Дисертації з теми "Financial exchange"
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Yuan, Chunming. "Essays on exchange rate behavior and financial anomalies." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1621833961&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
Повний текст джерелаKashani, Mohammad Feghhi. "Exchange rate regimes and financial repression." Thesis, University of York, 1998. http://etheses.whiterose.ac.uk/2467/.
Повний текст джерелаDong, Xue. "Foreign exchange rate and financial market imperfections." Thesis, Cardiff University, 2018. http://orca.cf.ac.uk/111019/.
Повний текст джерелаYang, Dan. "Financial fraud in Chinese stock exchange listed companies." Thesis, University of Aberdeen, 2010. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=163152.
Повний текст джерелаYudaeva, Ksenia 1970. "Essays on financial sector, inflation and exchange rates." Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/10111.
Повний текст джерелаSlavtcheva, Dessislava. "Financial Development, Exchange Rate Regimes, and Productivity Growth." Thesis, Boston College, 2011. http://hdl.handle.net/2345/2172.
Повний текст джерелаMy doctoral dissertation studies the interaction between financial development, exchange rate regimes and productivity growth. The first chapter provides a microfounded, quantitative model that rationalizes recent empirical evidence by Aghion et al (2009), who find that fixed exchange rate regimes lead to higher long-run productivity growth in countries with low financial development, while the effect in financially developed countries is insignificant. The channel that explains this evidence in my model is the following: A fixed exchange rate regime leads to lower inflation when the money growth is otherwise high. In turn, lower inflation results in higher long-run productivity growth since financial intermediaries hold a fraction of deposits as reserves, whose return is lower than the market rate and, thus, is affected by inflation. The lower return paid on reserves drives a wedge between the return paid on deposits and the return paid on loans by reducing the former and increasing the latter. In turn, this reduces entry of new innovators in the economy and, consequently, productivity growth. I show that the negative effect of flexible exchange rate regimes on growth is larger for countries with lower levels of financial development because inflation and the fraction of deposits held as reserves are higher in these countries. In the second chapter, I perform panel-data analysis to find how much of the effect of exchange rate regimes on productivity growth, documented previously by Aghion et al. (2009), can be accounted for by the channel proposed in the first chapter of my dissertation. I use data for 83 countries over the period 1960-2000. The data comes from the Penn World Table, World Development Indicators, International Financial Statistics, and the Reinhart and Rogoff classification of exchange rate regimes. I use the GMM system estimator and regress productivity growth on financial development, a variable describing the exchange rate regime, growth controls, as well as bank reserve ratios. I find that when the interaction effect of inflation and financial development or the interaction of the reserve ratio and financial development are added to the regression used by Aghion et al. (2009), the exchange rate regime effect on productivity growth in less financially developed countries is no longer significant. This implies that the channel proposed in the first chapter of my dissertation can explain most of the initial empirical results. The third chapter explores the short-run effect of exchange rate regimes on the macroeconomic performance of a small open economy with endogenous productivity growth and underdeveloped financial markets when the home economy is subject to shocks. I use the model introduced in the first chapter, add nominal price rigidities, and calculate impulse responses, given a productivity shock and a shock to the foreign nominal interest rate. I also calculate second moments implied by the model and compare them to empirical second moments. The results show that after a positive exogenous productivity shock, productivity growth, output and consumption increase more under the flexible exchange rate regime. However, given an increase in the foreign nominal interest rate, productivity growth falls but the reduction in productivity growth is smaller under the fixed exchange rate regime. In addition, output and consumption fall after the shock, however, the reduction of consumption and output is higher under the fixed exchange rate regime. I also find that after both shocks analyzed here, welfare is higher under the fixed exchange rate regime. The model is also able to match some features of business cycles in developing countries
Thesis (PhD) — Boston College, 2011
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
Rosowsky, Y. I. "Financial space : pattern recognition for foreign exchange forecasting." Thesis, University College London (University of London), 2013. http://discovery.ucl.ac.uk/1407699/.
Повний текст джерелаWatermeyer, Renen. "The JSE Stock Exchange News Service : the impact of SENS announcements on trading activity on the JSE securities exchange." Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/11418.
Повний текст джерелаAlmost all models of market behaviour in some way or another, suppose some causality between news or information, and market prices. This study seeks to explore the relationship between information and the behaviour of investors. Specifically, it will examine the impact of Stock Exchange News Service Announcements (SENS Announcements) on trading volumes.
Lai, Shu-Ching. "Essays on financial economics." Diss., Georgia Institute of Technology, 2003. http://hdl.handle.net/1853/28934.
Повний текст джерелаBagdatoglou, George. "Exchange rate determination and cross-border financial market interdependence." Thesis, Brunel University, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.436537.
Повний текст джерелаKoh, Kyung Hee S. M. Massachusetts Institute of Technology. "Currencies' exchange rate trend-before and after financial crisis." Thesis, Massachusetts Institute of Technology, 2010. http://hdl.handle.net/1721.1/59301.
Повний текст джерелаCataloged from PDF version of thesis.
Includes bibliographical references.
Do financial crises tend to arise together? Recent financial crisis that has originated from credit crisis in US in 2008 spread throughout countries ranging from Asia, to Europe, to Africa. Generally a shock to one country's asset market that causes changes in asset prices in another country's financial market is called financial contagion. While financial turbulence from Lehman bankruptcy spread crisis over a large number of countries, can we say that there is financial contagion? Were countries in different regions of the globe affected in the same way? This thesis will analyze credit crisis by looking into the extent to which it affected 34 countries in six different regions of the world. Foreign exchange markets are often in conjunction with a banking system crisis. In recent credit crunch a banking problem led exchange rate movement. The thesis is particularly focusing on recent volatility of exchange rates in the world.
by Kyung Hee Koh.
S.M.
Su, Xiaojing. "Essays on financial and international economics." Thesis, [College Station, Tex. : Texas A&M University, 2007. http://hdl.handle.net/1969.1/ETD-TAMU-1474.
Повний текст джерелаAl-Yaqout, Abdullah A. "The usefulness of quarterly financial reports to Kuwaiti financial users in the Kuwait Stock Exchange." Thesis, Loughborough University, 2006. https://dspace.lboro.ac.uk/2134/7799.
Повний текст джерелаLippert, Joe Mark. "An examination of the price reaction to the announcement of bond issues by Johannesburg Stock Exchange listed companies on the Bond Exchange of South Africa." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/11318.
Повний текст джерелаIncludes bibliographical references (leaves 80-84).
This paper examines the effect of straight debt announcements on the daily stock returns of Johannesburg Stock Exchange (JSE) listed companies, on The Bond Exchange of South Africa (BESA), during the period 2000 to 2008. The study is an event study that uses the market model to generate expected returns. The average abnormal returns are standardised by their time series standard errors of regression and tested for significance by the t-test. The evidence indicates that the null hypothesis should not be rejected. Furthermore, the study is examined within the context of contemporary capital structure theory.
Alur, Rushikesh. "Short-term share price overreaction : evidence from the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/21748.
Повний текст джерелаDean, Jacqueline. "Is there a Gross Profitability Premium on the Johannesburg Stock Exchange?" Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32643.
Повний текст джерелаAndersen, Jan D. "Financial Problems as Predictors of Divorce: A Social Exchange Perspective." DigitalCommons@USU, 2000. http://digitalcommons.usu.edu/etd/2685.
Повний текст джерелаKwetczer, Filip, and Carl Åkerlind. "Hedging Foreign Exchange Exposure in Private Equity Using Financial Derivatives." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-228213.
Повний текст джерелаUppsatsens syfte är att undersöka om och i sådana fall hur private equity fonder ska hedgea valutaexponering. Ämnet är såvitt vi vet ej tidigare undersökt inom vetenskaplig forskning ur private equity företagens synvinkel. Ämnet är viktigt eftersom valutarisk har fått en större påverkan på private equity företagens avkastning jämfört med hur det har sett ut historiskt på grund av högre konkurrens, mer internationella investeringar samt ökad volatilitet i valutakurser. En simuleringsmodell har konstruerats och implementerats under olika scenarier för att besvara forskningsfrågan. Valutakurser simuleras och teoretiska private equity fonder undersöks samt jämförs utefter olika nyckeltal. Den underliggande matematiska modelleringen härstammar från Black och Scholes forskning. Uppsatsens viktigaste resultat är att private equity fonder inte kan uppnå en högre avkastning genom att hedgea valutaexponering oavsett lutningen av den förväntade valutautvecklingskurvan. Vi har dock funnit att det existerar hedgingstrategier som ger samma avkastning med lägre volatilitet. Vidare är slutsatserna oberoende av om nuvarande eller förväntad framtida valutakurs är den bästa approximationen av den framtida valutakursen.
Edlinger, Cécile. "Paris Stock Exchange 1870-1914 : financial information and portfolio choices." Thesis, Université de Lorraine, 2016. http://www.theses.fr/2016LORR0055.
Повний текст джерелаThis PhD dissertation is composed of four chapters dedicated to the study of the Paris Stock Exchange and French investments from 1874 to 1914. It follows a cliometric approach, whereby historical facts are analysed using the statistical and theoretical tools of financial economics.The first chapter contributes to a re-evaluation of the history of financial economics. It shows that French financial advice before 1914 was part of a proto-science which laid the foundations for the Modern Portfolio Theory (M.P.T.) developed from the 1960s onwards. This finding justifies the use of the M.P.T in the second chapter to assess the rationality of international portfolio choices. We demonstrate the rationality of huge capital flows toward foreign countries and in particular toward European countries. We note the rationality of the French investor's preference for European securities, and the bias towards "young nations" in British investments. The third chapter introduces an original database composed of the monthly returns for all the types of securities listed on the Paris Stock Exchange from 1874 to 1914. It is a reliable indicator of Paris Stock Exchange performances and of the public information available in France at that time. In the fourth chapter, we make the first assessment of the advice provided by the French financial analyst A. Neymarck (1913), prior to 1914. We show that the risk of each asset category is correctly evaluated, evidence the ranking of the suggested portfolios according to the investors' wealth, and pinpoint the few imperfections of his advice
Anderson, Jan D. "Financial Problems as Predictors of Divorce: A Social Exchange Perspective." DigitalCommons@USU, 2000. https://digitalcommons.usu.edu/etd/2445.
Повний текст джерелаTaguchi, Hiroyuki. "The East Asian currency crisis and exchange rate management /." Electronic version of summary Electronic version of examination, 2005. http://www.wul.waseda.ac.jp/gakui/gaiyo/3967.pdf.
Повний текст джерелаAppelbaum, Matthew. "Does Pairs trading work on the Johannesburg Stock Exchange?" Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/20026.
Повний текст джерелаMu, Lin. "Stock price reactions to dividend changes : evidence from the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 2006. http://hdl.handle.net/11427/11578.
Повний текст джерелаThis research paper examines stock price reactions to the changes in cash dividend payments for mature companies listed on the Johannesburg Stock Exchange (JSE). Prior South African research studies have employed the Market Model and Mean-Adjusted Return Model of event study to estimate "normal return" of the companies listed on the JSE. This study has employed the Market-Adjusted Return Model and short event window (-5, +5) to test the effect of dividend changes. The empirical results are based on 48 samples of mature companies with regular half yearly cash dividend records during the 2000- 2004 period. Using 4741 dividend change observations, it was found that the stock price reactions to increase announcements were greater than those for decrease announcements over the entire event days. It was further found that the stronger positive market reactions were associated with those announcements of larger percentage increases in dividends. These results lead to support the existence of the Dividend Signalling Hypothesis.
Chotee, Deepika. "Evaluating value at risk models: an application to the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/18625.
Повний текст джерелаMenzies, Gordon Douglas. "Currency and financial crises : dividing the (negative) spoil." Thesis, University of Oxford, 2001. http://ora.ox.ac.uk/objects/uuid:11c59ab0-52ae-41b0-9bfd-7bf188d12bfb.
Повний текст джерелаKornik, David. "The relationship between annual earnings and share returns on the JSE Securities Exchange." Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/5626.
Повний текст джерелаThis research study investigates whether the relationship between accounting earnings and share returns observed predominantly in New York Stock Exchange (“NYSE”) studies also holds on the modern-day JSE Securities Exchange (“JSE”). Since the JSE is a relatively small stock exchange in comparison to the NYSE, with substantially different characteristics, the nature of the relationship may differ between the two exchanges. The study finds empirical evidence that this relationship between earnings and share returns is the same. As on the NYSE, accounting earnings disclosures in South Africa are found to have significant information content. Evidence is obtained which shows that accounting earnings do capture a significant portion of the information reflected in share returns, although they are not a timely source of information.
Ngo, Chan Nam. "Secure, Distributed Financial Exchanges: Design and Implementation." Doctoral thesis, Università degli studi di Trento, 2019. http://hdl.handle.net/11572/242642.
Повний текст джерелаDogbey, John. "Spillover effects in financial and international development." Morgantown, W. Va. : [West Virginia University Libraries], 2009. http://hdl.handle.net/10450/10593.
Повний текст джерелаTitle from document title page. Document formatted into pages; contains ix, 88 p. Vita. Includes abstract. Includes bibliographical references (p. 75-78).
Bersch, Julia. "Financial globalization and the implications for monetary and exchange rate policy." Diss., lmu, 2009. http://nbn-resolving.de/urn:nbn:de:bvb:19-96579.
Повний текст джерелаMcFie, James Boyd. "High quality financial reporting : the case of the Nairobi Stock Exchange." Thesis, University of Strathclyde, 2006. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=21664.
Повний текст джерелаDawson, Paul Edward. "Five studies of the London International Financial Futures and Options Exchange." Thesis, City University London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.281871.
Повний текст джерелаMcCaney, Patrick Michael 1980. "Emotional response modeling in financial markets : Boston Stock Exchange data analysis." Thesis, Massachusetts Institute of Technology, 2004. http://hdl.handle.net/1721.1/28481.
Повний текст джерелаIncludes bibliographical references (leaves 57-58).
In this thesis, physiological data is analyzed in the context of financial risk processing, specifically investigating the effects of financial trading decisions and situations on the physiological responses of professional market makers. The data for this analysis comes from an experiment performed on market makers at the Boston Stock Exchange. This analysis involved significant preprocessing of large financial and physiological data sets. Short-term and long term analysis of financial and performance based event markers of the data are performed and the results interpreted. There are two main conclusions. First, negative performance events are found to be the the main driver of physiological responses; positive performance events have minimal deviations from baseline physiological signals. Second, a long term analysis of events yield more substantial physiological changes than a short term analysis.
by Patrick Michael McCaney.
M.Eng.
Kamamkhudza, Charity. "Malawi’s trilemma: monetary policy independence, exchange rate stability and financial integration." Thesis, Rhodes University, 2017. http://hdl.handle.net/10962/41634.
Повний текст джерелаBjörklund, Thelma, and Hedvig Jonsson. "Financial Volatility and the Leverage Effect on the Swedish Stock Exchange." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-246067.
Повний текст джерелаI dagens finansiella marknader är volatilitet ett fundamentalt koncept som är ytterst relevant i risk bedömningen av tillgångar och instrument. Finansiell volatilitet används ofta för att mäta risk i kvantitativ form och har på senare tiden uppmärksammats i allt större utsträckning. Leverage effekten (en.”the leverage effect”) refererar till det! väletablerade negativa samband som finns mellan avkastning i nuvarande period och framtida volatilitet. Sambandet mellan dessa faktorer har av många förklarats av en ökning i skuldsättningsgraden för ett företag. Skuldsättningsgraden ökar enligt teorin som en konsekvens av att aktiekursen sjunker, innebärande en värdeminskning av det egna kapitalet, samtidigt som skulderna förblir oförändrade. Skuldsättningsgraden påverkar i sin tur aktiens volatilitet genom en uppfattning av hur stor risk som kan förknippas med en investering i aktien. För att stärka analysen diskuteras, förutom leverage effekten, ett antal teorier som kan relateras till modellen. Uppsatsen syfte är att avgöra om leverage effekten är signifikant applicerbar på den svenska aktiemarknaden, både för individuella aktier samt OMXS30 indexet. Studien utförs genom en regressions modell där volatiliteten, estimerad genom en EGARCH model, representerar den beroende variabeln. Avkastningen i föregående period samt ett antal kontroll variabler utgör de oberoende variablerna. Resultatet visar att leverage effekten har stor applicerbarhet på de individuella aktierna men kan uteslutas på en index nivå. Dessutom ökar relevansen signifikant när en dynamisk angreppsätt adderades till modellen. Slutsatsen är att leverage effekten är närvarande på en individuell nivå men neutraliseras av teorier så som ”risk return trade off” och ”volatilitets klustring” på index nivå.
Li, Po-sing. "The study of the combination of technical analysis and qualitative model in financial forecasting /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19878059.
Повний текст джерелаGraham, Mark. "Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange?" Master's thesis, University of Cape Town, 1998. http://hdl.handle.net/11427/18286.
Повний текст джерелаPatton, Andrew John. "Applications of copula theory in financial econometrics /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2002. http://wwwlib.umi.com/cr/ucsd/fullcit?p3049666.
Повний текст джерелаMoodley, Tashinee. "Fundamental momentum on the Johannesburg Stock Exchange." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22778.
Повний текст джерелаDissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
Naka, Atsuyuki. "The volatility of financial markets: A time-series analysis of foreign exchange futures." Diss., The University of Arizona, 1989. http://hdl.handle.net/10150/184845.
Повний текст джерелаArgyros, Robert. "The power of investor sentiment: an analysis of the impact of investor confidence on South African financial markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1004169.
Повний текст джерелаTian, Yuan. "Financial repression and liberalisation in China." Thesis, Loughborough University, 2017. https://dspace.lboro.ac.uk/2134/25359.
Повний текст джерелаRyou, Hyunjoo. "Exchane Rate Dynamics under Financial Market Frictions- Exchange rate regime, capital market openness and monetary policy -Electoral cycle of exchange rate in Korea : The Trilemma in Korea." Phd thesis, Université de Cergy Pontoise, 2012. http://tel.archives-ouvertes.fr/tel-00838836.
Повний текст джерелаRuddy, Traceyann. "The manipulation of headline earnings by companies listed on the JSE Securities Exchange South Africa." Master's thesis, University of Cape Town, 2006. http://hdl.handle.net/11427/5624.
Повний текст джерелаKarani, Pascal. "The characteristics of successful and unsuccessful resolution of corporate failure on the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 1998. http://hdl.handle.net/11427/9587.
Повний текст джерелаThe study analyses the incentives and mechanisms of failing firms on the Johannesburg Stock Exchange that restructure their claims following a decline in performance and value. The study also analyses patterns for restructuring of failing firms. The sample contains firms that were delisted between 1986 and 1996. Firms that were delisted and re-instated number 28 and constitute the sample for firms that restructured successfully their claims. Firms that were delisted on the JSE following an unsuccessful debt restructuring number 32 and constitute the sample for unsuccessful firms. The study finds that firms that restructured successfully on the JSE have more intangible assets, less bank debt and few creditors. This finding means that South African corporate restructuring activities relies more on assets characteristics rather than financial characteristics.
Pirveli, Erekle [Verfasser]. "Financial Statement Quality: First Evidence from the Georgian Stock Exchange / Erekle Pirveli." Aachen : Shaker, 2015. http://d-nb.info/1074087526/34.
Повний текст джерелаHsieh, Tsung-Han. "Essays on financial bubbles and stock liquidity on the London Stock Exchange." Thesis, Queen's University Belfast, 2017. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.727402.
Повний текст джерелаPadungsaksawasdi, Chaiyuth. "The US Financial Crisis and the Behavior of the Foreign Exchange Market." FIU Digital Commons, 2012. http://digitalcommons.fiu.edu/etd/642.
Повний текст джерелаEnoksson, Viktor, and Fredrik Svedberg. "Optimization of hydro power on the Nordic electricity exchange using financial derivatives." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-168655.
Повний текст джерелаSedan avregleringen av den Nordiska elmarknaden år 1996 har el blivit en av de mest handlade råvarorna i Norden. Elpriset karaktäriseras av stora svängningar eftersom utbudet och efterfrågan på el är säsongsberoende. Huvudintresset för vattenkraftsproducenter är att säkerställa att de kan sälja sin vattenkraft till ett attraktivt pris över tid. Detta innebär att det finns en efterfrågan för skydd mot dessa variationer, vilket i sin tur skapar affärsmöjligheter för tredjepartsaktörer som erbjuder lösningar mellan konsumenter och producenter. Telge Krafthandel är en av dessa aktörer och är därmed intresserad av att förutsäga det framtida utbudet på vattenkraft, och det resulterande elpriset. Flera befintliga modeller använder antagandet om perfekt förutseende när det gäller vädret i framtiden. I denna rapport utvecklar författarna nya modeller för vattenkraftsoptimering, som tar hänsyn till hydrologisk osäkerhet genom att implementera en variant av flerstegsoptimering för att maximera intäkterna för vattenkraftsproducenter. Optimeringen utförs med hänsyn till priserna på elderivat. Detta ger insikter i den förväntade tillgången på vattenkraft i framtiden, vilket i sin tur kan användas som en indikator på elpriset. I rapporten diskuteras också, bland annat, olika metoder för att modellera stokastiskt inflöde till vattenmagasinen och scenariokonstruktion. Detta kommer att leda till flera metoder som är lämpliga för olika aktörer i branschen.
Mans-Kemp, Nadia. "Corporate governance and the financial performance of selected Johannesburg Stock Exchange industries." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/95957.
Повний текст джерелаENGLISH ABSTRACT: Mainstream investors are mostly interested in how they can benefit financially from a specific investment. Although this is the case, an increasing number of so-called responsible investors are also beginning to integrate environmental, social and corporate governance (ESG) aspects into their investment analysis and ownership practices. Corporate governance compliance is often the first level of ESG interest for these investors. Previous researchers considered the relationship between corporate governance and various financial performance measures, but reported inconclusive evidence on the nature of the relationship. Even though the three King Reports provide a well-developed framework for corporate governance compliance in South Africa, no comprehensive academic study has previously been conducted on the above-mentioned relationship in the South African context. The primary objective of the current study was therefore to investigate the relationship between corporate governance and the financial performance of selected JSE industries. The chosen study period (20022010) coincided with the launch of the King II Report and included the 20072009 global financial crisis. A combination of convenience and judgement sampling was used to draw a sample from six JSE industries. In an attempt to reduce survivorship bias, the sample included both listed firms and firms that had delisted during the study period. The complete sample comprised 227 companies (1 417 annual observations). When the study commenced, there was a lack of reliable, readily available ESG data for JSE-listed firms. An existing corporate governance research instrument was therefore refined to develop standardised data on the corporate governance compliance of the selected firms. An annual corporate governance score (CGS) was compiled for each of the firms by means of content analysis of its annual reports. Five financial performance variables were considered, namely return on assets (ROA), return on equity (ROE), earnings per share (EPS), total share return (TSR) and risk-adjusted abnormal return (alpha). The selection of these measures was based on previous research. The secondary financial data were sourced from the McGregor BFA database and the Bureau for Economic Research. The resulting panel dataset was analysed by means of various descriptive and inferential analyses. The descriptive statistics revealed an overall increasing corporate governance compliance trend. Both the disclosure and acceptability dimensions of the sample companies’ CGSs improved over time. The sample firms complied with approximately 68 per cent of the corporate governance criteria on average. The panel regression analysis showed a significant positive relationship between CGS and the accounting-based EPS ratio. Although this result is encouraging, it should be kept in mind that managers can have an influence on both these variables. On the other hand, a significant negative relationship was observed between the market-based TSR measure and CGS. The TSR measure is not adjusted for risk. Risk-adjusted abnormal returns were thus also estimated for four corporate governance-sorted portfolios. In a positive change of events, both the capital asset pricing model (CAPM) and the FamaFrench three-factor estimations showed positive alphas for the portfolio consisting of firms with the highest CGSs. These encouraging results were observed for the overall study period and the period before May 2008. Investors could thus have benefitted, in risk-adjusted terms, by investing in the sample firms with high corporate governance compliance. In the period after May 2008, the FamaFrench three-factor estimations revealed that the risk-adjusted market-based performance of almost all the sample firms were negatively affected by the global financial crisis of the late 2000s. The reported alphas for this period were, however, not significant. Based on these results, the researcher recommends that directors, managers and shareholders should consider the valuable opportunities associated with sound corporate governance compliance, rather than merely regarding it as a “tick-box” obligation.
AFRIKAANSE OPSOMMING: Hoofstroombeleggers is veral geïnteresseerd in hoe hulle finansieel by ʼn spesifieke belegging kan baat. Alhoewel dit die geval is, begin ʼn toenemende aantal sogenaamde ‘verantwoordelike beleggers’ ook die omgewing, sosiale en korporatiewe bestuursaspekte (ESG-aspekte) in hulle beleggingsanalise en eienaarskapspraktyke integreer. Korporatiewe bestuursnakoming is dikwels die eerste vlak van ESG-belangstelling vir hierdie beleggers. Vorige navorsers het die verwantskap tussen korporatiewe bestuur en verskeie maatstawwe van finansiële prestasie ondersoek, maar het onbesliste resultate ten opsigte van die aard van die verhouding gerapporteer. Ongeag die drie King-verslae wat ʼn goed ontwikkelde raamwerk vir die nakoming van korporatiewe bestuur in Suid-Afrika verskaf, is daar tot dusver nog geen omvattende akademiese studie oor die bogenoemde verwantskap in Suid-Afrika gedoen nie. Die primêre doelstelling van hierdie studie was dus om die verwantskap tussen korporatiewe bestuur en die finansiële prestasie van JSE-genoteerde maatskappye te ondersoek. Die geselekteerde studie tydperk (2002-2010) het die wêreldwye finansiële krisis van 2007-2009 ingesluit en het saamgeval met die bekendstelling van die King II-verslag. ʼn Kombinasie van gerieflikheids- en oordeelkundige steekproefneming is gebruik om ʼn steekproef vanuit ses JSE-nywerhede te selekteer. In ʼn poging om oorlewingsydigheid te verminder, het dié steekproef sowel genoteerde maatskappye as maatskappye wat gedurende die studietydperk gedenoteer het, ingesluit. Die volledige steekproef het uit 227 maatskappye (1 417 jaarlikse waarnemings) bestaan. Met die aanvang van die studie was daar ʼn gebrek aan betroubare, geredelik beskikbare ESG-data vir JSE-genoteerde maatskappye. ʼn Bestaande navorsingsinstrument vir korporatiewe bestuursnakoming is dus verfyn om gestandaardiseerde data rakende die gekose maatskappye se korporatiewe bestuursnakoming te verkry. ʼn Jaarlikse korporatiewe bestuur telling (CGS) is deur middel van inhoudsanalise van die betrokke maatskappy se jaarstate vir elk van die maatskappye saamgestel. Vyf finansiële prestasie veranderlikes is oorweeg, naamlik ondernemingsrentabiliteit (ROA), rentabiliteit van ekwiteit (ROE), verdienste per aandeel (EPS), totale aandeelopbrengs (TSR) en risiko-aangepaste abnormale opbrengs (alfa). Die keuse van hierdie maatreëls was op vorige navorsing gegrond. Die sekondêre finansiële data was afkomstig van die McGregor BFA-databasis en die Buro vir Ekonomiese Ondersoek. Verskeie beskrywende en inferensiële analises is gebruik om die gevolglike paneeldatastel te ontleed. Die beskrywende statistiek het gedui op ʼn algeheel toenemende tendens in korporatiewe bestuursnakoming. Beide die bekendmaking- en aanvaarbaarheidsdimensies van die steekproef maatskappye se CGS’s het met verloop van tyd verbeter. Die steekproef maatskappye het gemiddeld aan ongeveer 68 persent van die korporatiewe bestuurskriteria voldoen. Die paneel regressie-analise het ʼn beduidende positiewe verwantskap tussen CGS en die rekeningkundig-gebaseerde EPS-verhoudingsgetal getoon. Alhoewel die resultaat bemoedigend is, moet daar in gedagte gehou word dat bestuurders ʼn invloed op beide hierdie veranderlikes kan hê. Aan die ander kant is ʼn beduidende negatiewe verband tussen die markgebaseerde TSR-maatstaf en CGS waargeneem. Die TSR-maatstaf is nie vir risiko aangepas nie. Risiko-aangepaste abnormale opbrengste is dus ook bepaal vir vier korporatiewe bestuursgesorteerde portefeuljes. In ʼn positiewe wending het beide die kapitaal-bate prysmodel (CAPM) en die FamaFrench drie-faktor beramings positiewe alfas vir die portefeulje bestaande uit maatskappye met die hoogste CGS’s getoon. Hierdie bemoedigende resultate is vir die volle studietydperk en die tydperk voor Mei 2008 gerapporteer. Beleggers kon dus, in risiko-aangepaste terme, baat gevind het deur in die steekproef maatskappye met hoë korporatiewe bestuursnakoming te belê. In die tydperk ná Mei 2008 het die Fama-French drie-faktor beramings aangetoon dat die risiko-aangepaste markgebaseerde prestasie van byna al die maatskappye in die steekproef negatief geraak is deur die wêreldwye finansiële krisis van die laat 2000’s. Die gerapporteerde alfas vir hierdie tydperk was egter nie beduidend nie. Na aanleiding van hierdie resultate beveel die navorser aan dat direkteure, bestuurders en aandeelhouers die waardevolle geleenthede wat met standvastige korporatiewe bestuursnakoming verband hou oorweeg eerder as om dit bloot as ʼn “afmerk”-verpligting te beskou.
Fourel, Valère (Valère Renaud Ernst). "Financial distress, dealers' behavior and asset pricing in the foreign exchange market." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/115654.
Повний текст джерелаCataloged from PDF version of thesis.
Includes bibliographical references (pages 39-43).
Exploiting a high frequency dealer-specific quote database in the FX market, I show that shocks to the CDS of a financial intermediary, proxy for its financial wealth, makes her quote larger bid-ask spreads when uncertainty about the underlying traded asset is high or when market competition is low. I first establish that markets are dominated by a handful of dealers who are responsible for more than 90% of the quotes in the different FX spot markets. I then document that, when exchange rate volatility is high, a 1% increase in intermediary's default probability does translate into a 4 bps increase in the bid-ask spread that she quotes. When competition is low, a similar deterioration in financial wealth leads to a 6.4 bps increase in bid-ask spread size. I finally show that in the case of emerging country currencies, the average CDS spread of the financial intermediaries quoting in the FX market is a statistically significant predictor for the volatility of the idiosyncratic component of the currency risk premium. More surprisingly, the dispersion in terms of financial wealth across financial intermediaries, measured as the variance of the financial intermediaries CDS spreads, is also an important determinant of this volatility for a large set of emerging country currencies.
by Valère Fourel.
S.M. in Management Research