we attempted to investigate whether the asset growth effect exists in the Brazilian stock market, as well as ascertain whether the asset growth effect exists when it adjusts the return to the three-factor model of Fama and French (1993) and the four-factor model of Carhart (1997). Then, we sought to verify whether the asset growth separately influences stock returns after controlling other determinants. Finally, we attempted to verify if the asset growth is a risk factor for the explanation of stock returns. The sample consists of all non-financial companies listed on the Stock Exchange in Sao Paulo between June 1995 and July 2013. All accounting data and market were collected in Economatica. To the study development, we used five measures of asset growth and we opted for the employment of both portfolios as well stock-level analysis. For the analysis of the existence of the asset growth anomaly, it was found a difference of portfolios returns with low and high asset growth. Thus, it was found that there is asset growth anomaly, since the difference in returns were positive and significant. Then, the portfolios returns were adjusted to the risk, in order to ascertain the permanence of the effect. It was noticed that neither the three-factor model, neither the four-factor model can capture the asset growth anomaly. To verify if the asset growth is a determinant variable of the return, besides the size, book-to-market and momentum variables, we performed Fama and MacBeth (1973) cross-section regressions methodology. The results indicate that the asset growth is a variable that influences negatively the future return of the stocks in the Brazilian stock market. Finally, to test whether the asset growth is a priced risk factor, we used the common two-stage cross-sectional regression methodology. It has been found that, in three of the five proxies used for asset growth, there is evidence that the asset growth factor is a risk factor priced.
Esta dissertação teve por objetivo analisar a relação entre o crescimento do ativo e o retorno das ações no mercado de ações brasileiro. Incialmente, buscou-se investigar se existe o efeito asset growth no mercado de ações brasileiro, bem como averiguar se o efeito asset growth existe quando se ajusta o retorno ao modelo de três fatores de Fama e French (1993) e ao modelo de quatro fatores de Carhart (1997). Em seguida, procurou-se verificar se o crescimento do ativo influencia separadamente o retorno das ações após controlar outros determinantes. Por fim, buscou-se verificar se o crescimento do ativo é um fator de risco para explicação dos retornos das ações. A amostra consiste de todas as empresas não financeiras listadas na Bolsa de Valores de São Paulo entre junho de 1995 a julho de 2013. Todos os dados contábeis e de mercado foram coletados no Economática. Para o desenvolvimento do estudo, foram utilizadas cinco medidas de crescimento do ativo e optou-se pelo emprego tanto de carteiras, quanto de ativos individuais. Para a análise da existência da anomalia asset growth, verificou-se a diferença dos retornos das carteiras com baixo e alto crescimento do ativo. Assim, constatou-se que existe a referida anomalia, pois a diferença dos retornos foram positivos e significativos. Em seguida, os retornos das carteiras foram ajustados ao risco, com a finalidade de averiguar a permanência do efeito. Percebeu-se que nem o modelo de três fatores, nem o modelo de quatro fatores conseguem capturar a anomalia asset growth. Para verificar se o crescimento do ativo é uma variável determinante do retorno, além das variáveis tamanho, índice book-to-market e momento, realizou-se regressões em cross-section a partir da metodologia de Fama e MacBeth (1973). Os resultados indicam que crescimento do ativo é uma variável que influencia negativamente o retorno futuro das ações no mercado de ações brasileiro. Finalmente, para testar se crescimento do ativo é um fator de risco precificado, utilizou-se a metodologia de regressão em duas etapas. Verificou-se que, em três das cinco proxies utilizadas para crescimento do ativo, há evidências de que o fator crescimento do ativo seja um fator de risco precificado.

This thesis examines the stock market price variations associated with physical asset expenditure announcements in Australia. With the exception of the study of Chen and Ho (1997) in Singapore, most capital expenditure studies in other markets investigate the announcement effects associated with changes in budgeted capital expenditures. The fact that there is almost never any firm level capital budget announcement in Australia presents a unique opportunity to examine individual physical asset expenditure announcements. ¶ Three primary hypotheses pertaining to growth opportunities, free cash flow theory, and the capital market monitoring argument are developed and tested. These arguments are formulated to explain the abnormal return variations associated with physical asset expenditure announcements. The growth opportunities hypothesis posits that the abnormal returns at physical asset expenditure announcements are positively related to a firm's growth opportunities. Both free cash flow theory and capital market monitoring hypothesis postulate that the abnormal returns at physical asset expenditure announcements are negatively related to a firm's free cash flow, and cash flow respectively. Other control explanators are incorporated from the merger and takeovers literature. ¶ Event study methodology is used to examine the abnormal returns associated with physical asset expenditure announcements. Two sets of data, intraday and daily, are used to investigate the market reaction. Intraday returns are calculated on a time-weighted approach and two methods are used to calculate intraday abnormal returns. The first method defines abnormal returns as the difference between actual returns and market returns. The second method defines abnormal returns as the difference between market-adjusted returns and market-adjusted returns on a control portfolio. Daily abnormal returns are calculated using the market model. ¶ Both univariate and multivariate analyses provide strong support for the growth opportunities hypothesis. The results suggest the quality of firms' growth opportunities is the key variable determining the direction and magnitude of the abnormal returns at announcement. Support for the capital monitoring argument and the free cash flow theory is mixed, generally with a lack of support. The free cash flow variable is found to be significantly negatively related to abnormal returns, only when a finer dummy is used in the multivariate regression. All other control variables are found to be insignificant in explaining the stock market variations once the growth opportunities variable is included in the regression. ¶ This thesis makes the following contributions. First, this thesis presents the initial empirical evidence concerning physical asset expenditure announcements in Australia. Second, the thesis shows that the quality of a firm's growth opportunities is the key factor in determining the direction and magnitude of abnormal returns around physical asset expenditure announcements. These results also suggest that the equity market in Australia reacts to physical asset expenditure announcements which contain information pertaining to growth opportunities rather than the relative size of the physical asset expenditure transactions to firm value. Third, support for the capital monitoring argument and the free cash flow theory is not strong. Fourth, all other control variables are found to be insignificant in explaining the stock market variations once market to book ratio is included in the regression. Fifth, the results suggest that prior research which fails to segregate market to book ratio and free cash flow proxy into finer partitions may have possibly underestimated the market to book and the free cash flow effects.

The objective of this thesis is to examine real exchange rate volatility, with a particular focus on investigating the causes of exchange rate jumps. While the predominant approach in the literature is to examine the interaction between nominal rigidities and nominal shocks, this thesis examines the volatility that arises from real rigidities and shocks. Trying to better understand the transmission of real shocks to the exchange rate is a worthwhile task, given the substantial evidence that these shocks and rigidities are important for explaining other economic fluctuations. This thesis develops theoretical models that examine the contributions of specific real rigidities to exchange rate volatility. Chapter 1 introduces our baseline specification - a frictionless model, with the exception of capital adjustment costs. This baseline generates very mild exchange rate fluctuations. Additional rigidities are required to generate volatility of the magnitude that is typically observed. Chapter 2 finds that introducing imperfect asset substitutability - specifically, home asset bias - goes a little towards achieving this. When investors are biased, the exchange rate must adjust by more to equilibrate asset markets. This greater burden of adjustment on the exchange rate along the short run path typically translates to larger jumps after shocks. Similarly, Chapter 3 shows that augmenting the baseline with banks and financial frictions raises exchange rate volatility. The key point is that, in the presence of financial frictions, there is a risk premium that widens after negative shocks, increasing the required adjustment of the exchange rate. A fourth chapter extends Chapter 3 and shows that unconventional credit policy, while beneficial in some respects, nonetheless entails nontrivial costs because it invites moral hazard by encouraging banks to be more highly leveraged, which increases exchange rate and consumption volatility. So, the overall message is that, in the presence of plausible real frictions - including (i) capital adjustment costs, (ii) imperfect asset substitutability, and (iii) financial frictions - real shocks can generate a plausibly significant degree of real exchange rate volatility. This thus posits an additional explanation of exchange rate jumps that complements the predominantly monetary literature.

Mestrado em Finanças
Evidência académica sugere que, ações que transacionam a um preço mais baixo comparativamente aos seus fundamentais (ações valor), tendem a ter um desempenho superior ao de ações que transacionam a preços superiores (ações crescimento). Apesar de este tópico ter sido imensamente abordado a nível mundial, especialmente no mercado acionista Americano, não existe evidência clara que tal afirmação se aplica em países menos conhecidos como Portugal, Itália, Irlanda, Espanha e Grécia que são geralmente conhecidos pelos "PIIGS" da União Europeia devido às suas economias instáveis e níveis elevados de dívida pública. Portfólios valor e crescimento são construídos e posteriormente avaliados. Encontramos um prémio valor compatível com estudos previamente conduzidos a nível mundial. Usando as regressões de Fama e Macbeth (1973) e as extensões dos seus modelos, descobrimos que o alfa gerado por estratégias de valor na região dos PIIGS é demasiado grande para ser explicado por modelos tradicionais de avaliação de ativos.
Evidence from academic research suggests that stocks trading at a lower price relatively to its fundamentals (value stocks) tend to outperform stocks that trade at higher prices (growth stocks) in the long run. Although this has been immensely studied worldwide, especially in U.S stock market, there is no clear evidence if such assertion is applicable in less renowned countries, such as, Portugal, Italy, Ireland, Spain and Greece which are commonly known as the EU PIIGS due to their economic instability and high national debt levels. We construct and evaluate value and growth portfolios and find an eloquent value premium in these countries, compatible with previous studies conducted worldwide. Using Fama and Macbeth (1973) regressions and its model extensions we find that the alpha generated by value strategies in the PIIGS regions is too large to be explained by conventional asset pricing models
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Traditional asset pricing models such as Capital Asset Pricing Model (CAPM) and Discounted Cash Flow (DCF) have been used widely in academics and practice due to their simplicity and popularity. The CAPM is a prescriptive model that describes the relationship between a stock’s required return and risk relative to the movements in the market, while the DCF is a descriptive model that measures the realized rate of return on a stock based on the market price of the stock, which in turn incorporates investor perceptions about the stock and the market. In an ideal, efficient market where investors behave rationally, we should not see much of a difference between stock returns estimated from these two models. However, because investor perceptions affect the DCF estimate of returns, changes in investor confidence without accompanying changes in firm risk can affect the DCF estimate without changing the CAPM estimate. High growth firm returns are more likely to incorporate changes in investor perception because more of their value is generated from realization of future growth opportunities. In this research, I study whether investor sentiment affects the DCF estimate of stock return more than the CAPM estimate, and whether this impact is more pronounced for high growth firms. I find results consistent with this hypothesis. I find that investor sentiment causes a divergence between the CAPM and DCF estimates of stock returns, and this divergence is higher for high growth firms compared to low growth firms. My findings suggest that high growth firm stock prices are more prone to distortions due to hype or investor pessimism.

The rapid urban development has impacted a great loss of natural landscape in the U.S in recent years. In the process of urbanization, the population has moved from the city centers to the edges of the Metropolitan or the newly developed suburbs as much as 62% until 2000. The annual conversion rate of undeveloped land to developed land between 1982 and 1992 was 1.4 million acres per year while it accelerated later in only five years between 1992 and 1997 to 2.2 million acres per year. Among all the development one of the most common was the Enormous shopping mall in suburban districts which are the collections of a vast range of retail corporations in response to the growing consumerism. In support of the gigantic malls, more service infrastructures were built as in the multi-storied parking garages, surface parking, HVAC. Currently, the total number of malls in the U.S is approximately 116,000. The downside of the development has been observed as rapid as it has grown. As in 2014, nearly 3% of all the malls in the United States were considered to be "dying" (40% or higher vacancy rates) and nearly one-fifth of all malls had vacancy rates considered "troubling" (10% or higher). The sudden deterioration was caused because of several factors such as the socio-economic change of the demography in the urban context, the change in the spending habit of the consumers (i.e. spending for experience rather than goods), Rise of the E-commerce, etc. While the dying circumstance continues, these vast and trapped places have nothing but negative impacts in the urban environment as being wasteful land, blocking the visual connectivity through places, clogging the pedestrian flow, contributing to the heat island effect. Thus the problem is evoking to rethink a sustainable design approach. This thesis will first generate an adaptive master plan for the future, in a specific site as the result of investigating the socio-economic issues that forced the mall site to be vacant. After projecting the master plan, the architectural project will be proposed which will prioritize the physical and social development of the context. Educating people regarding the redevelopment of the community and the sustainable way of living are the key features of the project. The new project will be considered an iconic community asset that would serve the neighborhoods.
Master of Architecture
The rapid urban development has impacted a great loss of natural landscape in the U.S in recent years. In the process of urbanization, the population has moved from the city centers to the edges of the Metropolitan or the newly developed suburbs as much as 62% until 2000. To serve the resettled population new services have been developed at the outskirts of the cities. Among all the development one of the most common was the Enormous shopping mall in suburban districts which are the collections of a vast range of retail corporations in response to the growing consumerism. In support of the gigantic malls, more service infrastructures were built as in the multi-storied parking garages, surface parking, HVAC. Currently, the total number of malls in the U.S is approximately 116,000. The downside of the development has been observed as rapid as it has grown. As in 2014, nearly 3% of all the malls in the United States were considered to be "dying" (40% or higher vacancy rates) and nearly one-fifth of all malls had vacancy rates considered "troubling" (10% or higher). The sudden deterioration was caused because of several factors such as the socio-economic change of the demography in the urban context, the change in the spending habit of the consumers (i.e. spending for experience rather than goods), Rise of the E-commerce, etc. This thesis will explore the strategy for reintegrating the troubling mall sites within the urban fabric. The thesis will first generate an adaptive master plan for the future, in a specific site as the result of investigating the socio-economic issues that forced the mall site to be vacant. After projecting the master plan, the architectural project will be proposed which will prioritize the physical and social development of the context. Educating people regarding the redevelopment of the community and the sustainable way of living are the key features of the project. The new project will be considered an iconic community asset that would serve the neighborhoods.

Sammanfattning   Titel: Vilka faktorer påverkar val av kapitalstruktur? – En kvantitativ studie avseende 226 bolag på Stockholmsbörsen.   Nivå: C-uppsats inom ämnet företagsekonomi   Författare: Anna Hansen och Robert Sandberg   Handledare: Peter Lindberg   Examinator: Stig Sörling   Datum: 2015 – maj   Syfte: Syftet med studien är att undersöka vilka faktorer som påverkar val av kapitalstruktur i bolag på Stockholmsbörsen.   Metod: Denna studie bygger på en kvantitativ metod med en deduktiv ansats. Baserat på tidigare forskning väljs ett antal variabler ut för att undersökas. Det insamlade materialet hämtas genom sekundärdatainsamling och exporteras sedan till Microsoft Excel där det sammanställs. En regressionsanalys genomförs i statistikprogrammet SPSS för att undersöka hur stor inverkan dessa variabler har på kapitalstrukturen.   Resultat & slutsats: Resultaten visar ett negativt samband mellan skuldsättning och tillväxt samt ett svagt negativt samband mellan skuldsättning och lönsamhet. Storlek och materiella tillgångar uppvisar ett svagt positivt samband med skuldsättning medan skuldsättning och ålder inte visar på något samband alls. I tre av nio branscher visar sig bransch vara en variabel med relativt stark inverkan på skuldsättningen. Dessa branscher är industri, konsumenttjänster och fastigheter.   Förslag till fortsatt forskning: Fler variabler än de som testas skulle kunna undersökas i en ny studie. Eftersom branscherna visar väldigt olika samband med variabeln skuldkvot skulle det vara intressant med en djupgående studie i vilka faktorer som kan tänkas ligga bakom skillnaderna mellan branscherna.   Uppsatsens bidrag: Bidraget denna studie lämnar är en ökad kunskap och förståelse för hur olika faktorer påverkar val av kapitalstruktur i svenska börsnoterade företag. Genom att studera hur stor inverkan olika faktorer har på företagens val av kapitalstruktur är det möjligt att kunna kartlägga och förutse hur kapitalstrukturen kommer att se ut i framtiden i olika företag och i olika branscher.   Nyckelord: skuldsättning, tillväxt, lönsamhet, storlek, ålder, materiella tillgångar, bransch.
Abstract   Title: Which factors affect the choice of capital structure? – A quantitative study of 226 public firms in Sweden.   Level: Final assignment for Bachelor Degree in Business Administration   Authors: Anna Hansen and Robert Sandberg   Supervisor: Peter Lindberg   Date: 2015 - May   Aim: The purpose is to investigate which factors affect the choice of capital structure in public firms in Sweden.   Method: The study is based on a quantitative method with a deductive approach. Based on previous researches a number of variables are investigated. The material is downloaded through secondary data collection and then exported and processed in Microsoft Excel. Finally the study go through with a regression analysis in the stats program SPSS to see how much influence the variables have on the capital structure.   Results & Conclusions: The results show a negative relationship between debts and growth and a weak negative relationship between debts and profitability. The results also show a positive relationship between debts and firm size and debts and tangible assets while debts and age does not show any relationship at all. In three of nine investigated sectors, sector is a factor with a strong impact on debts. These sectors are industrial, consumer services and real estate.     Suggestions for future research: More variables than those this study tests could be tested in a new study. Since the sectors shows various context and connections to debts it would be interesting with a study investigating which factors affect the differences between the sectors.   Contribution of the thesis: The contribution of this study provides a greater knowledge and understanding of how different factors affect the choice of capital structure in public firms in Sweden. By examining how much influence various factors have on a firms choice of capital structure, it is possible to identify and predict how the capital structure will look like in the future in different companies and in different sectors.   Key words: debts, growth, profitability, size, age, tangible asset, sector

Nesta tese analisamos a influência dos preços dos ativos na condução da política monetária nos países emergentes no período de 1990 a 2006. Primeiramente, investigamos a presença de bolhas racionais nos preços das ações dos países emergentes através de testes de cointegração linear e não linear. Os resultados indicam a presença de bolhas racionais em pelo menos um dos testes realizados para cada um dos países estudados. Todavia, nossos resultados permitem concluir que as bolhas tendem a ser provocadas por fatores extrínsecos e não pela relação não linear intrínseca entre os preços das ações e os dividendos. Estudamos também a relação entre os retornos de mercado, inflação esperada e crescimento/hiato do produto, através de testes individuais e em conjunto utilizando modelos em painel linear e não linear. Em ambos verificamos que as variáveis financeiras carregam informações úteis, tanto direta como indireta, a respeito da inflação e do crescimento do produto, dentro ou fora da amostra. Por fim, investigamos se os preços dos ativos devem exercer um papel central nas decisões de política monetária, através de modelos GMM (individuais e em painel) e de otimização dinâmica. Os resultados indicam que a razão dividendo-preço e a taxa de câmbio real são bons instrumentos na função de reação dos bancos centrais dos países emergentes, porém não podemos concluir que estas variáveis devam ser utilizadas como argumentos nestas funções de reação. Os resultados também indicam que, nos países que optaram pelo regime de metas de inflação estrita, a melhor opção seria não considerar explicitamente os retornos das ações em suas funções de reação. Para bancos centrais atuando em regimes de metas de inflação com política monetária acomodatícia ou outro tipo de regime, a melhor opção seria considerar os preços das ações em suas funções de reação.
We examine the relationship (if any) between stock prices and monetary policy in 22 emerging countries over the period 1990-2006. First, we investigate whether rational stock price bubbles are present in such countries using linear and nonlinear cointegration. Bubbles were found in at least one out of the six tests considered. These were likely to be caused by extrinsic factors, rather than by the intrinsic nonlinear relation between the stock prices and dividends. Secondly, we evaluate the link between market returns, expected inflation and output gap and growth by employing both individual and joint tests of linear and nonlinear panel models. We find that the stock prices convey useful information about inflation and output growth in-sample and out-of-the-sample Finally, we ask whether the stock prices are to be given a central role in monetary policy decisions using both (individual and panel) GMM models and dynamic optimization. We find that though the dividend-price ratio and the real exchange rate can provide useful information for monetary policy decisions, we should not jump to the conclusion that they have to be considered as arguments of the central banks' reaction functions. For the central banks with explicit inflation targeting, the best choice is not to consider the stock returns in their reaction functions. However, for the other regimes the best choice is to consider the stock returns in the reaction functions.

The subject of this thesis is an analysis of factors influencing the growth rate of small and medium enterprises in Europe. The required data was collected from Amadeus database and processed into a panel dataset. Afterwards, the regression parameters of the selected explanatory variables were obtained by means of fixed effects models. Results showed that enterprise growth rate was most significantly influenced by the rate of R&D costs, specifically its annual change in relation to turnover. Growth is also positively influenced by firm's profitability, annual change in intangible assets value and nation's growth rate of GDP. A negative effect on growth connected with solvency ratio was also found, which is consistent with a proposition of the pecking order theory. Once again, validity of Gibrat's Law was confirmed when size variable turned out to be statistically insignificant and slightly negative in addition. Not surprisingly, privately held companies operating in Western Europe showed a bit higher propensity to faster growth than their counterparts.

The purpose of this study is to examine a completely new phenomenon called the MIST, by two portfolios: the Goldman Sachs Next 11 equity fund, and the Goldman Sachs BRIC fund, in order to establish whether or not the MIST countries are a better investment decision in terms of risk, return and growth. Furthermore, the study examines in which form these emerging markets lies in terms of market efficiency, and if the random walk theory is present. The opportunities and challenges for Mexico, Indonesia, South Korea and Turkey are also brought upon to determine whether these countries have the potential to exhibit the same success as the BRIC countries did for a decade. Since the growth of the BRIC countries are slowing down, Jim O’Neill, the same founder of the term BRIC, coined the nations MIST. The BRIC countries are facing several difficulties and have led investors to draw out from these countries stocks. Investors that were pouring in money to the BRIC countries during the period 2001-2009, have from 2011, withdrawn 15 billion dollars from the BRIC stocks. Mexico, Indonesia, South Korea and Turkey. Derived from the next eleven countries, these countries have a major effect on the global economy due to their economical and political circumstances. For many investors, the MIST countries that are growing faster than the BRIC are regarded to be the new biggest emerging markets. Investing in BRIC funds are stated to be a disaster today, while on the other hand, the MIST countries are growing and outpacing the BRIC fund. The methodology used was to compare two different portfolios, Goldman Sachs N-11 equity fund in the period 2011-2013 against the Goldman Sachs BRIC fund in two different periods, 2011-2013 and 2006-2008 with S&P 500 as the market index. In addition, a hypothesis test was carried out for this period to observe whether or not to reject the null hypothesis. The results of this study shows that the null hypothesis was rejected and that the N-11 equity fund is a better investment decision, in terms of risk, return and growth today. These emerging markets are under the weak form market efficiency and the random walk theory is present in the N-11 equity fund. This makes the authors’ results more of a speculation than a definite conclusion about the future, as one cannot "beat the market".

Mestrado em Gestão
Em Portugal, a crise financeira tem sido um tema bastante debatido, pelo que, continua pertinente avaliar até que ponto, esta teve impacto sobre as reservas de caixa, o financiamento e o investimento em Portugal. Para tal, foram analisados estudos de outros autores, cujo tema em questão era semelhante ao que se pretendia trabalhar. Neste estudo, serviram de base os autores Trejo-Pech, Noguera, e Gunderson (2015), Balachandran, Nguyen, Nguyen, e Yin (2013) e Nguyen, Nguyen, e Yin (2015). Quanto aos resultados obtidos, não existem evidências de que a crise tenha tido impacto sobre as reservas de caixa, contrariamente ao que seria de esperar, isto porque, segundo o estudo de Trejo-Pech et al. (2015) as empresas aumentaram as suas reservas de caixa para se precaverem contra a incerteza e assim, poderem utilizar o dinheiro para investirem em oportunidades de crescimento que surgissem. Em termos de financiamento também não é possível afirmar que a crise tenha tido um papel decisivo sobre este. No entanto, os resultados parecem dar indícios de que o financiamento de curto prazo era preferível pelas empresas portuguesas durante a crise, ao invés do financiamento de longo prazo, visto que este último poderia implicar mais riscos para os credores. Relativamente ao investimento das empresas portuguesas, dos resultados obtidos, existem evidências de que a crise e o pós-crise tenham contribuído para o seu aumento, contrariamente aos estudos de Balachandran et al. (2013) e Nguyen et al. (2015), que referem que o investimento diminuiu com o início da crise. Da análise ao crescimento dos ativos, os resultados sugerem que as empresas se socorreram dos fluxos de caixa para conseguirem crescer durante o momento de pós-crise, mas uma vez que a variável PostC foi negativa e estatisticamente significativa, esta parece levar a um efeito retardador desse potencial crescimento dos ativos durante o momento de pós-crise.
In Portugal, the financial crisis has been a subject well debated, so it would be appropriate, to assess, to what extent this had an impact on cash reserves, financing and investment in Portugal. To this end, studies from others authors were analyzed, which theme in question was similar to what was intended to do in this work. In this study, served as the basis, the authors Trejo-Pech, Noguera, and Gunderson (2015), Balachandran, Nguyen, Nguyen, and Yin (2013) and Nguyen, Nguyen, and Yin (2015). As for the results, there is no evidence that the crisis has had an impact on cash reserves, contrary to what would be expected. This, because, according to the study by Trejo-Pech et al. (2015), companies have increased their cash reserves to guard against the doubt, and, thus, can use the money to invest in growth opportunities that arose. In terms of financing, it is not possible to declare that the crisis has had a decisive role on this. However, the results seem to evidence that short-term financing was preferred by Portuguese companies during the crisis, rather than the long-term financing, since the latter could involve more risk for lenders. For the investment of Portuguese companies, from the results, there is evidence that the crisis and post-crisis have contributed to its increase, in contrast to studies of Balachandran et al. (2013) and Nguyen et al. (2015), which state that investment decreased with the start of the crisis. Analyzing the growth of assets, the results suggest that companies bailed up cash flows to achieve growth during the time of post-crisis, but, since the PostC variable was negative and statistically significant, this seems to lead to a retarding effect of that potential asset growth during the time of post-crisis.

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The finance literature has been found many relations between financial multiples and stock returns. We test the relation between asset growth and stock returns for the Brazilian capital market. Panel regressions were made to verify if this relations still significant in an emerging market like Brazil. The ability of asset growth as a predictor of stock returns was compared with other relevant financial multiples known in literature.
A literatura de finanças tem encontrado diversas relações entre indicadores financeiros e o retorno de ações. Testamos a relação entre variação dos ativos totais e o retorno das ações para o mercado de capitais brasileiro. Foram realizadas regressões em painéis para testar se esta relação permanece válida mesmo em uma economia emergente como a do Brasil. Comparou-se a capacidade previsora da variação do ativo total com outros indicadores financeiros conhecidos na literatura

Kapitalstrukturen betyder hur ett företag väljer sin sammansättning av skuldsättning och eget kapital, och de finansiella teorierna är framtagna ur de större företagens perspektiv. Små och medelstora företag (SME) utgör ungefär 99 % av alla företag i Sverige, och det är därför viktigt att förstå hur dessa företag väljer sin kapitalstruktur. I perioder av ekonomisk recession kan tillgången på kapital bli problematisk för företag av olika anledningar. Generellt sparar landets befolkning på sina pengar, vilket implicerar en lägre tillförsel av kapital till företagen. Långivarna tenderar också att vara mer återhållsam gällande kreditgivning. SME kommer därmed att ha en lägre tillgång till externt kapital, och detta är mer problematiskt för dessa företag eftersom deras relation med långivarna tenderar att involvera högre grader av agentkostnader och informationsasymmetri. Hur dessa mindre företags kapitalstruktur påverkas av en ekonomisk krisperiod är ett forskningsområde som är relativt outforskat. Således är denna studies fokus att undersöka hur SME:s kapitalstruktur i Sverige påverkas av en ekonomisk krisperiod.Studien innefattade 79 916 SME i Sverige under perioden 2007 till 2015, och den analyserade krisperioden är finanskrisen som varade åren 2008 och 2009. För att kunna utröna krisens påverkan på företagens kapitalstruktur problematiserades olika faktorer som hade en relation till denna. Kapitalstrukturen omfattade företagens totala skulder och en uppdelning av dessa i kort- respektive långfristiga skulder. Faktorernas relation till de kort- och långfristiga skulderna var grunden för att studera eventuella förändringar under ekonomisk recession. De totala skulderna användes för att ge ytterligare stöd i analysen. De faktorer som inkluderades i denna studie var: likviditet, lönsamhet, tillgångsstruktur, tillväxtmöjligheter, storlek, den alternativa skatteskölden, räntespread och slutligen den faktor som var av primärt intresse – ekonomisk kris. För att testa detta empiriskt skapades modeller utifrån två olika linjära regressionsmetoder, varav den ena hade fixerade effekter. Modellerna med fixerade effekter var de bestämmande för studiens utfall. Studien visade empiriskt att krisens påverkan på SME:s kapitalstruktur var att företagen hade en högre skuldsättningsgrad under krisperioden. Mer specifikt indikerade resultaten på att företagen hade en högre grad av kortfristiga skulder under den ekonomiska recessionen. Vidare visade studien att flera av faktorerna hade en effekt på både kort- och långfristiga skulder.
Capital structure is how a business selects their mixture of debt and equity, and the financial theories that touches upon this subject is mostly developed from the larger corporations point of view. Small and medium sized enterprises (SME) constitutes approximately 99 % of all enterprises in Sweden, and therefore it’s important to understand how these businesses selects their capital structure. A period of economic crisis is problematic for enterprises to achieve capital in several aspects. The population in that said country is likely to be restrictive with their transactions, which implies a lesser flow of capital to the businesses. The lenders of capital tend to be more conservative in regards to the lending of credit. To this extent, SMEs will have less access to capital, and this is more problematic for small firms due to their relationship with lenders are often connected to larger agency costs and information asymmetry. How the capital structure for these small and medium sized firms affects during a period of economic crisis is a research area that is relatively uncharted – specially in the context of Sweden. Thus, the focus of this study is to examine how a period of crisis affects the capital structure of these small and medium sized enterprises during a period of crisis.The study involved 79 916 SMEs in Sweden during the period 2007 to 2015, and the examined period of crisis was the financial crisis that lasted through 2008 and 2009. To be able to determine how the crisis affected the capital structure several determinants that has a relationship with capital structure was problematized. The capital structure contains the firms total debt, which was divided into short- and long term debt. The determinants relationship with the short- and long term debt were the basis to study possible changes during economic crisis. The total debts were used to give support to the analysis. The determinates that were included in this study was: liquidity, profitability, asset structure, growth opportunities, size, the non-debt tax shield, term spread and finally the primary interest of this study – economic crisis. To test this empiricly, models were created using two different methods of linear regression, and one of these had fixed effects. The models with the fixed effects was the decisive models for the outcome. The study empirically shows that the crisis affected the capital structure of SME’s in regards to that they exhibited a higher debt ratio though the crisis. More specific, the results indicated that SME’s had a higher short-term debt ratio during the crisis than the rest of the macroeconomic periods. Furthermore, the results shows that several of the capital structure determinants had an effect on both short- and long-term debt.

Betyg B, 170619

No presente estudo procuramos analisar os determinantes do crescimento das empresas familiares portuguesas, através de uma amostra de empresas familiares membros da Associação de Empresas Familiares, durante o período de 2006 a 2014. Com vista ao teste das hipóteses em estudo foram utilizados dados em painel, com modelos de efeitos fixo e aleatório. A variável dependente definida foi o crescimento das vendas. As variáveis independentes definidas foram: dimensão; idade; endividamento; endividamento de curto prazo; endividamento de médio longo prazo; produtividade da mão-de-obra; estrutura do ativo; variável dummy da crise financeira; variável dummy da administração pertencer à família; e variável dummy do género do administrador. Os resultados obtidos confirmam a dimensão, a idade e o endividamento como determinantes do crescimento; ABSTRACT: In the present study we analyzed the determinants of growth of family businesses through a sample of family businesses members of the Family Business Association, during the period between 2006 and 2014. In order to test the hypotheses under study were used panel data, with models of fixed and random effects. The Sales growth was defined as the dependent variable. The independent variables were defined: size; age; debt; short-term debt; medium and long term debt; labor productivity; asset structure; dummy variable of the financial crisis; dummy administration belong to the family; and dummy administrator gender variable. The results confirm the size, age, and debt as determinants of growth.

The safety record of most petrochemical industries in the world and Nigeria in particle, has not been able to come down to the maximum allowable range of 0 - 0.1 percent of tolerance on recordable injuries, due to increasing failure rates of equipment within the plant. Investigations on the maintenance audit carried out on the Nigerian Gas Company (NGC) revealed that 85 percent of such failures are directly linked to improper adaptability of an effective maintenance management strategy and plan within the petrochemical industries in Nigeria. Equally, the growth and continuous operation of any plant depends to a large extent on the maintenance of the equipment that refines the Crude Oil and natural Gas. As such, various maintenance management systems have been used over the years for the actualisation of the above purpose but with minimal success. This is evident in the fact that the level of maintenance performance of most Nigerian Petroleum Companies is always on the corrective maintenance model, which indirectly implies that the plant normally breaks down before maintenance management is applied. A critical look at the deficiency of improper adaptability of these maintenance management plans have conspicuously manifested in five major categories of maintenance failures which includes the following; * Failure of safety critical equipment due to lack of maintenance * Human error during maintenance * Static or spark discharge during maintenance in an intrinsically unsafe zone * Incompetence of maintenance staff, and * Poor communication between maintenance and production staff. These gaps as identified in this research must be corrected in the Nigerian Gas Industry if meaningful progress is to be made. Gas – To – Liquid technology is a very complex technology and with natural gas as the basic raw material, the technology not only looks intimidating but also is full of potential hazards. People are naturally afraid of the complex nature of gas in a confined environment (because of its highly combustible nature), its gaseous state makes it more complex for it to be kept under control and at the same time be moved from one form to another at different temperatures and pressures. The maintenance audit carried out on the Nigerian Gas Company (NGC) revealed some major loopholes in the maintenance management strategies adopted in the country. The audit reveals that the degree of adherence to conditions attached towards the maintenance management strategy of this equipment (in this case Gas field equipment) was too poor. Based on the above, this research is meant to improve the existing maintenance management strategy, by developing a Maintenance Management Strategy (MMS) that will be suitable for gas field equipment in the Escravos Gas–To– Liquid (EGTL) plant, planned to be commissioned in Nigeria early 2011. The need to research the above mentioned Maintenance Strategy became imperative due to the fact that the rate at which most of the petrochemical plants in the world are being gutted by fire, mainly due to poor maintenance management systems is alarming. This research work proffered solutions that will reduce or completely eliminate the highlighted problems above. This was based on investigations and analysis carried out in the chosen research area. Models were developed for the actualization of this Improved Maintenance Management Strategy (IMMS), so that the desired safe operability of the gas field equipment in the Escravos Gas–To– Liquid (EGTL) plant will be achieved without maintenance failure of any kind.
Thesis (M.Ing. (Development and Management Engineering))--North-West University, Potchefstroom Campus, 2011.

This dissertation concentrates on the interplay between politics and financial markets using various empirical tools applied on historical financial statistics. The first essay examines the effect of stock transaction taxation on trading activity and asset prices, specifically focusing on the case of early 20th century Sweden. The main finding is that the tax substantially reduced trading as well as the level of asset prices. In the second essay, modern ex post historical writing is contrasted with the ex ante views of contemporaries which are estimated from historical price data. The specific case study is the events around World War II related to the Nordic countries and Germany. The comparisons point out considerable differences between the assessments of historical events in the ex post and ex ante approaches. The third essay is an empirical study of price controls on asset price movements and how these controls affect asset returns. The study finds that the controls have large significant effects which even may influence estimates of the long-run equity premium. Altogether, this raises concerns about the use of century-long series of asset returns without correcting for the impact of institutional variation and market constraints. Finally, the fourth essay examines the growth effects of international financial liberalization and integration using a large country- industry sample from the 1980s. The main result is that industries highly dependent on external financing do not experience higher value added growth in countries with liberalized financial markets. Liberalization does, however, increase the growth rates of both output and firm creation among externally dependent industries. These results are consistent both with increased competition and increased outsourcing.

Diss. (sammanfattning) Stockholm : Handelshögskolan, 2003

Master`s thesis named „Evaluation of Building Company“ is focused on the explanation of the concept of value and his various forms and use, the definition of procedure of evaluation of company, some parts of the procedure are broken down, but the main part of this thesis is a description of used methods of evaluation of company. In the practical part particular company is evaluated by selected methods based on statements of accounts and other obtained information.

This thesis examines how information flow among CEOs with social and professional connections affects firms and the market environment. Using biographical information about CEOs of U.S. public companies supplied by BoardEx from 2000-2016, the thesis relies on CEOs’ educational background, employment history and social activities (e.g., social clubs) to estimate the social and professional connections of CEOs as a measure of firms’ network size. The thesis then examines how networks among CEOs facilitate commonality in liquidity and commonality in asset growth among connected firms. The essay titled “CEO Connectedness and Commonality in Liquidity”, examines the effects of CEOs’ social and professional networks on stock liquidity commonality. We hypothesize that the stock liquidity of firms whose CEOs are connected will covary. In this essay, we uniquely construct our measure of commonality in stock liquidity among connected firms and provide strong evidence supporting the hypothesis. Outcomes reveal that the more connections firms share with each other, the more their stock liquidity comove. The essay further tests channels through which CEOs social and professional networks drive commonality in stock liquidity across connected firms. Results indicate that similarity in corporate finance policies and trading activities across connected firms are two channels through which CEOs’ personal connections drive liquidity covariation. We address endogeneity concerns and provide results that demonstrate that the magnitude of stock liquidity covariation among connected firms reduces when a CEO dies. The essay titled “CEO Peer Effects and Commonality in Asset Growth”, sought to investigate whether educational, social and professional networks among CEOs affect managerial asset growth decisions. We hypothesize that the asset growth rate of firms whose CEOs are connected will comove because of group thinking and peer influence. Using biographical information regarding CEOs of U.S. public firms from 2000 – 2016, the results suggest that CEO connectedness facilitates asset growth covariation. We conclude that a CEO is more likely to increase assets if peers in the network have recently done so leading to asset growth covariation across connected firms. Next, we test for channels through which CEOs’ connections may drive asset growth commonality across connected firms. The results reveal that commonality in asset growth decisions among connected firms stems from two possible channels: the adoption of related acquisition and research and development investment strategies. On the economic benefits of commonality in asset growth to shareholders, results show that commonality in asset growth across connected firms affects shareholders negatively. On endogeneity, tests indicate that the death of a CEO significantly reduces the extent of asset growth comovement between connected firms.
Thesis (Ph.D.) -- University of Adelaide, Business School, 2019

碩士
國立交通大學
財務金融研究所
107
In this paper we focus on the cause of the asset growth anomaly. Tere are two main explanations for the asset growth anomaly: risk-based theory and mis-pricing theory. This paper follows Lam & Wei (2011) using several factors related to risk-based theory and mis-pricing theory as a style investment factors to analysis the relation between asset growth and the stock returns by the Fama-MacBeeth cross-section regression and found that the BenFord’s Law which is used to be the proxy of earnings management has the impact on the asset growth effect. Further, we establish an asset growth and style-investing independent sorting portfolio to compare the asset growth effect in different groups and make a long-short strategy to construct a style-investing factor. We also examine whether the new style-investing factor is different from the Fama-French 3 and 5 factors and the abnormal returns. Our papers found out the factors reflect the market information such as dollar trading volume and institution ownership has great impact on the abnormal returns and also support the asset growth anomaly should cause of mis-pricing explanation. Final, this papers use the principal component analysis to analyze the style-investing factors by the company. We find the proportion of style-investing factors in different company is different. It also confirms that the asset growth effect should not explained by a single factor. It is explained by a theory that different companies may also be subject to different reasons for asset growth.

Thesis (Ph. D.)--Florida State University, 2005.
Advisor: Dr. Paul M. Beaumont, Florida State University, College of Social sciences, Dept. of Economics. Title and description from dissertation home page (viewed Sept. 15, 2005). Document formatted into pages; contains xiii, 164 pages. Includes bibliographical references.

碩士
國立中正大學
經濟系國際經濟學研究所
104
This paper explores the role of internal habit formation in an overlapping generations economy. If agent in the old period is concerned with his past consumption level in the young period, he will be highly motivated to increase his saving. As a result, high saving increases the balanced-growth rate and with the intensity of the habit persistence becomes higher, the promoting effect on balanced-growth rate becomes stronger. On the other hand, this paper also explores the role of non-interest-bearing asset, fiat money, with or without internal habit formation in our model. We show whether with internal habit formation or not, money will decrease the balanced-growth rate. In order to promote balanced-growth rate, we suggest increasing the monetary growth rate in order to increase the amounts of young people’s lump-sum transfers. We also find that the expansive monetary policy will lower the crowding out effect of capital.

碩士
國立暨南國際大學
財務金融學系
101
Cooper, Gulen, and Schill (2008) find that there are negative relation between asset growth and subsequent stock return in the US market, which is asset growth anomaly. They further refer the anomaly from underpricing managers' overinvestment. In Asia, Yao, Yu, Zhang, and Chen (2011) indicate that all of the markets, except Taiwan, exists asset growth anomaly. Lam and Wei (2012) suggest that the method above can only examine the anomaly in market-wide view, and it cannot recognize the resource of anomaly precisely. They propose examining the reason with subsequent asset growth, and it can distinguish the hypotheses, overinvestment hypothesis, real option hypothesis, style investing hypothesis and q-theory of investment hypothesis, to two predictions. Our study is aimed to reexamine Taiwan asset growth anomaly, so we take the new manner. Consequently, overall there is still no asset growth anomaly in Taiwan stock market. But when we sort all the stock with asset growth level and subsequent asset growth, we find that there is significant abnormal return in reversal growth level sample. Besides, with examination of dynamic q-theory, we find that the anomaly is consistent with style investing hypothesis in Taiwan. And all the results above are consistent with abnormal return characteristic adjusted, abnormal return factor adjusted and sub period sample.

碩士
國立暨南國際大學
財務金融學系
99
We investigate the asset growth anomaly in Taiwan stock market. Asset growth represents for the company's overall growth, the findings suggest that corporate events associated with asset expansion tend to be followed by periods of abnormally low returns, whereas events associated with asset contraction tend to be followed by periods of abnormally high returns. Asset growth was negatively correlated with future stock returns in U.S., Australia and Asia stock markets. The annual median total asset growths were steadily increasing in the U.S. stock market, but it is volatile in Taiwan, therefore we examine the asset growth effect in Taiwan stock market. Our empirical results indicate that only other asset growth is significantly correlated with stock returns, which is different from the evidence on the U.S., Australia and other Asian markets. Following Fama and French (1993), we then construct two asset growth factors. The inclusion of asset growth factor in asset pricing models adds nothing to its ability to explain the cross-section of stock returns. However, we find the other asset growth factor has additional explanatory power for stock returns in time series model.

碩士
輔仁大學
會計學系碩士班
103
The main purpose of asset impairments is to convey the real value of assets. The recoverable amount of assets that is a determinant of asset impairments is influenced by the growth of downstream industry. However, the growth of downstream industries hasn’t been considered in recent studies yet. This study classified the downstream industries of firms on the basis of Input-Output Tables from Directorate-General of Budget, Accounting and Statistics to explore the effect of the growth of downstream industry on asset impairments. The results showed that as the downstream industries are declining, the motive of asset impairments is more likely to be reporting incentives; while the downstream industries are growing, the motive of asset impairments is more likely to be economic factors. This study also indicated that when the growth of the downstream industry is declining, firms recognized more amount of asset impairments, regardless of the growth or declined of firms; when the growth of firms and of firms’ downstream industries is increasing, firms recognized more amount of asset impairments.

碩士
元智大學
財務金融暨會計碩士班(財務金融學程)
104
The literature has documented the negative relationship between asset growth rate and subsequent stock return for the US market and certain international markets. Using extended sample period and Datastream data, this study however finds that such asset growth effect is non-linear across stocks in the US market and absent from the Canadian market. Specifically, the low-asset-growth and high-next-period-return relationship is observed across most stocks while not applicable for those US stocks with bottom ten-percentile asset growth rates. The finding is corroborated by long-short portfolio return tests and by Fama-MacBeth regression tests when firm characteristics are being controlled for. This study further applies idiosyncratic volatility as proxy for limits to arbitrage, and the test results do not render consistent evidence in support of the mis-pricing theory in explaining the asset growth effect.

碩士
元智大學
財務金融暨會計碩士班(財務金融學程)
106
This study explores the asset growth effect, namely, firms with prior higher asset growth yielding lower subsequent returns, among economically linked firms in the U.S. market. Pooled regressions are performed in the study. Results indicate negative own-asset-growth effects for supplier firms and for customer firms, while the significance varies with firm size and across sample periods. Further analysis shows that such negative asset growth effect is particularly strong for large suppliers. As to the influence of economic linkage, this study finds that the return performance of customer firms is affected by their suppliers’ asset growth as well as prior return performance, while the evidence holds only for small customers and for limited sample period. Meanwhile, only limited evidence of customer momentum is found for suppliers when controlling for firm factors of both customer and supplier firms.

This Master Thesis takes the form of an Equity Research report of EDP, being the end goal to develop a recommendation to investors. It is relevant to underline that this report is inserted in a two parts report. In this part, it was made a full and comprehensive analysis of EDP, its sector and competitors and the main parameter driving the company’s value and risks. Moreover, the highlights include the step-up green growth of EDP, driven by lower costs and government incentives. To get to a price target, it was used a SOTP method with the businesses valued on a DCF basis. Our valuation for EDP yields a price of €6.44 for FY21, which reflects an upside potential of 42%, compared to the current market price and consequently a BUY recommendation.

碩士
東吳大學
經濟學系
105
The study attempts to analyze the asset allocation performance of Markowitz and Vince (2009)’s LSM models. The sample consists of the listed companies in Taiwan over the period of 2009-2016, which are divided into three equal subsmaples by market value. We follow the keys suggested by Guggenheim Partners investment advisors to pick growth stocks. For each of company sizes, we choose the six stocks with best performance to form a portfolio and reconstruct portfolio every year. The asset allocation is rebalanced every month. Taiwan Weighted Stock Index, Taiwan 50, Taiwan 200 Medium are used as the benchmarks for comparison. The empirical results show that nearly 70% of Sharp Ratio estimates from Markowitz model are better than those of Taiwan stock index. Both the model’s medium-sized and small-sample small-sized estimates outperform their benchmarks, respectively. The LSM model’s results show that 40% estimates of Sharp Ratio are higher than those of Taiwan stock index. Its medium-sized estimates outperform Taiwan 200 Medium, whereas the large-sizes estimates are inferior to those of Taiwan 50. Overall, the superior-performance cases of Markowitz’s estimation are better than those of LSM’s. Also, the latter model has higher performance in medium-sized firms, whereas the former has better performance in both large-sized and small-sized firms.

碩士
國立中興大學
高階經理人碩士在職專班
96
Abstract Wealth management industry has been well developed in advanced European countries for more than a century. Wealth management business provides high net-worth customers with convenient and comprehensive services. Many U.S. and European private banks have made much profit from the business. Since wealth management business is relatively new for government authority and banking executives, Taiwan’s banks do not provide wealth management services until 1998. Over time, wealth management has played an important in Taiwan’s banking industry. Banking executives are eager to develop a more efficient wealth-management model which could provide better services for customers and make high profits for banks. Wealthy customers have the need to select the right wealth-management bank which could provide the best services for their wealth. Therefore, the performance evaluation of wealth-management banks is important for both customers and bank executives. This study intends to develop a performance evaluation for wealth-management banks, based on the growth rate of assets under management. The performance measure has four indicators including service convenience, employee ability, bank operation, and customer complaint. The empirical evidence indicates that banks with the highest growth rate of assets under management have higher scores in the four indicators. By better understanding the findings, bank executives could improve their wealth-management business and customers are able to find the right banks for their wealth management.

碩士
逢甲大學
財務金融學系碩士班
101
In this paper, by using the Taiwanese listed stocks, I comprehensively examine the relations between asset growth (accruals) and stock returns. After controlling for different sample sub-periods, sample selection criteria, seasonality, research methodologies, we document that asset growth is significantly negatively related to future stock returns, particularly for samples excluding financial and electronic industries. Limits to arbitrage cannot capture the asset growth effect. However, limit to arbitrage seems to provide partial explanations for negative relation between accrual and stock returns. That is, the accrual effect only significant exists in stocks with high idiosyncratic risks. However, when I test the relation by using Fama and MacBeth regression, the relation only appears during the sub-period of 2000 to 2011.

By constructing dividend growth portfolios and comparing them to replicated value and equal-weighted S&P benchmarks, we find that the portfolios outperformed long-term in terms of both alpha and Sharpe Ratio. From the asset pricing model loadings, we find that a much higher profitability factor (RMA) is observed in a dividend raise portfolio. Another portfolio, holding stocks that kept dividends either constant or at a raise, has a much higher investment factor (CMW).