Tesi sul tema "Investment"

In this essay we have been studying the development of investment companies that is traded at Mid Cap and Large Cap at the Stockholm stock market. We took out five investment companies at random from the mentioned markets above. We used these companies as benchmarking for the study. To measure the development we looked at the change in the stock price and the total yield over the given time period, we then compared these to three random portfolios of 8 stocks each and the index called Six-Return index. All the companies in the random portfolios have another type of owner structure and lack Investment Company as a big owner. Those companies have a more divided ownership. In the essay we also look at the yield with consideration to the risk that is taken in the given investment in forms of Sharpe ratio and standard deviation for each portfolio. To get some extra insight we have interviewed Investor AB and Investment AB Latour. Both companies are leading investment companies in Sweden. The time period for the essay is 10 years and is stretching from 2004-01-01 until 2014-01-01. The results from the paper are that investment companies in general had a higher yield then the index and portfolios that was used as comparison. The results for the investment companies are better in terms of change in stock price and in yield but also with the consideration of the risk. The explanation of the results lies in several variables where the active ownership of the investment companies is the major part of the explanation and net asset discount together with the high dividend is another part. With these result investment companies is supposedly a very good investment for t hose that can’t beat the market, which would mean a great deal of all investors.
I denna uppsats studeras utvecklingen hos investmentbolag som handlas via Stockholmsbörsen på Mid Cap och Large Cap. Fem investmentbolag slumpades fram ifrån dessa listor och har sedan använts som jämförelsebolag. För att mäta deras utveckling har vi studerat kursförändringen samt totalavkastningen och jämfört dessa med slumpmässiga portföljer samt SIX Return index. De slumpmässiga portföljerna består av bolag utan något investmentbolag som större huvudägare. Detta resulterar i att de flesta bolagen i slumpportföljerna har ett mer splittrat ägande. I uppsatsen undersöker vi även avkastningen med hänsyn till risk i form av Sharpekvoter och standardavvikelse för varje portfölj. För att få en extra insyn i investmentbolagen har vi intervjuat Investor AB samt Investment AB Latour som är två ledande investmentbolag i Sverige. Studien tittar på en tidsperiod om 10 år mellan 2004-01-01 och 2014- 01-01. Det resultat som framkommit under studien är att investmentbolagen generellt sett har avkastat bättre än sina finansiella jämförelseobjekt. Detta med avseende på kursförändring och totalavkastning men även med hänsyn till risk. Förklaringen till detta ligger i ett antal variabler där investmentbolagens aktiva ägande är den största orsaken och substansrabatten i kombination med hög utdelning är ytterligare en orsak. Detta innebär att en portfölj med investmentbolag är en väldigt bra sparform överlag men framförallt för den som vill spara i aktier men saknar förkunskaper.

The theoretical bases of investment policy formation are considered in the paper, indicators of economic development are determined. The essence of the investment policy and the policy of attracting foreign investments are also disclosed. The current state of investment activity in Ukraine in regional and sectoral context is analyzed, as well as an assessment of the dynamics of foreign direct investment. The macroeconomic indicators of investment activity are estimated. Problems and prospects of investment activity in Ukraine are investigated.

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 thesis shall represent the arbitration regime under the International Centre for Settlement of Investment Disputes (ICSID) in connection with protection mechanism of Bilateral Investment Treaties (BITs). It shall analyse the achievements of ICSID and BITs and their influence of foreign direct investments, investors and the host country. Finally, this thesis will try to assess the achievements in this area and discuss advantages or disadvantages for the involved parties. Individuals and corporations are interested in foreign direct investments (FDI) to exploit new markets, to realize or to sell business ideas, and to raise their market value or personal wealth. Under an economical point of view, money or investments always found its way to the most efficient places on earth which were able to be reached in any century to produce a better or the same product or service for a better price. The raising of profit margins was the driving force to explore new markets; also foreign governments tried to attract investors from all over the world to create new jobs and import new technology for their economies to raise the capacity to compete on an international level. In the early nineteenth century the prevalent form of foreign direct investment was that carried out through loans and government bonds. In contrast, modern foreign investment is more characterized by direct investment on the spot: the building of infrastructure, like railroads or telephone networks, and the establishment of joint-ventures in the car industry, to name but two examples. Investment abroad also means to play in a new and unknown playground. Investors have to place their money in a foreign environment under different laws, different rights and duties, and with unknown future protection of their investments. This makes foreign direct investments an uncertain game, and uncertainty did always keep investors from direct investments in a foreign and unknown country. Furthermore, not only the unknown environment is an investment obstacle, investors also were faced with problems with governments in the foreign market. First foreign governments promoted foreign direct investments to raise their economic power. Large infrastructure projects had an important effect on the countries where they were constructed: they were the basis for a faster growing economy. Later the same governments or new political powers changed government positions regarding foreign investment and they restricted investment related money transfers of investors out of the investment area or they initiated measures and laws to expropriate the property of investors without financial compensation. The big infrastructure investments were seen as a necessity for the welfare of the citizens and as a security of the host state. Many host countries felt that these projects should be controlled by the government and not by foreigners. The treatment of aliens by governments was, and still is, dependent on political theories and influences. A change of the investment climate, the "political risk", can be a huge uncertainty for foreign direct investments. Every investor has to ensure that the investment is lucrative and that he has the possibility to reduce risks and cost in case of changes of the investment climate. In the past foreign investors had no direct way to enforce investments claims against a foreign state for its sovereign acts or for breach of customary international law. Instead, investors had to rely upon their own government taking up the claim on their behalf and try to solve the dispute by diplomatic measures. This dependence on others was inconvenient and unpredictable, and therefore dissatisfying for alien investors. The settlement of foreign investment disputes in the past was a question of political influence and economic power. Individuals or corporations had to influence their governments to take up their case on the state's behalf. This was only possible for very important and influential investors. The investor's state then sent warships to threaten the offending state until reparations were paid. This "gunboat diplomacy" was exercised frequently by European powers until the early twentieth century, for example when faced with Venezuela's default on its sovereign debt in 1902, the governments of Great Britain, Germany and Italy sent warships to the Venezuelan coast to demand reparation for the losses incurred by their nationals. The need for security and predictability for foreign investments was one of the main reasons to establish diplomatic relations with other states. Various ideas from the point of view of money receiving and money spending states were discussed and realized, from the Calvo doctrine - where contracts between the host state and foreign investors included an agreement in which the latter agreed to confine himself to the available local remedies without relying on diplomatic interference of his own state - to the principle of diplomatic protection - where a state espouses the claim of its nationals as a claim on its own behalf. With the Second International Peace Conference of The Hague in 1907, states agreed to a framework for the conclusion of bilateral arbitration treaties which were the basis for independent arbitration tribunals in case of a dispute between two states arising out of particular interests of its national investors. The right of diplomatic protection as mentioned above was still inadequate to promote foreign investments: the Latin American countries relied upon the Calvo Doctrine, which denied the possibility of interference under diplomatic protection principle. Also, the breach of investment treaties by states was still not sanctioned by public international law. Only expropriation was recognised quite early as a possibility for diplomatic protection claims. Furthermore diplomatic protection was only accessible for nationals of the claiming state. Questions arose what happens if transnational corporations claim protection? The obstacle for investors to convince their government to claim diplomatic protection for its nationals was very high and unpredictable to foresee. Also a claim against the home state to exercise diplomatic protection does not exist. Today, in our small world, where businesses are moved from the United States to India, industrial production is transferred from Europe to China, or new infrastructure projects are started in Central Africa, one cannot imagine international business without FDI. Foreign direct investments need security, investors need security. Security is necessary to promote foreign investment which is recognized as one of the driving forces in supporting development in developing and least developed countries. Investors want to know their rights regarding their investments and they want to enforce their rights directly in a fast and cost-effective way. The need for protection is the reason for various measures introduced by governments to secure investments. In the following the system of foreign dispute settlement under the International Centre for the Settlement of Investment Disputes (ICSID) in combination with Bilateral Investment Treaties (BITs) shall be highlighted. The ICSID is the result of the investor insecurity mentioned above. ICSID shall also support FDI in the developing countries. The focus shall be on the increased interest for BITs and the therefore increased interest in ICSID arbitrations. Why do states use BITs? Did the establishment of a neutral venue for investment dispute settlement reach its goal to depoliticise disputes? Is it used by investors, and what is protected? Do BITs play an important role in the system of dispute settlement and why? And how do they work together with the ISCID system?

This study explores the contemporary practice of Ethical and Socially Responsible Investment and concludes that it is based on an ad hoc construct of empirically derived principles, driven mainly by the commercial self-interest of large financial institutions and fund managers. It explores the relationship between investment and morality, to posit a background theory of investment ethics. The study then proposes a move away from the narrow focus of ethical investment to a broader concern for investment ethics. The study introduces the discipline of investment ethics and examines the criteria that form the basis of morality in investment decisions. The resultant theory is intended to be of practical significance in the business and investment domains and to assist potential investors to evaluate investment opportunities in the context of a consistent set of substantive normative ethical principles.

This study explores the contemporary practice of Ethical and Socially Responsible Investment and concludes that it is based on an ad hoc construct of empirically derived principles, driven mainly by the commercial self-interest of large financial institutions and fund managers. It explores the relationship between investment and morality, to posit a background theory of investment ethics. The study then proposes a move away from the narrow focus of ethical investment to a broader concern for investment ethics. The study introduces the discipline of investment ethics and examines the criteria that form the basis of morality in investment decisions. The resultant theory is intended to be of practical significance in the business and investment domains and to assist potential investors to evaluate investment opportunities in the context of a consistent set of substantive normative ethical principles.

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics
Attracting foreign direct investments (FDI) is an important objective as it can stimulate the economic development of societies. German companies are among the largest investors in Portugal and contribute significantly to the country’s value creation. However, Portugal’s attractiveness as an investment location has been decreasing in recent years as new competitors have emerged in the global economy. This report analyzes FDI trends and determinants as well as Portugal’s relative strengths and weaknesses, identifies potential investment opportunities for German investors and makes practical suggestions to improve the country’s current investment promotion activities, focusing in particular on the automotive supplier industry.

This thesis is a collection of three empirical essays on foreign direct investment and cross-border portfolio investment. The objective of the first essay entitled: “Oil and the Location Determinants of Foreign Direct Investment in MENA Countries” is to investigate the effect of oil as a proxy for natural resources and the main location determinants of foreign direct investment. Moreover, this paper examines whether oil as a proxy for natural resources in the host countries alters the relationship between natural resources and institutional quality. The result of the interaction, which is the key interest in this chapter, is robust and undermines the effects of investment profiles on IFDI. Paying particular attention to the degree of outward FDI concentration in developing countries and transition economies, the second essay is titled “Extending Dunning's Investment Development Path (IDP): Home Country Determinants of Outward Foreign Direct Investment from Developing Countries.” The aim of the empirical estimates provided in this paper is to investigate the home countries’ determinants of outward FDI from developing countries. Results from the paper support the OLI paradigm, the IDP theory. In the third essay, “Cross-Border Portfolio Investment from the Developing Economies and the Top Major Partners, using the Gravity Model”, I have applied a new approach to a new panel data set of bilateral gross cross-border investment flows between 37 developing countries and 79 host countries. The remarkably strong results have positive implications for the theory of asset trade. The main result suggests that the positive and significant coefficient of GDP per capita in a destination country can explain a significant part of the Lucas paradox, and supports the reason for developing capital being invested outside the region. Interestingly, geographical proximity is found to exert a significant positive influence on assets in order that investors may seek to diversify their portfolios.

Master of Agribusiness
Department of Agricultural Economics
Vincent Amanor-Boadu
The purpose of this research was to develop a decision tool to identify and rank potential locations for making a greenfield investment in flour milling. The driving characteristics of the tool developed are transparency, reproducibility, specificity and clarity. Currently, the approach to selecting countries in which to invest is driven purely by ad hoc frameworks that often lack the characteristics driving this investment index tool. The investment index was designed to have three main components: market conditions, economic environment and supporting infrastructure. Market conditions for the product of interest – in this case flour – were defined to encompass per capita wheat-based food consumption growth rate, wheat production versus wheat consumption and wheat flour imports growth rate. The economic environment was defined to incorporate the growth rate of per capita gross domestic product, corporate tax rate , labor productivity, foreign direct investment growth rates, position on the World Bank’s Doing Business 2012 rankings, and the number and extent of the country’s membership in regional economic and trade groups. Supporting infrastructure included electricity reliability, transportation quality, urbanization rate and the physical presence of the investing company in the country. The rationale for this last variable is that when the investing company already has a presence in the country under consideration, it has already incurred some of the hurdle costs that it would have to include in investments in a location where it does have current physical activities. The study started by filtering the scope of potential opportunities by a set of well-defined criteria: target geographical locations; Doing Business 2012 scores; and quantity of wheat flour imports in 2009. This led to four countries emerging as leading candidates for investment considerations: Brazil, Malaysia, Indonesia and Thailand. The investment index ranked these countries according to their relative suitability for investment. The three components of the index carry different weights because of their effect on the potential investment outcome. There is no data to support these weighting and therefore executives must utilize different probing approaches to weight the components. To this end, a base scenario and two other scenarios based on alternative weights were considered. The robustness of the ranking is revealed by the consistency of the rankings under the alternative weights applied to the components. The results showed that under the base scenario Malaysia had the highest investment index score. The results also showed that varying the alternative weights for the scenarios did not affect the overall outcome with Malaysia leading with the highest overall index score for each of the three scenarios.

Over the last decades technological companies have grown significantly and impacted our societies both politically and economically.The significant amount of user data these companies collect and manage have economic as well as political impacts on our societies.  The busines model of social media companies has raised alerts and provoked calls for regulatory measures. The thesis investigated whether social media platforms ‘data’ can constitute a protected investment under a Bilateral Investment Treaty, and what is the position of the international investment law if any about the digital economy. The author made an analysis of data localization regulation to determine if tech companies can claim protection under a BIT to avoid potential issues of a domestic regulation. After the analysis of international legal instruments, BITs and scholar literature the results of the study concluded that data could constitute a protected investment under the wording of certain BITs.

Impact investment is an innovation in the finance field, thus contributing to further development of social finance. This kind of investment is essential due to its ability to help reach the SDGs. The biggest challenges our generation has to address are represented through the SDGs. Impact investing offers a viable potential to tackle these goals. Through this type of investment, the investor aims to generate positive environmental and societal change, alongside financial returns. Research about the role of impact investors is rather scarce. The definitionof the field, its market players, and the investment process are unclear. Therefore, we have derived a question that aims to explore the field of impact investment by grouping the main players in two categories. Further, the research question seeks to explore the impact investment process by these two groups of investors and identify the difference. Thus, this purpose resulted in the research question as below:What are the differences between the approaches used by VPOs and SIIs in the investment processstages, in the DACH region?The field of impact investment is in its infancy. Therefore, there is no fully developed theoretical research performed. Thus, initially, an overview of entrepreneurial finance is provided. Further, we identified two main players, VPOs and SIIs, and their main characteristics as impact investors. In order to set the theoretical foundation of our research, we identified stages of the investment performed by two groups of investors which are: deal sourcing, deal screening, due diligence, investment decision, post-investment, and exit. Further, we compared the approaches used between two groups of investors. This comparison led to the preliminary framework, which is used as a guide for the exploratory study.When conducting the impact investment market research, we identified that DACH region as a hub of many types of impact investors: impact investing funds, microfinance funds, investment advisors, wealth managers, foundations, charities, and social investors —using an inductive approach, for the selected comparative exploratory study we conducted semi-structured interviews. A general question about the investment process was initially asked, followed by additional questions for better clarity and understanding of the process.The study arises with two groups of investors who, even though performing similar investment process, use different approaches in the investment process stages. Results from the study show that there are differences in each stage of the investment, where the deal screening and due diligence are the stages with the majority of the differences. The analysis has shown that the reason behind these differences is due to the type of the investors, targeted themes, targeted markets, targeted financial return, targeted impact return, and targeted stage of development of the companies. We believe that we additionally provided a better understanding of the two types of investors.

Semantic cache and distribution introduce new obstacles to how we use cache in query processing in databases. We have adapted a caching strategy called cache investment to work in a peer-to-peer database with semantic cache. Cache investment is a technique that influences the query optimizer without changing it. It suggests cache candidates based on knowledge about queries executed in the past. These queries are not only limited to the local site, but also detects locality in queries by looking at queries processed on remote sites. Our implementation of Semantic cache investment for distributed databases shows a great performance improvement, especially when multiple queries are active at the same time. To utilize cache investment we have looked into how a distributed query optimizer can be extended to use cache content in planning. This allows the query optimizer to detect and include beneficial cache content on remote sites that it otherwise would have ignored. Our implementation of a cache-aware optimizer shows an improvement in performance, but its most important task is to evaluate cache candidates provided through cache investment.

Magister Legum - LLM
Foreign Direct Investment (FDI) began as a worldwide phenomenon in the 19th and early 20th centuries. Even then, it formed only a small portion of foreign investments for decades, as a greater percentage took the form of portfolio investments. This was the case for example in 1914, when 90% of all foreign investment flows took the form of portfolio investment. Over time, however, there was a steady shift in the composition of foreign investments. In fact, about a quarter of foreign investment flows took the form of FDI in the 1920s. The drop in portfolio investments came about as a result of the collapse of the world monetary system in the 1930s, provoked by World War 1 and the Great Depression. There was, however, a general drop in the two types of investment during the interwar years. Unlike portfolio investment, FDI proved amazingly resilient and gradually recovered in the late 1930s. FDI again improved with the end of the Second World War, and became even more prominent after the 1960s in developing countries. This was not the case, however, which was yet to have its share of FDI flow. The main focus of this study is to investigate why Cameroon lags behind other developing countries in Sub-Saharan Africa (SSA) in terms of attracting FDI in spite of its membership of, and participation in, bilateral, regional and multilateral trade and investment treaties, and its attractive investment policies. The above argument applies explicitly to FDI because Regional Integration Agreements (RIAs) are said to boost FDI inflows from non-member countries. It is universally acknowledged that a well-designed policy framework for investment, capable of attracting FDI, would be productive and successful. Thus, for Cameroon to be competitive in attracting FDI, it is obliged to review its investment policies which continue to face the challenges of a changing global economy.

This study used protocol analysis to identify key variables in the venture capital investment decision-making process. The study used a fictional business plan which was based on six actual business plans. This fictional business plan was presented to ten venture capitalists who were asked to review it to decide whether to interview the investee. The protocols obtained from these subjects were analyzed to determine patterns within the subjects' review. The sections of the business plan which were commonly reviewed first were the deal structure, the executive summary, and the management section. The management section was used by the greatest number of subjects. The market section was used the greatest number of times. The data were also organized by type of operators used in each subject's protocols. Information Search/Retrieval operators were most common, followed by Task Structuring/Set Goal operators. When classified into the four major categories of Task Structuring/Set Goal, Information Acquisition, Analytical/ Inferential, and Choice operators, Analytical/Inferential operators were used most frequently. Choice operators were least used. The phrases were analyzed by the relevant section in the business plan. The market received the greatest number of references, followed by references to the product and to management. However, when references to the income statement and balance sheet were combined as phrases relevant to the financial statements, the financial statements were referred to more frequently than the product or the people. The subjects appeared to use an unidentified choice program within which certain models could be identified as subroutines. The subjects used an elimination-by-aspects model to screen the business plan. If the business plan met the criteria within the elimination-by-aspects model of the subject, the subject used an additive/nonlinear model for the remainder of the review. The results of this study indicate that financial statements provide information important in the venture capital investment decision-making process. This finding is contrary to the advice usually given to potential venture capital investees.

Визначено сутність інвестиційної привабливості, охарактеризовано основні чинники впливу на неї та обґрунтовано необхідність підвищення інвестиційної привабливості українських підприємств.
The essence of investment attractiveness is determined, the main factors of influence on it are characterized and the necessity of increase of investment attractiveness of Ukrainian enterprises is substantiated.

Chapter 1: Intuition suggests that constraint investment strategies will result in losses due to a limited portfolio allocation. Yet prior research has shown that this is not the case for a particular set of constraint mutual funds so-called Socially Responsible Investing, SRI. In this paper I show that such assets do face loses to portfolio efficiency due to their limited asset universe. I contribute to the literature by employing two techniques to estimate asset performance. First, I estimate a DEA based efficiency score that allows for direct comparison between ex-post efficiency rankings and test the ex-ante relevance of such scores by including them into asset pricing models. Second, I further check if these results are consistent when comparing the performance of ethical funds based on the alphas of traditional asset pricing models even after adjusting for coskewness risk. Overall, the results suggest that ethical funds underperform traditional unconstraint investment assets. Chapter 2: Starting after the turn of the millennium, inflation has been persistently higher than the short term T-Bill rate. Following the traditional view, this will imply a negative real rates of return that have become commonplace in the US economy. This paper examines the possibility that if an inflation risk discount contained in nominal rates exist and can explain low or negative real rates, using consumption based asset pricing model. Evidence suggests using the traditional Fisher equation to calculate real rates leads to an overestimate of real rates due to a modest inflation risk premium. To achieve non-negative real rates in a consumption based asset pricing framework the covariance between consumption growth and inflation innovations would have to be at least thirty times larger than empirically found, and in opposite direction, for the Post-Volker era. Still, though the after 2000’s covariance is positive, which suggest a discount on risk free, the magnitude is still too small to explain negativity of real rates. JEL Classification : E21, E31 Key Words : Mutual Funds, Performance, Data Envelop Analysis, Coskewness, Risk Factors, Real Returns, Consumption Bases Asset Pricing Models, Inflation

South African property investment vehicles consist of collective investment schemes in property (CISPs), also known as property unit trusts (PUTs) and property loan stock (PLS) companies. The application of sections 25B(1), 11(s), 10(1)(k)(i)(aa) and 64B(5)(b) of the Income Tax Act 58 of 1962 (“the Act”) and paragraph 67A(1) of the Eighth Schedule to the Act result in these property investment vehicles being taxed based on their legal form, that of a trust versus a company, rather than on their common purpose. The South African Revenue Service recognised these inconsistencies in the 2007/8 budget tax proposals and proposed that it be reviewed. In December 2007, National Treasury released a discussion paper on the reform of the listed property investment sector in South Africa. The discussion paper is aimed at adopting a real estate investment trust (REIT) regime in South Africa to make South African property investment vehicles more attractive to foreign investors as well as to address the current tax inconsistencies and fragmented regulation of the South African listed real estate sector. In this study, the current inconsistent tax treatment of these property investment vehicles is reviewed, both as to how they apply to the property investment vehicle and to their respective investors. This study further reviews how REITs in selected other countries are regulated and taxed and National Treasury’s proposals as to how REITs applicable in South Africa should be regulated and taxed. Copyright
Dissertation (MCom)--University of Pretoria, 2010.
Taxation
unrestricted

Capital investments play a crucial role for the business of every firm. In an industrial context, energy efficiency is an important means to meet future energy needs and in the same time reduce climate impact. In this thesis, the investment process for capital investments is therefore studied by addressing the case of industrial capital investments improving energy efficiency. The thesis specifically aims to illuminate how additional benefits, i.e. non-energy benefits, are and can be acknowledged in the investment process by applying an ex-ante perspective. The thesis holds the decision-making process as unit of analysis and aims to contribute with insights on firm level. Especially in an energy-efficiency context, such a process perspective has only been scarcely applied. The thesis is based on a literature review and two empirical studies. The literature review is the starting point of the thesis and reviews the literature on benefit concepts and investment behaviour of energy-efficiency investments. It is then followed by an explorative study in which thirteen industrial Swedish firms are interviewed on how they consider non-energy benefits. Investment motives and critical aspects for adopting energy-efficiency investments are also addressed. It also includes a questionnaire, distributed and collected during a networking event for energy-intensive firms within Swedish manufacturing industry. The second empirical study is a case study conducted at a Swedish pulp and paper firm. It aims to take a comprehensive perspective on the investment process as well as to analyse how and when non-energy benefits are acknowledged in the investment process. This case study approach  enables participants at different levels in the organisation to be engaged in the study and new perspectives to be addressed. The results indicate a general investment process passing through the phases identification, development and selection. Investment motives, information, internal coordination and external actors appear as key aspects of the investment process. Energy-efficiency investments are primarily initiated due to cost-savings motives. However, the subsequent investment process appears as consistent for all investment categories; the investment process described here is thus not specific for energy-efficiency investments only. The results instead indicate an investment process influenced by investment size; it influences the extent to which information is collected and assessed before making the decision, i.e. level of procedural rationality, as well as how the investment project is coordinated within the firm. Last, suppliers are involved in the investment process to a large extent from an early stage. Regarding non-energy benefits, the results indicate that various benefits have been observed but far from all are acknowledged in the investment process. They are to a larger extent acknowledged for larger investments when more resources are devoted to the investment process. Quantifiable non-energy benefits improve the business case for energy-efficiency investments and non-energy benefits should thus be quantified to the extent possible. Yet, nonenergy benefits characterised by a lower level of quantifiability could still be important, such as benefits related to work environment, and should therefore be considered. However, the findings indicate a frequent use and reliance upon an investment manual, implicating a need for simplicity when addressing the additional benefits. This indicates that there should be an emphasis on a limited number of main benefits, rather than seeking to acknowledge all possible benefits.

The dissertation analyses the topic and problems of selection and management of investment portfolio in terms of market dynamics. The global financial crisis has revealed that investments bear not only return possibilities but also a relatively high risk of loss. The main aim of the Thesis is to propose and test empirically investment portfolio selection and management solutions matching the tendencies of modern markets for the investors with different investing preferences. The Doctoral Thesis consists of the introduction, three body chapters and conclusions. The introduction presents the scientific problem, its relevance, the object of the research, the aim and tasks of the research, methods of research, scientific novelty of the Thesis, practical significance of its results and defended statements. The first chapter provides analysis of possibilities for a widely diversified investment portfolio selection. The study of proposals of scientists on different assets combining into an investment portfolio is carried out. Portfolio of exchange traded funds is created and its efficiency is evaluated. The method for actually incurred risk evaluation is suggested. Solutions for active investment portfolio management with financial leverage are specified in the second chapter. The changes of efficient set of portfolios and expediency of active portfolio management with financial leverage are evaluated. Forecasts integration method, based on prediction accuracy in the past, is... [to full text]
Disertacijoje nagrinėjama investicijų portfelio sudarymo ir valdymo rinkų dinamikos sąlygomis problematika. Globali finansų krizė parodė, kad investuojant atsiranda ne tik uždarbio galimybės, bet ir gana didelė praradimų rizika. Pagrindinis disertacijos tikslas – pasiūlyti ir empiriškai aprobuoti šiuolaikinių rinkų dinamikos iššūkius atitinkančius investicijų portfelio sudarymo ir valdymo sprendimus skirtingus investavimo polinkius turintiems investuotojams. Daktaro disertaciją sudaro įvadas, trys skyriai ir bendrosios išvados. Įvade suformuluojama mokslinė darbo problema, pagrindžiamas jos aktualumas, įvardijamas tyrimo objektas, darbo tikslas ir uždaviniai, pristatoma tyrimo metodika, darbo mokslinis naujumas ir gautų rezultatų praktinė reikšmė, įvardijami ginamieji teiginiai. Pirmajame skyriuje nagrinėjamos plačiai diversifikuoto investicijų portfelio sudarymo galimybės. Įvertinami mokslininkų pasiūlymai dėl skirtingų aktyvų (investicinio turto klasių) įtraukimo į investicijų portfelį, sudarytas biržoje prekiaujamų fondų portfelis ir įvertintas jo efektyvumas. Pasiūlytas investuotojo realiai patirtos rizikos vertinimo metodas. Antrajame skyriuje detalizuoti aktyvaus investicijų portfelio valdymo taikant finansinį svertą sprendimai. Įvertinti efektyviosios portfelių ribos pokyčiai bei aktyvaus portfelio valdymo taikant finansinį svertą tikslingumas. Pasiūlytas prognozavimo tikslumu praeityje paremtas prognozių integravimo metodas ir įvertintas jo efektyvumas integruojant... [toliau žr. visą tekstą]

The aim of this thesis is to investigate the nature of determinants of equity returns as suggested by the CAPM model, in particular, alphas, betas and equity premium and to outline implications for investment managers that statistical and structural analysis of the aforementioned variables may suggest. The thesis contributes to the existing literature in the following areas. First, it addresses the question of predictive power of historical risk-adjusted portfolio performance measures on determining future equity returns in short and long term hoirsons. Second, it investigates the stability of beta coefficients and its impact on portfolio risk and seasonality in equity returns. Third, it assesses the question of dividend yield as determinant of portfolio alphas. Finally, it addresses the question of a common factor that may be influencing movements of equity premiums across European markets. All the aforementioned empirical work is the first of this kind, at least to our knowledge, in the UK. In Chapter One we provide an indirect test of alpha stability. We test if past alphas, information ratio and alpha-to-beta ratio of positive and negative alpha portfolios can be used to determine future portfolio returns. We find that chosen portfolio performance measures do not have any predictive power in the short term investment horisons. However, in the longer term horisons of 24 to 36 months, we document the mean reversion in our portfolio returns and conclude that one can use historical measures of performance to predict returns in the longer run. In Chapter Two we proceed to investigate if stocks with higher beta (systematic risk) also exhibit higher instability in betas as well, thus causing even greater risk for investors. We also examine the seasonality effect in the UK size-based portfolios and try to relate it to seasonality in betas. Our findings suggest that higher beta stocks do have more time-variant betas. Additionally, we find that equity returns are much higher in December-April than in May-November period but we find no robust evidence that such seasonality in returns is due to seasonality in betas but rather due to investors' psychology. In Chapter Three, we assess the relationship between excess returns and dividend yields in the UK market. The econometric analysis reveals U-shaped yield-return relationship in the 1980s and quadratic, bell-shaped, relationship in the 1990s. It seems that such a change in the relationship is driven by the change in the returns pattern of small size stocks in the 1990s. We find no evidence of the tax effect as the explanation of yield-return relationship that we observe. In Chapter Four we try to identify what may be the common determinant of equity risk premium across European markets. We test for the serial correlation in the stock market returns and the results suggest that serial correlation is not in the level of returns but in the volatility of returns. Hence, if shocks to returns and in turn equity premium are persistent, there can be a scenario of a world-wide shock, which may influence the equity premium across countries in the similar manner driving them in the same direction. The overall findings of the thesis are indicating instability of CAPM determinants of UK equity returns. If investors are aware of these instabilities, they can adjust theirinvestment strategies accordingly and generate excess returns on their investment.

This thesis investigates the relationship between investment law and the power of states to produce and implement environmental measures. Through a strictly legal approach, and by situating the issue within the framework of public international law, this project endeavours to find avenues for the incorporation of environmental legal obligations within the investment legal regime. The thesis examines the main substantive protections granted to investors by the system of bilateral and multilateral investment instruments, before considering the ways in which, through express provisions, general conflict rules, and procedural means, tribunals can take environmental law into account. This taxonomy is tested in the third part of this work, through the analysis of the jurisprudence issuing from investment tribunals in disputes containing an environmental element.

In this thesis we develop dynamic cooperative investment schemes in discrete and continuous time. Instead of investing individually, several agents may invest joint capital into a commonly agreed trading strategy, and then split the uncertain outcome of the investment according to the pre-agreed scheme, based on their individual risk-reward preferences. As a result of cooperation, each investor is able to get a share, which cannot be replicated with the available market instruments, and because of this, cooperative investment is usually strictly profitable for all participants, when compared with an optimal individual strategy. We describe cooperative investment strategies which are Pareto optimal, and then propose a method to choose the most ‘fair’ Pareto optimal strategy based on equilibrium theory. In some cases, uniqueness and stability for the equilibrium are justified. We study a cooperative investment problem, for investors with different risk preferences, coming from expected utility theory, mean-variance theory, mean-deviation theory, prospect theory, etc. The developed strategies are time-consistent; that is the group of investors have no reasons to change their mind in the middle of the investment process. This is ensured by either using a dynamic programming approach, by applying the utility model based on the compound independence axiom. For numerical experiments, we use a scenario generation algorithm and stochastic programming model for generating appropriate scenario tree components of the S&P 100 index. The algorithm uses historical data simulation as well as a GARCH model.

У роботі досліджено функціонування сучасного ринку альтернативних інвестицій, зокрема інвестицій SWAG. Проведений аналіз основних показників альтернативних активів SWAG. Основною метою цього дослідження є розробка рекомендацій щодо вдосконалення інвестиційного портфеля інвестора у частині нетрадиційних реальних активів, зокрема активів SWAG.
The master’s thesis focuses on the functioning of the modern alternative investment market, in particular SWAG investments. The analysis of the main indicators of alternative SWAG assets was conducted. The main aim of this research is to develop practical recommendations for improving the investor’s investment portfolio in terms of unconventional real assets, in particular SWAG assets.

Master´s thesis is focused on efficiency analysis of two investment projects of the company JKZ Bučovice, a.s. These investments are aimed at purchase of modern technologies which extended manufacturing capacity of the company and which increased the added value of products for customers. The first part includes theoretical knowledge of investment and investment actiities and also defines the possible methods of evaluation. The second part describes the company, investments projects and there is also analyzed the financial situation. The next part shows calculations associated with the investment project efficiency. The conclusion will provide evaluation of projects and formulation of possible propositions for next investment projects.

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.

Thesis (S.M.)--Massachusetts Institute of Technology, Computation for Design and Optimization Program, 2011.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 65-68).
Bolton, Chen and Wang (2009) propose a model (the BCW model) of dynamic corporate investment, financing, and risk management for a financially constrained firm. In the BCW model, corporate risk management is a combination of internal liquidity management, financial hedging, investment, and payout decisions. However, Bolton et al. (2009) assume that the firm's investment opportunities are constant over time, which is unrealistic in many situations. I extend the analytical tractable dynamic framework of Bolton et al. (2009) for firms facing stochastic investment opportunities. My extended model can help financially constrained firms to optimally choose external financing (equity or credit line), internal cash accumulation, corporate investment, risk management and payout policies in an environment subjective to time-varying productivity shocks. The differences of policies from the BCW model and my extended model, as well as the optimal and non-optimal policies are also compared.
by Linjiang Cai.
S.M.

This research analyzes investment treaty arbitration under the International Center for Settlement of Investment Disputes (ICSID) in the context of Nigeria's international investment law regime. The ICSID Convention establishes ICSID. The arbitration of investment claims in the context of investment treaty arbitration under the ICSID should reflect the purpose of the ICSID Convention. The nature of foreign investment disputes is implicated in any act or omission by the host State tantamount to expropriation or violations of applicable investment agreements. This implication is one of the considerations for the protection of foreign investments in the host State through mechanisms that support the theory of the 'internationalization of State contracts' and the interpretation of 'umbrella clauses' found in most Bilateral Investment Treaties (BITs) applicable to the settlement of investment disputes. There are questions with respect to the feasibility of the classical theory of foreign direct investment (FDI) and the postulation of 'treaty protagonists' that the core adjudicative element of investment treaty arbitration ought to be 'contribution to economic development.' The thesis argues that, while the international mechanisms for the conduct of FDI are not yet perfect, the mechanisms offer some ideas and experience on how to reform Nigeria's investment treaty mechanism using 'the law in context approach' as a basis for reforms. The uncertainty associated with the ICSID Convention, with respect to the definition of 'investment' and established foreign investment treatment standards found in Nigeria's BITs regime, provides an opportunity for Nigeria to design a legal mechanism that would enhance its competitiveness in attracting FDI for economic development. A legal framework for investment treaty arbitration conducted under the ICSID is proposed to promote economic development and avoid the costs associated with investment treaty arbitration.

This thesis contributes to academic debate about the question: how much substantive protection should investment treaties (IITs) provide to foreign investment? Chapters 5 and 6 argue that arbitral tribunals have interpreted fair and equitable treatment and indirect expropriation provisions of existing IITs in several different ways. Each of these interpretations is sketched as a model level of protection that could be explicitly adopted by states in the future, either through inclusion in new IITs, or through amendment to existing IITs. In this way, the thesis defines a range of prospective options available to states concerning the level of protection to provide to foreign investment through IITs. The thesis evaluates the relative desirability of these different levels of protection. The thesis argues that different levels of protection should be evaluated according to their likely consequences. The thesis develops a framework for inferring and understanding the likely consequences of adopting different levels of protection. The framework proposes that the consequences of a given level of protection can be understood in terms of its likely effect on: economic efficiency; the distribution of economic costs and benefits; flows of foreign direct investment into host states; the realisation of human rights and environmental conservation in host states; and respect for the rule of law in host states. Within this framework, the thesis provides an assessment and synthesis of existing empirical evidence and explanatory theory so far as they relate to the consequences of IIT protections. It also specifies the normative criteria by which these consequences should be evaluated. Through the application of this framework, the thesis concludes that lower levels of protection of foreign investment are, in general, likely to be more desirable than higher levels of protection.

Traditional methods for evaluating investments in state-of-the-art technology are sometimes found lacking in providing equitable recommendations for project selection. The major cause for this is the inability of these methods to handle adequately uncertainty and imprecision, and account for every aspect of the project, economic and non-economic, tangible and intangible. Fuzzy set theory provides an alternative to probability theory for handling uncertainty, while at the same time being able to handle imprecision. It also provides a means of closing the gap between the human thought process and the computer, by enabling the establishment of linguistic quantifiers to describe intangible attributes. Fuzzy set theory has been used successfully in other fields for aiding the decision-making process. The intention of this research has been the application of fuzzy set theory to aid investment decision making. The research has led to the development of a structured model, based on theoretical algorithms developed by Buckley and others. The model looks at a project from three different standpoints- economic, operational, and strategic. It provides recommendations by means of five different values for the project desirability, and results of two sensitivity analyses. The model is tested on a hypothetical case study. The end result is a model that can be used as a basis for promising future development of investment analysis models.
Master of Science
incomplete_metadata

Venture Capital can play a key role for our future by placing their capital in sustainable investments. They have the capacity to fuel new ventures, sprung from ideas on how to solve the sustainability challenges we face today. In this paper we research the drivers and barriers for sustainable venture capital investment decisions. Our findings show that increased knowledge on sustainability issues is affecting the general public opinion, policies and governance and the way we choose to live, consume and do business. This in turn increases the market potential for sustainable businesses. Therefore, sustainable investments are more and more considered as a good investment, not only in regard to social and ecological aspects but also financial returns. A model with our findings showing the drivers and barriers for sustainable venture capital investment decisions will be presented aiming encourage and push toward a more sustainable future.