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Huang, Zhangkai. "Finance, investment and monetary policy." Thesis, University of Oxford, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.270515.
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Studart, Rogério. "Investment finance in economic development /." London ; New York : Routledge, 1995. http://catalogue.bnf.fr/ark:/12148/cb37460424c.
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Hayes, Mark Gerard. "Investment and finance under fundamental uncertainty." Thesis, University of Sunderland, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.275518.
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Ahmed, Mohamed Ahmed Shaker. "Essays in behavioural finance and investment." Thesis, Brunel University, 2017. http://bura.brunel.ac.uk/handle/2438/14882.
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This thesis is an attempt to bridge some research gaps in the area of behavioural finance and investment through adopting the three essays scheme of PhD dissertations. There is a widespread belief that the traditional finance theory failed to provide a sufficient and plausible explanation for (1) what motivates individual investors to trade, (2) the pattern of their trading and the formation of their portfolios, (3) the determinants of cross section of expected returns other than risk. Behavioural Finance, however, offers more realistic assumptions based on two building blocks; behavioural biases of irrational investors and the limits of arbitrage that prevent the arbitrageurs from correcting mispricing and pushing prices back to fundamental values. This dissertation is structured as follows: In the first essay, the disposition effect is defined as the propensity of investors to realize gains too early while being loath to realize losses. Capital gains overhang is a measure of unrealized capital gains and losses that is associated with the disposition effect and the trading activities of behaviourally biased investors. We discover that firm characteristics can play a role in explaining variations in the capital gains overhang that is consistent with the activities of behaviourally biased and disposition investors. Specifically, we find that capital gains overhang is increasing in firm attributes that attract behaviourally biased investors, namely, earnings per share, leverage, growth and size. Capital gains overhang is also declining in market liquidity, possibly because liquidity allows behaviourally biased investors to excessively trade shares and beta and corporate earnings, probably because when high risk and inefficient firms experience losses, disposition investors experience capital losses that they are reluctant to realize. In the second essay, quantile regressions are employed to analyse the relationship between the unrealized capital gains overhang and expected returns. The ability of the disposition effect to generate momentum is also considered for the extreme expected return regions (0.05th) and (0.95th) quantiles. To do so, 450,617 observations belonging to 5176 US firms are employed, covering a time span from January 1998 to June 2015. Following the methodology of Grinblatt and Han (2005), the findings show significant differences across various quantiles in terms of signs and magnitudes. These findings indicate a nonlinear relationship between capital gains overhang and expected returns since the impact of capital gains overhang as a proxy for disposition effect on expected returns vary across the expected return distribution. More precisely, the coefficients of capital gains overhang are significantly positive and decline as the expected returns quantiles increase from the lowest to the median expected return quantiles. However, they become significantly negative and rise with the increase in expected returns quantiles above median expected returns quantiles. The findings also suggest that the disposition effect is not a good noisy proxy for momentum at the lowest expected return quantile (0.05th). However, interestingly it seems to generate contrarian in returns at the highest expected returns quantile (0.95th). In the third essays, we try to discover systematic disagreements in momentum, asymmetric volatility and the idiosyncratic risk momentum return relationship between high-tech stocks and low-tech stocks. We develop several hypotheses that suggest greater momentum profits, fainter asymmetric volatility and weaker idiosyncratic risk-momentum return relation in the high-tech stocks relative to the low tech stocks. To this end, we divide 5795 stocks that are listed in the Russell 3000 index from January 1995 to December 2015 into two samples SIC code and analysed them using the Fama French with GJR-GARCH-M term. The results show that the high-tech stocks provide greater momentum profits especially for portfolios that have holding and ranking periods of less than 12 months. In most cases momentum returns in the high-tech stocks explain a symmetric response to good and bad news while the momentum returns in the low-tech stocks show an asymmetric response. Finally, the idiosyncratic risk-momentum return relation is insignificant for high-tech stocks while it is significant and negative for low-tech stocks. That is, as idiosyncratic risk increases, momentum decreases for low-tech stocks. These findings are robust to different momentum strategies and to different breakpoints.
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Vasileva, Kristina. "Foreign direct investment : a behavioural finance approach." Thesis, City University London, 2011. http://openaccess.city.ac.uk/1185/.
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The aim of this thesis is to contribute to the understanding of corporate decision making regarding foreign direct investments (FDI) by applying two behavioural finance concepts, home bias and herding, to the analysis of FDI flows. I contribute to the literature by empirically testing for home bias and herding in an FDI context using a very broad panel dataset. I also contribute by examining the country policy implications of home bias on FDI flows between two countries by estimating the probability of an FDI relationship between two countries. In addition, I contribute by providing a generality of the results at a global, regional and country levels. The analysis in this thesis is conducted on a large panel dataset of the FDI inflows and outflows of 30 OECD member countries with their FDI partners, across 25 years in a bilateral country pair format which is a novel application of this dataset for the purpose of studying home bias and herding in FDI. The findings in this thesis confirm that there is an overall home country bias that is demonstrated through the preference for direct investments in places with greater physical, institutional and cultural proximity to the investor country. These general findings of home bias are observed and confirmed across different data segments: regional and country levels, across time and across different income country groups. I do not find that the effects of home bias have disappeared or diminished across time or at different geographic locations. Herding is another behavioural finance concept which is considered in the context of FDI outflows. Direct investors tend to herd around a perceived world or a regional leader when considering investments in faraway places and when they do not have the familiarity factors in common with an FDI partner country. Finally, by increasing the institutional and cultural familiarity, countries can significantly increase the probability that they will get a direct investment from a country with which they might not otherwise be having an FDI relationship.
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Zhong, Yifei. "Essays on optimal investment in mathematical finance." Thesis, University of Oxford, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.556117.
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This thesis comprises four essays on optimal investment in mathematical finance. The first two are concerned with optimal stock buying/selling w.r.t. its global maximum (minimum). We first aim to determine an optimal selling time so as to minimize the expectation of the square error between the selling price and the global maximum. Then, we formulate four stock buying/selling problems by minimizing/maximizing the expectation of the ratio of the buying/selling price to the global maximum (minimum) price. These are optimal stopping problems that can be formulated as variational inequality problems. We solve them by a partial differential equation approach. The latter two essays are related to optimal investment with behavioral preferences. In Essay Ill, we consider optimal asset liquidation for an investor with an S-shaped utility. We characterize the value function in the sense of viscosity solution due to the nonsmoothness of the payoff function and show that the optimal liquidation strategies are consistent with the disposition effect. In Essay IV, we consider a mean- semi-variance portfolio selection problem with probability distortion. Using a dual argument, we change the decision variable to a quantile function. We then apply the Lagrange method to solve the problem. It turns out that the distorted mean-semi- variance problem only admits an optimal solution with some proper distortion functions.
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Merdad, Hesham J. "Two Essays in Islamic Finance and Investment." ScholarWorks@UNO, 2012. http://scholarworks.uno.edu/td/1467.
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The main purpose of this dissertation is to lessen the gap in the Islamic finance and investment literature by providing new answers to the most vital question raised in that literature: Is the adherence to the Shariah law associated with at any cost?
The first chapter provides a primer on Islamic finance. It discusses several restrictions and necessary adaptations that must be made to have a Shariah-compliant product. The takeaway is that Shariah law mandates is related to fundamentals and, thus has a direct effect on the risk-return profile of all sorts of different products. This is referred to as the “Islamic-effect.”
The second chapter investigates that Islamic-effect in a cross-sectional stock return context. This is done in two steps. First, looking at differences in stock returns between Islamic and conventional firms in Saudi Arabia during the period from January 2003 to April 2011. Results indicate that there is a negative relationship between Saudi Islamic firms and average returns. This is referred to as the “negative Islamic-effect.” Second, examine whether that negative Islamic-effect is considered a common, systematic, and undiversified risk factor that affects cross-sectional expected stock returns. Time-series regressions results indicate that the Islamic risk factor (CMI) does indeed capture strong common variation in Saudi stock returns regardless what is included in the model. Also, findings suggest that using a four-factor model that controls for the Islamic-effect is more appropriate than using a single- or a three-factor model in Islamic finance applications that require estimates of expected stock returns.
The third chapter investigates the Islamic-effect in a mutual fund context. A unique sample of 143 Saudi mutual funds (96-Islamic and 47-conventional) is used to assess the performance and riskiness of Saudi Islamic funds relative to Saudi conventional funds and relative to different Islamic and conventional indices for the period from July 2004 to January 2010. Findings suggest that there is a benefit (cost) from adhering to the Shariah law when locally-focused (internationally-focused) fund portfolios are investigated. When Arab-focused fund portfolios are investigated, findings suggest that there is neither a cost nor a benefit from adhering to the Shariah law.
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Todorovic, Natasa. "Equity investment styles." Thesis, City University London, 2001. http://openaccess.city.ac.uk/8399/.
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The aim of this thesis is to investigate the nature of determinants of equity returns as suggested by the CAPM model, in particular, alphas, betas and equity premium and to outline implications for investment managers that statistical and structural analysis of the aforementioned variables may suggest. The thesis contributes to the existing literature in the following areas. First, it addresses the question of predictive power of historical risk-adjusted portfolio performance measures on determining future equity returns in short and long term hoirsons. Second, it investigates the stability of beta coefficients and its impact on portfolio risk and seasonality in equity returns. Third, it assesses the question of dividend yield as determinant of portfolio alphas. Finally, it addresses the question of a common factor that may be influencing movements of equity premiums across European markets. All the aforementioned empirical work is the first of this kind, at least to our knowledge, in the UK. In Chapter One we provide an indirect test of alpha stability. We test if past alphas, information ratio and alpha-to-beta ratio of positive and negative alpha portfolios can be used to determine future portfolio returns. We find that chosen portfolio performance measures do not have any predictive power in the short term investment horisons. However, in the longer term horisons of 24 to 36 months, we document the mean reversion in our portfolio returns and conclude that one can use historical measures of performance to predict returns in the longer run. In Chapter Two we proceed to investigate if stocks with higher beta (systematic risk) also exhibit higher instability in betas as well, thus causing even greater risk for investors. We also examine the seasonality effect in the UK size-based portfolios and try to relate it to seasonality in betas. Our findings suggest that higher beta stocks do have more time-variant betas. Additionally, we find that equity returns are much higher in December-April than in May-November period but we find no robust evidence that such seasonality in returns is due to seasonality in betas but rather due to investors' psychology. In Chapter Three, we assess the relationship between excess returns and dividend yields in the UK market. The econometric analysis reveals U-shaped yield-return relationship in the 1980s and quadratic, bell-shaped, relationship in the 1990s. It seems that such a change in the relationship is driven by the change in the returns pattern of small size stocks in the 1990s. We find no evidence of the tax effect as the explanation of yield-return relationship that we observe. In Chapter Four we try to identify what may be the common determinant of equity risk premium across European markets. We test for the serial correlation in the stock market returns and the results suggest that serial correlation is not in the level of returns but in the volatility of returns. Hence, if shocks to returns and in turn equity premium are persistent, there can be a scenario of a world-wide shock, which may influence the equity premium across countries in the similar manner driving them in the same direction. The overall findings of the thesis are indicating instability of CAPM determinants of UK equity returns. If investors are aware of these instabilities, they can adjust theirinvestment strategies accordingly and generate excess returns on their investment.
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Colombo, Jéfferson Augusto. "Essays in empirical corporate finance and macro-finance." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2016. http://hdl.handle.net/10183/158172.
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Esta tese é composta de três ensaios empíricos sobre finanças corporativas e macrofinanças, todos eles aplicados ao Brasil. O primeiro mostra como uma mudanças tributárias no nível do acionista podem afetar as decisões financeiras das empresas investidas, através da estrutura de propriedade. Os resultados sugerem que as empresas ajustam suas políticas financeiras para minimizar os gastos tributários totais (nível do acionista mais nível da firma). No segundo artigo, analisa-se a relação entre o investimento estrangeiro em carteira (EFPI) e o investimento agregado brasileiro. Os resultados mostram que o EFPI tem um impacto marginal positivo na formação bruta de capital fixo, mas que essa relação é condicionada a fatores institucionais, tal como o grau de intervenção do governo no mercado de crédito. Finalmente, no terceiro ensaio, mostro que um aumento exógeno dos preços dos ativos colateralizáveis imobiliários pode ter consequências positivas no financiamento e investimento das empresas. As firmas aparentemente mais beneficiadas pelo ciclo expansionista de crédito observado no Brasil durante os anos 2000 foram justamente aquelas com menor grau de tangibilidade, potencialmente fora do mercado de crédito no período anterior.In this thesis, I present three empirical essays on corporate finance and macro-finance applied to Brazil. In the first one, I show that an exogenous tax change at the investor level can have real effects on the invested firms’ behavior. My evidence suggests that treated firms adjust their financial policies considering substitute financial instruments and seeking to minimize overall tax spending. In the second paper, I analyze the role of equity foreign portfolio investment (EFPI) on affecting aggregate investment. The results show that EFPI has a marginal positive impact on the gross capital formation, but this relation seems to be contingent on institutional factors such as government intervention in credit markets. Finally, in the third essay, I show that an exogenous increase in collateral prices can have positive consequences on firms’ financing and investment decisions. The credit expansion registered in Brazil in the middle of the 2000’s seem to have alleviated financial constraints most for smaller, less tangible firms, which probably were (at least partially) out of the credit market before the boom.
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Herbert, Wilson Eziefule. "New forms of international investment : a study of alternative strategies to foreign investment." Thesis, University of Glasgow, 1992. http://theses.gla.ac.uk/6611/.
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This study is concerned with recent developments in international investment and the theory of the firm. The proposition that markets and hierarchies are alternative governance structures for completing related sets of transactions is less contentious. However, the view that foreign direct investment is the most efficient governance structure, in transaction-cost economizing terms, remains controversial. This research identifies with this contention. The premise of the study is that the governance structure of foreign transactions cannot be confined to or decided within the framework of hierarchy alone. The study presents a number of market mechanisms firms use to accomplish foreign transactions. Termed "New Forms of International Investment", these strategies involve non-equity (i.e. contractual/cooperative) and minority-equity arrangements. Hypotheses concerning the transaction cost nature and the impact of managerial perceptions of several explanatory factors were developed and tested using data gathered from a questionnaire survey of, and interviews with, executives from 66 MNCs and 31 MNBs. The results of the research provide evidence that while firm-specific characteristics offer firms opportunities to evaluate their strengths and weaknesses in relation to given overseas markets, host country-specific characteristics offer a complementary platform for assessing the optimum mode of entry. Also, managerial perceptions of the nature and importance of these factors and their impact on the diversification strategy of the firm were found to be significant in entry mode choices. The greater the perception of distortion propensities in a host country, the more likely resources, insofar as they would be transferred at all, would be transacted via new forms. There was no evidence to support the literature contention that the use of the new forms is a particular phenomenon of developing countries. These findings were reinforced by the interview results.
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Barclay, Lou Anne. "Foreign investment in the Caribbean : multinational enterprise motivation, investment behaviour and corporate strategy." Thesis, University of Warwick, 1998. http://wrap.warwick.ac.uk/4257/.
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Foreign Direct Investment (FDI) is playing an increasingly important role in the economies of many less industrialised countries. The Caribbean, specifically Jamaica, Barbados and Trinidad-Tobago are excellent examples of this phenomenon. The increased dependence of these countries on FDI calls to question the attractiveness of their business environment to the foreign investor. This study aims to provide answers to this research question. To this end, it examines the factors that influence the motivations, locational choices and market entry mode of multinational enterprises making investment in these three countries. This study also seeks to ascertain the extent to which these factors are influenced by the timing of the investment decision, the type of FDI (market-seeking, resource-seeking and export-seeking) and the country of origin of the investor. It is also concerned with the factors that influence the initial investment decision as well as the decision to continue operations in the countries. Fourteen hypotheses were advanced from the International Business literature. A triangulation approach to research methodology was employed in the study. The hypotheses were initially tested by means of a mailed questionnaire survey which was administered to 299 executives of multinational enterprises that operate in the three Caribbean countries. The hypotheses were further tested using the qualitative method of a case study approach. Twelve core cases of multinational enterprises operating in the export sectors of the three Caribbean countries were analysed. This study demonstrated the non-applicability of several of the FDI theories to the realities of small, developing economies. These theories were developed largely to explain the behaviour of firms originating in industrialised countries and making investments in these countries. Hence, several did not seem to fully explain the FDI process undertaken in the Caribbean. One notable exception was that of the "Double Diamond" model. The study showed that the "Double Diamond" model is a powerful framework for analysing the business environments of the three Caribbean countries studied. This study also illustrated the importance of government implementing strategies to ensure that the business environment is supportive of the foreign investor. Further, the study suggests that investments need to be made in human resource development, and institutional and infrastructural improvements. It also revealed that the investment incentive package needs to be revised and a nexus created between the government and the foreign investor. Finally, the study suggests that support needs to be given for the development of the locally owned firm.
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Affleck, Arthur. "Community development finance : a form of social investment." Thesis, Northumbria University, 2011. http://nrl.northumbria.ac.uk/3089/.
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This thesis aims to critically examine the development of Community Development Finance Institutions (CDFIs) in the UK: organisations that lend to businesses unable to access finance from mainstream sources. The overall aim of the research is to capture the development of a proto-type sector into a recognisable and fully-fledged financial sector. The research found there was considerable interest in CDFIs in the late 1990s fuelled by research reports published by the New Economics Foundation. Ideas and influences were being transferred to the UK from North American CDFIs and from micro-finance lenders in the developing world. While a few CDFIs had existed in the UK since the 1970s, from the late 1990s a new generation of organisations were being established to help combat what New Labour had defined as financial exclusion. The thesis identifies this group of CDFIs the ‘British New Wave’, because they were developing their own products and services to meet local needs. After 1997, New Labour ideas about a potential Third Way and Communitarianism were increasingly influential. This thesis argues that the subsequent development of CDFIs can be strongly interpreted as offering a Third Way between the market and the state. Their links with local communities or sectors (such as social enterprise) also enhanced their importance at district, regional and national levels. The research also analyses a number of individual case studies such as the Aston Reinvestment Trust and Street UK, the CDFI sector and government policy to highlight the complexity of the challenges facing CFDIs particularly the range of issues relating to funding. The thesis argues that the government’s initial interest in the sector has waned over time and some of New Labour policies aimed at promoting localism have in practice restricted the growth of CDFIs. At the end of the first decade of the twenty first century, the UK CDFI sector is surviving and offering loans to businesses excluded from finance and offering social and economic benefits that should be recognised and supported through social investment. However, despite the optimistic note in some areas of the thesis, it will be argued many CDFIs remain financially unsustainable precisely because they offer small business loans and work with their borrowers.
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Wang, Zhixiao. "Essays in corporate investment and finance in China." Thesis, University of Glasgow, 2018. http://theses.gla.ac.uk/30699/.
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This thesis extends the literature by adding new empirical evidence associated with firm’s decisions in fixed investment and capital structure, under the assumption of capital market imperfection. In Chapter 2, we combine a panel of over 95,000 Chinese manufacturing firms of different ownership types over the period 2000-2007 with the Marketization Index for China’s provinces during the same period and investigate whether or not, and how, the cross-regional differences in institutions and financial development can affect the firm level financing constraints. Our main results indicate that institutional and financial development in China can reduce financing constraints significantly for the investments of private firms and partly for foreign firms, while increasing the financing constraints for the investments of state and collective firms. Different from previous studies at aggregate level, we identify a positive relation between finance and growth in the Chinese economy from a micro-perspective. In Chapter 3, we estimate the respective effect of state ownership and share concentration on firms’ leverage adjustment speed towards optimal level by using the Chinese listed firms dataset (1998-2010). We find that the firms with state ownership present lower leverage adjustment speed towards optimal leverage ratio than their privately owned counterparts. A positive relation from share concentration to leverage adjustment speed is also detected. These results suggest that ownership structure can significantly determine a firm’s costs of adjustment as well as incentives to adjust. Our works offer a new channel for people to understand the heterogeneous leverage adjustment behaviours among firms. In Chapter 4, using the Chinese listed firms dataset (1998-2016), we test the casual relation from short debt maturity to firms’ fixed capital expenditure. After controlling the level of leverage, we obtain a significant negative coefficient on short debt maturity in the investment regression model, especially for the sample of firms with worse financial condition. This indicates that rollover risk plays an important role in determining firms’ investment decisions and it is more likely to be triggered at bad time. Overall, our research suggest several policy implications. First, deeper economic decentralization and further financial liberalization are important for reducing the resource misallocation between state and non-state sectors in the Chinese economy. Second, more applicable provisions for minority investor protection are required to be formulated, which are expected to provide more options for ownership reform in publicly listed SOEs. Lastly, alternatives for long-term debt financing, other than bank loans, have to be developed, thereby reducing the systematic rollover risk in the economy.
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Muchinguri, Tawanda. "Investment Promotion; Foreign Direct Investment Determinants and Policy Framework Analysis for India: Lessons for Zimbabwe." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/28389.
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Today Zimbabwe finds itself on the cusp of a new era, an inflection point which should set the country on a path towards recovery and sustainable economic growth, after years of being in a socio-economic quagmire yet extravagantly endowed with natural resources and extraordinary human capital. This study seeks to examine how best to unlock this untapped and embedded value for the emancipation of Zimbabwe’s people by looking at how other countries have extricated themselves from similar situations by the use of foreign direct investment. Pursuant to this cause, the author identified India as a case study from which Zimbabwe can learn and thus seeks to identify and measure the determinants of foreign direct investment and understand the policy framework underlying these determinants. Gross domestic product, trade, the exchange rate, inflation, foreign reserves and the foreign direct investment restrictiveness index were employed as variables in the research using annual data over a 27 year period from 1990 to 2016. This period was deliberately chosen to capture the impact of the liberalisation and reform efforts which set India on a growth path and today is the biggest recipient of greenfield foreign direct investment. The autoregressive distributed lag cointegration framework was employed as an estimation technique to examine the long-run relationship between foreign direct investment and the chosen explanatory variables. The findings reveal that the exchange rate and the foreign direct investment restrictiveness index are the key determinants of FDI in India with a negative relationship, thus a stronger Indian rupee and better restrictiveness index rating lead to more foreign direct investment inflows. Based on the results, placed in the context of India’s foreign direct investment policy framework, the study makes bespoke and befitting recommendations to the Zimbabwean authorities on how to use the import and the tenets of the foreign direct investment restrictiveness index as a basis for devising far reaching reforms needed to attract foreign direct investment for the sustainable development of Zimbabwe.
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Sairafi, Kamran, Karl Selleby, and Thom Ståhl. "Behavioral Finance : The Student Investor." Thesis, Jönköping University, JIBS, Business Administration, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-1500.
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Bachelor thesis within Business Administration
Title: Behavioral Finance – The Student Perspective
Authors: Kamran Sairafi, Karl Selleby, Thom Ståhl
Tutor: Urban Österlund
Date: 2008-05-30
Background: History is full of examples on how humans can create investment
bubbles through speculation; from the Dutch tulip mania to the
Dot Com bubble humans have proven to be capable of creating
economical chaos. Classical economical theories hold the assumption
that individuals act rationally regarding decisions of an
economical nature. Since the information on the stock market is
available to everyone who seeks it, the appearance of investment
bubbles should not be possible. Behavioral finance is an academic
branch which seeks to explore these phenomenons through the
psychological factors affecting humans in investment decisions.
Purpose: The purpose of the report is twofold. Firstly it is to examine the
characteristics of investment interested business students enrolled
at Jönköping International Business School. Secondly it looks into
the decision-making process and choices of the population
from the perspective of behavioral finance.
Method: This research holds an abductive approach and is based on qualitative
data. Data collection was done through an Internet-based
questionnaire containing several different questions on the areas
related to the inquiries. In some cases statistical analysis was conducted
to test for significant correlation between key characteristics.
Results: A statistically proven correlation could be discerned between
trading experience and frequency; for each additional year an individual
engaged in trading the frequency increased. Herd behavior
was detected in a majority of the sample. When faced with a
scenario in which their immediate surrounding opposed their own
analysis of a stock, the greater part of the sample would reconsider
their position. Two main sub-groups were detected. The first
was characterized by its high tolerance of risk; the second subgroup
was characterized by its inconsistency in behavior.
Conclusions: This paper found that the behavior of respondents in the chosen
population was best described as “student behavior”; a somehow
irrational behavior explained by the learning process in which
business students exist.
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Moschetti, Gian Piero Philip. "Essays in applied finance." Thesis, University of Southampton, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.326640.
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Klopfenstein, Ashley. "Investment Income in Life Insurance." Marietta College Honors Theses / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=marhonors1588419641715527.
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Luvhengo, victor. "Public pension funds and socially responsible investment in South Africa: a case study of the Public Investment Corporation." Master's thesis, University of Cape Town, 2013. http://hdl.handle.net/11427/29012.
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Socially responsible investment (SRI) and now commonly known as sustainable responsible investment is starting to gain a momentum in South Africa among asset owners and managers. Of a particular interest is that the leading public pension fund manager, the Public Investment Corporation (PIC) which invests on behalf of the Government Employee Pension Fund (GEPF) has a significant interest in driving this phenomenon in South Africa. In actual fact, GEPF was the first public asset owner in South Africa to subscribe to the United Nations Principles of Responsible Investment in 2006. This is not surprising because a pension fund such as the Government Employees Pension Fund (GEPF) is one of the largest investors through the PIC in the South African economy and the fund is equivalent to 1/3 of the country's GDP with almost R1 trillion assets and has investments in all sectors of the economy. Given the significant power that this fund has in the South African economy, it was of particular interest for this research to link whether SRI agenda in the PIC is also embedded in a broader strategy/policy around South Africa economic development and by whom is this agenda is being driven in the PIC? Furthermore, this research helps to understand the key drivers, challenges, enablers for the PIC to advance SRI agenda in South Africa. The research adopts a case study approach to understand how entrenched is the SRI agenda in big public pension asset managers in South Africa. The research found that over the past few years, the PIC SRI strategy focused on equity and developmental investing with low focus towards fixed income and property asset classes. In general, the research has found that the PIC SRI Strategy responds to issues that that meet government objectives of ensuring growth and economic development of South Africa. In all four asset classes, the PIC SRI Strategy broadly addresses issues such as black economic empowerment, skills development, economic growth, economic and social infrastructure (roads, energy, housing, and education), enterprise development and job creation. However, the government has not taken any concrete steps for greater collaboration with the PIC on ESG issues in South Africa. PIC is advancing its SRI strategy mainly through active share ownership and developmental impact investing.
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Oschlies, Melanie Katharina. "A Behavioral Finance Perspective on Sustainable Energy Investment Decisions." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02607455002/$FILE/02607455002.pdf.
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UGHETTO, Elisa. "Finance and innovation : essays on credit, investment and regulation." Doctoral thesis, Università degli studi di Bergamo, 2008. http://hdl.handle.net/10446/58.
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Friedl, Gunther. "Real options and investment incentives." Berlin ; New York : Springer, 2007. http://site.ebrary.com/id/10161175.
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Nxumalo, Londa Selloane. "A fusion of charity and commercial investment principles to maximise social investment in South Africa." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/27403.
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South Africa faces a raft of social problems, the enormity of which make it impossible for the government to tackle alone. This has necessitated private sector involvement through socially responsible investments (SRI) and charity. Despite the growth of the SRI industry and years of charitable contributions, social investment into the high-impact areas that need it most remains far too low. This study seeks to understand what is holding back social investment, and how to address this. Using grounded theory methodology, the research finds that traditional SRI investors are inappropriate sources of funding and that charitable funds have largely been deployed inefficiently. The proposed solution is for more use to be made of charitable funders, with the disbursement process employing some commercial investment principles in order to facilitate the recycling of capital, resulting in the growth of social investment over time.
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Nguyen, K. (Kim). "Time series risk factors of hedge fund investment objectives." Master's thesis, University of Oulu, 2013. http://urn.fi/URN:NBN:fi:oulu-201311211905.
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In this thesis, I find eight common time series risk factors among all hedge fund investment objectives, including: equity market factor, equity size spread factor, bond credit spread factor, emerging market factor, equity trend following factor, Fama-French value factor, time series momentum factor and currency risk factor. The selected statistical model constructed from the eight risk factors provides higher adjusted R squared and lower pricing errors than Fung-Hsieh model. In addition, I find that small hedge funds outperform large funds with alpha spread of 3.43 percent annually.
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Gold, Martin Lionel. "Fiduciary finance and the pricing of financial claims a conceptual approach to investment /." Access electronically, 2007. http://www.library.uow.edu.au/adt-NWU/public/adt-NWU20070927.131807/index.html.
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Al-Motairi, Hessah. "Models for investment capacity expansion." Thesis, London School of Economics and Political Science (University of London), 2011. http://etheses.lse.ac.uk/232/.
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The objective of this thesis is to develop and analyse two stochastic control problems arising in the context of investment capacity expansion. In both problems the underlying market fluctuations are modelled by a geometric Brownian motion. The decision maker’s aim is to determine admissible capacity expansion strategies that maximise appropriate expected present-value performance criteria. In the first model, capacity expansion has price/demand impact and involves proportional costs. The resulting optimisation problem takes the form of a singular stochastic control problem. In the second model, capacity expansion has no impact on price/demand but is associated with fixed as well as proportional costs, thus resulting in an impulse control problem. Both problems are completely solved and the optimal strategies are fully characterised. In particular, the value functions are constructed explicitly as suitable classical solutions to the associated Hamilton-Jacobi-Bellman equations
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Zhang, Yu. "Three Essays on Household Life-Cycle Investment Decisions." The Ohio State University, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=osu1532090430374447.
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Yang, Pei. "Essays on the theory of investment subsidy." Thesis, University of Essex, 2016. http://repository.essex.ac.uk/17869/.
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In this thesis, we investigate a firm's investment timing decision and choice of market entry mode under uncertainty and irreversibility. We investigate how a host country can affect the firm's investment decisions through providing investment incentives. The real options approach to valuation is applied, and three main theoretical contributions are provided in this thesis. First, we derive the optimal form of subsidy package and find that the optimal subsidy package should always compensate the firm for giving up the investment opportunity and making the investment immediately. By making a trade-off between the host country's incremental welfare benefits and the costs of the subsidy package, we obtain the optimal timing to provide it. We also examine the effects of preemption risk on the timing of investment and the value of a subsidy package. Second, we consider the timing of investment and the choice of entry modes. We evaluate the investment projects and derive the investment thresholds when the firm can choose between a joint venture (JV) and a wholly-owned subsidiary (WOS). We find that when there is no subsidy offered, the firm prefers a WOS, while the host country prefers a JV. When there are subsidies offered by the host country, we find that both the firm and the host country prefer a WOS. A JV will be preferred only if it has some distinctive welfare benefits that are not associated with a WOS, for instance knowledge transfer benefits. Last, we introduce product market competition into the problems of investment timing and choice of entry mode. We find that competition will not alter the conclusions we have obtained. The optimal mode of entry is a WOS, unless a JV has some distinctive welfare benefits that cannot be provided by a WOS.
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Barwick-Barrett, Matthew. "The performance of socially responsible investment portfolios." Thesis, Cardiff University, 2015. http://orca.cf.ac.uk/77707/.
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A recent trends report estimates that the total value of US-domiciled assets under management using socially responsible investment (SRI) strategies is $6.57 trillion. This represents more than one out of every six dollars under professional management in the United States (Forum for Sustainable and Responsible Investment, 2014). In Europe, a recent report by the European Sustainable Investment Forum reports that the total value of European assets under management using SRI strategies is in excess of €6.9 trillion (Eurosif, 2014). Consequently, the importance of SRI to financial practitioners and academics is considerable. This thesis examines the performance, risk and exposures of US SRI indices, UK SRI equity funds (domestic and global) and US SRI funds (large cap, mid-small cap, balanced and bond) to investigate a number of issues relating to the performance of SRI portfolios. The work highlights the potential psychological returns which may be related to investing in SRI funds through shareholder activism and discusses the relationship between the potential risks and returns that are associated with this form of investing. The study finds that the requirement to screen can detrimentally affect the performance of SRI portfolios, but that these effects are more pronounced for UK funds which predominately employ negative screening techniques, than US SRI portfolios (indices and funds) which principally employ positive and restricted screening methodologies. The investigation also discovers that SRI portfolios with smaller investment choice, such as those that can only invest in the UK stock market are more affected by SRI screening than those with large investment universes such as global or US equity funds. This finding is consistent with the smaller investment universe of an SRI fund, making it more likely SRI screening will affect the fund’s performance and risk. Post screening, a fund manager may find it more difficult to purchase assets with the potential to provide a good return or to diversify risk effectively. SRI screening also affects the sector exposures, industry exposures, systematic risk and idiosyncratic risks of UK SRI funds, indicating that screening can result in SRI portfolios holding significantly different assets from conventional funds. In addition, the intensity with which a UK SRI fund screens is shown to significantly affect risk-adjusted performance. Importantly, this study also finds that US SRI funds are more likely to vote affirmatively with shareholder proposals which relate to social and environmental issues than their conventional counterparts and are more likely to vote against company management on these issues. This finding is consistent with SRI investors receiving a psychological return through the shareholder activism of SRI funds.
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Yläinen, E. (Emilia). "Evaluation of alternative capital investment projects:authoring a fictional teaching case." Master's thesis, University of Oulu, 2017. http://urn.fi/URN:NBN:fi:oulu-201706062569.
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The aim of this thesis is to create a framework to analyze capital investment projects. The teaching case was designed as a byproduct of this thesis which is targeted to be used as a teaching material in a university level investment management course. The goal of the fictive teaching case is to encourage students to become enthusiastic about making investment decisions and in all challenge the process. The case should help students to generally observe problems around investment decision-making, and make it easier to analyze investment projects. This thesis presents a solution approach to consider the investment opportunities of the fictive teaching case.
The capital investment possibilities of the case are evaluated through cash-flow estimation. This thesis suggests that first when evaluating alternative capital investment projects, the firm’s management should consider the firm’s own goals for the future. The goal reveals also much about the risk bearing capacity of the firm. For example, if the firm’s goal is to grow it acts differently than when it is just trying to survive to the next month. After recognizing the future goals and analyzing the risks of the possible investment opportunities, the net present values of the possible investment opportunities are calculated. Generally, it can be said that one should invest in every project that is worth more than its cost. This thesis proposes that managers should consider risks and their own firm’s goals along with the firm’s net present value after choosing one new investment opportunity.
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Anastasov, Martin Anastasov. "Modelling investment strategies : Bayesian learning, regime switches and evolutionary finance." Thesis, University of Leeds, 2015. http://etheses.whiterose.ac.uk/10149/.
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In this research project we endeavour to model a financial marketplace dominated by a few interacting large institutional investors and draw conclusions about the financial market dynamics that this interaction gives rise to. More specifically, we study the problem of institutional investors, such as pension funds and life assurance companies, which operate in an environment of uncertain cash inflows and uncertain payouts with a minimum threshold. Investment strategies are taken as model primitives and an artificial financial market is populated by multiple investor types. Trading and investment decisions take place in discrete time. There exist a certain predetermined number of long-lived risky assets paying a random amount of dividends at each discrete point in time, as well as a risk-free asset with a constant interest rate. The risky assets generate random dividend intensities. Asset payoffs are aggregated and paid to investors at the end of each time period. The general economy is assumed to follow a hidden Markov model with two states, corresponding to normal and recessionary regimes. The existence of a minimum consumption constraint implies the possibility of bankruptcy. The effect of this occurrence on market clearing is modelled explicitly. We solve our model by means of numerical simulation. The size of the wealth endowment of the different agents is monitored through time over a large number of simulation runs. Our results suggest that both trend following and value investing strategies can be selected by the market under different circumstances. These two results lead to markedly different outcomes for the economy, as the prevalence of the trend following style leads to destabilization of the marketplace, volatility clustering and severe deflationary spirals. Dividend yield and modified regime-switching CAPM strategies are never selected by the market.
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Yu, Jingbo. "Essays on Corporate Finance." Diss., Temple University Libraries, 2016. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/405229.
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Business Administration/FinancePh.D.
Much of the literature on investment-cash flow sensitivity examines only manufacturing firms, uses capital expenditure as a measure of investment, and uses operating cash flow as a measure of internal funds. Over the last several decades, due to outsourcing, the importance of manufacturing firms in the U.S. economy and the importance of capital expenditure as the primary type of investment have declined. The introduction of the Nasdaq exchange allowed smaller, less-profitable, and more human-capital intensive firms to become public, lowering the importance of operating cash flow as the primary source of internal funds. To take into account these trends, I introduce three innovations to the prior literature. (i) I include non-manufacturing firms. (ii) I broaden the definition of investment to include R&D and SG&A (which are both investments in human capital required at the innovation and marketing stages of the product life cycle), cash investment in subsidiaries and joint ventures, and the cash used to finance acquisitions. (iii) I broaden the definition of internal funds to include cash holding available at the beginning of the year. Empirically, non-manufacturing firms are more capital intensive than non-manufacturing firms, and hence excluding these firms could understate the true investment-cash flow sensitivity. Capital expenditure understates true investment, and hence excluding other forms of investment could also understate the true investment-cash flow sensitivity. Finally, operating cash flow understates true internal funds, and excluding cash holdings could overstate the true investment-cash flow sensitivity. The net effect of my proposed changes on the sensitivity is, therefore, an empirical issue. Overall, I document that investment is highly sensitive to cash flow––it is 570% higher than what I estimate using the definitions in prior literature––and this higher sensitivity is primarily caused by broadening the definition of investment. Further, though the sensitivity declines over time, the decline is modest and, importantly, the sensitivity is still economically and statistically significant in recent years. I identify three factors that have contributed to this decline: (i) the decline in Fed Funds rate (ii) changing firm characteristics and, (iii) changing firm composition. The changing characteristics and changing composition of firms are possibly due to macro trends such as outsourcing and the introduction of Nasdaq exchange. While outsourcing reduced firms’ capital expenditure, the introduction of the Nasdaq facilitated listing of less profitable and more human-capital intensive firms. Such firms are likely to invest more in R&D and SG&A and are less reliant on operating cash flow for their investment. These macro trends altered firms’ investment and cash flow mix, specifically decreasing the investment-cash flow ratio, which, in turn, contributed to the decrease in investment-cash flow sensitivity.
Temple University--Theses
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Lei, Angela Xuying. "Essays on investment, financing, and institutions in China." Thesis, London School of Economics and Political Science (University of London), 2012. http://etheses.lse.ac.uk/480/.
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China’s unique approach to the market economy during its transitional phase has provoked widespread interest among researchers. While the Western literature can certainly not be directly applied under Chinese economic conditions, it offers important theoretical grounds on which we can build our understanding of different behaviour of firms and banks in China. In the first chapter, we employ a unique set of data on financial information of over 6,000 firms and study the lending pattern of banks in China at a firm level. We find that in addition to common factors such as profitability, size, and credit history, state ownership is highly correlated with banks’ lending decision;the evidence is consistent with the existence of soft budget constraint. The debate over whether such lending bias is caused by the supply side (banks) leads us to the second chapter. We examine and compare investment behaviour of firms under different ownership, with a focus on investment to cash flow sensitivity, using financial and accounting data on over 1,700 listed firms in China. We find opposite effects of cash flow on firms when sample is split between different ownership, with privately owned firms showing a higher sensitivity of investment to cash flow. This result enables us to establish that the cause of lending bias and soft budget constraint in China is indeed a supply side effect. We also find that such sensitivity is positively correlated with firm size and age, but not related to Tobin’q, which we interpret as indicating the lack of market value information about firms in China. Institutional development in the sense of enhancement of the effectiveness of the market is widely viewed as the core to economic reform in transition economies. As privately owned firms generally outperform their state owned counterparts (see Estrin et al. 2009), we study the impact of regional institutions on total factor productivity (TFP) of firms under different ownership. We find that the quality of institutions is highly correlated with firms’ TFP, and that improving institutions to facilitate business operations is crucial for firms to achieve higher effectiveness and sustainable growth. The results also suggest that urgent reform is needed for the state owned sector in China.
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Hayley, S. "Cognitive error in the measurement of investment returns." Thesis, City University London, 2015. http://openaccess.city.ac.uk/13172/.
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This thesis identifies and quantifies the impact of cognitive errors in certain aspects of investor decision-making. One error is that investors are unaware that the Internal Rate of Return (IRR) is a biased indicator of expected terminal wealth for any dynamic strategy where the amount invested is systematically related to the returns made to date. This error leads investors to use Value Averaging (VA). This thesis demonstrates that this is an inefficient strategy, since alternative strategies can generate identical outturns with lower initial capital. Investors also wrongly assume that the lower average purchase cost which is achieved by Dollar Cost Averaging (DCA) results in higher expected returns. DCA is a similarly inefficient strategy. Investors also adopt strategies such as Volatility Pumping, which appears to benefit from high asset volatility and large rebalancing trades. This thesis demonstrates that any increase in the expected geometric mean associated with rebalancing is likely to be due to reduced volatility drag, and that simpler strategies involving lower transactions costs are likely to be more profitable. Academic papers in highly-ranked journals similarly misinterpret the reduction in volatility drag achieved by rebalanced portfolios, mistakenly claiming that it results from the rebalancing trades “buying low and selling high”. The previously unidentified bias in the IRR has also affected an increasing number of academic studies, leading to misleadingly low estimates of the equity risk premium and exaggerated estimates of the losses resulting from bad investment timing. This thesis also derives a method for decomposing the differential between the GM return and the IRR into (i) the effects of this retrospective bias, and (ii) genuine effects of investor timing. Using this method I find that the low IRR on US equities is almost entirely due to this bias, and so should not lead us to revise down our estimates of the equity risk premium. This method has wider applications in fields where IRRs are used (e.g. mutual fund performance and project evaluation). In identifying these errors this thesis makes a contribution: (i) to the academic literature by correcting previous misleading results and improving research methods; (ii) to investment practitioners by identifying avoidable errors in investor decision-making. It also makes a contribution to the field of behavioural finance by altering the range of investor behaviour which should be seen as resulting from cognitive error rather than the pursuit of different objectives.
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Fan, Weiwei. "Household savings, relationship banking, and urbanization : three essays in economic development and finance /." View Abstract or Full-Text, 2003. http://library.ust.hk/cgi/db/thesis.pl?ECON%202003%20FAN.
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Hrouda, Jiří. "Leveraged acquisition finance." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-74068.
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Main interest of this diploma thesis is a transaction known as leveraged acquisition. The goal is to provide detailed overview of these transactions starting from history and development of leveraged acquisitions, key market participants, acquisition financing, leveraged acquisition market and its current trends and analysis of a fictional transaction using advanced financial model. Due to the limited extent of the thesis not all aspects of debt financing and modeling could have been covered in the text.
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Im, Hyun Joong. "Essays in corporate finance." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:2f865e57-ff55-4198-a2b5-2a4f48e3d201.
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This thesis contributes to the empirical literature on how firms meet exceptional financing needs in relation to “investment spikes” or years with unusually large investment activities. In the earlier part of the thesis, I show that the financing of investment during an investment spike is very different from that at other times. I have done this using data for publicly traded US firms over the period 1988 to 2007 and a filtering procedure suggested by Bond et al. (2006). Specifically, external finance, in particular debt finance, is very important in financing investment in years categorized as investment spikes, confirming the findings of Mayer and Sussman (2005). In addition, it has been found that firms with smaller size, lower profitability, more future growth opportunities, fewer tangible assets and more R&D spending tend to use more equity finance in relation to large investment requirements. I also propose the use of the Markov-switching filter to identify investment spikes. In implementing the Markov-switching filter, I apply a first-order two-state Markov-switching mean model to the investment rates de-trended using Hodrick and Prescott's (1997) filter. A Gibbs-sampling procedure is used to produce the marginal posterior distributions of unobserved state variables and model parameters. Among other advantages, this filter allows us to identify multi-year investment spikes. I show that two-year investment spikes identified by the Markov-switching filter are financed quite similarly to single-year investment spikes and that main findings are robust to calendar-time-dependent clustering of investment spikes generated by macroeconomic shocks. In the later part of the thesis, I find there is a positive effect of share liquidity on the propensity to raise debt finance. Using a sample of firm-year observations identified as investment spikes, I find that firms with more liquid shares tend to rely more heavily on debt to finance investment spikes. This result is robust to a control for the effects of firm size and other firm characteristics, the use of various leverage measures, and the use of a whole sample with investment spike characteristics. Another important finding is that firms with more liquid shares tend to have higher target leverage ratios. One interpretation of these results is that information spillovers from the presence of more informative share prices allow firms with more liquid shares to borrow on more favourable terms in normal times, as well as to obtain additional debt finance at lower costs when taking advantage of unusually large investment opportunities.
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Almeida, Serra Costa Vitoria Pedro Miguel. "Topics on forward investment theory." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:158e9239-1385-4314-b337-3eed27c76dfc.
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In this thesis, we study three topics in optimal portfolio selection that are relevant to the theory of forward investment performance processes. In Chapter 1, we develop a connection between the classical mean-variance optimisation and time-monotone forward performance processes for infinitesimal trading times. Namely, we consider consecutive mean-variance problems and we show that, for an appropriate choice of the corresponding mean-variance trade-off coefficients, the wealth process that is generated converges (as the trading interval goes to zero) to the optimal wealth process generated by a time-monotone forward performance process. The choice of the trade-off coefficients is made in accordance to the evolution of the risk tolerance process of the forward performance process. This result allows us to provide a fresh view on the issue of time-consistency of mean-variance analysis, for we propose a method to update mean-variance risk preferences forward in time. As a by-product, our convergence theorem generalises a result by Gyöngy (1998) on the convergence of the Euler scheme for SDEs. We also provide novel results on the Lipschitz regularity of the local risk tolerance function of forward investment performance processes. The material in this chapter is joint work with Marek Musiela and Thaleia Zariphopoulou. Chapter 2 combines forward investment theory and partial information. Specifically, we construct forward investment performance processes in models where the drift is a random variable distributed according to a known distribution. The forward performance processes we consider are of the type U(t,x) = u(t,x, R_t), where R. denotes the process of cumulative excess returns, and u(t,x,z):[0,∞) × ℝ imes ℝN ⟶ ℝ is such that u(t,.,z) is a utility function satisfying Inada's conditions. We derive the Hamilton-Jacobi-Bellman (HJB) equation for u(.). The HJB equation is linearised into the ill-posed heat equation; then, using the multidimensional version of Widder's theorem, we fully characterise the solutions to this equation in terms of a collection of positive measures; the result is an integral representation of the convex conjugate function of u(t,.,z). We construct several examples, and we show how these can be combined, in the dual domain, to generate mixtures of forward investment performance processes. We also show that the volatility of these processes is intrinsic, in that it is not generated by changes of numéraire/measure. In Chapter 3, we provide an extension of the Black-Litterman model to the continuous time setting. Our extension is different from, and complements that of, Frey, Gabih, and Wunderlich (2012) and Davis and Lleo (2013). Specifically, we develop a novel robust estimator of instantaneous expected returns which is continuously shrunk towards the predictions of an asset pricing theory, such as the CAPM. We derive this estimator fairly explicitly and study some of its properties. As in the Black-Litterman model, such an estimator can be used to make optimal asset allocation problems in continuous time more robust with respect to estimation errors. We provide explicit solutions to the problem of maximising expected power utility of terminal wealth, when our estimator is used to estimate the drift. As an example, we illustrate our results explicitly in the case of a multifactor model, where Arbitrage Pricing Theory predicts that alphas should be approximately zero.
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Dube, Tinashe Alison. "Ex-ante evaluation of investment performance fees using spread options." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/27070.
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This dissertation analyses ex-ante asymmetric performance fee structures used by South African Mutual Funds and estimates performance fees some time before the fees are paid. Certain parties might benefit from having a reasonable estimate of its value. We use spread option theory to value ex-ante performance fees. The data consist of monthly benchmark and fund gross returns from December 1999 to October 2014. The theoretical value of ex-ante performance fees is a function of spread volatility, therefore high spread volatilities give rise to high ex-ante performance fees. Ex-ante performance fee estimates are highly sensitive to the correlation between the fund and benchmark and a low positive correlation gives rise to a high ex-ante performance fee. The distribution of ex-ante performance fees is positively skewed because of the maximum function in the payoff. Ex-ante performance fee estimates obtained are lower than the actual performance fees paid.
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Hossain, Mahzabeen Natasha. "Hedge fund of funds investment process : a South African perspective." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/8528.
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Includes bibliographical references.The objective of this dissertation is to develop and test an investment process for hedge fund of funds (HFoFs) in South Africa. The dissertation proposes a three tiered process, adapted from the works of Lo (2008). Step one of the proccess involves the categorisation of hedge funds into broadly defined groups based on predefined factors. Two classification methodologies are examined herein to determine optimal category definitions. These are 1) an adaption of the classification developed by Schneeweis and Spurgin (2000), based on the correlation of hedge funds to an appropriate benchmark and the returns offered by these hedge funds, and 2) classification by cluster analysis. Once a finite set of classification is defined, step two of the process uses a minimum variance optimisation, based on forward-looking parameter estimates of return and co-variance to compute the optimal capital allocation to these categories. The final stage of the process employs a mixture of quantitative and qualitative analysis to allocate capital within categories to individual hedge funds.
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Tang, Yin Chiu. "Optimal entry and exit strategies of an investment project : compound American options /." View Abstract or Full-Text, 2002. http://library.ust.hk/cgi/db/thesis.pl?MATH%202002%20TANG.
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Karagodsky, Igor. "Essays in Corporate Finance." Thesis, Boston College, 2017. http://hdl.handle.net/2345/bc-ir:107406.
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Thesis advisor: Thomas J. ChemmanurThesis advisor: Arthur Lewbel
The dissertation aims to investigate the role of asymmetric information in capital structure, investment, compensation of mortgage servicers, and bond and equity returns. Specifically, I evaluate the impact of credit ratings on debt issuance and investment of private and public firms, as well as the effect of asymmetric information on compensation of loan servicers in the mortgage backed securities market. Further, I study the relationship between ratings issued by investor and issuer-paid credit rating agencies and equity analyst recommendations. Finally, I evaluate the effect of the aforementioned signals on bond and equity returns as well as firm leverage and investment decisions. Chapter one in the dissertation is the first study to empirically evaluate the effect of credit ratings on capital structure and investment for private U.S. firms, relative to equivalent public firms. I find that private firms constrain debt issuance and investment by 4.5 and 6.5 percentage points more than public firms, respectively, when their credit ratings are on upgrade or downgrade thresholds. Consistent with these results, private firms that become public through an IPO constrain debt issuance by 10 percentage points before going public, if their ratings are on an upgrade or downgrade boundary. The second chapter studies the impact of asymmetric information between mortgage sellers and servicers on mortgage servicer compensation. We proxy for asymmetric information using the decision to retain mortgage servicing rights, which creates a principal-agent problem between sellers and servicers. Using loan-level data on Fannie Mae-insured, full documentation mortgages, we first find that loans in which sellers retain servicing rights default and foreclose at a significantly lower rate, and lose less in foreclosure than those in which they are not retained. Since it is more costly to service non-performing loans, these ex-post differences in default rates should be reflected in servicer compensation. However, using Fannie Mae MBS pool-level data, we find no difference in servicing fees for pools in which servicing rights are retained relative to pools in which they are not retained. In order to identify the impact of seller/servicer affiliation on servicing fees, we exploit a post-crisis regulatory change which altered the incentive to retain servicing rights for small sellers of MBS relative to large sellers. Finally, in the third chapter, we evaluate the information flows to the stock and bond markets of issuer versus investor-paid rating agencies and equity analysts. Equity analysts' forecasts and ratings assigned by issuer-paid credit rating agencies such as Standard and Poor's (S&P) and by investor-paid rating agencies such as Egan and Jones (EJR) all involve information production about the same underlying set of firms, even though equity analysts focus on cash flows to equity and bond ratings focus on cash flows to bonds. Further, the two types of credit rating agencies differ in their incentives to produce and report accurate information signals. Given this setting, we empirically analyze the timeliness and accuracy of the information signals provided by each of the above three types of financial intermediary to their investor clienteles and the information flows between these intermediaries. We find that the information signals produced by EJR are the most timely (on average), and seem to anticipate the information signals produced by equity analysts as well as by S&P. We find that changes in leverage are associated with lower EJR ratings but higher equity analyst recommendations; further, credit rating changes by EJR have the largest impact on firms' investment levels. We also document an "investor attention" effect (in the sense of Merton, 1987) among stock and bond market investors in the sense that changes in equity analyst recommendations have a higher impact than either EJR or S&P ratings changes on the excess returns on firm equity, while EJR rating changes have a higher impact on bond yield spreads than either S&P ratings changes or changes in equity analyst recommendations. Finally, we analyze differences in bond ratings assigned to a given firm by EJR and S&P, and find that these differences are positively related to the standard proxies for disagreement among stock market investors
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Rancan, Michela. "Social Networks in Finance." Doctoral thesis, Università degli studi di Padova, 2011. http://hdl.handle.net/11577/3427391.
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The main purpose of the present thesis is to shed light on the role of social networks in finance. The interest in this subject is motivated by the fact that social networks influence beliefs, choices and behaviors of agents. Moreover, nowadays financial markets are increasingly interdependent and financial actors are highly interconnected. Nevertheless, according with a traditional approach competition is a standard assumption modelling financial markets. Hence, this work was inspired by the scientific curiosity to investigate whether social interactions may be a channel of information exchange even in a financial context, if the financial choices can be influenced by networks and, what are the implications of social networks in finance.
In an attempt to answer these questions, we exploit the investment behaviors of U.S. mutual funds and the networks of their managers (defined using managers' biographical information).
More precisely, the first chapter is an introduction to social network: we briefly review the recent literature about this topic in finance and we discuss some challenges of these applications.
The second chapter explores whether the trading behaviors of fund managers are influenced by the behaviors of other managers belonging to the same social network (managers who have attended the same university). According to our results a manager is more likely to buy/sell a particular stock in any quarter if managers who belong to the same network do that. The effect turns out to be stronger when we restrict the group to managers graduated in the same year. Such results can be interpreted by the "word of mouth effect". Other explanations such as same training or socio-economic backgrounds are possible.
Finally, the third chapter investigates the effect of social networks on mutual funds performance. We take advantage of the recent advances in the theoretical and methodological tools provided by social network analysis to examine the network properties. We find that managers' network have all the properties of a small world (as defined by Watts and Strogatz, 1998). Consistent with this, we provide empirical evidence that performance is higher for fund managers with many connections and if they are in a good network position.Lo scopo principale di questa tesi è quello di approfondire il ruolo dei network sociali in finanza. L'interesse per questa tematica nasce dal fatto che i network sociali influenzano opinioni, scelte e comportamenti degli agenti. Non solo, i mercati finanziari oggigiorno sono sempre più interdipendenti e gli agenti che vi operano fortemente interconnessi. Tuttavia nell'approcio tradizionale la competizione è sempre stata un'assunzione standard nei modelli di mercati finanziari. Pertanto, questo lavoro è stato ispirato dalla curiosità scientifica di studiare se l'interazione sociale possa essere un canale di scambio di informazioni anche in ambito finaziario, se le scelte finanziarie possano essere influenzate dai network e più in generale quali possano essere le implicazioni dei network sociali in finanza. Nel tentativo di dare una prima risposta a queste domande si è utilizzato un campione di fondi di investimento americani e i network dei manager che gestiscono tali fondi (definiti in base a informazioni bibliografiche). Più precisamente nel primo capitolo si è introdotto il tema dei social network, discutendo la recente letteratura che in finanza si è occupata di tale argomento e menzionando alcune difficoltà applicative. Nel secondo capitolo si è analizzato se le scelte di investimento dei manager dei fondi di investimento siano influenzati dai comportamenti di investimento di altri manager appartenenti allo stesso network sociale (ovvero manager che si sono laureati presso la stessa università). I risultati hanno evidenziato che un manager ha maggior probabilità di comprare/vendere una determinata azione in un determinato trimestre se i manager del suo stesso network hanno fatto la medesima scelta di investimento. Questo effetto è più marcato quando la definizione di network si riferisce sia all'università frequentata che all'anno di conseguimento della laurea. Questi risultati possono essere spiegati dal fatto che manager dello stesso network si siano scambiati informazioni, oppure dal fatto di aver ricevuto la stessa formazione accaddemica o aver vissuto nel medesimo contesto socio-economico. Infine, nel terzo capitolo, si è studiato l'effetto del network sociale sulle performance dei fondi di investimento. Lo studio delle proprietà dei network, mediante l'utilizzo della social network analysis, mostra che i network dei manager dei fondi di investimento, costruiti mediante le informazioni sulla formazione universitaria, hanno tutte le caratteristiche di un small world (secondo la definizione di Watts and Strogatz, 1998). In linea con questo risultato l'analisi empirica ha mostrato come le performance dei fondi sono significativamente più elevate quando i manager dei fondi hanno molte conessioni e una buona posizione nel network.
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Schuster, Joel D. "Business aircraft investment and financial performance." Thesis, Capella University, 2015. http://pqdtopen.proquest.com/#viewpdf?dispub=3714060.
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This research was an attempt to replicate, yet expand previous empirically supported, qualitative gray literature research conducted by NEXA (2010). The primary difference between this study and the NEXA study is adding significance testing in a quantitative study, to substantiate previously reported positive organizational financial performance associated with business aircraft investment. The outcome contradicted the previous study by providing evidence there were no significant differences in financial performance between those companies that own business aircraft and those companies that do not. The sampling populations were collected from publicly available data through a Federal Aviation Administration (FAA) aircraft registry and Securities and Exchange Commission (SEC) / Edgar database for the Standard and Poor’s (S&P) 600 Small Capitalization (SmallCap) Index funds.
The research utilized the Andersen (2001) Utilization strategies, Benefits, and shareholder Value (UBV) conceptual framework. The dependent variables of Earnings Before Income Tax, Depreciation and Ammoritization (EBITDA), Revenue Growth, Return on Equity (ROE), and Return on Assets (ROA) financial indicators and ratios were applied to test the significant differences between the independent variables of companies that own business aircraft versus companies that do not own business aircraft. The breadth of associated costs when contemplating investment in business aircraft goes well beynd the initial cost of the aircraft itself and was not covered in this study. Depending on the strategic objective and intended use of a business aircraft, ownership involves an additional and significant investment in infrastructure and back office support, segregated by direct and indirect costs.
In order to help define the future roles of business aircraft, the industry as a whole must create a synchronous and performance based public face that emphasizes the broad collection of the multi-dimensional and positive, technological, economic, and regulatory, political, and social dynamic contributions. Moreover, with financial indicators demonstrating positive value, productivity, and performance separation between business aircraft ownership from non-ownership, coupled with the internal as well as external drivers influencing financial results, the public face of business aviation and its aircraft should be one of the top investment decisions for future sustainability and competitive advantage.
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Kornmann, Lauren. "Evaluating financial risk with investment guidelines." Thesis, Kansas State University, 2014. http://hdl.handle.net/2097/34149.
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Master of AgribusinessDepartment of Agricultural Economics
Allen M. Featherstone
Cash management practices for corporate treasurers are in a state of instability in recent years. Events during the credit crisis of 2008 have had an impact on how organization’s cash positions are managed. This has led corporate treasurers to juggle unprecedented amounts of cash across multiple bank counterparties and invest these funds based on previous investment policies with potentially inflexible limits. Many regulations have been passed to strengthen domestic and global financial systems, yet the risk of default is not completely removed and there are many uncertain ties that corporates face. To succeed in the uncertain financial environment, counterparty risk tools must be put in place to improve the visibility of potential operational risk, along with a higher frequency of reviewing and updating investment policies. It is crucial for corporates to look beyond the traditional market perceptions and bank credit ratings to evaluate counterparty risk. Although these continue to be a valuable metric, they should be incorporated with other forward looking market risk metrics such as credit default swaps, capital and asset resiliency metrics, and growth and profitability metrics to their current investment guidelines review. By integrating risk metrics to help formulate an investment policy, corporates can adapt to the changing financial environment. This thesis examined methodologies to develop a more accurate and immediate viewpoint of counterparty creditworthiness. This was done through the creation of models using market information to set values to view the strength of counterparties and the likelihood of default. Models were created for both financial institutions and countries where cash or investments are placed. Depending on the models, this restricts the permissible investment options that an institution or country has. This approach allows the company to invest more with higher rated counterparties, and sets a maximum to those who are deemed high risk of default. The findings of this thesis identified that it is crucial to classify the right metrics and look beyond traditional market perceptions and bank credit ratings. By implementing a balanced process that regularly monitors current market indicators of counterparty risk, an organization will be in a stronger position to define and determine the potential risk. This creates a balanced view of both backward looking and forward looking metrics such as long term debt ratings and credit default swaps. These metrics were useful indicators of a counterparty’s strength. Because of the wide range of information available and cost, it went beyond the resources of the company to perform detailed ongoing analysis. It was also identified that a risk-adjusted approach to setting counterparty limits is crucial for managing counterparty exposure and the risk of default. To optimize liquidity, it is in the company’s best interest to place higher balances in institutions with the lowest risk of default. Grouping banks into tiers and assigning a percentage of total balance to each tier allows for financial institutions to have a specific limit capacity. Incorporating these tools on a frequent basis allows for real-time analysis of counterparty exposure and risk.
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Wang, Pan. "Essays on China's outward foreign direct investment, 1991-2009." Thesis, University of Nottingham, 2012. http://eprints.nottingham.ac.uk/12502/.
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China’s outward foreign direct investment (OFDI) grew from a very limited scale prior to the 1990s to reach an annual average growth rate of 67% between 1991 and 2009, placing China as the largest FDI source country among the developing countries, and the fifth largest FDI source country in the world in 2009. China’s experience is particularly interesting because it serves to help us further understand OFDI in general and the emergence of investments from the developing countries in particular. This thesis aims to answer a series of unexplored questions about China’s OFDI, including its underlying motivations and locational determinants, the dynamic adjustment of China’s OFDI and its relationship with China’s inward foreign direct investment (IFDI), as well as the displacement effect of China’s OFDI on the OECD’s OFDI in the host countries. The first essay of this thesis (Chapter 3) investigates the underlying motivations and the locational determinants of China’s OFDI flow in detail, and focuses on the role played by the host country’s natural resources and technology. The chapter constructs two datasets, the first one encompasses 157 host countries for the recent period 2003-2009 and the second one includes 171 host countries for the early period 1991-2003. An FDI gravity equation is estimated by using alternative specifications, including Tobit, fixed effects and the Heckman selection model. In the recent period of 2003-2009, the findings provide strong evidence of the natural resources-seeking motivation and the technology-exploiting motivation in Chinese OFDI. In particular, China’s OFDI is driven to resources abundant countries with poor governance. The chapter also argues that China’s OFDI is promoted when the oil price is growing. In the early period of 1991-2003, however, there is only some evidence that China’s OFDI is driven to resources abundant countries with poor governance, and no evidence that the host country’s technology plays a role in Chinese OFDI. The second essay (Chapter 4) introduces a partial stock adjustment model and provides the first study on the dynamic adjustment of China’s OFDI in a dynamic framework. The effect of China’s IFDI on China’s OFDI within this dynamic framework is also studied. 172 host countries are included for 2003-2009 by using the System GMM, OLS and fixed effects models under an augmented gravity specification. The chapter provides strong evidence to support the dynamic adjustment of China’s OFDI. The equilibrium OFDI stock is greater and more volatile than the actual OFDI stock, implying that the underinvestment in China’s OFDI and the possible existence of the substantial adjustment costs associated. The findings suggest that the host country, on average, exploits its potential in attracting China’s future investments. There is some evidence of the positive correlation between China’s IFDI and China’s OFDI. In particular, the dynamic adjustment of China’s OFDI is stronger for the high-technology host countries, and the positive association between IFDI and OFDI is higher for the high-income host countries. The third essay (Chapter 5) is the first piece of research to examine whether and how China’s OFDI displaces the OECD’s OFDI in the given host countries. The chapter examines 33 of the OECD countries’ OFDI flow into 155 host countries for 2003-2009. Most importantly of all, the chapter also explores how the OECD countries’ OFDI are affected by China’s OFDI in these host countries. TSLS and fixed effects estimations are undertaken under an augmented gravity specification. The chapter presents evidence that China’s OFDI displaces the OECD’s OFDI in general. However, in contrast to the often-cited arguments concerning a ‘new colonialism’ in Chinese OFDI, no evidence was found that the OECD’s OFDI in oil and metal abundant host countries, in particular Africa and Latin America, are displaced by China’s OFDI.
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Ratanabanchuen, Roongkiat. "Demographic transition, pension schemes' investment, and the financial market." Thesis, London School of Economics and Political Science (University of London), 2013. http://etheses.lse.ac.uk/701/.
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There have been lots of theoretical and empirical debates about the impact of demographic transition on the financial market. The main economic theory that is often cited to explain the causality is the lifecycle hypothesis. Since this hypothesis suggests that a lifetime saving pattern of individuals will have an inverted U-shape profile, there is a widely concern for the ‘market meltdown scenario’ whereby the stock market might collapse following the retirement of baby-boomers who will begin to dissipate their accumulated wealth. However, the actual dissaving rates of retired households appear to be relatively low. Therefore, no consensus regarding the actual causality of the demographic impact on asset prices has been reached. This thesis attempts to solve this puzzle by arguing that the strong relationship between asset prices and demographic variables observed since the 1960s may primarily result from a shift in the institutional structure of the financial market. The emergence of financial institutions, particularly pension schemes, has changed the way that the financial market operates. Instead of directly holding assets themselves, households have been using financial services provided by these institutions to manage their investments. By using a panel data from the Family Expenditure Survey, lifetime households’ participation rates in occupational pension schemes and personal pension plans are shown to significantly exhibit a strong hump-shape age pattern with a peak at 35-45. Interestingly, this age group has further been proved to have a long-term significant impact on UK equity prices. After analysing DB pension schemes employed by FTSE100 firms, the long-term asset allocation of these investors appears to significantly be influenced by the age structures of their policyholders. Therefore, the insight gleaned from this thesis strongly suggests that the investment behaviour of pension schemes may represent the underlying mechanism explaining the strong correlation between asset prices and demographic patterns.
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Mikušová, Lucie. "Osobní finance, investiční možnosti a zvyklosti v ČR." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4844.
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We are living in the era of financial uncertainty and high volatility on financial markets. According to some experts, these circumstances will have a significant impact on the investment conventions of Czech investors in the future. Economists are afraid of even stronger conservatism and skepticism on the field of investment tools. The gab between the yield of Czech and American or Australian family portfolio will be most probably deepen thanks to this. My master thesis has the goal to briefly define financial products which are available for Czech investors. Furthermore I also explain reasons of significant differences between the average portfolio of assets and credits of Czech, eastern and western European family.
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Guirguis, Michel. "A multifactor model of investment trust discounts." Thesis, Bournemouth University, 2005. http://eprints.bournemouth.ac.uk/346/.
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A closed-end fund, known as an investment trust in the UK and closed-end fund in the US, is a collective investment company that invests in shares of other companies. This study attempts to describe and explain the persistence of the excess discount return on UK investment trusts and US closed-end funds. The ability to identify which factors best capture return variation is central to applications of multifactor pricing models. So the main purpose of this thesis is the application of a multifactor risk model that will explain the-existence of the excess discount return. Hence, the title of the thesis: "A Multifactor Model of Investment Trust Discounts. A Comparative Study of UK Investment Trusts and US Closed-End Funds" First, the time-series properties of the closed-end funds' net asset values (NAVs) and discounts are investigated. In terms of normality, we find that the UK and US excess NAV returns and discounts are approximately normally distributed. In addition, through Augmented Dickey-Fuller tests, we find that the UK and US discounts are non-stationary, but the excess discount returns and the excess NAV returns are stationary. In terms of multicollinearity, we find that the independent variables included in our models are not closely correlated, so we do not have problems in using them in the regression models in Chapters 7 and 8. Finally, there are no significant differences in the discount during the month of January and other months. In Chapter 7, we study the importance of management performance in terms of excess NAV returns and discount persistence. We use three approaches: Fama and French's (1993) three-factor model, an extended Fama and French model which incorporates a market timing variable, and a performance persistence model used by Carhart (1997) and Dimson and Minio-Kozerski (2001). On average, the six-factor model developed in the thesis can explain 67% of the variation in the excess discount return in the UK market by taking into consideration the market effect, size, the book-to-market effect, momentum, sentiment and expenses. In contrast, Fama and French's (1993) three-factor and Carhart's (1997) four-factor models explain only 42% of the variation of the excess discount return. Similarly, the six-factor model can explain 66% of the variation in the excess discount return in the US market by taking into consideration the same six independent variables. In contrast, Fama and French's (1993) three-factor model explains 59% of the excess discount return variation and Carhart's (1997) four-factor model explains 65% of the variation.
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Lai, Chaoqun. "Essays on Investment Fluctuation and Market Volatility." DigitalCommons@USU, 2008. https://digitalcommons.usu.edu/etd/200.
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This dissertation includes two different groups of objects in macroeconomics and financial economics. In macroeconomics, the aggregate investment fluctuation and its relation to an individual firm's behavior have been extensively studied for the past three decades. Most studies on the interdependence behavior of firms' investment focus on the key issue of separating a firm's reaction to others' behavior from reaction to common shocks. However, few researchers have addressed the issue of isolating this endogenous effect from a statistical and econometrical approach. The first essay starts with a comprehensive review of the investment fluctuation and firms' interdependence behavior, followed by an econometric model of lumpy investments and an analysis of the binary choice behavior of firms'investments. The last part of the first essay investigates the unique characteristics of the Italian economy and discusses the economic policy implications of our research findings. We ask a similar question in the field of financial economics: Where does stock market volatility come from? The literature on the sources of such volatility is abundant. As a result of the availability of high-frequency financial data, attention has been increasingly directed at the modeling of intraday volatility of asset prices and returns. However, no empirical research of intraday volatility analysis has been applied at both a single stock level and industry level in the food industry. The second essay is aimed at filling this gap by modeling and testing intraday volatility of asset prices and returns. It starts with a modified High Frequency Multiplicative Components GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model, which breaks daily volatility into three parts: daily volatility, deterministic intraday volatility, and stochastic intraday volatility. Then we apply this econometric model to a single firm as well as the whole food industry using the Trade and Quote Data and Center for Research in Security Prices data. This study finds that there is little connection between the intraday return and overnight return. There exists, however, strong evidence that the food recall announcements have negative impacts on asset returns of the associated publicly traded firms.
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Cheng, Cheuk-sang Arnold. "Government finance and capital formation in Hong Kong since 1945." Click to view the E-thesis via HKUTO, 1986. http://sunzi.lib.hku.hk/hkuto/record/B42574067.
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