Dissertations / Theses on the topic 'Investment performance'

This thesis includes four essays, of which each comprises two original contributions. Based on this thesis’ eight contributions, we add knowledge or understanding to the literatures on responsible investment, research output analyses and investment performance evaluation. First, we develop the first generic, reliable approach to benchmark research area output (e.g. journal articles or books), which we expect to appeal to governments’ increasing interest in monitoring their research funding investments. Second, we apply this approach to the research area of responsible investment, which is currently backed by an about $ 7 trillion industry. We find that the (quality weighted) quantity of responsible investment’s research output is statistically significantly under-proportional compared with peer research areas. One of several explanations for this result lies in the intransparency of the current responsible investment literature. Third, we develop an approach to research synthesis, which improves a research area’s transparency without experiencing many weaknesses of conventional literature reviews. We title this approach Influential Literature Analysis (ILA). Fourth, we apply ILA to the relatively intransparent responsible investment literature. One of our many findings is that responsible assets with their ceteris paribus under-proportional total risk might appear artificially unattractive when assessed by the most common investment performance measure, the Sharpe ratio, which is biased in favour of high risk assets due to its currently unsolved negative excess return problem. Fifth, we develop a generic, reliable and robust solution to the negative Sharpe ratio problem, which investors can customise according to their specific increasing incremental disutility of risk functions. Six, we generalise our solution to the negative Sharpe ratio problem, which allows us to solve the negative (excess) return problems of over twenty other investment performance measures. Seventh, we develop independent, statistically sophisticated tests of the sufficiency and quality of suggested solutions to the negative Sharpe ratio problem, since all existing tests a-priori assume the superiority of a specific solution. In contrast, our tests are only based on the Sharpe ratio itself and two basic axioms of investment theory. Hence, they are conceptually unrelated to our solutions. Eighth, we apply these tests using two different data samples to all existing solutions to the negative Sharpe ratio problem. We find that investors are best advised to use our solutions, the H⁶-, H⁷- or H⁸-measure, in their evaluation of investment performance from a Sharpe ratio like perspective.

This dissertation presents five research essays evaluating the performance of managed funds in light of the investment strategy and manager characteristics exhibited by institutional investment companies. An analysis of investment performance with respect to a fund managers strategy provides important information in determining whether performance objectives have been achieved. There are a number of different types of investment strategies managed funds may adopt. However, the primary dichotomy is on the basis of whether the portfolio manager implements either an active or index approach. Active managers attempt to outperform the market through the use of price-sensitive information, whereas a passive manager's objective is to replicate the returns and risk of a target benchmark index. The evaluation of investment manager characteristics is also evaluated. This is motivated on the basis that asset management entities place significant emphasis on both the articulation and differentiation of their investment style relative to competitors, and selling the strengths of their portfolio management skills (in terms of past performance) as well identifying the key individuals comprising their investment team and their unique attributes. For active equity managers, the methods used in constructing portfolios and implementing the investment strategy include security selection, in terms of 'top-down' or 'bottom-up' strategies, value-biased, growth-biased or style-neutral strategies, and portfolios exhibiting market capitalisation biases (i.e. preferences to large or small-cap securities). In terms of active bond portfolio management, the most common strategies include duration management and yield curve positioning. Active managers' strategies are likely to extend beyond stock selection, in particular, where the fund manager adjusts the portfolio's composition in anticipation of favourably capitalising on future movements in the market. For index managers, replication of both the returns and risk of the underlying index may be achieved through either full-replication of constituent stocks comprising the index, or through non-replication techniques (stratified sampling and/or optimisation). Each essay provides a unique contribution to the literature with respect to the performance of active and index funds, as well as an analysis of funds that invest specifically in domestic equities, domestic fixed interest, and diversified funds that invest across the broad spectrum of asset classes. The origins of the performance evaluation literature are ascribed to Cowles' (1933) pioneering work, and the literature has given increasing attention to the topic. However the most fundamental issue considered in almost all previous studies of managed fund performance is the extent to which actively managed portfolios have earned superior risk-adjusted excess returns for investors. The literature has overwhelmingly documented (with a small number of exceptions) that active funds have been unable to earn superior returns, either before or after expenses (e.g. Jensen (1968), Elton et al. (1993), Malkiel (1995), Gruber (1996)). While the international evidence is supported by the few Australian managed fund studies available, Australian research remains surprisingly scarce. This is perplexing considering the sheer size of the investment industry in Australia (around $A717 billion as at 30 June 2001) and the importance placed on the sector with respect to successive Federal Governments' retirement income policies. The objectives of this dissertation therefore involve an analysis of managed fund performance with respect to differences in investment strategies (i.e. active and index), as well as providing an analysis of funds invested in equities, bonds and diversified asset classes (or multi-sector portfolios). The first essay evaluates the market timing and security selection capabilities of Australian pooled superannuation funds. These funds provide institutional investors with exposure to securities across many different asset classes, including domestic and international equities, domestic and international fixed interest, property and cash. Surprisingly, the specific analysis of multi-sector funds is scarce in the literature and limited to Brinson et al. (1986, 1991), Sinclair (1990), and Blake et al. (1999). This essay also evaluates performance for the three largest asset classes within diversified superannuation funds and their contribution to overall portfolio return. The importance of an accurately specified market portfolio proxy in the measurement of investment performance is demonstrated, where the essay employs performance benchmarks that account for the multi-sector investment decisions of active investment managers in a manner that is consistent with their unique investment strategy. This approach rectifies Sinclair's (1990) analysis resulting from benchmark misspecification. Consistent with the literature, the empirical results indicate that Australian pooled superannuation funds do not exhibit significantly positive security selection or market timing skill. Given the evidence in the literature surrounding the inability of active funds to deliver superior returns to investors, lower cost index funds have become increasingly popular as an alternative investment strategy. Despite the significant growth in index funds since 1976, when the first index mutual fund was launched in the U.S., research on their performance is sparse in the U.S. and non-existent in Australia. The second essay provides an original analysis of the Australian index fund market, with specific analysis applicable to institutional Australian equity index funds offered by fund managers. While indexing is theoretically straightforward, in practice there exist potential difficulties in exactly matching the return of the underlying index. Therefore the magnitude of tracking error is likely to be of concern to investors. This essay documents the existence of significant tracking error for Australian index funds, where the magnitude of the difference between index fund returns and index returns averages between 7.4 and 22.3 basis points per month for funds operating at least five years. However, there is little evidence of bias in tracking error, implying that these funds neither systematically outperform or underperform their benchmark on a before cost basis. Further analysis documents that the magnitude of tracking error is related to fund cash flows, market volatility, transaction costs and index replication strategies used by passive investment managers. The third essay presents evidence of the performance of U.S. mutual funds, where attention is given to both active and index mutual funds for which the applicable benchmark index is the S&P 500. This essay examines both the magnitude and variation of tracking error over time for S&P 500 index mutual funds. The essay documents seasonality in S&P 500 index mutual fund tracking error, where tracking error is significantly higher in the months of January and May, together with a seasonal trough in the quarters ending March-June-September-December. Statistical evidence indicates tracking error is both positively and significantly correlated with the dividend payments arising from constituent S&P 500 securities. In terms of a performance comparison between actively managed and index funds, active funds on average are found to significantly underperform passive benchmarks. On the other hand, S&P 500 index mutual funds earned higher risk-adjusted excess returns after expenses than large capitalisation-oriented active mutual funds in the period examined. These results suggest the S&P 500 is consistent with capital market efficiency, implying an absence of economic benefit accruing to the average investor utilising actively managed U.S. equity mutual funds. The fourth essay presented in the dissertation examines the performance of Australian investment management organisations with direct reference to their specific characteristics and strategies employed. Using a unique information source, performance is evaluated for actively managed institutional balanced funds (or diversified asset class funds), Australian share funds and Australian bond funds. Performance is evaluated with respect to the investment strategy adopted, the experience and qualifications held by investment professionals, and the tenure of the key investment professionals. This essay also evaluates the performance of senior sector heads to determine the skills of individuals driving the investment process, even though these individuals may migrate to competitor organisations. The essay finds evidence that a significant number of active Australian equity managers earned superior risk-adjusted returns in the period, however active managers perform in line with market indices for balanced funds and Australian bond funds. A number of manager characteristics are also found to predict risk-adjusted excess returns, systematic risk and investment expenses. Of particular note, performance of balanced funds is negatively related to the institution's age and the loyalty of non-senior investment staff. Performance is also found to be significantly higher for managers that predominantly operate their portfolios using a bottom-up, stock selection approach. Interestingly, the human capital of managers, measured as the years of tertiary education undertaken, does not explain risk-adjusted excess returns. Systematic risk is positively related to an institutions age and negatively related to both senior manager loyalty and the implementation of bottom-up portfolio management strategies. In terms of management expenses, fees are directly related to the Australian equities benchmark allocation, the years of tertiary education, the number of years service (loyalty) for non-senior investment professionals and the total years experience of senior money managers. This concluding essay also documents that changes in top management have significant performance effects. In the 12-month period after a change in fixed income director or chief investment officer, performance is significantly lower and significantly higher, respectively. There is no significant difference in performance where changes in top management occur for Australian equities. The years of service (loyalty) provided to asset management firms by equities directors is inversely related to risk-adjusted return. The fifth and final essay examines the investment performance of active Australian bond funds and the impact of investor fund flows on portfolio returns. This essay represents a significant and original analysis in terms of its contribution to the literature, given the absence of Australian bond fund performance analytics and also the limited attention provided in the U.S. Both security selection and market timing performance is evaluated using both unconditional models and conditional performance evaluation techniques, which account for public information and the time-variation in risk. Overall, the results of this essay are consistent with the U.S. and international mutual fund evidence, where performance is found to be consistent with an efficient market. While actively managed institutional funds perform broadly in line with the index before expenses, the paper documents significant underperformance for actively managed retail bond funds after fees. The study also documents that retail fund flows negatively impact on market timing coefficients when flow is not accounted for in unconditional models.

This dissertation presents five research essays evaluating the performance of managed funds in light of the investment strategy and manager characteristics exhibited by institutional investment companies. An analysis of investment performance with respect to a fund managers strategy provides important information in determining whether performance objectives have been achieved. There are a number of different types of investment strategies managed funds may adopt. However, the primary dichotomy is on the basis of whether the portfolio manager implements either an active or index approach. Active managers attempt to outperform the market through the use of price-sensitive information, whereas a passive manager's objective is to replicate the returns and risk of a target benchmark index. The evaluation of investment manager characteristics is also evaluated. This is motivated on the basis that asset management entities place significant emphasis on both the articulation and differentiation of their investment style relative to competitors, and selling the strengths of their portfolio management skills (in terms of past performance) as well identifying the key individuals comprising their investment team and their unique attributes. For active equity managers, the methods used in constructing portfolios and implementing the investment strategy include security selection, in terms of 'top-down' or 'bottom-up' strategies, value-biased, growth-biased or style-neutral strategies, and portfolios exhibiting market capitalisation biases (i.e. preferences to large or small-cap securities). In terms of active bond portfolio management, the most common strategies include duration management and yield curve positioning. Active managers' strategies are likely to extend beyond stock selection, in particular, where the fund manager adjusts the portfolio's composition in anticipation of favourably capitalising on future movements in the market. For index managers, replication of both the returns and risk of the underlying index may be achieved through either full-replication of constituent stocks comprising the index, or through non-replication techniques (stratified sampling and/or optimisation). Each essay provides a unique contribution to the literature with respect to the performance of active and index funds, as well as an analysis of funds that invest specifically in domestic equities, domestic fixed interest, and diversified funds that invest across the broad spectrum of asset classes. The origins of the performance evaluation literature are ascribed to Cowles' (1933) pioneering work, and the literature has given increasing attention to the topic. However the most fundamental issue considered in almost all previous studies of managed fund performance is the extent to which actively managed portfolios have earned superior risk-adjusted excess returns for investors. The literature has overwhelmingly documented (with a small number of exceptions) that active funds have been unable to earn superior returns, either before or after expenses (e.g. Jensen (1968), Elton et al. (1993), Malkiel (1995), Gruber (1996)). While the international evidence is supported by the few Australian managed fund studies available, Australian research remains surprisingly scarce. This is perplexing considering the sheer size of the investment industry in Australia (around $A717 billion as at 30 June 2001) and the importance placed on the sector with respect to successive Federal Governments' retirement income policies. The objectives of this dissertation therefore involve an analysis of managed fund performance with respect to differences in investment strategies (i.e. active and index), as well as providing an analysis of funds invested in equities, bonds and diversified asset classes (or multi-sector portfolios). The first essay evaluates the market timing and security selection capabilities of Australian pooled superannuation funds. These funds provide institutional investors with exposure to securities across many different asset classes, including domestic and international equities, domestic and international fixed interest, property and cash. Surprisingly, the specific analysis of multi-sector funds is scarce in the literature and limited to Brinson et al. (1986, 1991), Sinclair (1990), and Blake et al. (1999). This essay also evaluates performance for the three largest asset classes within diversified superannuation funds and their contribution to overall portfolio return. The importance of an accurately specified market portfolio proxy in the measurement of investment performance is demonstrated, where the essay employs performance benchmarks that account for the multi-sector investment decisions of active investment managers in a manner that is consistent with their unique investment strategy. This approach rectifies Sinclair's (1990) analysis resulting from benchmark misspecification. Consistent with the literature, the empirical results indicate that Australian pooled superannuation funds do not exhibit significantly positive security selection or market timing skill. Given the evidence in the literature surrounding the inability of active funds to deliver superior returns to investors, lower cost index funds have become increasingly popular as an alternative investment strategy. Despite the significant growth in index funds since 1976, when the first index mutual fund was launched in the U.S., research on their performance is sparse in the U.S. and non-existent in Australia. The second essay provides an original analysis of the Australian index fund market, with specific analysis applicable to institutional Australian equity index funds offered by fund managers. While indexing is theoretically straightforward, in practice there exist potential difficulties in exactly matching the return of the underlying index. Therefore the magnitude of tracking error is likely to be of concern to investors. This essay documents the existence of significant tracking error for Australian index funds, where the magnitude of the difference between index fund returns and index returns averages between 7.4 and 22.3 basis points per month for funds operating at least five years. However, there is little evidence of bias in tracking error, implying that these funds neither systematically outperform or underperform their benchmark on a before cost basis. Further analysis documents that the magnitude of tracking error is related to fund cash flows, market volatility, transaction costs and index replication strategies used by passive investment managers. The third essay presents evidence of the performance of U.S. mutual funds, where attention is given to both active and index mutual funds for which the applicable benchmark index is the S&P 500. This essay examines both the magnitude and variation of tracking error over time for S&P 500 index mutual funds. The essay documents seasonality in S&P 500 index mutual fund tracking error, where tracking error is significantly higher in the months of January and May, together with a seasonal trough in the quarters ending March-June-September-December. Statistical evidence indicates tracking error is both positively and significantly correlated with the dividend payments arising from constituent S&P 500 securities. In terms of a performance comparison between actively managed and index funds, active funds on average are found to significantly underperform passive benchmarks. On the other hand, S&P 500 index mutual funds earned higher risk-adjusted excess returns after expenses than large capitalisation-oriented active mutual funds in the period examined. These results suggest the S&P 500 is consistent with capital market efficiency, implying an absence of economic benefit accruing to the average investor utilising actively managed U.S. equity mutual funds. The fourth essay presented in the dissertation examines the performance of Australian investment management organisations with direct reference to their specific characteristics and strategies employed. Using a unique information source, performance is evaluated for actively managed institutional balanced funds (or diversified asset class funds), Australian share funds and Australian bond funds. Performance is evaluated with respect to the investment strategy adopted, the experience and qualifications held by investment professionals, and the tenure of the key investment professionals. This essay also evaluates the performance of senior sector heads to determine the skills of individuals driving the investment process, even though these individuals may migrate to competitor organisations. The essay finds evidence that a significant number of active Australian equity managers earned superior risk-adjusted returns in the period, however active managers perform in line with market indices for balanced funds and Australian bond funds. A number of manager characteristics are also found to predict risk-adjusted excess returns, systematic risk and investment expenses. Of particular note, performance of balanced funds is negatively related to the institution's age and the loyalty of non-senior investment staff. Performance is also found to be significantly higher for managers that predominantly operate their portfolios using a bottom-up, stock selection approach. Interestingly, the human capital of managers, measured as the years of tertiary education undertaken, does not explain risk-adjusted excess returns. Systematic risk is positively related to an institutions age and negatively related to both senior manager loyalty and the implementation of bottom-up portfolio management strategies. In terms of management expenses, fees are directly related to the Australian equities benchmark allocation, the years of tertiary education, the number of years service (loyalty) for non-senior investment professionals and the total years experience of senior money managers. This concluding essay also documents that changes in top management have significant performance effects. In the 12-month period after a change in fixed income director or chief investment officer, performance is significantly lower and significantly higher, respectively. There is no significant difference in performance where changes in top management occur for Australian equities. The years of service (loyalty) provided to asset management firms by equities directors is inversely related to risk-adjusted return. The fifth and final essay examines the investment performance of active Australian bond funds and the impact of investor fund flows on portfolio returns. This essay represents a significant and original analysis in terms of its contribution to the literature, given the absence of Australian bond fund performance analytics and also the limited attention provided in the U.S. Both security selection and market timing performance is evaluated using both unconditional models and conditional performance evaluation techniques, which account for public information and the time-variation in risk. Overall, the results of this essay are consistent with the U.S. and international mutual fund evidence, where performance is found to be consistent with an efficient market. While actively managed institutional funds perform broadly in line with the index before expenses, the paper documents significant underperformance for actively managed retail bond funds after fees. The study also documents that retail fund flows negatively impact on market timing coefficients when flow is not accounted for in unconditional models.

This dissertation provides an economic analysis of families as owners of large listed firms. The essential research question is whether family ownership provides an efficient form of governance. Family ownership and control is evaluated from different angles; how ownership, control, management, and board structure affects firm performance, and executive compensation. Chapter two “A Contractual Perspective of the Firm with an Application to the Maritime Industry” is a conceptual paper analyzing the contractual structure of a firm. The chapter conceptualizes the relations between firms, and markets, and gives a transaction cost perspective of why firms are organized the way they are. The third chapter “The Impact of Vote Differentiation on Investment Performance in Listed Family Firms” investigates ownership and control in Swedish family controlled firms. The analysis shows that family control is beneficial, but only if voting rights and cash-flow rights are aligned. The fourth chapter “Family Control and Executive Compensation” analyses whether families use remuneration as a way to expropriate minority shareholders. The study shows that managers in family-controlled firms have alower share of variable compensation than managers in non-family controlled firms. The analysis shows further that family control has a reducing effect on the total level of CEO-compensation. The last chapter “Board of Directors, Dependency, and Returns on Investment” investigates if there is a relationship between ownership structure, board of directors, and firm performance. The marginal q analysis indicate that firm dependent directors have a negative impact on firms’ investment performance. Owner-dependent and employee elected directors do not affect firm investment performance. To sum up, the empirical results show that family ownership and control affects remuneration in listed firms, and the firm investment performance. The analysis further shows that there are clear differences in the ownership and governance structure between family and non-family controlled firms.

Thesis (MBA)--Stellenbosch University, 2005.
ENGLISH ABSTRACT: Investors accept that actual investment pertormance differs from anticipated pertormance. The difference between the two is attributed to investment risk. Professional investment managers charge significant fees for active investment management. Investors funding this industry should evaluate the risk-adjusted investment pertormance to determine if it justifies the associated costs. A number of research papers have presented various methods for adjusting investment pertormance for the risk assumed in the generation thereof. This study presents an overview of techniques available for measuring riskadjusted pertormance of listed equity related investments. The classic pertormance measures of Treynor, Sharpe and Jensen are discussed. Alternative ways of quantifying risk offer different methods for risk-adjusting periormance. This leads to the discussion of more modern approaches to risk-adjustment, such as the Sortino ratio and the Omega measure. The lack of risk-adjusted pertormance reporting within the South African investment management industry is highlighted. An overview of guidelines for risk-adjusted pertormance reporting is presented. As such, it is relevant to investment managers, policy makers of the industry and the financial press reporting on investment management. A comparison of risk-adjusted pertormance figures between unitised-, indexand direct equity investment approaches show that a simple direct equity investment strategy outpertorm on risk-adjusted basis for the five year period reviewed.
AFRIKAANSE OPSOMMING: Beleggers aanvaar die feit dat gerealiseerde beleggings opbrengste van verwagte opbrengste verskil. Die verskil word aan beleggings risiko toegeskryf. Professionele beleggingsbestuurders hef aansienlike fooie om beleggings aktief te bestuur. Beleggers wat hierdie industrie befonds behoort die risiko-aangepaste beleggingsprestasie te evalueer ten einde vas te stel of dit die kostes regverdig wat daarmee gepaardgaan. 'n Aantal navorsingsverslae het reeds verskeie metodes voorgestel vir die aanpassing van beleggingsprestasie vir risiko aanvaar tydens die najaag van prestasie. Hierdie studie bied 'n oorsig van beskikbare tegnieke vir die meet van risiko aangepaste prestasie van genoteerde aandeel- en verwante beleggings. Die klassieke metodes van Treynor, Sharpe en Jensen word bespreek. Alternatiewe metodes om risiko te kwantifiseer bied verskillende metodes om prestasie vir risiko aan te pas. Dit lei tot die bespreking van meer moderne benaderings tot risiko aanpassing, soos die Sortino verhouding en die Omega maatstaf. Hierdie studie bring die tekort van risiko aangepaste prestasie verslaggewing in die Suid-Afrikaanse beleggingsbestuur industrie aan die lig. 'n Oorsig van riglyne vir risiko-aangepaste prestasie verslaggewing word gelewer. Die studie is gevolglik relevant vir beleggingsbestuurders, industrie beleidmakers en die finansiele pers wat oor beleggingsbestuur verslag doen. 'n Vergelyking van risiko-aangepaste opbrengs syfers tussen kollektiewe-. indeks- en direkte aandele beleggings benaderings lig uit dat 'n eenvoudige direkte aandele belegging strategie op 'n risiko-aangepaste basis oor die vyf jaar periode ondersoek, uitpresteer het.

This dissertation presents an examination of the trading behaviour of active Australian fund managers. The thesis begins with an analysis of how fund manager trades relate to stock returns in the past, the present, and the future. The dissertation next proceeds to investigating how fund size affects fund performance, trading and portfolio construction. Finally, using earnings announcements as the locus for trading sequences, we analyse the nature of the information used by fund managers to predict stock returns. This research is presented in the form of three essays. The first essay investigates how active fund manager trades relate to stock returns. Using a unique database of daily transactions from Australian equity managers, we document that our sample of institutional investors exhibit statistically and economically significant predictive power in forecasting future stock returns over the ten days following their trades. Furthermore, detailed analysis indicates that manager style is important in understanding the link between institutional trading and stock returns. The essay finds growth-oriented managers are momentum traders, while style-neutral and value managers are contrarian. Further, the contemporaneous relation between institutional trading and returns depends on trade size, broker use, and investment style. Finally, the study documents that trades and returns are inversely related for value/contrarian managers and directly related for style-neutral and growth managers. The second essay presents an analysis of how fund size affects investment performance. Recent studies find evidence that small funds outperform large funds. This fund size effect is commonly hypothesized to be caused by transaction costs. Due to the lack of transactions data, prior studies have investigated the transaction costs theory only indirectly. This study however, analyses the daily transactions of active Australian equity managers and finds aggregate market impact costs incurred by large managers are significantly greater than that Finally, the third essay examines the nature of price-sensitive earnings information used by package formation and portfolio characteristics consistent with transaction cost intimidation. An analysis of the interaction between transaction cost intimidation and the fund size effect documents that large managers pursue a highly active trading strategy, and accordingly suffer more from the fund size effect than is the case for large funds following a less active trading strategy. This suggests the fund size effect is related to transaction costs as trading activity is a good proxy for expected market impact. Finally, the third essay examines the nature of price-sensitive earnings information used by fund managers to trade. While a number of recent mutual fund performance studies find data, prior studies have investigated the transaction costs theory only indirectly. This study however, analyses the daily transactions of active Australian equity managers and finds aggregate market impact costs incurred by large managers are significantly greater than that Finally, the third essay examines the nature of price-sensitive earnings information used by package formation and portfolio characteristics consistent with transaction cost intimidation. An analysis of the interaction between transaction cost intimidation and the fund size effect documents that large managers pursue a highly active trading strategy, and accordingly suffer more from the fund size effect than is the case for large funds following a less active trading strategy. This suggests the fund size effect is related to transaction costs as trading activity is incurred by small managers. Furthermore, large managers exhibit preferences for trade evidence of outperformance relative to suitably constructed benchmarks, limited research exists as to whether such outperformance is due to privately collected information, or merely expedient interpretation of publicly released information. In this essay an examination of the trade sequences of fund managers around earnings announcements is performed, and evidence is presented revealing an increased Occurrence of buy-sell trade sequences around good announcements and vice versa for bad announcements. The results also show an increase in the frequency of fund managers not trading before announcements, only to subsequently purchase during good announcements. Taken together, this evidence suggests managers are reliant on private information before earnings announcements, as well as them engaging in 'interpretation' of earnings announcements when they do not receive a private signal.

This research was an attempt to replicate, yet expand previous empirically supported, qualitative gray literature research conducted by NEXA (2010). The primary difference between this study and the NEXA study is adding significance testing in a quantitative study, to substantiate previously reported positive organizational financial performance associated with business aircraft investment. The outcome contradicted the previous study by providing evidence there were no significant differences in financial performance between those companies that own business aircraft and those companies that do not. The sampling populations were collected from publicly available data through a Federal Aviation Administration (FAA) aircraft registry and Securities and Exchange Commission (SEC) / Edgar database for the Standard and Poor’s (S&P) 600 Small Capitalization (SmallCap) Index funds.

The research utilized the Andersen (2001) Utilization strategies, Benefits, and shareholder Value (UBV) conceptual framework. The dependent variables of Earnings Before Income Tax, Depreciation and Ammoritization (EBITDA), Revenue Growth, Return on Equity (ROE), and Return on Assets (ROA) financial indicators and ratios were applied to test the significant differences between the independent variables of companies that own business aircraft versus companies that do not own business aircraft. The breadth of associated costs when contemplating investment in business aircraft goes well beynd the initial cost of the aircraft itself and was not covered in this study. Depending on the strategic objective and intended use of a business aircraft, ownership involves an additional and significant investment in infrastructure and back office support, segregated by direct and indirect costs.

In order to help define the future roles of business aircraft, the industry as a whole must create a synchronous and performance based public face that emphasizes the broad collection of the multi-dimensional and positive, technological, economic, and regulatory, political, and social dynamic contributions. Moreover, with financial indicators demonstrating positive value, productivity, and performance separation between business aircraft ownership from non-ownership, coupled with the internal as well as external drivers influencing financial results, the public face of business aviation and its aircraft should be one of the top investment decisions for future sustainability and competitive advantage.

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 Australia
Doctor of Philosophy (PhD)

This study investigates the relationship between the environmental, social and governance (ESG) performance of South African firms and their corresponding financial performance over the period 2012 to 2019. Operating with an ESG-based mindset has become of increasing importance for firms over the past two decades, as a result of increasing regulation as well heightened public scrutiny and pressure. There exists evidence in support of the theory that ESG-conscious firms that practice sustainably tend to financially outperform their peers. This study employs a quantitative research methodology, using variations of panel regression models to investigate the ESG-corporate financial performance (CFP) relationship. Privately held proprietary ESG scores are used as a proxy for ESG performance and financial data is obtained from Bloomberg in order to assess financial performance. The study does not find statistically significant evidence of a relationship between firm ESG performance and financial performance. Contrasting results emerge from the study, with positive relationships and correlation coefficients found between both the ESG performance of firms and their annual stock return, as well as the ESG performance and return on assets (ROA) ratio. A negative relationship and correlation were found to exist between firm ESG performance and their price earnings ratio. These contradicting results lead to a conclusion that no relationship exists between ESG performance and CFP. Significant evidence was however found regarding certain firm characteristics leading to firms having higher ESG performance. Results show that the larger firms with greater financial leverage are higher ESG performers relative to their peers. This may imply that in order for ESG practices to be effective, firms themselves should be of a sufficient size and have access to a large amount of debt to fund relevant activities. It is recommended that further research be performed on the driving forces behind a firm's ESG performance, and the various factors that contribute most towards it, including varying levels of access to debt.

The paper examines the investment performance of the world automotive industry using a sample of 21 original equipment manufacturers (OEMs) based in three major continents, North America, Europe and Asia between the years 1999 and 2004. The empirical findings suggest that there exists persistent overinvestment not only in the global level but also in the major automotive production regions analyzed. Proving that none of the 3 regions gain returns on investment at least as large as their costs of capital, shareholder wealth is not maximized in the world automotive industry. Europe, among these regions, proves to gain the highest return on investment of its cost of capital. The empirical results also show that the return on investment financed by debt is high around the world and close to 100% of its cost of capital.

Performance requirements act as policy instruments for achieving broadly-defined economic and developmental objectives of States, especially industrial and technological development objectives. Many States consider that performance requirements distort trade and investment flows, negatively impact global and national welfare and disrupt investment decisions compared to business-as-usual scenarios. As a result, a number of States have committed to prohibiting performance requirements in international investment agreements (“IIAs.”). Performance requirement prohibitions (“PRPs”) are meant to eliminate trade-distorting performance requirements and performance requirements which replace investor decision-making by State decision-making. This thesis focuses on providing answers to two research questions: first, how do States prohibit performance requirements in IIAs? And second, how should PRPs in IIAs be interpreted and applied? For the first time, this thesis: proposes a comprehensive understanding of PRPs in IIAs by drawing notably on the General Agreement on Tariffs and Trade (“GATT”) Uruguay Round of negotiations and on the United States Bilateral Investment Treaty (“BIT”) Programme; develops a detailed typology and analysis of PRPs in IIAs through the identification of systematically reproduced drafting patterns; conducts the first critical and in-depth analysis of all arbitral awards which have decided claims based on PRPs in IIAs; analyses interpretation and application issues related to provisions that exempt government procurement from PRPs and to reservations that shield sensitive non-conforming measures or strategically important sectors from PRPs; and anticipates the application of most-favoured nation (“MFN”) treatment clauses to PRPs in the future. Finally, this thesis formulates proposals that can help interpret and apply existing PRPs and draft future PRPs in a more deliberate and informed way.

This dissertation investigates three types of investment manager trading behaviour to ascertain whether behavioural biases are present in the Australian investment management industry. In particular, this thesis examines whether these biases are detrimental to fund performance and market efficiency, and whether there is a need for regulatory review given the behaviour of institutions in their trading on the Australian Securities Exchange (ASX). The three empirical issues examined in this thesis are: leader and follower patterns in institutional trading; quarter-end gaming behaviour; and short-term trading activity and the role of institutional monitoring. Firstly, in the analysis of leader-follower behaviour, this thesis finds profitable trade packages are executed using multiple brokers as a way to accumulate a larger package in a shorter window of time and as means of enhancing disguise. Profitability is higher when these trade packages are mimicked and when there are up to three mimickers, compared to situations in which no mimicking occurs. Potential mimickers do not appear to ignore their own signal when deciding whether or not to follow when the sequence is short, but may do so for longer sequences as predicted by Grenadier (1999). It is concluded that short sequences of mimicking trades by active fund managers speed the price discovery process. Secondly, in an investigation of ??portfolio pumping?? by Australian active investment managers, this thesis finds significant abnormal stock and fund returns on the final business day of the calendar quarter-end. This thesis then identifies particular trades, appearing mostly in less liquid stocks, which accompany stocks that are marked up at quarter-end (it is not possible in this thesis to prove causation given the trades in this sample are not time-stamped). Fund managers execute more purchases than normal on the last day of the quarter in stocks in which they are overweight, providing strong evidence that manager behaviour is modified on the last day of the quarter-end. This study also finds poor-performing managers are more likely to perpetrate gaming trades, which may be as a result of career concerns and business risk management. New investors in funds would benefit substantially by delaying their entry to the fund until the day after the end of the quarter, as there is a lower entry price into the fund. However, portfolio pumping does not substantially affect the returns of extant fund investors, as the trading cost associated with the relatively small gaming trades is relatively small. Attempts by the ASX to reduce price manipulation, such as instituting a closing price call auction and then later revising the algorithm of this auction, have been effective in limiting both the number of occurrences, as well as the severity of gaming on the efficiency of the market. Thirdly, in an examination of the short-term trading activity of active investment managers which threaten exit, this thesis find that a larger number of actively trading multi-blockholders significantly raises firm performance. It remains true that an individual blockholder who intervenes to raise firm performance has to share gains with other blockholders. But firm manager effort is enhanced by the threat of exit by blockholders when they receive a bad signal concerning managerial effort. This study tests seven nested hypotheses proposed by Edmans and Manso (2008) using sequences of short-term institutional trades that threaten exit. Blockholder net profit is diminishing in the number of traders, consistent with a common signal of poor managerial performance. Moreover, these trade sequences are profitable even after transaction costs. Spreads are lower and the firm??s share price becomes more sensitive to managerial performance as more blockholders threaten exit. From the three broad investigations into fund manager activity this thesis undertakes, active fund managers are shown to behave rationally and, apart from their behaviour at quarter-end, they act in the interests of their investors, aid price discovery, reduce bid-ask spreads and thereby exhibit a positive influence on market efficiency.

This dissertation consists of two empirical essays about the cognitive limitation, herding behavior, and their association with investment performance. The essays utilize the detailed quotes and trades data in the Taiwan Futures Exchange with investor account identity, to study the cognitive limitation and herding behavior of the investors, and the association between the cognitive limitation, herding behavior, and the investment performance. In the first essay, I hypothesize that cognitive limitation maybe manifested in a disproportionately large volume of limit orders submitted at round-number prices if investors use these numbers as cognitive shortcuts., I find that investors with lower cognitive abilities, defined as higher limit order submission ratios at round numbers, suffer greater losses in their round-numbered and non-round-numbered limit orders, market orders, and round-trip trades. The positive correlation between cognitive ability and investment performance is monotonic and robust across futures and options markets. In addition, past trading experience helps mitigate the cognitive limitation. The second essay studies the herding behavior of investors. The second essay studies the herding behavior of investors. I find that individual investors trade in the same direction with other individual investors in the same branch of a broker. Individual investors’ tendency to herd is persistent, and it is negatively associated with their cognitive abilities and trading experience. The higher the herding tendency of an individual investor is, the worse she performs in her investments. Importantly, the negative association between herding and investment performance is driven by the orders that are traded in the same direction with other individual investors. Our results suggest that herding with other individuals imposes a direct cost to individual investors.
published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy

Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2000.
"February 2000."
Includes bibliographical references.
Three studies were conducted to analyze the relationship between public infrastructure investment and regional economic performance. The first study examines the literature on economic development and productivity growth. I show that conflicting results from studies by other analysts are the likely result of poor public capital data spanning to short an interval, and an inadequate modeling framework. Public investment may generate small improvements in productivity, but models understate economic impacts owing to the public goods character of some forms of public capital. The second study explores the relationship between economic distress and public infrastructure investment. I use a sample of U.S. counties to analyze public investment according to level of economic distress. With simple investment models, I estimated infrastructure needs for counties with apparent shortfalls. I analyzed the needs-estimates in a series of case studies in which jurisdiction planning and budget personnel were consulted about the accuracy of the estimates. I show that short-run economic distress is not to be linked to public infrastructure investment. Over the long-run, investment varies by level of distress, but as a consequence of private residential investment. The needs-estimating models were reasonably accurate, but missing investment data proved troublesome. Counties proved to be a poor unit of analysis for infrastructure needs, as since significant variation was observed among jurisdictions within counties. The third study demonstrates the need for better estimates of public infrastructure capital stock. I prepared new capital stock estimates for two regions using local investment data and survey-based public capital service lives. I surveyed one thousand jurisdictions in the New England region and the state of Texas. Survey-based service-lives seem to differ significantly from estimated lives. Stock estimates using local investment data and survey-based service-lives produce dramatic differences compared to estimated stocks at the state and regional level. The new data, however, performed just as poorly as other series when used to estimate aggregate production functions. Prior analysts' understanding the relationship between economic performance and public infrastructure investment has been limited because of poor data, and inadequate appreciation of infrastructure's inherent complexity. The research presented here demonstrates that significant improvements are possible and worth undertaking.
by Nicholas O. Rockler.
Ph.D.

Includes bibliographical references.
This paper is an analysis of the South African Collective Investment Schemes (CIS) performance fee structure. The paper looks at the methods used in the calculation of performance fees and provides a detailed breakdown of their implementation in the South African CIS industry. With the aim to show and explain the various performance fee structures that are currently in place in the South African CIS market and then to highlight differences in structures between so-called "similar funds".

A recent trends report estimates that the total value of US-domiciled assets under management using socially responsible investment (SRI) strategies is $6.57 trillion. This represents more than one out of every six dollars under professional management in the United States (Forum for Sustainable and Responsible Investment, 2014). In Europe, a recent report by the European Sustainable Investment Forum reports that the total value of European assets under management using SRI strategies is in excess of €6.9 trillion (Eurosif, 2014). Consequently, the importance of SRI to financial practitioners and academics is considerable. This thesis examines the performance, risk and exposures of US SRI indices, UK SRI equity funds (domestic and global) and US SRI funds (large cap, mid-small cap, balanced and bond) to investigate a number of issues relating to the performance of SRI portfolios. The work highlights the potential psychological returns which may be related to investing in SRI funds through shareholder activism and discusses the relationship between the potential risks and returns that are associated with this form of investing. The study finds that the requirement to screen can detrimentally affect the performance of SRI portfolios, but that these effects are more pronounced for UK funds which predominately employ negative screening techniques, than US SRI portfolios (indices and funds) which principally employ positive and restricted screening methodologies. The investigation also discovers that SRI portfolios with smaller investment choice, such as those that can only invest in the UK stock market are more affected by SRI screening than those with large investment universes such as global or US equity funds. This finding is consistent with the smaller investment universe of an SRI fund, making it more likely SRI screening will affect the fund’s performance and risk. Post screening, a fund manager may find it more difficult to purchase assets with the potential to provide a good return or to diversify risk effectively. SRI screening also affects the sector exposures, industry exposures, systematic risk and idiosyncratic risks of UK SRI funds, indicating that screening can result in SRI portfolios holding significantly different assets from conventional funds. In addition, the intensity with which a UK SRI fund screens is shown to significantly affect risk-adjusted performance. Importantly, this study also finds that US SRI funds are more likely to vote affirmatively with shareholder proposals which relate to social and environmental issues than their conventional counterparts and are more likely to vote against company management on these issues. This finding is consistent with SRI investors receiving a psychological return through the shareholder activism of SRI funds.

Two main methods have been used in mutual funds evaluation. One is portfolio evaluation, and the other is data envelopment analysis (DEA). The history of portfolio evaluation dates from the 1960s with emphasis on both expected return and risk. However, there are many criticisms of traditional portfolio analysis which focus on their sensitivity to chosen benchmarks. Imperfections in portfolio analysis models have led to the exploration of other methodologies to evaluate fund performance, in particular data envelopment analysis (DEA). DEA is a non-parametric methodology for measuring relative performance based on mathematical programming. Based on the unique characteristics of investment trusts, Morey and Morey (1999) developed a mutual funds efficiency measure in a traditional mean-variance model. It was based on Markowitz portfolio theory and related the non-parametric methodologies to the foundations of traditional performance measurement in mean-variance space. The first application in this thesis is to apply the non-linear programming calculation of the efficient frontier in mean variance space outlined in Morey and Morey (1999) to a new modern data set comprising a multi-year sample of investment funds. One limitation of DEA is the absence of sampling error from the methodology. Therefore the second innovation in this thesis extends Morey and Morey (1999) model by the application of bootstrapped probability density functions in order to develop confidence intervals for the relative performance indicators. This has not previously been achieved for the DEA frontier in mean variance space so that the DEA efficiency scores obtained through Morey and Morey (1999) model have not hitherto been tested for statistical significance. The third application in this thesis is to examine the efficiency of investment trusts in order to analyze the factors contributing to investment trusts' performance and detect the determinants of inefficiency. Robust-OLS regression, Tobit models and Papke-Wooldridge (PW) models are conducted and compared to evaluate contextual variables affecting the performance of investment funds. From the thesis, new and original Matlab codes designed for Morey and Morey (1999) models are presented. With the Matlab codes, not only the results are obtained, but also how this quadratic model is programming could be very clearly seen, with all the details revealed.

Arrogance in the workplace is a growing area of interest within industrial-organizational psychology. Arrogant employees tend to lack positive interpersonal work relationships, act superior yet have a lower level of cognitive abilities, and have poorer job performance than their less arrogant counterparts, leading to challenging work relationships and overall impact on an organization's ability to meet its objectives. The present study examined professional arrogance measured by the Workplace Arrogance Scale (WARS), a 26 question survey, in relation to the objective outcome measure of a Financial Investment Advisor's (FIA) ranking on the firm's leader board based on total assets under management plus revenue. A total of 37 participants who have been in the profession for more than 2 years completed the survey. This study employed a quantitative, correlational research design. The research questions were assessed using linear regression and moderation analyses. Analysis of the data showed no significant predictive relationship between results of the WARS and performance. Gender and professional experience did not moderate the relationship between an FIA's arrogance and their performance. While these findings did not support the hypothesis of a connection between a FIA's assessed arrogance and measured performance, arrogance remains an important construct requiring further study. As workplace arrogance is better understood, it can be screened for by human resources within hiring processes and can be addressed directly by leadership through training and development. Decreased arrogance is likely to lead to more respectful client relationships, leading to customer loyalty and increased revenues for the client, FIA and the financial firm that he/she serves.

Thesis (S.M.)--Harvard-MIT Division of Health Sciences and Technology; and, (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2007.
Vita.
Includes bibliographical references (leaf 28).
Venture capital investment performance data and performance attribution are not typically published. Venture investors articulate (and sell to LPs) conflicting strategies; the popular business literature and culture is rife with rapidly changing beliefs about the relative attractiveness of healthcare venture subsectors, particularly therapeutics and devices. To examine these issues in a more rigorous format I developed a dataset of healthcare venture deals, scored each deal with a new metric ("jb-score"), and assigned each portfolio company to appropriate subsectors. This dataset was then used to examine subsector performance, persistence, and fund strategy attribution (pure vs. mixed healthcare strategies.) Specifically, I found that the performance characteristics of device and therapeutic (aka biotech or drug) investments are similar: both subsectors evidence similar jb-scores and firms who invest heavily in these subsectors show similar levels of persistent overperformance with devices showing somewhat higher persistence. Firms that focus on one subsector do not perform as well as firms that follow a more balanced strategy. Finally, I examine the validity of the jb-score and offer some suggestions for future improvements.
by Jeffrey S. Behrens.
M.B.A.
S.M.

Sammanfattning

Denna magister uppsats undersöker huruvida ledarskap, ägarstruktur och kontroll påverkar svenska familjeföretags investerings prestation på marknaden. I undersökningen har 90 svenska företag analyserats inom en 15 års period (1990-2005).

Ledarskap har delats upp i tre olika strukturer, den första strukturen står för grundar ledarskap. Regressionsanalysen i denna uppsats visade att en grundare har en positiv påverkan på företagets investerings prestation då grundaren agerade som Verkställande Direktör (VD), Styrelseordförande (SO) eller båda. Detta kan förklaras utifrån teorier som gör tydligt att en grundare äger entreprenörskaps anda och utmärkande kunskaper inom området ifråga. Resultatet för den andra strukturen, ättlings ledarskap visade att då ättlingar till grunderaren verkade som antingen VD, SO eller båda i företaget förekom en negativ påverkan på företagets finansiella prestation. Detta kan förklaras utifrån teorier som menar att en ättling inte har samma kunskap eller ambitioner som grundaren till företaget. Ättlingar har oftast ärvt högre poster inom företagen på grund av sina familjerelationer till grundaren snarare än på grund av sina kunskaper inom området. Den tredje ledarskapsstrukturen är externa ledare. Externa ledare är antingen en VD, SO eller båda som har blivit inhyrda till företaget av ägarfamiljen. Regressionsanalysen visade ett insignifikant resultat.

När resultaten för ägarstruktur och andel röster av ägare analyserades i både företag med röstdifferensiering och utan röstdifferensiering visade det sig att när grundaren agerade som VD, SO eller båda i företag utan röstdifferensiering förekom ingen minoritets expropriation eller principal-agent konflikter inom företaget, vilket betyder att företagets finansiella prestation påverkades positivt. Liknande resultat hittades även för företag med röstdifferensiering som hade externa ledare i sin ledning.

Real Estate Investment Trusts (REITs) are firms that own and manage income producing commercial real estate for the benefit of their shareholders. The three studies in this dissertation explore topics relating to best practices of REIT management and portfolio composition. Managers and investors can use the findings herein to aide in analyzing a REIT's performance and determining optimal investment policies. Utilizing REIT from SNL Real Estate and CRSP, the first two studies examine the role of international diversification upon performance, technical efficiency, and scale efficiency. The third study utilizes REIT data to examine technical and scale efficiency over a 21 year window and investigates characteristics of the REITs that affect the levels of efficiency. CHAPTER 1 – PROFITABILITY OF REAL ESTATE INVESTMENT TRUST INTERNATIONALIZATION Real Estate Investment Trusts (REITs) in the United States have grown extremely fast in terms of assets and market capitalization since the early 1990's. As with many industries, U.S. REITs began acquiring foreign properties as their size grew and they needed to seek new investment opportunities. This paper investigates the role of holding foreign assets upon the total return of U.S. based REITs from 1995 through 2010. We find that holding foreign properties in associated with negative relative performance when risk, size, and other common market factors are controlled for. Interestingly, the source of the negative performance is not related to the two largest areas for foreign investment, Europe and Canada. Instead, the negative performance is detected when a REIT begins acquiring properties in other global regions such as Latin America and Asia/Pacific. This paper has broad ramifications for REIT investors and managers alike. CHAPTER 2 – EFFECT OF INTERNATIONAL DIVERSIFICATION BY U.S. REAL ESTATE INVESTMENT TRUSTS ON COST EFFICIENCY AND SCALE As U.S. based Real Estate Investment Trusts (REITs) have increased their degree and type of holdings overseas, there has yet to a study that has investigated such activity on the REIT's measures of cost efficiency and scale. Using data from 2010, Data Envelopment Analysis techniques are used to estimate measures of technical and scale efficiency that are then regressed against measures of international diversification and other controls to measure the impact of this global expansion. It is determined that REITs with foreign holdings are significantly larger than domestic REITs and are correspondingly 96% of foreign investing REITs are operating at decreasing returns to scale. Further almost every measure of foreign diversification is negative and significantly impacting scale efficiency. However, simply being a REIT with foreign holdings did positively and significantly associate with higher levels of technical efficiencies. Thus REITs that expand globally may have some advantages in operational efficiency but lose considerably in terms of scale efficiency by increasing their size as they move cross-border. ? CHAPTER 3 – THE EVOLUTION OF TECHNICAL EFFICIENCY AND ECONOMIES OF SCALE OF REAL ESTATE INVESTMENT TRUSTS Data Envelopment Analysis (DEA) is used to measure technical and scale efficiency of 21 years of Real Estate Investment Trust (REIT) data. This is the longest, most complete dataset ever analyzed in the REIT efficiency literature and as such makes a significant contribution as prior efficiency studies' data windows end in the early 2000's at latest. Overall, REITs appear to continue to operate at decreasing returns to scale despite rapid growth in total assets. Further, there is some evidence of improving technical efficiency overtime; however the finding is not strong. In summation, it appears that REITs have not improved on a relative basis despite the rapid growth, a finding that suggests a potential of a high degree of firm competition in the REIT industry. Finally, firm characteristics such as debt utilization, management and advisory structure, and property type specialization are tested for their impact upon technical and scale efficiency.
ID: 031001577; System requirements: World Wide Web browser and PDF reader.; Mode of access: World Wide Web.; Adviser: Randy I. Anderson.; Title from PDF title page (viewed August 26, 2013).; Thesis (Ph.D.)--University of Central Florida, 2012.; Includes bibliographical references (p. 128-134).
Ph.D.
Doctorate
Business Administration
Business Administration; Finance

Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Architecture, 1993.
Title as it appears in the Sept 1993 MIT Graduate List: Investment performance of subsidized housing.
Includes bibliographical references (leaves 55-56).
by Tong H. Hahn.
M.S.

PhD
Thesis (PhD (Business Management))--Stellenbosch University, 2008.
The objective of this study is to provide a new approach to assessing fund management and to establish whether there is empirical support for this approach. The new approach will improve investors’ decision making with respect to the management and investment of their assets. We construct equity-only funds from quarterly equity holdings of unit trusts. The funds are ranked each quarter using various performance measures and segmented into winners and losers; firstly according to the median of the ranks and secondly according to quintile rankings. The funds’ rankings are examined for evidence of persistence. Secondly, a performance attribution method is introduced that identifies the static (“buy-and-hold”) portion and the trading portion of a fund. The funds are examined in terms of characteristics that distinguish between funds according to how the manager has chosen to organise (or construct) the fund. These characteristics are the static portion, the trading portion, the size of the static portion and the extent of the overlap between funds’ holdings and the large, mid and small capitalisation indices. Relationships between winners and losers (based on quartiles) and the fund characteristics are examined. Finally, the trading activities of investment managers, for their funds, are examined. This examination begins with the use of traditional measures that focus on a holistic approach to evaluating trading ability. The examination is enhanced with the introduction of a new reductionism approach, where the success of individual trades is examined. The results of the earlier performance attribution are included in the evaluation of investment managers’ abilities to add value to investors’ assets via trading activities.

This paper explores private investments in public equity (PIPE) deals as a means of alternative firm financing. Poorly performing companies often look towards PIPEs to quickly raise capital when traditional means of financing are limited. This study provides an analysis on both the discount and premia that PIPEs are issued at, as well as the performance of firms after the deal announcement. Overall, this study finds that successful PIPEs from the investor’s perspective are issued at a discount of close to 17%, and unsuccessful PIPEs are issued at an average of a 15% premium. I find substantial cumulative abnormal returns of 9% over a three-day period due to positive information shocks. Overall, this thesis corroborates past research in the field.

Socially Responsible Investing (SRI) has experienced substantial growth over the last decade, although there is still a lack of consensus on whether this form of investing leads to competitive investment returns. This paper considers the case for SRI by examining the relationship between a range of Environmental Social Governance (ESG) rating factors and financial performance of US listed companies. Previous research in this area has largely been at the portfolio level and focussed on return as a performance measure. This study makes an important contribution to the literature by utilising stock level data to consider the relationship between ESG ratings and not only stock return but also wider measures of financial performance, namely valuation and operating performance. Using a multifactor framework, this study provides evidence of a significant positive relationship between a range of ESG rating criteria and market to book value and return on assets measures, whilst a positive although inconsistent relationship between ratings and stock return is apparent. I argue that the relationship with valuation and operating performance is more clearly identified due to these measures being based on annual data, hence being consistent with rating data and also more stable than stock return (which is impacted by shorter term factors). In comparison to Brammer et al. (2006), the analysis shows that higher stakeholder ratings on the whole are more positively related to stock return. The results are broadly consistent with findings of Galema et al. (2008), although additionally highlight the significance of higher ratings for both valuation and operating performance and that employee conditions are more relevant than other stakeholder rating criteria.

Mestrado em Finanças
O 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.

The active funds industry is large and growing. However empirical evidence suggests that the average active fund produces negative risk-adjusted performance after expenses. This is commonly taken as evidence that active fund managers lack the skills to justify the fees they charge. Existing studies look at performance over a sample period as a whole, without conditioning on the active opportunity set faced by fund managers. Yet active opportunity is not constant and has a major influence on the success of active strategies. This dissertation investigates the impact of active opportunity, as measured by cross-sectional dispersion in stock returns, on active fund performance. I find that a positive relation exists between active opportunity and the average performance of active funds. During periods of high return dispersion, in which active strategies have the greatest impact on returns, active fund performance on average significantly exceeds that achieved during lower dispersion months, in which active strategies are of lesser effect. Stratifying my sample based on the activeness of funds' strategies reveals that the positive relation between dispersion and fund performance is increasing in the activeness of the fund. A portfolio comprising the least active funds significantly underperforms when dispersion is low and does not improve when dispersion is high. A portfolio of the most active funds, on the other hand, does not significantly underperform in low dispersion months and achieves significantly higher performance in high dispersion months. Moreover, the outperformance of the most active funds relative to the least active funds documented in the literature is largely concentrated in months of high return dispersion. Bootstrap simulations performed to distinguish skill from luck in fund performance confirm that the prevalence of managerial skill significantly increases with fund activeness. Regardless of the performance metric employed, the least active fund portfolio contains the lowest prevalence of manager skill, with the highest prevalence of skilled managers contained within the most active portfolio of funds.

碩士
元智大學
財務金融暨會計碩士班(財務金融學程)
107
In recent years, Taiwanese investors have been keen to invest in Investment Fully Authorize Investment Insurance (IFAII), hoping to earn more returns. This study explores whether these IFAIIs have excess returns. This study also examines the characteristics of IFAIIs could influence investment performance. The empirical results show that a great part of IFAIIs have negative buy and hold returns, only a small portion of them is profitable. Therefore, mean buy and hold returns of IFAII is negative. On the other hand, this study finds that the market returns are positive at the same period. The inconsistent results indicate that the investment performance of IFAII in Taiwan cannot help investors earn money. If we further control risk factors, such as market performance, size, growth opportunity, momentum, we still find negative risk adjusted returns of IFAII in Taiwan, which confirms that the investment performance of IFAII is bad. This study further finds that investment performance of IFAII with high commission fees or management fees do not perform better than that of other IFAIIs.　In addition, investment performance of IFAII is similar when they are managed by domestic or foreign securities investment consulting company. The results imply that it is not necessary for investors to invest in IFAIIs with high commission fees or foreign securities investment consulting company. The findings of this study help investors better understand investment performance of IFAIIs, enabling investors to develop investment strategies that are more in line with their goals.

碩士
清雲科技大學
國際企業管理研究所
98
The Fund has became one of the important financial investors, their reward is stable, spreading and circulation of convenient features, making available investors alike, the advantages and disadvantages for the regional fund and the special instructions, to invest in performance evaluations, and finally investment recommendations, as the sole proprietor of reference. This study of ten countries to the East of Shia place as a discussion on the subject, ASEAN ten States related literature, ASEAN ten States survey, ASEAN fund performance evaluation and ASEAN risk measure, as well as secondary home loans for the influence of ASEAN, and so on, the Fund through the ASEAN Fund more recent performance. Integrated by the standard deviation of size, you can learn the performance returns to fidelity size, the standard deviation of the Malaysian Fund smallest, HSBC global investment fund-India stock table maximum prospective difference. Sharpe ratio of high and low coefficient, it means the extent to which risk adjustment fund to fund the JF Malaysia and fidelity Malaysia Fund''s higher Sharpe ratio, the Fund less risk adjustment. According to the study, in line with standard deviation, sharp coefficient, beta coefficient and risk analysis, we find that no matter what is happening on home loans and home loans before or after the occurrence of subordinated by fidelity Malaysia Fund performed well.

碩士
實踐大學
企業管理研究所
91
All the previous studies about mutual fund performance are all presumed each fund to be an isolated entity, trying to find either a general performance measure or the connections between fund managers’ personal characteristics and performance. They all neglected the fact that mutual funds might be issued by the same fund sponsors. And since these fund managers are employed by the same fund sponsors, they should work in the same offices, and use the same investment research resources and databases. They also should share their opinions through periodic investment conferences or formal industry reports. That’s why the investment herding occurs significantly among mutual funds issued by the same fund sponsors. And furthermore, if fund managers are the key to predict the success of the mutual funds, there should be significant performance differences after mutual funds replace their managers. In fact, studies proved that there’s no such significant differences for the replacement of managers. Due to herding effect, there might be similar react for performance among funds, especially those issued by the same sponsors. And since manager change wouldn’t affect performance significantly, we could say that fund managers should not be a sufficient condition concerning mutual fund performance, though it must be a necessary condition. And fund sponsors might play an important role that makes differences happening. In view of the possible sponsor effect, we try to go back to Mean-Variance model and add sponsor factors on it as qualitative predictors to conduct these mutiple-regression analyses and examine whether these sponsor factors could produce significant results. Using the database containing 5-year performance data (from 1998 to 2002) derived from monthly mutual fund performance ranking reports of SITCA, we find that there does exist statistically significant differences in both constants and slopes of the Mean-Variance regression lines of Taiwan mutual fund sponsors.

碩士
淡江大學
財務金融學系碩士在職專班
102
The thesis aims to investigate the Markowitz portfolio theory associate with the VIX fear index and apply to mutual fund portfolios, hoping to provide investors when investing in mutual funds as to when the VIX index and sharply pulled low reference standards. It also allows ordinary investors to avoid chasing the high and kill low investment strategy, and long-term vision to look at investing in mutual funds. This data contain year 2012 to 2014 which obtained from Morningstar Fund Awards Fund and be established more than ten years. According to the mean-variance model of Markowitz (1952), we can seek the optimal efficiency of the leading edge of efficient portfolio model for the study, divided into six months trading period, quarter,month, and based on the VIX trading at 20% of ups and downs to make decisions and Change 10% of investment, respectively. Empirical results show that the average rate of return of VIX-20% is greater than the VIX-10%, a longer period of return on investment is better than trading during trading knowledge. Based on MV portfolio theory and every six months performance,the VIX-20% is the best trade rule. In summary, the empirical results prove that Markowitz portfolio theory and the VIX volatility strategies provide investors as a reference portfolio.

碩士
國立高雄應用科技大學
金融系金融資訊碩士在職專班
105
The research explores the related empirical analysis of the investment performance of the “Discretionary Investment Policy” issued by Taiwan's insurance industry. The performance is through the financial market to collect the results of the operations of the real discretionary investment policy accounts. The further study is about the comparisons during its corresponding issue period and the benchmark from the performance risk level. Finally, the research is to probe into the performance attribution analysis through the regression analysis． The results show, on the whole, the poor performance of the research sample compared with the market benchmark and even the phenomenon of the remuneration is lower than the investment grade debt, but the risk is higher than the investment grade debt. It is obvious that the performance of the whole Discretionary Investment Policy is poor, but for the bottom of the extreme risk of VaR's management performance corresponds to the market expectations. Secondly, the significant differences are in the performance of different types of the Discretionary Investment Policy accounts at the same research sample company because of the different investors. Thirdly, the analysis of the factors influencing the performance of the remuneration of the discretionary investment policy can be seen that the impact of the benchmark and the benchmark risk on the performance is significantly positive. However, the risk of the accounts is significant negative, as for the performance is significantly worse of the issuance of insurance companies only one insurance company issued. In addition, the other models of insurance companies are not significant differences. In acting operations in the four models, there are two in the investment trust company of the whole market was significantly worse, the issued by the pricing currency and they are not significant in all models. Fourthly, according to the analysis of the risk factors influencing of the discretionary investment policy, and it can be seen that the risk of the benchmark and the account management fee are significantly positive for the risk of the whole. However, the remuneration and the remuneration of the account itself are significant negative, as for the agent variable issue insurance company sales of product risk is not significant difference. Acting operations in the four models some of the investment trust company in the discretionary investment policy of the whole market was significantly worse and the discretionary investment policy issued pricing currency in all models are not significant.

碩士
國立中興大學
高階經理人碩士在職專班
99
The purpose of this article is to analyze the return between jewelry and other investment commodity(e.g. gold, the fund of gold, the region fund on china). Furthermore, the main mission discovers the best appropriate investment strategy and commodity. The main research method adopts independent sample t test, and it promotes to compare the real value on relevant investment commodity. In the light of the result of t test, the return of diamond is not fluctuation over the past decade, but the performance of gold and regional fund of china is relatively . However, the strength of diamond is that the level of oscillation of price is stable relatively in the consideration of investment risk. As such, It is a good investment commodity for investors. In conclusion, the primary purpose of the study to analyze the assessment method on jewelry return and the comparison return of other investment commodity, and it is a good reference for investors in the future.

碩士
東吳大學
國際經營與貿易學系
104
R&D and capital expenditures in the company's investment activities are the most important discussion topic. When companies face financial constraints, may have their threshold limit for investment decisions. A few literature integrated investments, financial restrictions, the impact on R&D and capital expenditures on the company's performance to a research. In this paper, in addition to use multiple regression, Panel Data model, and simultaneous equations model to analysis. We find the impact on R&D expenditures and capital expenditures is not the same. Due to the R&D expenditures is the research of new products or new technology, it will affect the current tax net profit. Capital expenditures are the long-term investments. When the economy outlook is better, the company will increase its capital expenditure. Directors’ stock holding ratio shows a positive effect on corporate performance. That means good corporate governance can enhance the company's performance, and can have a positive effect on R&D and capital expenditures. When the companies face financial constraints, it may be difficult to obtain external financing. So, we find that financial constraints is significantly negative to capital expenditures.

碩士
中興大學
財務金融系所
99
The concept of corporate social responsibility (CSR) becomes more and more important in the history of corporate governance. This research aims to investigate the fund and index performance of CSR portfolios in Taiwan and world stock market. The findings of the study show that the Dow Jones Sustainability Index、CommonWealth CSR portfolio、Fubon Social Responsibility Fund have significantly excess return, while FTSE4Good Index Series、KLD 400 Social Index、遠見CSR portfolio、Fortune CSR portfolio do not exhibit excess return than conventional benchmarks. Furthermore, based on the constructed procedure of CSR indices and funds, a local corporate social responsibility portfolio is established from three aspects, the social and environmental, corporate finance, and firm commitment, to evaluate a firm’s contribution to CSR. Applying the approach of binary signal model, utilize the model to discriminate winners from losers, along with intangible asset valuation, then use the market index as a benchmark for performance evaluation. The findings of this study show that the CSR portfolio this research constructed have significantly excess return. Therefore, investors could base on the relief of corporate social responsibility to construct their portfolio and the corporate should grand corporate social responsibility seriously in order to enhance the corporate value.

碩士
國立臺灣大學
財務金融學研究所
106
This thesis examines whether portfolio composed of low price to book value stocks can beat the market. The answer is yes. In addition, the performance of this portfolio can be further improved by building a new portfolio with stocks having high current ratio or low volatility in the original portfolio.

碩士
南華大學
管理研究所
91
Because of global capitalism transferred and some Asia country’s economic policy opened up, Taiwan economic system transferred from capital-in to capital-out, and Taiwan trade depended upon Mainland China had more then United State. Thus, The purpose of this thesis is to find the correlation between investment motivation, investment strategy, organization interdependence, and organization performance of Taiwan business investment in Mainland China. In addition, we take organization characteristic and manager characteristic in variables. The results of the research indicate that: 1. The organization characteristic and manager characteristic are significant partial difference on the other variables. 2. The correlation between investment strategy, organization interdependence,and organization performance is existence, and the investment motivation correlates to the other variables partially. As the results,we suggest that the industry should notice the positive interdependence with competitors and the professinal manager and foreign manager hired.It will help industry`s performance and globalization.

The recent rise in the importance of the Indian stockmarket as an avenue of investment for the household sector and a source of funds for corporations provided the primary motivation for this research effort: an investigation into the informational efficiency of the Madras Stock Exchange, one of the four major stock exchanges in India. A stockmarket is informationally efficient if expectations formation in the market is characterised by the rational expectations hypothesis. Direct observations of share price expectations, specifically collected for the purposes of this thesis, are used in the analysis to obviate inference problems associated with typical stock market informational efficiency test procedures. In general it is found that informational efficiency is not an appropriate characterisation of expectations formation in the market and that traders rely on rules of thumb to generate stock price forecasts. As such it is unlikely that the kind of speculative behaviour witnessed in the Indian stockmarket in the last 150 years can be entirely explained by expectations revision that correctly reflects the implications of major information changes. It is recognised that the structure of incentives faced by stock traders are such that it may not be worth their while to refine their forecasting procedures. Essentially as starting hypotheses to build further on the results presented in this thesis, the existing regulations and institutional arrangements in the Indian stockmarket are examined to see what form public intervention should take in order to make the market more informationally efficient.

碩士
真理大學
統計與精算學系碩士班
102
Investment-linked Insurance is the combined products of insurance and investment; this means that these contracts both offer insurance protection and investment by which policyholders have to take all risks. Another similar strategy concept of insurance and investment is to buy term and invest the difference(BTID); this means that consumers buy the term life insurance and invest the difference to the risky assets. Therefore, the purpose of this paper is to analyze and compare the investment performance of two strategies(that is to buy investment-linked Insurance and BTID) for the consumers on many insurance factors, by using the simulation method. This study we find that the firstly, whether gender, age and insurance period, the investment performance of BTID is better than the investment performance of investment-linked insurance product. Secondly, we find that the insurance factor (that is total loading premium ratio) will affect the consumer choice of investment strategies. Finally, the investment factor (that is average return and volatility) will not change the choice of investment strategies.

碩士
國立高雄應用科技大學
國際企業系碩士在職專班
101
How to beat the market has long been of great interest to financial researchers and practitioners. The study intends to apply the idea of style investing to explore how the strategy of style investing would affect investment performance. Specifically, we investigate both the short-run and long-run excess returns of the CAN-SLIM strategy, aiming to find a new investment style. With the data from Taiwan Economic Journal for the period of 2006-11, a variety of investment styles, including value, growth, large-cap, small-cap, and CAN-SLIM stocks, are compared using the pairwise t testing of statistical significance in different market conditions. The findings are two-fold. First, the CAN-SLIM stocks are shown to outperform the other investment styles. Second, the value, growth, and size effects are found to be significant in Taiwan stock market. Keywords: style investing; investment performance; CAN-SLIM strategy

碩士
亞洲大學
經營管理學系碩士在職專班
107
This study analyzes Taiwanese investors who invest in China for inancial investment, conducts research and analysis of the “five personality traits”, “investment behavior” and “investment performance” of investors, and understands the degree of relevant influence between the three facets. It can effectively combine the economic and trade business of Chinese Taiwanese businesses and expand the operational niche of cross-strait financial market development. The results of this study show that the overall facet of personality traits, as well as personality traits extroversion, diligence, affinity, emotional stability and openness of experience have a significant positive impact on investment behavior. The overall facet of personality traits and the diligence and prudence of personality traits have a significant positive impact on investment performance; investors' investment behavior has no significant impact on investment performance, and representatives do not invest more because of investors' investment behavior. Performance is higher.