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Poon, Hing Chuen. "The performance of non-index individual stocks and stock portfolios relative to the index." HKBU Institutional Repository, 2020. https://repository.hkbu.edu.hk/etd_oa/891.
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Extensive empirical evidence shows that passively managed index-tracking mutual funds and exchange-traded funds (ETFs) outperform actively managed portfolios. On the other hand, there are abundant findings that stocks admitted to an index outperform those deleted from the index. This study tests an issue that has been largely ignored in academic studies but is highly related to the above two seemingly disparate areas of researches. The paper examines the long-term performance of non-index individual stocks and stock portfolios relative to the index. The study proposes that the inclusion and maintenance criteria for index component stocks are long-term performance indicators. Therefore, an index can be regarded as a passively managed and highly diversified portfolio of expected outperformers. Using a complete set of H-shares listed on HKEx for the period 2001 to 2017, the study finds that 44.25% (55.75%) of individual stocks have positive alphas (negative alphas) relative to the index. The average alpha for the family of all non-index stock is negative but statistically insignificant, i.e., 77 positive alphas and 97 negative alphas. Most alphas are statistically insignificant, but only 5 are positive, and 2 are negative at 5% significance level. From the risk and return perspective, the index dominates two-third of the non-index H-shares. Regression analyses show that H-index outperforms non-index H-shares in general and the market capitalization and turnover ratio play an important role in determining the long-term performance of H-shares, which are the major factors for the admission and maintenance criteria of H-index. The findings strongly support our conjecture that the index admission and maintenance criteria are the quality assurance of individual constituent stocks of an index. The paper provides incremental evidence on the widely documented result that index trackers outperform actively managed portfolios. Nevertheless, the study extends the recent literature on the long-term performance of stocks that are admitted to (or excluded from) an index. The findings of the study have significant implications for securities markets participants, including index providers and ETF issuers
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Ahlvar, Mathias, and Fredrik Berg. "Investment companies as an investment – Could a person without experience from investments bee helped by the active ownership of investment companies?" Thesis, KTH, Fastigheter och byggande, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-152601.
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In this essay we have been studying the development of investment companies that is traded at Mid Cap and Large Cap at the Stockholm stock market. We took out five investment companies at random from the mentioned markets above. We used these companies as benchmarking for the study. To measure the development we looked at the change in the stock price and the total yield over the given time period, we then compared these to three random portfolios of 8 stocks each and the index called Six-Return index. All the companies in the random portfolios have another type of owner structure and lack Investment Company as a big owner. Those companies have a more divided ownership. In the essay we also look at the yield with consideration to the risk that is taken in the given investment in forms of Sharpe ratio and standard deviation for each portfolio. To get some extra insight we have interviewed Investor AB and Investment AB Latour. Both companies are leading investment companies in Sweden. The time period for the essay is 10 years and is stretching from 2004-01-01 until 2014-01-01. The results from the paper are that investment companies in general had a higher yield then the index and portfolios that was used as comparison. The results for the investment companies are better in terms of change in stock price and in yield but also with the consideration of the risk. The explanation of the results lies in several variables where the active ownership of the investment companies is the major part of the explanation and net asset discount together with the high dividend is another part. With these result investment companies is supposedly a very good investment for t hose that can’t beat the market, which would mean a great deal of all investors.I denna uppsats studeras utvecklingen hos investmentbolag som handlas via Stockholmsbörsen på Mid Cap och Large Cap. Fem investmentbolag slumpades fram ifrån dessa listor och har sedan använts som jämförelsebolag. För att mäta deras utveckling har vi studerat kursförändringen samt totalavkastningen och jämfört dessa med slumpmässiga portföljer samt SIX Return index. De slumpmässiga portföljerna består av bolag utan något investmentbolag som större huvudägare. Detta resulterar i att de flesta bolagen i slumpportföljerna har ett mer splittrat ägande. I uppsatsen undersöker vi även avkastningen med hänsyn till risk i form av Sharpekvoter och standardavvikelse för varje portfölj. För att få en extra insyn i investmentbolagen har vi intervjuat Investor AB samt Investment AB Latour som är två ledande investmentbolag i Sverige. Studien tittar på en tidsperiod om 10 år mellan 2004-01-01 och 2014- 01-01. Det resultat som framkommit under studien är att investmentbolagen generellt sett har avkastat bättre än sina finansiella jämförelseobjekt. Detta med avseende på kursförändring och totalavkastning men även med hänsyn till risk. Förklaringen till detta ligger i ett antal variabler där investmentbolagens aktiva ägande är den största orsaken och substansrabatten i kombination med hög utdelning är ytterligare en orsak. Detta innebär att en portfölj med investmentbolag är en väldigt bra sparform överlag men framförallt för den som vill spara i aktier men saknar förkunskaper.
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Vega, Rengifo Beatriz de la. "Taxation on mining and hydrocarbon investments." Pontificia Universidad Católica del Perú, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/116765.
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This article comments the most important aspects of the tax treatment applicable to investments of mining and oil and gas industry. The document highlights the relevant tax topics of the general tax legislation(Income Tax Law) and the special legislation of both industries (General Mining Law and Hydrocarbons Organic Law).Este artículo comenta los aspectos más relevantes del tratamiento tributario de las inversiones de la industria minera y de hidrocarburos, resaltando los puntos principales de la legislación tributaria general (Ley del Impuesto a la Renta) y sectorial (Ley General de Minería y Ley Orgánica de Hidrocarburos).
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Deniz, Johannes, and Osarenkhoe Nicholas. "Stock performance in spinoffs : Do spin-offs perform better than the stockmarket index?" Thesis, Stockholms universitet, Företagsekonomiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-145143.
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Lam, Ka-ming. "Overreaction in Asia-Pacific index futures markets." HKBU Institutional Repository, 2009. http://repository.hkbu.edu.hk/etd_ra/1070.
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Wessels, Daniel Rossouw. "Active investing versus index investing : an evaluation of investment strategies." Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/49816.
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Thesis (MBA)--Stellenbosch University, 2004.ENGLISH ABSTRACT: The two investment strategies, active and passive (index) investing, were evaluated by comparing the average performance of actively managed funds in the general equity category of the South African unit trust sector with its benchmark, the ALSI index. Various comparative methodologies were followed in the analysis and covered the period 1988-2003. When the upfront costs applicable to the active funds were excluded it was found that active funds on average outperformed the index benchmark. However, when including these costs the index outperformed the average of active fund returns. Similarly, on a risk-adjusted basis the index benchmark fared better than the average of actively managed funds. Index investing, despite its superior performance on average, would not have been a low risk strategy and investors would have experienced volatile returns. Over time index investing and active management repeatedly replaced one another as the dominant investment strategy. A fundamentalist approach about any one of the strategies is not prudent and it is argued that an integration approach of both strategies would have yielded the highest reward per unit risk, based on past experience. When following a strategy of combining both strategies in various combinations over different investment periods, it was found that the highest reward to risk ratio was attained by increasing index investing relative to active investing with an increase in the investment horizon. Simply put, the longer one’s investment term, the more index investing should be followed. Hereby it can be argued that over the long run it is difficult for active management to consistently beat the market. Therefore, investment strategies should be aligned with one’s faith in the efficiencies of markets over time and not be overly influenced by short-term performance records of active managers.
AFRIKAANSE OPSOMMING: Die twee verskillende beleggingsbenaderings, naamlik aktiewe en passiewe (indeks) beleggingsbestuur, is beoordeel deur die gemiddelde opbrengste van die aktief-bestuurde fondse in die algemene aandeelkategorie van die Suid-Afrikaanse effektetrustbedryf met hul beleggingsmaatstaf, die ALSI indeks, te vergelyk. Verskillende vergelykende metodes is in die ontleding gebruik wat die oorsigtydperk 1988-2003 gedek het. Indien aanvangskoste by die aktief-bestuurde fondse buite rekening gelaat word, het hul gemiddelde opbrengs oor die algemeen die opbrengste van die indeks oorskry. Wanneer dié koste wel in ag geneem word, het die indeks egter die gemiddeld van die aktief-bestuurde fondse geklop. Soortgelyk, het die indeks beter as die gemiddelde van die risiko-aangepaste opbrengste van die aktief-bestuurde fondse vertoon. ‘n Indeksbenadering sou ten spyte van sy beter opbrengste oor die algemeen nie ‘n lae risiko strategie verteenwoordig nie en beleggers sou wisselvallige opbrengste ondervind het. ‘n Indeksbenadering en aktiewe bestuur het mekaar oor die verloop van tyd herhaaldelik afgewissel as die dominante beleggingstrategie. ‘n Eensydige benadering ten opsigte van enige van die strategieё sal nie deug nie en dit word eerder voorgehou dat ‘n integrasie van beide strategieё in die verlede die hoogste opbrengs per risiko-eenheid sou opgelewer het. Deur verskillende kombinasie-moontlikhede oor verskillende beleggingsperiodes te toets, is bevind dat die hoogste opbrengs per risikovlak verkry word deur die indeksbenadering te verhoog met ‘n toename in die beleggingshorison. Eenvoudig gestel, hoe langer die beleggingstermyn, hoe meer passiewe bestuur moet in die beleggingsportefeulje gevolg word. Hierdeur kan aangevoer word dat aktiewe bestuur oor die langer termyn moeilik die mark gaan uitpresteer. Indien ‘n belegger in die langtermyn doeltreffendheid van die mark glo, behoort die beleggingstrategie dienooreenkomstig daarby aangepas te word en nie volgens die korttermyn prestasies van aktiewe bestuurders nie.
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Zhang, Jian. "The impact of trade related investment measures in developing countries." Thesis, University of Hawaii at Manoa, 2003. http://proquest.umi.com/pqdweb?index=0&did=765888031&SrchMode=1&sid=6&Fmt=2&VInst=PROD&VType=PQD&RQT=309&VName=PQD&TS=1209144977&clientId=23440.
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Amini, Moghadam Shahram. "Two Essays on Competition, Corporate Investments, and Corporate Earnings." Diss., Virginia Tech, 2018. http://hdl.handle.net/10919/82851.
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The general focus of my dissertation, which consists of two essays, is on how changes in the financial and economic environment surrounding a firm affect managerial incentives and firm policies regarding investment in physical capital, innovation, equity offerings, and repurchases. The first essay in my dissertation examines how product market competition affects firms' investment decisions. While competition among firms benefits consumers via lower prices, greater product variety, higher product quality, and greater innovation, recent studies provide evidence that competition has been declining in the U.S. economy over the past decade. The evidence shows that American firms' profits are at near-record levels relative to GDP and are persistent. Industries have become more concentrated as a result of mergers and acquisitions, and barriers to entry have risen and the rate of new entry has been declining for decades. Taking these findings at face value, we examine empirically whether companies feel less compelled to invest in physical capital and in research and development because they face fewer threats from rival firms.
Using both traditional proxies and recently developed text-based measures of industry concentration, we show that firms operating in competitive industries invest significantly more in both physical capital and research and development relative to their peers in concentrated industries. We also report that the propensity to invest less by managers of monopolistic firms is partially mitigated by superior corporate governance that reduces the agency problem, and by certain product market characteristics such as low pricing power and low product differentiation/entry barriers. However, after accounting for all these mitigating factors, the negative association between industry concentration and investment persists. Our results are robust to including various control variables and exclusion of firms from industries that face significant competition from imports. The results are also robust to controlling for endogeneity caused by missing time-invariant and time-varying industry level factors that could potentially be related to both the level of concentration and investments.
Overall, our results are consistent with the notion that firms in competitive industries have a greater incentive to invest and innovate to survive and thrive in a competitive environment relative to the managers of the firms in more concentrated industries whose incentive to invest and innovate is to maintain their monopoly rents. Our findings have obvious policy implications in that investment and hence economic growth is being adversely affected in the current era of increasing industry concentration and declining competition.
The second essay in my dissertation investigates whether information contained in equity issues and buybacks is fully incorporated into prices such that the market reaction to subsequent earnings announcements is unrelated to those corporate actions. Korajczyk at al. (1991) argue that firms prefer to issue equity when the market is most informed about the quality of the firm to prevent adverse selection costs associated with new equity issues. This implies that equity issues tend to follow credible information releases contained in earnings announcements. However, analyzing a sample of 19,466 SEO pricing dates between 1970 and 2015 and 15,106 buyback announcements between 1994 and 2015 shows that a considerable number of equity offerings and repurchase announcements take place before the announcement of earnings. About 28% of buybacks and 32% of SEO pricings are made in the three weeks prior to an earnings announcement. Given these statistics, we examine whether these corporate actions provide information about upcoming earnings announcements (earnings predictability) to the extent that new information has not been fully incorporated into prices by market participants.
We find evidence of earnings predictability: the market reaction to earnings following buyback announcements is higher by 5.1% than the reaction to earnings following equity issues over the (-1,+30) window when four-factor abnormal returns are used; the difference is 2.2% when unadjusted returns are considered. The results are robust to several alternate sample construction methodologies. There are at least two puzzling effects of earnings predictability that are difficult to reconcile with the market efficiency hypothesis. First, there is an incomplete adjustment to SEO pricings and buyback announcements that results in residual market reaction to earnings announcements. Second, prices continue to drift after earnings announcements: upward for buybacks and downward for SEO pricings. Unlike post-earnings announcement drift, the drift documented here does not depend on the market reaction to earnings announcement. We test several reasons for this anomalous behavior including prior returns, price, size of buyback or SEO, analyst forecast errors, and bid-ask spread. We find that information asymmetry proxies partially explain the persistence of earnings predictability following SEO pricings and buyback announcements.Ph. D.
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Erikmats, John, and Johan Sjösten. "Sustainable Investment Strategies : A Quantitative Evaluation of Sustainable Investment Strategies For Index Funds." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160941.
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Modern society is faced with the complex and intractable challenge of global warming, along with other environmental issues that could potentially alter our way of life if not managed properly. Is it possible that financial markets and equity investors could have a huge part to play in the transformation towards a greener and more sustainable world? Previous studies about investment strategies regarding sustainability have for the most part been centered around possibly less objective ESG-scores or around carbon and GHG-emissions only, with little or no consideration for water usage and waste management. This thesis aims to amend to the previous work on carbon reducing strategies and ESG-investing with the addition of water usage and waste management, especically using raw data of these measures instead of ESG-ratings. Index replicating portfolios have become more and more popular as it proves harder and harder to beat the index, offering good returns along with cheap and uncomplicated portfolio construction and management. In a trending market, the fear of missing out and the demand for market return can make an index replicating strategy a way for investors to have market exposure but still remain diversied and without confusion about which horses to bet on. This thesis studies the relationship between tracking-error and the increase of sustainability in a portfolio through reduction of the intensity of carbon emissions, water usages and poor waste management. To be able to make a fair comparison, these measures are normalized by dividing each measure by the reported annual revenue. These three obtained intensities are then implemented individually, as well as all together into index replicating portfolios in order to study the effect from decreasing them. First and foremost we study the effect on the tracking-error, but also the effects on returns and volatility. We also study the effect on liquidity and turnover in the portfolios to show that it is possible to implement extensive sustainability increasing methods into an index replication equity portfolio. We follow the UCITS-directory to avoid overweightin specic companies and only allow the portfolios to overweight a sector with maximum 2%, in order to avoid an unwanted exposure to sectors with naturally lower intensities. The portfolios are obtained by using a multi-factor risk model to predict the expected statistical behaviour in relation to the chosen factors. Followed by applying Markowitz Modern Portfolio Theory through a convex optimization problem with the objective function to minimize tracking-error. All displayed portfolios had stable and convex optimization and were compliant with the UCITS-directory. We limited our study to only North American stocks and chose the index "MCSI NA" to replicate. Only stocks that were a part of the index were allowed to invest in and we did not allow negative weights for any stocks. The portfolios were constructed and backtested for the period 2014-12-01 until 2019-03-01 with rebalancing quarterly at the same points in time that the index is rebalanced by MCSI. We found that it was possible to implement extensive sustainability considerations into the portfolios and still keep a high correlation with the index whilst keeping low tracking-errors. We believe that most index replicating investors should be able to implement reductions of above mentioned intensities of about 40-60% without compromising tracking-errors,returns and volatility too much. We found evidence that during this time and in this market our low-intensities portfolios would have overperformed the index. We also found that returns increased and volatility decreased as we increased the reduction of each individual measure and all three collectively. Reducing carbon intensity seemed to drive positive returns and lower volatility the most, but we also observed apositive effect from reduction of all intensities. Our belief before conducting this study was that sustainability should have a negative effect on returns due to the limitation of the feasible area of investing. This motivated us to build portfolios with intent to makeup for these lesser returns and hopefully "beat the index". This failed in almost all cases and the only way we were able to beat the index were through implementing sustainability in our portfolios.
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Taboada, Pérez Fabio Arturo. "Scope of the Legal Stability Contracts of the Mining Sector: An Approach to the Additional Investments Not Foreseen in the Stability Contract." Derecho & Sociedad, 2015. http://repositorio.pucp.edu.pe/index/handle/123456789/118746.
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During the 90s, the Peruvian government implemented a series of economic and tax to promote investment in the country. This article, after almost two decades and with the assumption of the changes that have arisen, will make a brief review of the background to the enactment of Law No. 30230 with regard to new investments not provided for in the Legal Stability Contracts. From ment, will show how the Law N ° 30230 institutionalizes a misinterpretation of the rules governing legal stability contracts. Then, we will discuss the reasons why the current regulation is not an appropriate tool to promote investment.Finally, we introduce the synthesis of this article through the conclusions.Durante los años 90, el gobierno peruano implementó una serie de medidas económicas y tributarias para promover la inversión en nuestro país. Este artículo, después de más de dos décadas y con las modificaciones propias de estas medidas, hará un breve repaso de los antecedentes a la promulgación de la Ley N°30230 en relación al tratamiento que se da a las nuevas inversiones no previstas en el Contrato de Estabilidad Tributaria. Luego, se mostrará cómo la Ley N° 30230 institucionaliza una errónea interpretación de las normas que regulan los Contratos de Estabilidad Tributaria. Asimismo, se expondrán los motivos por los que la regulación vigente no resulta ser una adecuada herramienta para promover la inversión. Finalmente, se realizará una síntesis del presente artículo a través de las conclusiones.
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Fernandes, MÃcio Amaral. "STUDY ON influences? NCIA DO? DEVELOPMENT INDEX HUMAN, P INVESTMENTS? Public and tax? RIA ON EXTIN? THE COMPANY IN BRAZIL." Universidade Federal do CearÃ, 2008. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=2620.
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nÃo hÃA extinÃÃo de empreendimentos apresenta uma infinidade de conseqÃÃncias paraas economias, dentre elas o custo social, ocasionado pelo desemprego, comotambÃm a perca de dinÃmica econÃmica, gerando expectativas nÃo otimistas no mercado, principalmente quando se verifica uma elevada quantidade de empresasfechando suas portas, cenÃrio que enfatiza o clima recessivo ou de crise. As causas apontadas pela literatura especializada indicam que a falta de habilidadeempresarial, alÃm dos fatores de mercado (conjunturais) sÃo elementos queexplicam o insucesso de muitos empresÃrios. Saindo do lado da oferta e verificandoa perspectiva da demanda, variÃveis como Ãndice de Desenvolvimento Humano âIDH, receitas de tributos e investimentos pÃblicos tambÃm podem explicar a extinÃÃo destas atividades. O objetivo deste estudo à buscar relacionar a extinÃÃo deempresas com estas variÃveis mencionadas. Como metodologia desta pesquisaefetuou-se um modelo economÃtrico, direcionando IDH, receitas de tributos einvestimentos pÃblicos como variÃveisindependentes deste fenÃmeno, portanto,explicativas. A partir de uma regressÃo mÃltipla conclui-se que existe uma relaÃÃo,do IDH em maior amplitude com a extinÃÃo de empresas, sendo que hà uma relaÃÃoinversamente proporcional destes fatores congruentes, na maioria dos Estadosidentificados. Percebeu-se tambÃm uma inclinaÃÃo explicativa das variÃveisapontadas, porÃm com pouca significÃncia estatÃstica.
The extinction of enterprises presents a multitude of consequences for the economies, including the social cost, caused by unemployment, as well as the loss of economic momentum, generating expectations not optimistic on the market, especially when there is a high number of businesses closing their doors , which emphasizes the climate scenario recessive or crisis. The reasons given by the specialist literature indicate that the lack of entrepreneurial skills, in addition to the factors of the market (cyclical) are factors that explain the failure of many entrepreneurs. Exiting from the supply side and checking the prospect of demand, variables such as Human Development Index - HDI, income from taxes and public investment may also explain the extinction of these activities. The objective of this study is to relate the extinction of companies with these variables mentioned. As methodology of this research performed is a econometric model, directing HDI, income from tributs and public investment as independent variables of this phenomenon, therefore explanatory. From a multiple regression concluded that there is a relationship, the HDI in larger scale with the extinction of enterprises, and that there is an inversely proportional relationship of these factors congruent, in most states identified. It was noticed also an inclination of the explanatory variables identified, but with little statistical significance. Keywords: extinction, companies, HDI, revenue, taxes
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Heger, Levin, and Lisa Åkerman. "Momentum in ESG Indexes : A study on the passive capital flows effect on ESG stock prices." Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-185265.
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The aim with this thesis is to investigate whether increased capital flows to ESG screened indexes create higher price-to-earnings (P/E) ratios and momentum in the included stocks during the chosen time period of three years, from 2018 to 2020. The thesis will evaluate the capital flows to ESG indexes and compare both performance and P/E ratios between those and their corresponding Mother indexes. The study will also look at the development of capital flows, performance and P/E ratios separately in the four chosen geographical indexes; Global, Europe, US and Emerging Markets. The theoretical framework goes through four relevant subjects for this study; passive investing, ESG, momentum and the P/E ratio. The study has shown that the capital flows in all four ESG indexes increased during the chosen time period. Moreover, it could be proven that three out of four ESG indexes outperformed their Mother indexes, namely, Global, Europe and Emerging Markets. In the U.S. the Mother index outperformed the ESG index. Three out of four geographical indexes also had a higher increase in the average P/E ratio than their mother indexes. Here, the Global market stood out as the one that had a lower increase in P/E ratio than its Mother index. Lastly, regression analyses were made to see the relationship between the variables capital flows, average P/E ratios in the indexes and the performance of the indexes. The study showed significantly that capital flows is the explanatory variable for the increased P/E ratios on the European ESG index. However, for the other indexes no significant correlation could be proved. This led to an interesting discussion and conclusion, and also left us with a question mark. What is the reason behind this result on the European market, and why was it not possible to see any significant correlation on the other markets? Further research in this field is needed and some ideas are discussed in the last chapter of the thesis.
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Ouyang, Quinglin. "Time to purchase your ownhouse : The resistance of housing investments againstmacroeconomic shocks." Thesis, KTH, Fastigheter och byggande, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-277084.
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Housing is both a durable good and an investment vehicle, which makes it importantin people’s daily life aswell as for a nation’s economy. This thesis innovatively applies the Sharpe ratio on evaluating the performance of the US residentialhousing market within the time period from 2005:Q1 to 2019:Q3, andinvestigates how this performance would react upon macroeconomic shocks,including sudden changes in GDP growth rate and personal income growthrate, by establishing a vector auto-regression model with the lag order of four.The main results are that: (1)in the long run, direct residential investments are not significantly more profitable than treasury bills but not disappointing compared to the market portfolio of Dow Jones Industrial Average; (2)the performance of residential investments seem to slightly and positively co-move withGDP and personal income growth rate; (3)the long-term impacts that sudden GDP and personal income growths have on the performance seem inconspicuous and tend to mitigate within about three years and (4) limited evidence supports the hypothesis that current housing market performance can help predictfuture GDP growth rate. Based on housing’s two purpose of consumption andinvestment and the empirical results showing that direct investments on residentialproperties have similar risk-adjusted return level to short-term treasurybills, I suggest that financially feasible households purchase their own houseinstead of renting for a long time, and that speculative investors avoid puttingmoney in residential properties unless they have access to inside information.Bostäder kan betraktas både som en hållbar vara och som ett investeringsinstrument.De är essentiella för människors vardag och har en viktig roll förett lands ekonomi. Denna avhandling använder innovativt Sharpe-förhållandet för att utvärdera hur den amerikanska bostadsmarknaden presterade under perioden2005: kvartal 1 till 2019: kvartal 3. Den försöker även undersöka om denna prestation påverkas av makroekonomiska chocker inklusive plötsligaförändringar i BNP-tillväxttakt och personliga inkomsttillväxthastighet. Detta görs genom att upprätta en vektor autoregression modell med en fördröjningsordningför fyra. De viktigaste resultaten är att: (1) på långsikt är direktabostadsinvesteringar inte betydligt mer lönsamma än statsskuldväxlar dock är det hellre inte en besvikelse jämfört med en marknadsportföljen av Dow JonesIndustrial Average; (2) Prestationen av bostadsinvesteringar verkar vara svagt och samverkar positivit både med BNP och tillväxttakten för personinkomst.(3) De långsiktiga effekterna av plötsliga tillväxter av BNP och personliga inkomster har på utvecklingen verkar vara vaga och tenderar att mildra inomcirka tre år och (4) begränsade bevis stöder hypotesen om att nuvarande bostadsmarknadsresultat kan bidra till att förutsäga framtida BNP-tillväxttakten.Baserat på bostädernas två syften inom konsumtion och investeringar, visar deempiriska resultaten att direkta investeringar i bostadsfastigheter har en liknande riskjusterad avkastningsnivå som kortfristiga statsskuldväxla. Därför föreslår jag att ekonomisk stabila hushåll borde köpa ett eget hus istället för att hyraunder en lång tid, och att spekulativa investerare borde undvika att satsa pengar inom bostadsfastigheter såvida de inte har tillgång till insider-information.
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Ho, Ching-ching Mary, and 何晶晶. "Socially responsible investment indices in Asian markets : merging stakeholder theories with social construction for improved index construction methodology." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hdl.handle.net/10722/193511.
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The growth of the managed investment industry brings with it the potential for institutional investors to exert their influence on boards of listed companies to deliver strong and sustainable growth. The concepts of socially responsible investment (SRI), responsible investment (RI) or ethical investment (EI) have become part of mainstream investment practices in many financial markets. While SRI is largely a qualitative concept, its survival and adoption by the mainstream investment community may, in part, be due to the formalising of its concepts into language that investors, asset managers and analysts can more readily understand: the benchmark index.
SRI indices may hold the key to attracting attention to ESG issues in listed corporates and to help bring about positive outcomes in sustainable development. Figures show SRI investments in emerging markets are minimal when compared to those in developed markets but emerging markets hold great potential for growth and development of these tools.
This research develops a tool for bringing together social construction theory and stakeholder theory in understanding the construction of SRI Indices and in development of new indices.
The core of this research is an analysis of SRI indices in three major emerging markets of Hong Kong, India and China, together with an analysis of different perspectives of SRI in Asia. The purpose is to identify opportunities to building SRI indices through a stakeholder engagement approach.
The research was conducted over several phases between October 2008 and August 2010 and can be defined by three different studies:
1. a comparative study on SRI indices and their ESG criteria;
2. a comparative study on SRI indices and their stakeholder engagement approach; and
3. an analysis on the feasibility of building SRI indices in Asian markets.
The findings from the three studies indicate three main arguments. First, ESG assessment and criteria of SRI indices does have an impact on the creditability and value of the SRI indices. Due to the lack of transparency on the ESG assessment and criteria, SRI investors and other stakeholder groups are deterred from adopting SRI indices as SRI tool.
Second, stakeholder engagement is essential for SRI indices. And lastly, SRI indices in emerging markets, especially in the three studied markets, are attractive to both global and local SRI investors; however, these SRI indices need to include local ESG contexts to reflect the actual ESG concerns of the societies and avoid blindly following developed markets’ SRI index model, which in the end become unrealistic and unpopular to investors and stakeholder groups.
We recommend that stakeholder engagement in index criteria and corporate assessment be widened and deepened; that governments and stock exchanges can play a pivotal role in SRI development and should take the lead. We also recommend that SRI indices strengthen the institution of corporate research to rely less on secondary data when making their corporate assessments.published_or_final_version
Kadoorie Institute
Doctoral
Doctor of Philosophy
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Cueva, Chauca Sergio. "Legal aspects of the current mining situation and the impact of the package of new legislatives decrees in the mining activity." IUS ET VERITAS, 2017. http://repositorio.pucp.edu.pe/index/handle/123456789/122770.
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In this interview, Luis Carlos Rodrigo tells us about the new measures taken by the Government for unlock investments in order to invigorate the economy. Furthermore, he tell us about the participation of new entities in the granting of mining concession, the impact of these new measures in the mining formalization process, the effects of these in the administrative simplification and about relevant aspects uncontemplated by these rules.En la presenta entrevista, Luis Carlos Rodrigo nos habla sobre las nuevas medidas adoptadas por el Gobierno para destrabar las inversiones con el objetivo de dinamizar la economía. Además, nos habla sobre la participación de nuevas entidades en el otorgamiento de una concesión minera, del impacto de estas medidas en el proceso de formalización minera, de los efectos de estas en la simplificación administrativa y sobre aspectos relevantes no contemplados por estas normas.
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Kubját, Jiří. "Posouzení investičního záměru autorizace nové značky pro společnost MOTORTEC spol. s r.o." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2012. http://www.nusl.cz/ntk/nusl-223719.
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This thesis deal with the judgement of investment intention for the company XYZ Ltd. The company XYZ operates as a authorized cars dealer for ___, ___, ___ and ___. The investment is planned for acquiring the sale authorization for a new brand and for the construction of a new building, which would include showroom and service spaces. The company plans on constructing the building on its own. The goal of the thesis is to evaluate possibilities for gaining authorization for one of six selected brands. The selected brands include A, B, C, D, E and F.
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Higa, Silva César, and Chung Víctor Saco. "Constitutionalization of international investment law: Indirect expropriation cases, fair and equitable treatment." Pontificia Universidad Católica del Perú, 2013. http://repositorio.pucp.edu.pe/index/handle/123456789/115320.
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The purpose of this paper is to explore the impact of international investment law rules in the Economic Constitutional Law, especially those included in investment chapters of Peruvian’s Free Trade Treaties. In particular, it is expected to demonstrate the following (i) International Investment Law is part of Peruvian Legal System; (ii) provisions of these laws are mandatory and should be applied domestically; and (iii) interpretation and implementation of this legal right should be executed consistently with domestic legal system and Peruvian international obligations. This agreed Interpretation between Investment Law and Economic Constitution will have a positive effect in rationalization of public entities actions avoiding abuses and maltreatment to investors, in order to improve investment climate as a key element forachieving country’s sustainable development.Este trabajo tiene como objeto explorar el impacto que tienen las normas del derecho internacional de las inversiones, en específico aquellas de los capítulos de inversiones de los Tratados de Libre Comercio celebrados por el Perú, en el derecho constitucional económico. En concreto, se pretende demostrar lo siguiente: (i) el derecho internacional de las inversiones es parte del Ordenamiento Jurídico del Perú; (ii) las disposiciones de este derecho son obligatorias y deben aplicarse a nivel interno, y (iii) este derecho debe interpretarse e implementarse de manera coherente con el resto del ordenamiento interno y con las obligaciones internacionales del Perú. Esta interpretación concordada del derecho de inversiones y la Constitución económica tendrá un impacto positivo en la racionalización de la actuaciónde los órganos estatales, evitando arbitrariedades cuando sus medidas puedan afectar a un inversionista. De esta manera mejorará el clima de inversiones, el cual es un elemento necesario para lograr el desarrollo sostenible del país.
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Tuesta, Madueño Arturo, and Chiroque Roberto Polo. "Notes to the Tax System of Public Works of Infrastructure and Public Services Concessions." Derecho & Sociedad, 2015. http://repositorio.pucp.edu.pe/index/handle/123456789/119109.
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In this report, the main Income Tax aspects related to the concessions of public infrastructure and of public services regulated by Supreme Decrete N° 059-96-PCM are analyzed. Hence, the applicable rules for investments made by the concessionaires and the treatment of self- sustained and co-financed concessions will be examined. To conclude this report, legislative changes that, in opinion of the authors would help provide greater security to the current regime on benefit of the Peruvian State and the investors, are suggested.En este artículo se analiza el tratamiento para fines del Impuesto a la Renta de las concesiones de obras públicas de infraestructura y de servicios públicos regulados por el Decreto Supremo N° 059-96-PCM, que rige la entrega de las referidas concesiones. Así, se examina el régimen aplicable a las inversiones realizadas por los concesionarios, el tratamiento de las concesiones auto-sostenibles y las concesiones cofinanciadas. Para culminar este artículo, se proponen cambios legislativos que, en opinión de los autores, ayudarían a dotar de mayor seguridad al régimen actual en beneficio del Estado peruano y de los inversionistas.
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Koudelková, Petra. "Hodnocení finanční situace podniku." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2009. http://www.nusl.cz/ntk/nusl-222324.
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This master´s work deals with the evaluation of the financial situation in the company DEAS ltd. and it´s results. Evalution of the financial situation was done with the indexes of financial analysis. Events of this master´s work are specified solutions for improve market position and their possible implementation into the company.
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LaBarge, Andrea L. "Hawaii government's role in Japanese ownership of Hawaii hotels, 1970-1990." Thesis, University of Hawaii at Manoa, 2002. http://proquest.umi.com/pqdweb?index=0&did=765044491&SrchMode=1&sid=8&Fmt=2&VInst=PROD&VType=PQD&RQT=309&VName=PQD&TS=1208551486&clientId=23440.
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Pepple, Christina L. "Foreign investment location screening using an investment index." Thesis, Kansas State University, 2012. http://hdl.handle.net/2097/14917.
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Master of AgribusinessDepartment of Agricultural Economics
Vincent Amanor-Boadu
The purpose of this research was to develop a decision tool to identify and rank potential locations for making a greenfield investment in flour milling. The driving characteristics of the tool developed are transparency, reproducibility, specificity and clarity. Currently, the approach to selecting countries in which to invest is driven purely by ad hoc frameworks that often lack the characteristics driving this investment index tool. The investment index was designed to have three main components: market conditions, economic environment and supporting infrastructure. Market conditions for the product of interest – in this case flour – were defined to encompass per capita wheat-based food consumption growth rate, wheat production versus wheat consumption and wheat flour imports growth rate. The economic environment was defined to incorporate the growth rate of per capita gross domestic product, corporate tax rate , labor productivity, foreign direct investment growth rates, position on the World Bank’s Doing Business 2012 rankings, and the number and extent of the country’s membership in regional economic and trade groups. Supporting infrastructure included electricity reliability, transportation quality, urbanization rate and the physical presence of the investing company in the country. The rationale for this last variable is that when the investing company already has a presence in the country under consideration, it has already incurred some of the hurdle costs that it would have to include in investments in a location where it does have current physical activities. The study started by filtering the scope of potential opportunities by a set of well-defined criteria: target geographical locations; Doing Business 2012 scores; and quantity of wheat flour imports in 2009. This led to four countries emerging as leading candidates for investment considerations: Brazil, Malaysia, Indonesia and Thailand. The investment index ranked these countries according to their relative suitability for investment. The three components of the index carry different weights because of their effect on the potential investment outcome. There is no data to support these weighting and therefore executives must utilize different probing approaches to weight the components. To this end, a base scenario and two other scenarios based on alternative weights were considered. The robustness of the ranking is revealed by the consistency of the rankings under the alternative weights applied to the components. The results showed that under the base scenario Malaysia had the highest investment index score. The results also showed that varying the alternative weights for the scenarios did not affect the overall outcome with Malaysia leading with the highest overall index score for each of the three scenarios.
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Nováková, Barbora. "Dopad ekonomické krize na stavební trh a aktuální trendy ve stavebnictví." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-261793.
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The diploma thesis Impact of the economic crisis on the construction market and the current trends in the construction sector focuses mainly on the development of the Czech construction market in relation to the economic crisis of 2008-2009, while looking for conjunctions with macroeconomic indicators. It also describes the following period of development of the construction sector with an emphasis on current trends. Exemplifying how this is implemented into practice, the diploma thesis includes a description of the activities of a group of companies called EBM Group.
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Eves, Alfred Christopher, University of Western Sydney, College of Law and Business, and of Construction Property and Planning School. "Developing a NSW rural property investment performance index." THESIS_CLAB_CPPP_Eves_A.xml, 2003. http://handle.uws.edu.au:8081/1959.7/810.
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This thesis is based on the analysis of all rural property sales transactions that occurred in NSW over the period 1990-2000 and is the first complete state wide analysis of a rural property market in Australia. Previous studies on rural land performance have been restricted in both limited time periods and limited location areas. The importance of rural property, as an investment asset has been recognised in the US and UK with both countries having a rural property performance index. These indices are similar in construction, quality and reliability as the commercial property, residential property and share market indices that are also available in these countries to analyse the performance of these investment assets. Until the development of the rural property capital and total return indices in this thesis, there has never been a comprehensive and complete set of rural property investment indices available to assess the risk/return performance and investment portfolio benefits of rural property in Australia. The actual construction of the indices in this thesis have been based on the current indices produced by the Property Council of Australia for office, retail, industrial and hotel property in Australia. Based on the work in this thesis, rural property investment performance can now be compared to all major investment assets available in Australia. This research will be ongoing to ensure that the performance of rural property will be available on a semi-annual basis for use by all institutions, companies and individuals with an interest in the investment potential of rural property in AustraliaDoctor of Philosophy (PhD)
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Šimčikaitė, Diana. "Tiesioginių užsienio investicijų plėtra Lietuvoje." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2014. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2010~D_20140626_200711-14990.
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ŠIMČIKAITĖ, Diana. (2010) Tiesioginių užsienio investicijų plėtra Lietuvoje. Magistro baigiamasis darbas. Kaunas: Vilniaus universiteto Kauno humanitarinis fakultetas. 99 p. SANTRAUKA RAKTINIAI ŽODŽIAI: tiesioginės užsienio investicijos, investicijas lemiantys veiksniai, TUI pritraukimas, mokestinės lengvatos, patrauklumo TUI indeksas. Dabartinėmis ekonominių procesų globalizacijos sąlygomis užsienio investicijų ir tarptautinio kapitalo judėjimo procesai daro vis didesnę įtaką tarptautinei prekių, paslaugų ir technologijų srautų kaitai. Pereinamosios ekonomikos šalims, tame tarpe ir Lietuvai, tiesioginės užsienio investicijos yra vienas svarbiausių ūkio plėtros veiksnių. Kadangi į Lietuvą investicijų pritraukiama nedaug, tai skatina analizuoti valstybės ekonominę politiką, skatinant tiesioginių užsienio investicijų atėjimą į šalį bei vertinti tiesioginių užsienio investicijų plėtrą lemiančius veiksnius. Darbo objektas- tiesioginių užsienio investicijų plėtrą lemiantys veiksniai. Darbo tikslas- išanalizavus tiesioginio investavimo procesus Lietuvoje, įvertinti tiesioginių užsienio investicijų plėtrą į Lietuvos ekonomiką lemiančius veiksnius. Darbo uždaviniai: atlikti tiesioginių užsienio investicijų sampratos teorinį nagrinėjimą, atlikti Lietuvos investicinės aplinkos SSGG analizę, atlikti Lietuvos ir kitų Baltijos valstybių palyginamąją analizę pagal tiesioginių užsienio investicijų plėtrą lemiančius veiksnius, atlikti ekspertų apklausą. Pirmoje dalyje nagrinėjama tiesioginių... [toliau žr. visą tekstą]ŠIMČIKAITĖ, Diana. (2010) The development of Foreign Direct Investment ( FDI ) in Lithuania. MBA Graduation Paper. Kaunas: Kaunas Faculty of Humanities, Vilnius University.99 p. SUMMARY KEYWORDS: foreign direct investments, factors causing foreign direct investment, attracting FDI, taxing exemption, index of FDI attractiveness. In global economy fireign capital flows process influence international items, services and development of technologies. Foreign direct investments is one of the main factor for economic growth in all markets in transition and Lithuania also. On the whole, it’s just a small amount of foreign direct investments is attracting to Lithuania now. From the point of view effectiveness, Lithuania is after a lot of countries, that’s why it’s very important to analyse the main factors causing foreign direct investment. Object of the work: the main factors causing foreign direct investment. Aim of the work: evaluate the main factors causing foreign direct investment to Liethuania, after analysis of the foreign direct investing process. Tasks of teh work: to analise foreign direct investments composition, to accomplish Lithuania‘s investment environment SWOT analysis and comperative analysis of Lithuania and other Baltic states, to perform experts interrogation. First part, analyses foreign direct investments composition. Having in mind theories of capital movement and factors causing FDI flows to host economy, theoretical considerations of foreign direct... [to full text]
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Eves, Alfred Christopher. "Developing a NSW rural property investment performance index /." View thesis, 2003. http://library.uws.edu.au/adt-NUWS/public/adt-NUWS20051125.144519/index.html.
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Gouveia, André Gonçalves Pinto de. "An alternative stock index for benchmarking portuguese investment funds." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/10136.
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Mestrado em FinançasO índice PSI 20 é o padrão de referência por excelência da Euronext Lisboa. No entanto, os gestores de fundos portugueses que investem em ações nacionais podem não ter a possibilidade de replicar a carteira do PSI 20, devido às restrições ao investimento impostas pela regulação europeia para os mercados financeiros, nomeadamente as Diretivas UCITS. Este trabalho vai analisar até que ponto estas limitações podem ser impeditivas da performance dos fundos de investimento. É feita uma caracterização da legislação aplicável, bem como do segmento de fundos de investimento em ações nacionais que atuam no mercado nacional. Criou-se um índice alternativo ao PSI 20 para o período 2004-2011, respeitando os limites legais ao investimento, que servirá como benchmark da performance da amostra de fundos de investimento, que inclui todos os fundos em atividade durante o período completo em análise. Verificou-se que a nova série de rendimentos do mercado obtida, conquanto não sendo estatisticamente diferente do PSI 20, apresentou um retorno superior e volatilidade ligeiramente inferior. Procedeu-se à avaliação da performance utilizando indicadores clássicos. Os resultados obtidos sugerem que a maior diversificação imposta pela legislação não tem necessariamente um impacto negativo sobre os retornos obtidos, e que a comparação com um índice sujeito às mesmas regras dos fundos não leva a conclusões mais favoráveis à gestão ativa. Não se encontrou qualquer prova que os gestores de fundos, enquanto grupo, consigam obter de forma consistente uma performance acima do retorno do mercado, ajustado pelo risco.
While the PSI 20 blue-chip index has been widely used as a benchmark for the Portuguese stock exchange, it may not be replicable by fund managers due to investment limits imposed in UCIT European regulation. This dissertation compares the relative performance of a set of Portuguese mutual funds against both the standard PSI 20 benchmark and a modified version which fully respects said limits. Results show that the greater diversification imposed by the legal rules does not necessarily imply a sacrifice in terms of returns, and that no evidence was found of consistent, abnormal returns by active management, when evaluated by the modified benchmark.
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Stevenson, Michael. "The South African art index, 1971–1988." Thesis, University of Cape Town, 1988. http://hdl.handle.net/11427/23488.
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Acosta, Bernedo Otto Alonso, and Monteza Favio Montenegro. "Property taxation and real estate investment in Perú." THĒMIS-Revista de Derecho, 2017. http://repositorio.pucp.edu.pe/index/handle/123456789/108285.
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In the present article, the authors analyze the issues related to the Property Taxation on venues that have urban habilitation and/or buildingprojects.In order to accomplish that, the authors examine the basis of the right to build, describe the stages of the constructive administrative procedure as regulated in Law 29090 and, finally, comment on the recent precedent of the Tax Court whichregards the matter.En el presente artículo, los autores analizan la problemática del Impuesto Predial respecto de predios que cuentan con proyectos de habilitación urbana y/o edificación. Para ello, los autores examinan el fundamento del derecho a construir, describen las etapas del procedimiento administrativo constructivo regulado en la Ley 29090 y, finalmente, comentan el reciente precedente del Tribunal Fiscal al respecto.
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Sacks, Maxwell. "Neural Networks: Building a Better Index Fund." Scholarship @ Claremont, 2017. http://scholarship.claremont.edu/cmc_theses/1666.
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Big data has become a rapidly growing field amongst firms in the financial sector and thus many companies and researchers have begun implementing machine learning methods to sift through large portions of data. From this data, investment management firms have attempted to automate investment strategies, some successful and some unsuccessful. This paper will investigate an investment strategy by using a deep neural network to see whether the stocks picked from the network will out or underperform the Russell 2000.
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Polo, Chiroque Roberto E. "The investment funds in Peru and the Income Tax." IUS ET VERITAS, 2017. http://repositorio.pucp.edu.pe/index/handle/123456789/122737.
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The investment funds provide an alternative investment mechanism to traditional ones such as banks deposits or the trading of securities, which allows us to obtain profitability as a result of the development of multipleactivities, including commercial ones.Its tax treatment, and particularly in the field of Income Tax, contains severalprovisions that are important to analyze and know in order to understand the tax consequences that generate both for their promoters, for those who administer them and for investors.Being transparent vehicles for tax purposes, the development of its activities at the national level and with the participation of foreign capitals, takes many details that we will explain through this article.Los Fondos de Inversión constituyen un mecanismo de inversión alternativo a los tradicionales como los depósitos bancarios o la negociación de valores, que permite obtener rentabilidad producto del desarrollo de múltiples actividades, incluyendo las de tipo comercial.Su tratamiento impositivo, y en particular en materia del Impuesto a la Renta,contiene diversas disposiciones que son importantes de analizar y conocer a efecto de entender las consecuencias fiscales que generan tanto para sus promotores, como para quienes los administran y para los inversionistas. Siendo vehículos transparentes para propósitos fiscales, el desarrollo de sus actividades a nivel nacional y con la participación de capitales extranjeros reviste varios matices que mediante este trabajo expondremos.
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Wei, Yong, and 卫勇. "The real effects of S&P 500 Index additions: evidence from corporate investment." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B4490681X.
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Van, Dyk Francois. "Portfolio diversification index as a measure to improve investment portfolio performance / Francois van Dyk." Thesis, North-West University, 2008. http://hdl.handle.net/10394/4193.
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Diversification is one of the three most prominent elements of portfolio management with risk and return being the other two. In addition, diversification is a core objective for combining assets and is a central tenet of portfolio construction. It is also widely known that diversification is concerned with the number of unrelated sources of return and in essence the aim of diversification is to eliminate unsystematic risk from an investment portfolio while systematic risk will remain as it can not be diversified away. This study focuses on the concept of diversification in an investment portfolio setting, while specifically investigating a relatively "new" diversification measure, the Portfolio Diversification Index (PDI).
The objectives of this study are twofold. First, establishing whether or not the PDI is a good diversification measure compared to the conventional/traditional and widely used residual variance method. The traditional method of measuring diversification remains inexact as this method measures portfolio diversification relative to a market index. When the market index itself is, however, poorly or not appropriately diversified it becomes problematic as the diversification measurement of the residual variance method is influenced. The PDI is a diversification measurement concept which is essentially free from the influences of the overall market index. This relatively "new" measure of diversification, the PDI, is based on the number of independent factors observed in a portfolio. These independent factors are quantified using Principal Components Analysis (PCA). In ascertaining the first objective the PDI battles "head-to-head" against the residual variance method of diversification by comparing fund ranking results of five South African unit trusts. This method of testing is used as no suitable statistical method exists. The fund ranking results of the two diversification measures are compared to a number of risk performance measures, including the Sharpe- and Sortino ratios. Extensive use is also made of the Omega ratio in this study as the Omega emerges as the dominant risk performance measure.
The second objective of this study is to determine whether the PDI can be used as a tool by fund managers to assist in constructing funds (or changing the composition of existing fund) to reduce (or minimise) portfolio risk without a concomitant reduction in portfolio return. The PDI is used to determine the most independent factors of a South African unit trust where after' this fund is optimised, using the information of the independent factors, in order to reduce the risk of this fund. The Omega ratio is used to evaluate the results of the PDI while the marginal portfolio diversification concept is also investigated.
A thorough literature study also presents the most relevant and important concepts and topics of the theory, management and construction of portfolios. Throughout the literature study the concept of diversification along with the topics most relevant to diversification are extensively focused and elaborated on.
The method of testing used not only confirms that the PDI is a good diversification measure compared to the residual variance method, but that the PDI can also be used as a tool when constructing (or changing the composition of an existing portfolio) in order to reduce the portfolio risk without a concomitant reduction in portfolio return.Thesis (M.Com. (Risk Management))--North-West University, Potchefstroom Campus, 2009.
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Huang, Chih-Hsiang, and 黃志祥. "Taiwan's Financial Stress Index and Stock Market Investments." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/81044356795845279868.
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碩士國立雲林科技大學
財務金融系
103
With financial liberalization and globalization, financial transactions are getting more complexity and make the financial system instability factor increases. Once it becomes a financial crisis, the damage they will cause is deep and wide. If the financial crisis can be predicted in advance under the financial instability, the decision makers may have the opportunity to avoid or mitigate damage. In this study, the Taiwan Financial Stress Index (TFSI) is reference to the new country's financial stress index (Emerging Markets Financial Stress Index, EMFSI) of Balakrishnan et al. (2009). We hope to provide the policymakers with the effective early warning indicators to make right decisions. First, we find out when is the financial stress time in Taiwan and then compared them with the Taiwan Financial Stress Index (TFSI) to know if Taiwan Financial Stress Index (TFSI) can predict the height of the financial stress over time. Furthermore, we study the relationship between the Taiwan Financial Stress Index (TFSI) and the Taiwan Stock Market to know if the Taiwan Financial Stress Index(TFSI) can be seen as an investment factor. The result showed that the Taiwan Financial Stress Index (TFSI) can forecast the major financial stress and response to the economic situation effectively in Taiwan when the Taiwan Financial Stress Index (TFSI) is over 1.25 standard deviation. And in average, if we use the Taiwan Financial Stress Index (TFSI) as a long-term investment strategy in Taiwan Stock Market, the investment performance is better than buy and hold strategy.
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Pin, Chuan Chen, and 陳品琄. "The Interrelationships among Foreign Investments,Trading Volume and Taiwan Stock Index Returns." Thesis, 2021. http://ndltd.ncl.edu.tw/handle/96106765480335942523.
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碩士國立中正大學
財務金融研究所
93
Abstract The study focuses on the influence how the qualified foreign institutional investors on Taiwan stock market. Many studies find that the trading volume conveys market information in the dynamic interrelations of trading mechanism. Thus the paper uses trading volume as proxy for informed traders to examine whether they would affect the stock returns. So, this paper tends to test the interrelation and impact of foreign investments on the Taiwan’s stock market with Granger Causality Tests and Vector Autoregressive Model. Furthermore, the discussions among stock market, exchange rates and business cycle are always one of subjects for the academic research. For example, Javanovic (1993), Johansen (1988) and Abdalla & Murinde(1997). Therefore, the proxy of business cycle and foreign exchange rates are added as control variables to investigate the relationship among foreign investment, stock return, and trading volume. We get some conclusions that From Granger Causality test, and there is the causality relationship between FNO and DTV, between FNO and RM, DTV and RM as well as FNV and DTV. But there is no lead-lag relationship between FNV and RM. We adopt Vector Autoregressive Model to analyze the interrelationship among FNO (FNV), DTV and RM, finding there are strong interrelationships among our variables. When we add control variables (TSMI or ER), suggesting that the explanation ability of FNO (FNV) and RM by model both increase.
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"A downside risk analysis based on financial index tracking models." 2003. http://library.cuhk.edu.hk/record=b5891530.
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Yu Lian.Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.
Includes bibliographical references (leaves 81-84).
Abstracts in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Literature Review --- p.4
Chapter 3 --- An Index Tracking Model with Downside Chance Risk Mea- sure --- p.12
Chapter 3.1 --- Statement of the Model --- p.13
Chapter 3.2 --- Efficient Frontier --- p.16
Chapter 3.3 --- Application of the Downside Chance Index Tracking Model --- p.29
Chapter 3.4 --- Chapter Summary --- p.34
Chapter 4 --- Index Tracking Models with High Order Moment Downside Risk Measure --- p.35
Chapter 4.1 --- Statement of the Models --- p.35
Chapter 4.2 --- Mean-Downside Deviation Financial Index Tracking Model --- p.38
Chapter 4.3 --- Chapter Summary --- p.45
Chapter 5 --- Numerical Analysis --- p.45
Chapter 5.1 --- Data Analysis --- p.45
Chapter 5.2 --- Experiment Description and Discussion --- p.48
Chapter 5.2.1 --- Efficient Frontiers --- p.48
Chapter 5.2.2 --- Monthly Expected Rate of Return --- p.50
Chapter 5.3 --- Chapter Summary --- p.52
Chapter 6 --- Summary --- p.54
Chapter A --- List of Companies --- p.57
Chapter B --- Graphical Result of Section 5.2.1 --- p.61
Chapter C --- Graphical Result of Section 5.2.2 --- p.67
Chapter D --- Proof in Chapter 3 and Chapter4 --- p.73
Bibliography --- p.81
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Mzamane, Tsepang Patrick. "Garch modelling of volatility in the Johannesburg Stock Exchange index." Thesis, 2013. http://hdl.handle.net/10413/10232.
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Modelling and forecasting stock market volatility is a critical issue in various fields
of finance and economics. Forecasting volatility in stock markets find extensive
use in portfolio management, risk management and option pricing. The primary
objective of this study was to describe the volatility in the Johannesburg Stock
Exchange (JSE) index using univariate and multivariate GARCH models.
We used daily log-returns of the JSE index over the period 6 June 1995 to 30
June 2012. In the univariate GARCH modelling, both asymmetric and symmetric
GARCH models were employed. We investigated volatility in the market using
the simple GARCH, GJR-GARCH, EGARCH and APARCH models assuming
di erent distributional assumptions in the error terms. The study indicated that
the volatility in the residuals and the leverage effect was present in the JSE index
returns.
Secondly, we explored the dynamics of the correlation between the JSE index,
FTSE-100 and NASDAQ-100 index on the basis of weekly returns over the period 6
June 1995 to 30 June 2012. The DCC-GARCH (1,1) model was employed to study
the correlation dynamics. These results suggested that the correlation between the
JSE index and the other two indices varied over time.Thesis (M.Sc.)-University of KwaZulu-Natal, Pietermaritzburg, 2013.
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Lawa, Emmanuel. "An analysis of the effect of managerial overconfidence through corporate investments on share price : evidence from some FTSE/JSE Top 40 index companies." Thesis, 2017. http://hdl.handle.net/10321/2559.
Full textAbstract:
Submitted in partial fulfillment of the requirements for the degree of Masters of Management Sciences Business Administration, Durban University of Technology. Durban, South Africa, 2017.The discipline of corporate finance has undergone numerous transformations over the past two-and-a-half decades. One such change has been in the area of corporate finance. Driven by certain behavioral biases, it has been observed that managers sometimes make subjective decisions that do not always follow the norms of traditional corporate finance. One such behavioral influence is overconfidence or optimism. There is a paucity of research on the impact that managerial overconfidence through corporate investments has on the general movement of a company’s share price. This study bridges that gap by investigating the effect of managerial overconfidence on the share price of 10 companies from the JSE/FTSE top 40 index. Its main objective was to inspect the relationship between managerial overconfidence and share price. The results show the presence of managerial overconfidence observed through the investment-cash flow sensitivity of firms. The fixed effects panel regression reveals that Tobin’s Q which is the proxy measure of the investment-cash flow sensitivity of a firm, does affect the share price. Holding every other explanatory variable constant, an increase in Tobin’s Q causes the share price to rise, which leads to the conclusion that managerial overconfidence does have an influences on the stock price. It is further observed that managerial overconfidence tends to increase with firm size. This is shown by the weak positive correlation between the Q ratio and LnTA, and Q ratio and sales. In order to avoid the possible loss in value of a firm caused by an overconfidence manager, it is recommended that shareholders or owners ensure that the manager clearly understands the company’s objectives and vision. Due to the resultant influence of managers’ on the value of a company’s stock, investors should not only look at a company’s past performance, as well as the price earnings ratio (PE ratio), dividend yield, DPS, or any other market value ratios. They should also consider the characteristics of the CEO before making their investment decisions.
M
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Solanki, Kamini Narenda. "Investor sentiment as a factor in an APT model: an international perspective using the FEARS index." Thesis, 2017. https://hdl.handle.net/10539/24146.
Full textAbstract:
A thesis submitted to the School of Economic and Business Sciences, Faculty of Commerce, Law and Management, University of the Witwatersrand in fulfilment of the requirements for the degree of Master of Commerce (M.Com) in Finance, Johannesburg June 2017Traditional finance theory surrounding the risk-return relationship is underpinned by the CAPM which posits that a single risk factor, specifically market risk, is priced into asset returns. Even though it is a popular asset pricing model, the CAPM has been widely criticised due to its unrealistic assumptions and the APT was developed to address the CAPM’s weaknesses. The APT framework allows for a multitude of risk factors to be priced into asset returns; implying that it can be used to model returns using either macroeconomic or microeconomic factors. As such, the APT allows for non-traditional factors, such as investor sentiment, to be included. A macroeconomic APT framework was developed for nine countries using the variables outlined by Chen, Roll, and Ross (1986) and investor sentiment was measured by the FEARS index (Da, Engelberg, & Gao, 2015). Regression testing was used to determine whether FEARS is a statistically significant explanatory variable in the APT model for each country. The results show that investor sentiment is a statistically significant explanatory variable for market returns in five out of the nine countries examined. These results add to the existing APT literature as they show that investor sentiment has a significant explanatory role in explaining asset prices and their associated returns. The international nature of this study allows it to be extended by considering the role that volatility spill-over or the contagion effect would have on each model.
XL2018
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Devonport, Mathew Robin. "The performance of a momentum strategy during bull and bear periods on the JSE/FTSE Africa Top 40 Index." Thesis, 2014. http://hdl.handle.net/10210/9627.
Full textAbstract:
M.Com. (Financial Management)This paper studies the effects of bull and bear market states on the profitability of a momentum investment strategy. That is, a strategy that buys past winners and sells past losers is simulated over the period 3 July 2002 to 8 August 2012 and its profitability is reviewed in light of bull and bear sub-periods. Such an investment strategy has been shown to yield abnormal returns in several markets around the world, including the South African stock market. By doing so, these studies challenge the efficient market hypothesis, a central and widely accepted hypothesis within traditional portfolio theory. There are many theories that have been used to explain why abnormal profits are achievable using a momentum investment strategy. By determining the effects of bull and bear market states on the profitability of a momentum investment strategy, this paper provides some insight into which theories, if any, are most relevant to the South African stock market context. It is found that on average, a momentum portfolio yields abnormal returns over the full sample period, with the chief driver of these returns being the winner component of the portfolio. When broken into bull and bear sub-periods, it was found that a momentum investment strategy only yields abnormal returns during a bull period, whilst these abnormal returns became negative during a bear period. These results are consistent with one efficient market hypothesis explanation and two behavioral models presented in past studies. The results indicate that the market may be efficient and that changes in macroeconomic risk are the cause of momentum profits. However, insofar as the macroeconomic risk explanation is inaccurate, these results support the behavioural models of Daniel, Hirshleifer, and Subrahmanyam (1998); and Hong and Stein (1999). Both these models predict that momentum returns will be strongest during bull periods.
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Chen, Ting-Yuan, and 陳定遠. "The Feasibility of Using Stock Index Futures to Replace Passive Equity Investments--Evidence of TAIEX Futures and Taiwan 50 ETF." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/37j6tt.
Full textAbstract:
碩士國立臺灣科技大學
財務金融研究所
104
For most of people, the concept of futures trading is mostly speculation or hedging, however, the stock index futures was trading in a recognition of some amount of contracts, its' rights and obligations are not much different from trading many kinds of securities or beneficiary certificates. Thus, when the investors want to build a portfolio to track a stock index, they can buy a basket of stocks directly, or can also buy the index tracking ETF, or even can buy the stock index futures. This article is to explore the question: If the investors want to do passive equity investments, in addition to buying stock index EFT, can they buy stock index futures instead? How about these two products' performance? In this paper, we will do dividend reduction of Taiwan 50 index ETF and adjust Taiwan Weighted Stock Index Futures' historical price by calculating futures spreads for months. Then we will compare the 10 years return, and do time sensitivity test of these two products. At the last, we will analysis and compare their Sharpe ratio. After in-depth analysis, we concluded: To substitute investment of Taiwan 50 index ETF by Taiwan Weighted Stock Index Futures is feasible.
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Mohammadzadeh, Susan. "Comparison of Long-term Investments in Single-family Housing with Stocks, and Fixed-income Securities Markets." Thesis, 2010. http://hdl.handle.net/1807/25864.
Full textAbstract:
The historical long-term volatility and return on investment in single-family dwellings was investigated and compared with investments in equity, bonds and T-bill markets. Total return index for equity and fixed-income security indices were obtained from available sources, of course, a proper index for measurement of long-term changes in house prices was unavailable. In an effort to measure the house price changes, a relatively homogeneous pool of houses in the downtown Toronto area was selected and its price tracked over the study period of 44 years. Inflation rate affects the return of investments in everything similarly therefore this was not considered in the calculations.
Results of comparing the investment of cash in one's family home versus in other investment vehicles showed that the ratio of investment growth to its volatility for a single-family house exceeded the ratios for other investments by a large margin.
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Fragateiro, Ana Rita Chorão. "To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocks." Master's thesis, 2020. http://hdl.handle.net/10400.14/31883.
Full textAbstract:
This study focuses on the differences between being a socially responsible investor and a vice investor by investigating the performance of the FTSE4Good index and compare it with the performance of a “sin” portfolio. The dataset includes stocks from the European and American market over the period of 2001-2019. The results reveal that FTSE4Good portfolios outperform when compared with appropriate benchmarks. Additionally, by employing different models, the findings point out to a superior performance in the European “Sin” portfolio. Consistent with previous evidence, the results do not show an underperformance or outperformance in the difference of these portfolios, when using models such as the CAPM, the Fama and French three-factor model (1993), the Carhart (1997) four factor model and the Fama and French (2015) five-factor model.Neste estudo, o principal foco é analisar as diferenças entre um investidor socialmente responsável e um investidor que investe em stocks “sin”, ao comparar a performance do índice FTSE4Good com a performance de um portfolio “sin”. Os stocks analisados pertencem ao mercado Europeu e ao mercado dos EUA, durante o período de 2001 a 2019. A análise aos portfolios FTSE4Good revelam um desempenho superior quando comparados com outros comparáveis. Adicionalmente, ao utilizar diferentes modelos, os resultados apontam para um desempenho superior do portfólio “Sin” da Europa. Consistente com estudos anteriores, os resultados não mostram um desempenho inferior ou superior na diferença desses portfolios, quando aplicados modelos como o CAPM, o modelo de três fatores de Fama e French (1993), o modelo de quatro fatores de Carhart (1997) e o modelo Fama e French de cinco fatores (2015).
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Dickson, Samuel, and 迪生山姆. "Investment Strategy Utilizing the Volatility Index." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/52022068615259021033.
Full textAbstract:
碩士國立中山大學
企業管理學系研究所
101
This thesis is an investment strategy that seeks to profit from increases in market volatility. There have been several boom and bust cycles during the past fifteen years and volatility is projected to continue forward as a result of global asset misallocation and challenges stemming from debt liquidity. Volatility is measured by the Chicago Board of Options Exchange VIX volatility index. A proposed mean reversion strategy uses the VIX as a contrarian indicator of hope and fear to time decisions at extreme levels that have been determined through statistical analysis. This thesis found through back testing that market timing is possible at extreme levels of fear but is less reliable during extreme levels of hope and complacency. This strategy that utilizes measures of sentiment does however outperform the general market despite being active only five months on average per year. By synthesizing a broad range of fundamental, technical, and behavioral research, this thesis develops a unique contribution and practical set of market trading guidelines. The significance of these findings will help the individual investor to make better decisions during times of increased volatility.
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Lee, Hsiu-Li, and 李秀利. "The Sustainable & Responsible Investment index." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/f7vh3v.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士在職專班
93
Up and until now, none of domestic Mutual funds follows the socially responsible investing methodology in Taiwan. Lack of academic researches and practical operating experience prompts this research study of SRI. This research intends to bring together the relative knowledge and experience of SRI, and hopefully the end result of this research can eventually make known the invaluable corporate social responsibility to public investors, asset management companies and industry enterprise. As result, we expect in lieu of this invaluable attributes, Financial Supervisory Commission–Securities and Futures Bureau would place a high priority on SRI. Also in this research, you may find the selected sample data on specific funds had been collected well over 5 years, and all sample data collected are following the guideline of SRI methodology, which bases on how to invest in American stocks. Other than that, this research assesses the performance of the sampled funds with the methods from Treynor, Sharpe, etc. SRI only governs the company investment methodology, which stresses relevant social responsibility, such as ethics, environmental protection, social equitableness and safe and sound products. These companies will contribute positively to society. And at the least, SRI will not bring about any negative aspects. Lately SRI has gradually become the trend followed by global investment money. More and more investors in the West invested SRI mutual funds. However, judging from the facts, it is still a long way to go in Asian countries regarding asset management markets. To satisfy the need of socially responsible information from investors, the catalyst to make this information available to all, is to elevate the visibility of corporate social responsibility. It also means public should be vested with effective supervision powers, either via legislature or modified rules. In light of this, it will prompt more enterprises conscientiously re-examining its respective social responsibility. Therefore here I truly hope that SRI funds will be implemented in the near future in Taiwan.
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LIU, MICKEY, and 劉生璋. "Stock Index Futures -Theories and International Investment." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/99987599185626582864.
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Mou, Yiqun. "Limits to Arbitrage and Commodity Index Investment." Thesis, 2011. https://doi.org/10.7916/D8H41ZDD.
Full textAbstract:
The dramatic growth of commodity index investment over the last decade has caused a heated debate regarding its impact on commodity prices among legislators, practitioners and academics. This paper focuses on the unique rolling activity of commodity index investors in the commodity futures markets and shows that the price impact due to this rolling activity is both statistically and economically significant. Two simple trading strategies, devised to exploit this market anomaly, yielded excess returns with positive skewness and annual Sharpe ratios as high as 4.4 in the period January 2000 to March 2010. The profitability of these trading strategies is decreasing in the amount of arbitrage capital employed in the futures markets and increasing in the size of index funds' investment relative to the total size of futures markets. Due to the price impact, index investors forwent on average 3.6\% annual return, a 48\% higher Sharpe ratio of the return, and billions of dollars over this period.
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Chu, Chih Ta, and 朱志達. "Portfolio optimization models for enhanced index investment." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/12486939618119544503.
Full textAbstract:
碩士國立政治大學
應用數學研究所
98
Setting up an index fund usually uses techniques of index-tracking that choosing few stocks forming a portfolio to obtain the same return rate as the benchmark index. Similarly we can use the same concept to set up a portfolio such that the performance is better than index’s. In this thesis we use index-tracking methods and minimax rule to obtain a portfolio which outperforms the benchmark index. In the proposed mathematical model we will consider the transaction costs, integer trading unit volume, and the total number of assets in the portfolio. Therefore the resulting model is a mixed integer nonlinear programming including integer variables and binary variables. Finally, the empirical study will be performed by using the data from the Taiwan stock market to verify the performance of our model. The empirical study shows that the portfolios created by our models outperform the benchmark index up to 25% in average.
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Fan, Chih-Hsien, and 范志先. "A Study of Investment Performance Evaluation of Social Responsibility Index and Evil Index." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/90215620898672794407.
Full textAbstract:
碩士清雲科技大學
國際企業管理研究所
97
With the enhancement of environmental awareness of all the "social responsibility" and that gradually importance, however, the subject of investors to invest is a different attitude. "Index of social responsibility," pointed out that investors will focus on labor-management relations, respect for human rights, attention to environmental protection and reduce the depletion of natural resources for its investment in securities of companies subject, while the "evil index" is devoted to investment in tobacco, alcohol, arms and other related securities aggregate index. The purpose of this study were beta coefficient, standard deviation, Sharpe index and an average annual rate of return a year or three years at an average annual rate of return analysis. Integration to aggregate data from the above analysis to identify a better index of the relative performance of commodities, and the use of variance, historical simulation and Monte Carlo simulation method to calculate VaR, provided to investors, investment direction reference. In the short period of time, Clvrt social responsibility evil ISE index and the average annual index return between -28.5% -12.8%, the annual standard deviation of between 22% ~ 23%, the risk value is between 0.1314 ~ 0.1963; in the long period of time , Clvrt Social Responsibility Fund and evil ISE index funds at an average annual rate of return of between 9.64% ~ 22% of the standard deviation was between 9.5% ~ 11.4%, the risk value is between 0.0410 ~ 0.0949.
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"Hang Seng index futures: a new investment tool." Chinese University of Hong Kong, 1987. http://library.cuhk.edu.hk/record=b5885761.
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Huang, Yueh-ju, and 黃悅如. "An Empirical Study of Diversification in Investment Using lobal index type investment tactics." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/43318534581865210786.
Full textAbstract:
碩士義守大學
資訊管理學系碩士班
96
In recent years, because the progress of lightenning restrictions on to relevant decree of the finance of investment environment liberalization , government and financial engineering, make the market develop out more diversified new investment tools and financial goods by meeting all kinds of investors with the demand for investing in , avoiding dangerous and arbitrage constantly. But, as to general masses , could have a suitable knowledge of various financial goods and master suitable piece when making the investment , Whether there is enough fund and how about is it invest to disperse such factors as divided dangerously often cause the threshold difficult to cross over. This research hopes to set up an effective investment tactics through technological analysis. Every big index products developed of trade in the world exceed 50 kinds at present, including index futures , right to choose of index , index fund , index store and hold the evidence , index note , index deposit , index bond etc., and these products have all already become and done a deal and invested in, managing the risk and promoting the mobile important tool of market. So this research is the representativeness goods to indexation investment - Exchange-traded fund (Exchange-traded fund , is abbreviated as ETF ).