A thesis submitted to the School of Economic and Business Sciences, Faculty of Commerce, Law and Management, University of the Witwatersrand in fulfilment of the requirements for the degree of Doctor of Philosophy (Ph/D). Johannesburg, South Africa June 2016 / In recent years, the debate on market efficiency has shifted to providing alternate forms of the hypothesis, some of which are testable and can be proven false. This thesis examines one such alternative, the Adaptive Market Hypothesis (AMH), with a focus on providing a framework for testing the dynamic (cyclical) notion of market efficiency using South African equity data (44 shares and six indices) over the period 1997 to 2014. By application of this framework, stylised facts emerged. First, the examination of market efficiency is dependent on the frequency of data. If one were to only use a single frequency of data, one might obtain conflicting conclusions. Second, by binning data into smaller sub-samples, one can obtain a pattern of whether the equity market is efficient or not. In other words, one might get a conclusion of, say, randomess, over the entire sample period of daily data, but there may be pockets of non-randomness with the daily data. Third, by running a variety of tests, one provides robustness to the results. This is a somewhat debateable issue as one could either run a variety of tests (each being an improvement over the other) or argue the theoretical merits of each test befoe selecting the more appropriate one. Fourth, analysis according to industries also adds to the result of efficiency, if markets have high concentration sectors (such as the JSE), one might be tempted to conclude that the entire JSE exhibits, say, randomness, where it could be driven by the resources sector as opposed to any other sector. Last, the use of neural networks as approximators is of benefit when examining data with less than ideal sample sizes. Examining five frequencies of data, 86% of the shares and indices exhibited a random walk under daily data, 78% under weekly data, 56% under monthly data, 22% under quarterly data and 24% under semi-annual data. The results over the entire sample period and non-overlapping sub-samples showed that this model's accuracy varied over time. Coupled with the results of the trading strategies, one can conclude that the nature of market efficiency in South Africa can be seen as time dependent, in line with the implication of the AMH. / MT2017

Student Number : 9709225V - MSc project report - School of Construction Economics and Management - Faculty of Engineering and the Built Environment / This research was conducted in order to highlight the misconception that there may be a single answer to the challenges of energy efficient design; a “single elixir that will be the answer to all problems” (Holm, 1996). Existing literature pertaining to energy efficient design principles was analysed and tested against a well known example of Southern African energy efficient building practice; the Botswana Technology Centre (BOTEC). BOTEC was selected as the case study for this investigation because it was designed to be a living exhibition of energy efficient design and as such a manual or ‘elixir’ for alternate design. BOTEC was analysed on site, personal interviews were held with the architect and a questionnaire was circulated to the users of the building in order to observe whether the principles used at the BOTEC building are appropriate and represent the “single elixir, the answer to all problems,” with regard to energy efficient design (Holm, 1996). Although BOTEC appears to perform well, interviews with the users of the BOTEC building suggest that the building does not perform well in winter at all. Interviews with the architectural consultant who worked on the BOTEC building expose a simple oversight in design which leads to ‘this building’s underperformance in winter’. In concurrence with Holm therefore, this report ultimately shows that there are no perfect solutions to energy efficient design and by applying a once successful solution without taking cognisance of specific climatic and geological differences, the building will not function correctly.

A research report submitted to the School of Economic and Business Sciences, Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment (50%) of the requirements for degree of Master of Commerce in Finance. March 2016 / This study attempts to determine the possible effects of individualism on industry volatility. The implications of this for behavioural finance are extensive, showing firstly that different industries react differently to behavioural biases and secondly that overconfidence is a possible driver of the positive effect of individualism on industry volatility. The country selection process was relatively objective, taking two countries with high individualism indexes and two with low indexes and including one with a medium index value. The result was a sample of the United States of America, the United Kingdom, South Africa, China and Taiwan. The industry selection process was more subjective. Industries were selected which should have a higher propensity to behavioural biases with lower book to market ratios (software and computer services industry and pharmaceutical and biotechnology industry) and other industries which should not be as strongly affected by behavioural biases (banks, mining, oil and gas producers, and mobile telecommunications industries). In order to correct for ARCH effects the series’ were modelled using a GARCH (1, 1) model. The resulting residuals, which showed no autocorrelation, were then used to conduct panel data regressions on each of the industries. The results confirmed that individualism had a positive effect on volatility in the industries which were expected (software and computer services and pharmaceuticals and biotechnology industries). However, it was also determined that the banks industry was significantly affected by individualism, an effect which it was hypothesised, was due to the individualism of employees as opposed to investors. / MT2017

Value and momentum strategies have been heavenly researched in financial academic literature. In this essay, different portfolios based on value and momentum strategies have been constructed to examine if it is possible to exploit market anomalies to outperform market returns. Both value and momentum is seen as two market anomalies according to earlier literature. The test were made on the Swedish market, and all data were collected from the Nasdaq OMX Stockholm Large Cap list. The findings includes a significant outperformance of market returns in nearly all portfolio tested, as well as lower standard deviations for some. However, an empirical asset pricing model, based on four factors from the Swedish market were constructed to seek explanation for the results. Overall the factor variables were rejected on their statistical significances, except for the market factor which were statistical significant for all portfolios except one.

The purpose of this study is to investigate the effect of a stock recommendation from the leading financial magazines in Sweden. The study aims to measure the impact a recommendation illustrates in true value. The measurements are mean abnormal returns (AR), mean cumulative abnormal returns (CAR) and mean abnormal volume (AV). Conducting an event study to monitor, not only the date of announcement, but to also validate or invalidate the recommendation as a fundamental changer in the stock case. Where the calculations are made before, on and after the event occurs. With the aim to test if the market is efficient and in line with the rational theories, or if there are other explanatory theories, like the behavioral financial approach, that can explain the results. The sample consists of 571 recommendations that have been announced 2017 and 2018, divided into categories of buy and sell. The sample of buy and sell are also tested in subcategories of small and large companies, to measure the impact due to size of the firm, as a dependent variable. The empirical results shows that there are AR and AV existing due to recommendations. Small companies have the highest measured AR, with sell recommendations having the largest effects. The sell recommendations changes the value and the fundamentals of the stocks, while buy recommendations react positive to the recommendations on the day of announcement, then reverses back to the same price in the end of the event window. Suggesting that the market act both efficient and rational, but also irrational and ineffective, depending on what type of recommendation that is being released and how large and well monitored the company, that gets the recommendation is.

Este estudo tem como objetivo apresentar as alterações que ocorrem nos perfis das escolas públicas municipais do ensino fundamental classificadas como eficientes por meio da aplicação da técnica de Análise Envoltória de Dados (DEA), conforme se modificam as proporções dos valores percentuais da nota média na Prova Brasil e do indicador de rendimento no cálculo do Índice de Desenvolvimento da Educação Básica (IDEB). Para isso, foram coletados dados sobre as notas na Prova Brasil e sobre os indicadores de rendimento de 2011 a partir da base de dados do Instituto Nacional de Estudos e Pesquisas Educacionais (INEP), o número de alunos por escola pública municipal por meio da base de dados do Censo Escolar de 2011, que também é disponibilizado pelo INEP e finalmente, os dados sobre os recursos públicos destinados para a educação nos municípios em 2011 obtidos no Finanças do Brasil (FINBRA). Desta maneira, identificou-se as escolas mais eficientes por meio da técnica DEA que tem a finalidade de mensurar a eficiência relativa de unidades consideradas homogêneas e comparáveis, em um universo de pesquisa composto por 17.124 escolas públicas municipais do ensino fundamental. Em seguida, foram estabelecidos cinco padrões de ponderação em relação à nota média da Prova Brasil e à média do indicador de rendimento, por meio dos quais evidenciou-se que as escolas públicas municipais classificadas como eficientes se localizam principalmente em municípios pequenos e que conforme se aumenta o valor percentual da nota média da Prova Brasil ocorre uma mudança de eixo de eficiência saindo da região nordeste em direção as regiões sudeste e sul. Portanto, o presente estudo fornece subsídios e suporte para a discussão, alteração, criação e desenvolvimento de sistemas avaliativos padronizados que melhor transpareçam a realidade educacional brasileira, de tal modo, que os seus resultados possibilitem a proposição de soluções mais efetivas para combater os baixos indicadores educacionais do país. / This study aims to present the changes that occur in the profiles of local public elementary schools classified as efficient by applying the technique of Data Envelopment Analysis (DEA), as modify the proportions of the percentages of the average grade in the Prova Brasil and the performance indicator in calculating the Índice de Desenvolvimento da Educação Básica (IDEB). For this, data on the grades in Prova Brasil on performance indicators from 2011 from the database of the Instituto Nacional de Estudos e Pesquisas Educacionais (INEP) were collected, the number of students per public school through the base data from the Censo Escolar 2011, which is also available by INEP and finally, data on public resources for education in the municipalities in 2011 obtained the Finanças do Brasil (FINBRA). Thus, we identified the most effective schools through the DEA technique that aims to measure the relative efficiency of units considered homogeneous and comparable, in a research universe consists of 17.124 municipal public elementary schools. Then, five patterns were established weighting relative to the average grade of Prova Brasil and the average performance indicator, by means of which became evident that public schools classified as efficient lie mostly in small towns and as if increases the percentage of the average grade of Prova Brasil a change of axis of efficiency out of the northeast toward the southeast and south occurs. Therefore, the present study provides grants and support for discussion, modification, creation and development of standardized assessment systems that better showing through and the Brazilian, so educational reality, their results allow to propose more effective solutions to combat the low indicators education in the country.

Um dos fundamentos das Finanças, a partir da segunda metade do século 20, é a hipótese de eficiência de mercado. Num Mercado Eficiente, as informações sobre o ativo são transferidas para os preços de modo que o preço do ativo reflete toda informação disponível. Assim, o retorno desse ativo está baseado no nível de risco associado. Esse estudo examina carteiras de ações formadas com base em diferentes critérios e acompanha o retorno produzido no período, verificando as estratégias de investimento que provocam os melhores resultados, ou seja, quais as estratégias vencedoras tomando-se como base uma determinada variável fundamentalista. O resultado obtido poderá confirmar a hipótese de racionalidade do mercado. O trabalho é baseado no retorno apresentado pelas ações no mercado brasileiro no período de 1993 até 2003. / Modern Finance is established based in Market Efficiency Hyphotesis, an important concept widely accepted since1950´s. A market in which prices at any time refect all information available is considered efficient. In the present study we built portfolio as per some estrategies for selecting stocks based in past return just to verify winners strategies that can confirm the market efficiency hyphotesis. We followed the return based in stocks from 1993 to 2003 in São Paulo Stock Exchange.

A sinalização, formação e descoberta de preços agrícolas são adequadas se refletem rapidamente todas as informações recebidas pelos seus participantes. Então, quando o mercado é eficiente, possibilita eficiência alocativa, redução de imprecisão nas decisões dos agentes e dos custos informacionais. Entretanto, os agentes do agronegócio podem tomar decisões errôneas de produção, comercialização e estocagem, sujeitas ao conjunto de informações incompletas contidas nos preços passados, se os mercados forem não eficientes. Nesse contexto, o objetivo geral foi analisar a eficiência dos mercados futuros de commodities. Para atingi-lo, estruturou-se esta pesquisa em três ensaios. No primeiro, objetivou-se testar a hipótese de passeio aleatório a contratos futuros agropecuários negociados na BM&FBOVESPA. Refutá-la significa possível previsibilidade e, por conseguinte, os mercados não seriam fracamente eficientes. Correlações seriais e testes de razão de variância foram utilizados para verificá-las. Os resultados deram suporte à hipótese de passeio aleatório nos mercados futuros de café e da soja, eficientes na forma fraca, e evidências contrárias foram encontradas nos mercados do boi gordo, milho e etanol. No segundo, o objetivo foi investigar a eficiência e formações de clusters nos contratos futuros do complexo soja (soja, farelo de soja e óleo de soja) negociados nas bolsas de commodities: argentina, brasileira, chinesa, indiana, japonesa, norte-americana e sul-africana. Com base na métrica obtida por distância euclidiana de razões de variância, evidenciaram-se dependências similares dos mercados, as quais podem ser interpretadas como efeito espraiamento da eficiência informacional. Os agentes devem, portanto, manter percepções em relação aos diversos mercados devido às sinalizações interdependentes dos preços. No terceiro, objetivou-se analisar a eficiência dos mercados futuros agropecuários brasileiros, sob a hipótese adaptativa de mercado. Utilizando propostas recentes à não linearidade e razão de variância, encontrou-se que as elevadas rejeições à hipótese de diferença martingal se encontram nos mercados em que as intervenções governamentais se fazem presentes: milho e etanol. Nos mercados de café, boi gordo e soja ocorreram menores rejeições à hipótese martingal e, portanto, houve maior eficiência informacional. Essas evidências--consistentes com a hipótese adaptativa dos mercados--justificam operações de hedge dinâmicas, bem como a gerência de carteiras de investimentos de forma ativa. / Agricultural prices\' formation, discovery and signalling only are accurate when they can rapidly reflect all new information faced by its market agents. Thereby, when a given market is efficient, it allows for allocative efficiency, reducing inefficiencies both in decision-making process and in informational costs. On the other hand, when markets are said not to be efficient, agribusinesses\' agents can make mistaken production, marketing and storage decisions, once such decisions are due to incomplete information contained in past prices. In this context, the main purpose of this study is to analyze the efficiency in future markets of commodities. In order to achieve its final goal, the study has been structured in three essays. In the first essay, the random walk hypothesis has been tested for agricultural future contracts from Brazilian Securities, Commodities and Futures Exchange (BMF&BOVESPA). Refusing the hypothesis for a given commodity implies some degree of predictability, therefore inconsistent even with a weak notion of efficiency. These tests were carried out using serial correlations and variance ratios. The results show the presence of random walks in coffee and soybean future markets, and contrary evidences (absence of random walks) in live cattle, corn and ethanol future markets. In the second essay, it has been analyzed the efficiency and the presence of clusters in the soybean complex future contracts (soybean, soybean meal and soybean oil) traded in the following future markets: Argentina (MTB), Brazil (BVMF), China (DCE), India (NCD), Japan (TKT), US (CBT) and South-Africa (SAF). Based on the metrics obtained by Euclidian distances of variance ratios, similar dependencies have been found for all markets, which suggest informational efficiency spreading. Agents, therefore, shall maintain perceptions over several international markets, given the interdependence found for prices in distinct future markets. In the third one, the adaptive market hypothesis has been tested for agricultural future markets in Brazil. Applying more recent approaches to Nonlinearity and Variance Ratio tests, high rejections to martingale difference hypothesis took place in agricultural markets which governmental interference is highly persistent, i.e., corn and ethanol. In coffee, live cattle and soybeans markets, weaker rejections to the martingale hypothesis hint higher informational efficiency. These evidences, consistent with the adaptive market hypothesis, justify dynamic hedge operations, as well as an active management of investment portfolios in such markets.

This work mainly investigates the use of aerosol assisted chemical vapour deposition (AACVD) process to fabricate thin film materials for energy efficient glazing and thin film solar cells applications. Ga-doped ZnO thin films were firstly deposited onto glass substrates by AACVD of zinc and gallium acetylacetonates in methanol. After optimizing the doping concentration, film thickness and heating temperature, ZnO:Ga coatings with high visible transparency (> 80 %) and infrared reflection (up to 48.9 % at 2500 nm) were obtained, which is close to the optical requirements for commercial energy saving glazing. Pyramid-shaped and plate-shaped zinc oxides films were then deposited on glass substrates by AACVD of zinc-acetate-dihydrate, acetic acid and deionized water in methanol. These surface-textured ZnO films exhibited good visible transparency (~70 %), low sheet resistance (~60 Ω sq-1) and ultra large haze factor (up to 98.5 %), which is the most hazy ZnO ever reported and can be potentially used as the front contact in thin-film solar cells. Finally, uniform compact CH3NH3PbI3 perovskite films with high phase purity and micron-sized pinhole-free grains were deposited on glass substrates by a novel two-step and three-step sequential AACVD process. In conclusion, AACVD shows a great potential for the scalable fabrication of ZnO-based and organometallic halide-based thin film materials.

1 LOYALTY REBATES AS AN EXCLUSIONARY PRACTISE IN THE EUROPEAN COMPETITION LAW ABSTRACT This master thesis treats loyalty rebates in the light of European competition law when applied by dominant undertakings and analyses its consequences. It describes when such practise might be considered by European Union authorities as an abuse of a dominant position as it has negative impact on the competitors by inducing customer's loyalty to the dominant undertaking. It depicts its position in the European competition law system and compares it to other practises that influence the market in a similar way. Also, it classifies different types of loyalty and other types of rebates and explains how such rebates can force a customer to acquire increasing portions of his demand from the dominant undertaking and how they can damage its competitors. The thesis also offers a critical view on a very strict treatment of this practise by European institutions in the past and it arguments by several positive effects that loyalty and other types of rebates may have. Simultaneously it takes into consideration the newest decision of the Court of Justice of the European Union in the Intel case from September 2017 which will hopefully affect EU institutions' approach to this practise as it broke well-established per se interdiction of...