Made available in DSpace on 2016-04-25T16:44:44Z (GMT). No. of bitstreams: 1 Mario Jose Montini.pdf: 1228889 bytes, checksum: 8ecf9e824f548c285293119b8ca60f3a (MD5) Previous issue date: 2015-08-03 / The complex nature of investment decisions, which involves a wide range of factors, results that the decision maker rarely dominates all aspects that determine the quality of his/her decision. Decisions are made by individuals and their personal preferences may influence the outcome of their decision. Investment evaluation processes of an organization should help to ensure the manager that investment projects are analyzed according to a welldefined evaluation guide, in the same way and with due impartiality, in order to avoid that such personal preferences outweigh the "canons" of the organization. There are within the theory the necessary and sufficient tools for the investment evaluation, however, with regard to guides for investment evaluation, these are developed by the own organizations to meet their specific needs. In this study, an exploratory research seeks to conceptualize investment project and investment evaluation. Discounted cash flow methodology, capital asset pricing model and traditional metrics of investment evaluation are studied, as well as the aspects related to risk, uncertainty and irreversibility of real projects. Then, having as objective to extract from the theory an investment evaluation guide based on discounted cash flow methodology, several guides for evaluating investments were analyzed, looking for a systematization of procedures able to gather the essential steps of an evaluation, to ensure that these are carried out systematically. Afterwards, based on a case study, the resulting investment evaluation guide has been tested in a real case - previously assessed by a renowned consulting firm - and it has been confirmed that the said evaluation guide could have been successfully employed to evaluate the real case / A natureza complexa das decisões de investimento, por envolver um largo espectro de fatores, resulta em que raramente o gestor domina todos os aspectos determinantes da qualidade de sua decisão. As decisões são tomadas por indivíduos e suas preferências pessoais podem influenciar o resultado de sua decisão. Os processos de avaliação de investimento de uma organização deveriam contribuir para assegurar ao gestor que os projetos de investimento fossem analisados segundo um roteiro de avaliação bem definido, da mesma maneira e com a devida imparcialidade, de forma a evitar que tais preferências pessoais pudessem sobrepujar os cânones da organização. Encontram-se na teoria as ferramentas necessárias e suficientes para a avaliação de investimento, entretanto, no que concerne aos roteiros para avaliação de investimento, estes são desenvolvidos pelas próprias organizações para atender às suas necessidades específicas. Nesse estudo, por meio de uma pesquisa exploratória, procurou-se conceituar projeto de investimento e avaliação de investimento, estudou-se metodologia de fluxo de caixa descontado, metodologia de precificação de capitais, as métricas tradicionais de avaliação de investimento, e os aspectos relativos ao risco, incerteza e irreversibilidade dos projetos reais. Em seguida, tendo como objetivo extrair da teoria um roteiro para avaliação de investimentos com base na metodologia de fluxo de caixa descontado, vários guias de avaliação de investimentos foram analisados, em busca de uma sistematização de procedimentos capaz de reunir as etapas essenciais de uma avaliação, de forma a assegurar que essas sejam levadas a cabo, sistematicamente. Depois, com base em um estudo de caso, o guia de avaliação de investimento resultante do estudo foi testado em um caso real previamente avaliado por uma empresa de consultoria de renome e confirmou-se que o referido guia de avaliação poderia ter sido empregado com sucesso para avaliar o caso real

<p>The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. Following Fama & French many other researchers examine the explanatory powers of CAPM and other asset pricing models. However, most of those studies use US data. There are some researches done in different countries than US, however more out-of-sample studies need to be conducted.</p><p>To our knowledge there are very few studies using the Swedish data and this thesis contributes to that small pool of studies. Moreover, the studies testing the CAPM use the unconditional version of the model. There are some papers suggesting the use of a conditional CAPM that would exhibit better explanatory powers than the unconditional CAPM. Different ways of conditioning the CAPM have been proposed, but one that we think is the least complex and possible to make use of in the business world is the dual-beta model. This conditional CAPM assumes a different relationship between beta and stock returns during the up markets and down markets. Furthermore, the model has not thoroughly been tested outside the US. Our study is the first to use the dual-beta model in Sweden. In addition, the momentum effect has lately been given some attention and Fama & French‟s (1993) three factor model has not been able to explain the abnormal returns related to that anomaly. We test the Fama & French three factor model, CAPM and Carhart‟s four factor model‟s explanatory abilities of the momentum effect using Swedish stock returns. Ultimately, our aim is to find the best model that describes stock return cross-section on the Stockholm Stock Exchange.</p><p>We use returns of all the non-financial firms listed on Stockholm Stock Exchange between September, 1997 and April, 2010. The number of companies included in our time sample is 366. The results of our tests indicate that the small firm effect, book-to-market effect and the momentum effect are not present on the Stockholm Stock Exchange. Consequently, the CAPM emerges as the one model that explains stock return cross-section better than the other models suggesting that Beta is still a proper measure of risk. Furthermore, the conditional version of CAPM describes the stock return variation far better than the unconditional CAPM. This implies using different Betas to estimate risk during up market conditions and down market conditions.</p>

The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama &amp; French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. Following Fama &amp; French many other researchers examine the explanatory powers of CAPM and other asset pricing models. However, most of those studies use US data. There are some researches done in different countries than US, however more out-of-sample studies need to be conducted. To our knowledge there are very few studies using the Swedish data and this thesis contributes to that small pool of studies. Moreover, the studies testing the CAPM use the unconditional version of the model. There are some papers suggesting the use of a conditional CAPM that would exhibit better explanatory powers than the unconditional CAPM. Different ways of conditioning the CAPM have been proposed, but one that we think is the least complex and possible to make use of in the business world is the dual-beta model. This conditional CAPM assumes a different relationship between beta and stock returns during the up markets and down markets. Furthermore, the model has not thoroughly been tested outside the US. Our study is the first to use the dual-beta model in Sweden. In addition, the momentum effect has lately been given some attention and Fama &amp; French‟s (1993) three factor model has not been able to explain the abnormal returns related to that anomaly. We test the Fama &amp; French three factor model, CAPM and Carhart‟s four factor model‟s explanatory abilities of the momentum effect using Swedish stock returns. Ultimately, our aim is to find the best model that describes stock return cross-section on the Stockholm Stock Exchange. We use returns of all the non-financial firms listed on Stockholm Stock Exchange between September, 1997 and April, 2010. The number of companies included in our time sample is 366. The results of our tests indicate that the small firm effect, book-to-market effect and the momentum effect are not present on the Stockholm Stock Exchange. Consequently, the CAPM emerges as the one model that explains stock return cross-section better than the other models suggesting that Beta is still a proper measure of risk. Furthermore, the conditional version of CAPM describes the stock return variation far better than the unconditional CAPM. This implies using different Betas to estimate risk during up market conditions and down market conditions.

Cette thèse est composée de trois articles en économie des ressources naturelles non-renouvelables. Nous considérons tour à tour les questions suivantes : le prix in-situ des ressources naturelles non-renouvelables ; le taux d’extraction optimal et le prix des res- sources non-renouvelables et durables. Dans le premier article, nous estimons le prix in-situ des ressources naturelles non-renouvelables en utilisant les données sur le coût moyen d’extraction pour obtenir une approximation du coût marginal. En utilisant la Méthode des Moments Généralisés, une dynamique du prix de marché derivée des conditions d’optimalité du modèle d’Hotelling est estimée avec des données de panel de 14 ressources naturelles non-renouvelables. Nous trouvons des résultats qui tendent à soutenir le modèle. Premièrement, le modèle d’Hotelling exhibe un bon pouvoir explicatif du prix de marché observé. Deuxièmement, bien que le prix estimé présente un changement structurel dans le temps, ceci semble n’avoir aucun impact significatif sur le pouvoir explicatif du modèle. Troisièmement, on ne peut pas rejeter l’hypothèse que le coût marginal d’extraction puisse être approximé par les données sur le coût moyen. Quatrièmement, le prix in-situ estimé en prenant en compte les changements structurels décroît ou exhibe une forme en U inversé dans le temps et semble être corrélé positivement avec le prix de marché. Cinquièmement, pour neuf des quatorze ressources, la différence entre le prix in-situ estimé avec changements structurels et celui estimé en négligeant les changements structurels est un processus de moyenne nulle. Dans le deuxième article, nous testons l’existence d’un équilibre dans lequel le taux d’extraction optimal des ressources non-renouvelables est linéaire par rapport au stock de ressource en terre. Tout d’abord, nous considérons un modèle d’Hotelling avec une fonction de demande variant dans le temps caractérisée par une élasticité prix constante et une fonction de coût d’extraction variant dans le temps caractérisée par des élasticités constantes par rapport au taux d’extraction et au stock de ressource. Ensuite, nous mon- trons qu’il existe un équilibre dans lequel le taux d’extraction optimal est proportionnel au stock de ressource si et seulement si le taux d’actualisation et les paramètres des fonctions de demande et de coût d’extraction satisfont une relation bien précise. Enfin, nous utilisons les données de panel de quatorze ressources non-renouvelables pour vérifier empiriquement cette relation. Dans le cas où les paramètres du modèle sont supposés invariants dans le temps, nous trouvons qu’on ne peut rejeter la relation que pour six des quatorze ressources. Cependant, ce résultat change lorsque nous prenons en compte le changement structurel dans le temps des prix des ressources. En fait, dans ce cas nous trouvons que la relation est rejetée pour toutes les quatorze ressources. Dans le troisième article, nous étudions l’évolution du prix d’une ressource naturelle non-renouvelable dans le cas où cette ressource est durable, c’est-à-dire qu’une fois extraite elle devient un actif productif détenu hors terre. On emprunte à la théorie de la détermination du prix des actifs pour ce faire. Le choix de portefeuille porte alors sur les actifs suivant : un stock de ressource non-renouvelable détenu en terre, qui ne procure aucun service productif ; un stock de ressource détenu hors terre, qui procure un flux de services productifs ; un stock d’un bien composite, qui peut être détenu soit sous forme de capital productif, soit sous forme d’une obligation dont le rendement est donné. Les productivités du secteur de production du bien composite et du secteur de l’extraction de la ressource évoluent de façon stochastique. On montre que la prédiction que l’on peut tirer quant au sentier de prix de la ressource diffère considérablement de celle qui découle de la règle d’Hotelling élémentaire et qu’aucune prédiction non ambiguë quant au comportement du sentier de prix ne peut être obtenue de façon analytique. / This thesis consists of three articles on the economics of nonrenewable natural re- sources. We consider in turn the following questions : the in-situ price of nonrenewable natural resources, the optimal extraction rate and the price of nonrenewable and durable resources. The purpose of the first article is to estimate the in-situ price of nonrenewable natural resources using average extraction cost data as proxy for marginal cost. Using the regime switching Generalized Method of Moments (GMM) estimation technique, a dynamic of the market price derived from the first-order conditions of a Hotelling model is estimated with panel data for fourteen nonrenewable resources. I find results that tend to support the model. First, it appears that the Hotelling model has a good explanatory power of the observed market prices. Second, although the fitted prices seem to be subject to structural breaks over time, this does not have a significant impact on the explanatory power of the model. Third, there is evidence that marginal extraction cost can be approximated by average extraction cost data. Fourth, when allowing for structural breaks, estimates of the in-situ price decrease or exhibit an inverted U-shape over time and appear to be positively correlated with the market price. Fifth, for nine of the fourteen minerals, the difference between the estimates of the in-situ price with and without allowing for structural breaks is a zero-mean process.

資本資產定價模型已被廣泛使用於分析股票風險與要求報酬率之間的關係。然而，個別股票風險Beta是否足以解釋其報酬，也受到愈來愈多的質疑。Fama和French在1993年提出額外兩個因子來解釋股票報酬。我們將應用資本資產定價模型和三因子模型來分析1963年7月至2002年12月之美國的三大股票交易所上市公司。藉由一次改變分析過程中的一部分，以觀察參數估計值是否穩定。結果發現Beta_HML總是顯著且最為穩定，而Beta_SMB並不顯著。Beta經常顯著，但變動情況較大。另外，我們將考慮個別股票本身的變異，亦即將隨機效果納入考量。 / The Capital Asset Pricing Model (CAPM) has been widely used to analyze the relationship between risk and required rate of return on a stock, while it is doubted that individual stock's risk Beta has enough explanatory power for it's returns. Fama and French (1993) proposed two more factors to help explaining stock returns. We use the CAPM and the three-factor model to analyze listed companys in American stock exchanges, during the period from July 1963 to December 2002. We change part of the analyzing process a time to see if the estimates of the parameters are stable. The risk-premium Beta_HML is always significant and it performs most stable, while another risk-premium Beta_SMB is never significant. Beta is usually significant but it varies. Furthermore, we take within-stock variation into account, so random effects are considered.

Die studie vergelyk die prestasie van 'n koop-en-hou-strategie met die van 'n tydsberekeningstrategie binne die raamwerk van die arbitrasie-prysbepalingsteorie (APT) op die nywerheidsindeks van die Johannesburgse Aandelebeurs (JA). Die periode van die studie is oor twee tydperke, naamlik Januarie 1970 tot September 1987 en Januarie 1989 tot Junie 1997. Die langtermyntendens van die nywerheidsindeks en APT-faktore is bepaal deur die beste nie-reglynige model vir elke tydreeks te vind. Reglynige meervoudige stapsgewyse regressie-ontleding is gebruik om die bewegings van die nywerheidsindeks rondom die langtermyntendens te voorspel. Die sloeringsreekse van die langtermyntendensresidutelling van die APT-faktore en die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling is as moontlike voorspellers gebruik. Gegrond hierop is beslissingslyne ontwik:kel wat gebruik is vir die implementering van 'n tydsberekeningstrategie. Die resultate van die studie is die volgende: • Waar die sloeringsreekse van die langtermyntendensresidutelling van die APTfaktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 6, 41 persent en 0, 71 persent b6 die van 'n koop-en-hou-strategie vir tydperk een en twee onderskeidelik. • Waar die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling van die APT-faktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 10,40 persent en 1,04 persent b6 die van 'n koop-enhou- strategie vir tydperk een en twee onderskeidelik. Die belangrikste gevolgtrekking van die studie is dat die APT en 'n tydsberekeningstrategie teoreties en prakties versoenbaar is op die JA. Aanbevelings vir toekomstige navorsing is die volgende: ( 1) sistematiese risikofaktore, anders as makro-ekonomiese faktore, behoort identifiseer te word wat die voorspellingswaarde van die faktore in die tweede tydperk van die studie kan verhoog; (2) elke stap van die model wat ontwikkel is, behoort op elke indeks van die JA toegepas te word om die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie toegepas op elkeen van die indekse met die van 'n koop-en-hou-strategie te vergelyk; en (3) die invloed van transaksiekoste en dividende op die potensiele voordele van tydsberekening moet bepaal word. / The study compares the performance of a buy-and-hold strategy with that of a markettiming strategy in the framework of the arbitrage pricing theory (APT) applied to the industrial index of the Johannesburg Stock Exchange (JSE). The study period is divided into two parts, namely January 1970 to September 1987 and January 1989 to June 1997. The long-term trend of the industrial index and every APT factor is determined by finding the best nonlinear model for each time series. Linear multiple stepwise regression analysis, with the lagged time series of the long-term trend error terms of the APT factors, is used to forecast the movement of the industrial index around its long-term trend. Decision lines were developed to implement a market-timing strategy. The results of the study are as follows: • Where the lagged time series of the long-term trend error terms of the APT factors were used as possible predictors, the risk-adjusted return of a markettiming strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand- hold strategy for periods one and two respectively. • Where the lagged time series of the first-order difference of the long-term trend error term of the APT factors were used as possible predictors, the riskadjusted return of the market-timing strategy was 10,40 percent and 1,04 percent higher than that of a buy-and-hold strategy for periods one and two respectively. The main conclusion of the study is that the APT and a market-timing strategy are theoretically and practically reconcilable on the JSE. The main recommendations of the study are the following: (1) systematic risk factors, other than macroeconomic factors, should be identified in order to increase the forecasting value of these factors in the second period of the study; (2) each step of the model developed in this study should be repeated on every index of the JSE; and (3) the influence of transaction costs and dividends on the potential benefits of a market-timing strategy should be determined. / Business Management / DCom (Sakebestuur)

The impact of political and economic events on the asset pricing model described by the arbitrage pricing theory (APTM) was examined in order to establish if they had caused any changes in its specification. It was concluded that the APTM is not stationary and that it must be continuously tested before it can be used as political and economic events can change its specification. It was also found that political events had a more direct effect on the specification of the APTM, in that their effect is more immediate, than did economic events, which influenced the APTM by first influencing the economic environment in which it operated. The conventional approach that would have evaluated important political and economic events, case by case, to determine whether they affected the linear factor model (LFM), and subsequently the APTM, could not be used since no correlation was found between the pricing of a risk factor in the LFM and its subsequent pricing in the APTM. A new approach was then followed in which a correlation with a political or economic event was sought whenever a change was detected in the specification of the APTM. This was achieved by first finding the best subset LFM, chosen for producing the highest adjusted R2 , month by month, over 87 periods from 20 October1991 to 21 June 1998, using a combination of nine prespecified risk factors (five of which were proxies for economic events and one for political events). Multivariate analysis techniques were then used to establish which risk factors were priced most often during the three equal subperiods into which the 87 periods were broken up. Using the above methodology, the researcher was able to conclude that political events changed the specification of the APTM in late 1991. After the national elections in April 1994 it was found that the acceptance of South Africa into the world economic community had again changed the specification of the APTM and the two most important factors were proxies for economic events. / Business Leadership / DBL

The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions. / Financial Accounting / M. Com. (Accounting)

The subject of this diploma thesis is valuation of the production company XY, s.r.o. by using income- based valuation methods. In the first part of this thesis is a strategic analysis, financial analysis and SWOT analysis. In conclusion are used income- based methods and determine the value of the company at 31.12.2011.

The work is focussed on the determination of capital structure in its market values, determination of the cost of non-own capital, and determination of the cost of equity, primarily by using the CAPM method. In terms of the CAPM procedure the work deals with the main parameters required by the method, such as risk-free yield rate, risk market premium, and beta coefficient. Furthermore, attention is given to modifications resulting from the inaccuracies of the CAPM method to make the method correspond as much as possible with the actual yield and risk of shares historically achieved at the capital market, and likewise to modifications needed when applying the CAPM method to the valuation of Czech businesses. The recommended procedure of determining the market discount rate for the valuation of an enterprise is applied on an example. Data obtained from the capital market of the Czech Republic are used to calculate the risk premium of the Czech capital market and beta coefficient of selected ten shares out of the Czech capital market, giving an assessment of the possibility of using the data obtained from the Czech capital market for the valuation of businesses incorporated in the Czech Republic.